Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- Delta ---- Vega ---- Curvature ---- CommodityBuckets --- Cube (Reference Implementation) --- Configuration (Core) -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP -- Equity -- FX -- GIRR CommodityBuckets Data Model Field Store Field Notes Commodity Name Underlying Bucket Bucket 1-11 Curvature Cube (Reference Implementation)
FRTB Accelerator Cubes Guide