frtb-data-load.properties

File purpose

The frtb-data-load.properties file defines the file loading formats and pattern matching for the input files to the datastore.

Key Value
commodity.bucket.risk-weights.file-pattern **/Commodity_BucketRiskWeights.csv
commodity.intra-bucket.correlations.file-pattern **/Commodity_IntraBucketCorrelations.csv
vertices.file-pattern **/Vertices.csv
default.risk-weights.file-pattern **/Default_Risk_Weights.csv
erba.risk-weight.file-pattern **/ERBA_Risk_Weight.csv
eqty.buckets.risk-weights.file-pattern **/EQTY_BucketsRiskWeights.csv
fx.special-crosses.file-pattern **/FX_Special_Crosses.csv
girr.delta.weightings.file-pattern **/GIRR_Delta_Weightings.csv
girr.major-currency.file-pattern **/GIRR_Major_Currency.csv
instrument.lgd.file-pattern **/Instrument_LGD.csv
option.residual.maturity.vertices.file-pattern **/Option_Residual_Maturity_Vertices.csv
seniority.description.file-pattern **/Seniority_Description.csv
vega.liquidity.horizons.file-pattern **/Vega_Liquidity_Horizons.csv
fx.data.file-pattern **/FXData.csv
liquidity.horizons.file-pattern **/LiquidityHorizons.csv
obligor.risk-weights.file-pattern **/Obligor_Risk_Weights.csv
ima.scenarios.file-pattern **/IMA_Scenarios.csv
multiplier.file-pattern **/Multiplier.csv
fx.risk-weight.overrides.file-pattern */FX_Risk_Weight_Overrides.csv
girr.correlation.overrides.file-pattern */GIRR_Correlation_Overrides.csv
sensitivity-scaling.file-pattern */Sensitivity_Scaling.csv
Key Value
book.parent-child.file-pattern **/BookParentChild.csv
legal-entity.parent-child.file-pattern **/LegalEntityParentChild.csv
Key Value
equity.buckets.file-pattern **/Equity_Buckets.csv
commodity.buckets.file-pattern **/Commodity_Buckets.csv
drc.bucket.sec-non-ctp.file-pattern **/DRC_Bucket_SECNONCTP.csv
Key Value
ima.risk-factors.file-pattern **/IMARiskFactors.csv
Key Value
frtb.parameters.file-pattern **/FRTBParameters.csv
parameter-set.file-pattern **/ParameterSet.csv
Key Value
pl.var.vector.file-pattern **/PL_VaR_Vector.csv
pl.var.scenario.file-pattern **/PL_VaR_Scenario.csv
pl.summary.file-pattern **/PL_Summary.csv
Key Value
ima.trades.file-pattern **/IMA__Trades*.csv
ima.summary.file-pattern **/IMA_Summary.csv
Key Value
csr.bucket.non-sec.file-pattern **/CSR_Bucket_NONSEC.csv
csr.bucket.sec-ctp.file-pattern **/CSR_Bucket_SECCTP.csv
csr.bucket.sec-non-ctp.file-pattern **/CSR_Bucket_SECNONCTP.csv
csr.buckets.risk-weights.non-sec.file-pattern **/CSR_BucketsRiskWeights_NONSEC.csv
csr.buckets.risk-weights.sec-ctp.file-pattern **/CSR_BucketsRiskWeights_SECCTP.csv
csr.buckets.risk-weights.sec-non-ctp.file-pattern **/CSR_BucketsRiskWeights_SECNONCTP.csv
csr.bucket.description.non-sec.file-pattern **/CSR_Bucket_Description_NONSEC.csv
csr.bucket.description.sec-ctp.file-pattern **/CSR_Bucket_Description_SECCTP.csv
csr.bucket.description.sec-non-ctp.file-pattern **/CSR_Bucket_Description_SECNONCTP.csv
csr-ns.bucket.correlations.file-pattern **/CSRNS_Bucket_Correlations.csv
Key Value
trade.attributes.sa.trades.file-pattern **/{Trade_Attributes,SA_Trades}.csv
Key Value
drc.scenario.count.file-pattern **/DRC_SCENARIO_COUNT.csv
drc.trade.file-pattern **/DRC_Trade_.csv
drc.linear.scenarios.file-pattern **/DRC_LINEAR_SCENARIOS.csv
drc.non-linear.recovery.file-pattern **/DRC_NonLinear_Recovery_.csv
Key Value
sb.delta.sensitivities.file-pattern **/SB_Delta_Sensitivities*.csv
sb.vega.sensitivities.file-pattern **/SB_Vega_Sensitivities*.csv
sb.curvature.sensitivities.file-pattern **/SB_Curvature_Sensitivities*.csv
crif.pattern */.crif