Navigation : Cube reference Datastores - - Global Datastore Definition - Internal Models Approach Datastore Definition - Parameter Set Datastore Definition -- CommodityBucketRiskWeights -- CommodityIntraBucketCorrelations -- CSRBucketCorrelations -- CSRBucketsRiskWeight -- DRCWeight -- EquityBucketsRiskWeight -- ERBARiskWeight -- FRTBParameters -- FXDeltaSpecialCrosses -- GIRRDeltaWeighting -- GIRRMajorCurrency -- IMAMultiplier -- InstrumentToLGD -- LiquidityHorizons -- ObligorToRiskWeight -- OptionResidualMaturityVertices -- ParameterSet -- VegaRiskWeights -- Vertices - Standardised Approach Datastore Definition FRTB Accelerator Interpretation and Implementation of BCBS 457 VegaRiskWeights Store Field Key IsVector CanBeNull Type Cube Field RiskClass Y N N String SubType Y N N String LiquidityHorizon N N N Double AsOfDate Y N N Date[yyyy-mm-dd] ParameterSet Y N N String ParameterSet Vertices
FRTB Accelerator Cubes Guide