Navigation :
Getting started
- About
- CRR2 support
- Glossary
Tutorials
- Data Health Check
- 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
Datastores
FRTB Accelerator Interpretation and Implementation of BCBS 457
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SBM
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Commodity
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CSR non-Sec
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Data Model (Core)
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Calculations
---- ETL (Reference Implementation)
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Query Time (Core)
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Input Files (Reference Implementation)
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Config Files
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Datastore (Reference Implementation)
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Cube (Reference Implementation)
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Configuration (Core)
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CSR Sec CTP
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CSR Sec non-CTP
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Equity
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FX
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GIRR
Calculations
This section describes ETL from the reference implementation and the transformations / calculations applied to the sensitivities in the post-processors after they have been aggregated.