Navigation : Cube reference FRTB Input File Formats Datastores FRTB Accelerator Interpretation and Implementation of BCBS 457 - - DRC - SBM -- Commodity -- CSR non-Sec -- CSR Sec CTP -- CSR Sec non-CTP -- Equity --- Interpretation Note --- Data Model (Core) --- Calculations --- Input Files (Reference Implementation) --- Config Files --- Datastore (Reference Implementation) ---- TradeBase ---- RiskFactorDescription ---- UnderlyingDescription ---- Delta ---- Vega ---- Curvature ---- EquityBuckets --- Cube (Reference Implementation) --- Configuration (Core) -- FX -- GIRR Datastore (Reference Implementation) This section describes the datastore schema used for the Equity risk class frtb-config.properties TradeBase
FRTB Accelerator Cubes Guide