Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters store.
Parameter | Parameter Name | Default Value |
---|---|---|
$\rho_{kl}$ in [MAR21.45] | sa.girr.delta.differentcurve.correlation | 0.999 |
$\rho_{kl}$ floor in [MAR21.46] | sa.girr.delta.different-vertex.correlation-floor | 0.4 |
$\theta$ in [MAR21.46] | sa.girr.delta.different-vertex.theta | 0.03 |
$\rho_{kl}$ multiplier in [MAR21.47] | sa.girr.delta.different-vertex-and-curve.correlation | 0.999 |
$\rho_{kl}$ in [MAR21.48] | sa.girr.delta.inflation-vs-yield.correlation | 0.4 |
$\rho_{kl}$ in [MAR21.49](1) | sa.girr.delta.basis-vs-yield.correlation | 0 |
$\rho_{kl}$ in [MAR21.49](2) | sa.girr.delta.basis-vs-inflation.correlation | 0 |
$\rho_{kl}$ in [MAR21.49](3) | sa.girr.delta.basis-vs-basis.correlation | 0 |
$\gamma_{bc}$ in [MAR21.50] | sa.girr.delta.different-ccy.correlation | 0.5 |
$RW_k$ divisor in [MAR21.44] | sa.girr.delta.rw.major.currency.adjustment | 1.4142135623731 |
$RW_k$ in [MAR21.43] (Basis curves) | sa.girr.delta.basis.risk-weight | 0.016 |
$RW_k$ in [MAR21.43] (Inflation curves) | sa.girr.delta.inflation.risk-weight | 0.016 |
Decimal places in $\rho_{kl}$ in [MAR21.46] | sa.girr.delta.vertex.correlation.rounding-dp | 3 |
$RW_\sigma$ in [MAR21.92] | sa.vega.rw | 0.55 |
$\alpha$ in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |
$\alpha$ in [MAR21.93](2)(a) | sa.vega.rho-underlying-maturity.alpha | 0.01 |