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CSRBucketCorrelations
Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
Bucket_X |
Y |
N |
String |
|
The first CSR Sec CTP bucket (1-16). |
Bucket_Y |
Y |
N |
String |
|
The second CSR Sec CTP bucket (1-16). |
Correlation |
N |
N |
Double |
|
The gamma(sector) correlation between the two buckets. |
RiskClass |
Y |
N |
String |
|
|
AsOfDate |
Y |
N |
LOCALDATE[yyyy-mm-dd] |
|
The start date that the parameter takes effect. |
ParameterSet |
Y |
N |
String |
|
The parameter set to which the parameter belongs (default = BCBS). |