Navigation : Cube reference FRTB Input File Formats Datastores - - Global Datastore Definition - Internal Models Approach Datastore Definition - Parameter Set Datastore Definition - Standardised Approach Datastore Definition -- CommodityBuckets -- CSRBucketDesc -- CSRNonSecBucket -- CSRSecCTPBucket -- CSRSecNonCTPBucket -- Curvature -- Delta -- DRCBase -- DrcSecNonCtpBuckets -- EquityBuckets -- FXBuckets -- GIRRBuckets -- Obligor -- RiskFactorDescription -- SATradeDescription -- TradeBase -- Tranche -- UnderlyingDescription -- Vega FRTB Accelerator Interpretation and Implementation of BCBS 457 TradeBase Store Field Key CanBeNull Type Cube Field Description TradeId Y String [Booking].[TradeId] (e.g. “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.) – if coming from multiple systems may need to prepend source system to the id for uniqueness. Risk Factor Y String [Risk].[RiskFactor] RiskClass Y String [Risk].[RiskClass] Risk Measure Y String [Risk].[Measure] AsOfDate Y LOCALDATE[yyyy-mm-dd] [Dates].[AsOfDate] Timestamp (at close of business) for the data. SATradeDescription Tranche
FRTB Accelerator Cubes Guide