Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$RW_k$ in [MAR21.87] | sa.fx.delta.rw | 0.15 |
$RW_k$ divisor in [MAR21.87] | sa.fx.delta.rw.selected.pair.adjustment | 1.4142135623731 |
$\gamma_{bc}$ in [MAR21.89] | sa.fx.correlation | 0.6 |
$CVR_k$ divisor in [MAR21.98] | sa.fx.curvature.divider | 1.5 |
Reporting Currency | sa.fx.reporting-currency | EUR |
Base Currency | sa.fx.base-currency | EUR |
Is the Base Currency used? | sa.fx.use.base-currency | false |
Divide $CVR_k$ by divisor in [MAR21.98] | sa.fx.use.fx-divider | false |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |