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- CRR2 support
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Tutorials
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- Tips for Validating the Calculations
- Viewing QIS Numbers
- Workaround for deadlock issue when attempting to create partitions for reference stores
Cube reference
Input File Formats
-
Common and Booking Files
-
Core Configuration Files
-
CRIF Files
-
SA Input File Formats
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Bucket Files
--- Commodity Buckets
--- CSR non-Sec Bucket Descriptions
--- CSR non-Sec Buckets
--- CSR Sec CTP Bucket Descriptions
--- CSR Sec CTP Buckets
--- CSR Sec non-CTP Bucket Descriptions
--- CSR Sec non-CTP Buckets
--- Equity Buckets
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DRC Trade Level Files
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SBM Sensitivity-specific Files
Datastores
FRTB Accelerator Interpretation and Implementation of BCBS 457
Commodity Buckets
Download sample file: Commodity_Buckets.csv
This file provides a mapping from Commodity to Commodity Bucket.
This Commodity Buckets file type is identified using the pattern: **/Commodity_Buckets*.csv (as specified by commodity.buckets.file-pattern).
This file is loaded using the CommodityBuckets topic.
Field
Key
Null
FieldType
Description
Example
Bucket
N
N
String
Bucket number (1 – 11)
UnderlyingCommodity
Y
N
String
Underlying commodity from sensitivities file
AsOfDate
Y
N
Date
‘YYYY-MM-DD’
Timestamp (at close of business) for the data.
FRTB Accelerator Reference Guide v2.4.0