Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$\rho_{kl}^{(tranche)}$ in [MAR21.68](1) | sa.csr-sec-non-ctp.delta.rho-tranche.correlation | 0.4 |
$\rho_{kl}^{(tenor)}$ in [MAR21.68](2) | sa.csr-sec-non-ctp.delta.rho-tenor.correlation | 0.8 |
$\rho_{kl}^{(basis)}$ in [MAR21.68](3) | sa.csr-sec-non-ctp.delta.rho-basis.correlation | 0.999 |
$\gamma_{bc}$ in [MAR21.70] | sa.csr-sec-non-ctp.delta.different-buckets.correlation | 0 |
$\gamma_{b\ other}$ in [MAR21.71] (See Interpretation Note) | sa.csr-sec-non-ctp.delta.other-bucket.correlation | 0 |
Add $K_{other}$ after taking square root in [MAR21.4](5) (See Interpretation Note) | sa.csr-sec-non-ctp.delta.other-bucket.added | true |
Add $K_{other}$ after taking square root in [MAR21.5](4) (See Interpretation Note) | sa.csr-sec-non-ctp.curvature.other-bucket.added | true |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |