Navigation :
Curvature
| Store Field |
Key |
IsVector |
CanBeNull |
Type (+Default Value - if applicable) |
Cube Field |
| TradeId |
Y |
|
|
String |
N - See field in referencing store (TradeBase) |
| RiskFactor |
Y |
|
|
String |
N - See field in referencing store (TradeBase) |
| RiskClass |
Y |
|
|
String |
N - See field in referencing store (TradeBase) |
| RiskMeasure |
Y |
|
|
String |
N - See field in referencing store (TradeBase) |
| ShiftUpPV |
|
Y |
|
Double[] |
N - This is a measure |
| ShiftDownPV |
|
Y |
|
Double[] |
N - This is a measure |
| Ccy |
|
|
|
String |
Y - Scenario Currency |
| RiskWeight |
|
Y |
|
Double[]({-1.0}) |
Y - Curvature Risk Weight |
| PVApplied |
|
|
|
String |
Y - PVApplied |
| AsOfDate |
Y |
|
|
Date[yyyy-mm-dd] |
N - See field in referencing store (TradeBase) |
FRTB Accelerator Cubes Guide