Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$\rho_{kl}^{(tenor)}$ in [MAR21.83](2) | sa.commodity.rho-tenor.correlation | 0.99 |
$\rho_{kl}^{(basis)}$ in [MAR21.83](3) | sa.commodity.rho-basis.correlation | 0.999 |
$\gamma_{bc}$ in [MAR21.85](1) | sa.commodity.correlation | 0.2 |
$\gamma_{bc}$ in [MAR21.85](2) | sa.commodity.other-commodity.correlation | 0 |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |