frtb-config.properties

The frtb-config.properties file configures the accelerator core at startup, adapting it for the reference implementation. The file is located in the folder frtb-starter\src\main\resources.

Type names

Category	Key	Value	Description
Type names	girr.delta.curve.yield	Yield	Name of GIRR Delta Yield Curve Type must match curve type loaded into datastore
Type names	girr.delta.curve.basis	Basis	Name of GIRR Delta Cross Currency Basis Curve Type must match curve type loaded into datastore
Type names	girr.delta.curve.inflation	Inflation	Name of GIRR Delta Inflation Curve Type must match curve type loaded into datastore
Type names	equity.type.spot	Spot	Name of Equity SPOT Type must match type loaded into datastore
Type names	equity.type.repo	Repo	Name of Equity SPOT Type must match type loaded into datastore
Type names	src.rating.type.stc	STC	Name of STC rating type, used to trigger logic for SEC-ERBA STC ratings

DRC Buckets names

Category	Key	Value	Description
DRC Buckets names	drc.bucket.corporates	Corporates	Name of DRC corporates bucket must match type loaded into datastore
DRC Buckets names	drc.bucket.sovereigns	Sovereigns	Name of DRC sovereigns bucket must match type loaded into datastore
DRC Buckets names	drc.bucket.lgm	Local Governments/Municipalities	Name of DRC local governments/municipalities bucket must match type loaded into datastore
DRC Buckets names	drc.bucket.lgm.splitter	/	Split character in local governments or municipalities bucket name used to accept either of the two types for this bucket
DRC Buckets names	drc.seniority.senior	senior	Name of DRC senior seniority must match type loaded into datastore

Cube levels for post-processors

Category	Key	Value	Description
Cube levels for post-processors	date.hierarchy	Date@Dates	Cube Hierarchy for dates
Cube levels for post-processors	as-of-date.level	AsOfDate@Date@Dates	Cube level for As Of Dates
Cube levels for post-processors	vertices.level	Vertex@Vertices@Risk	Cube level for Vertices
Cube levels for post-processors	risk-class.level	RiskClass@Risk Classes@Risk	Cube level for Risk Classes (GIRR, FX, Equity, etc)
Cube levels for post-processors	market-data.type.level	Market Type@Market Types@Market Data	Cube level for Market Data Type (e.g. GIRR Curve type)
Cube levels for post-processors	girr.buckets.level	GIRR Bucket@GIRR Buckets@Buckets	Cube level for GIRR Buckets (CCY)
Cube levels for post-processors	equity.buckets.level	Equity Bucket@Equity Buckets@Buckets	Cube level for Equity Buckets
Cube levels for post-processors	csr-ns.buckets.level	CSR non-Sec Bucket@CSR non-Sec Buckets@Buckets	Cube level for CSR non-Sec Buckets
Cube levels for post-processors	fx.buckets.level	FX Bucket@FX Buckets@Buckets	Cube level for FX Buckets
Cube levels for post-processors	fx.buckets.original.level	FX Original Bucket@FX Original Buckets@Buckets	Cube level for FX Original Buckets
Cube levels for post-processors	fx.curvature.divider.level	Curvature FX Divider Eligibility@FX Divider Eligibility@Risk	Cube level for FX Original Buckets
Cube levels for post-processors	csr-sec-ctp.buckets.level	CSR Sec CTP Bucket@CSR Sec CTP Buckets@Buckets	Cube level for CSR Sec CTP Buckets
Cube levels for post-processors	csr-sec-non-ctp.buckets.level	CSR Sec non-CTP Bucket@CSR Sec non-CTP Buckets@Buckets	Cube level for CSR Sec non-CTP Buckets
Cube levels for post-processors	commodity.buckets.level	Commodity Bucket@Commodity Buckets@Buckets	Cube level for Commodity Buckets
Cube levels for post-processors	girr.delta.double-sums.levels	Vertex1@GIRR Delta Double Sums@Double Sums,Vertex2@GIRR Delta Double Sums@Double Sums,Curve@GIRR Delta Double Sums@Double Sums	Cube levels for GIRR Delta Double Sums
Cube levels for post-processors	equity.delta.double-sums.levels	Issuer@Equity Delta Double Sums@Double Sums,Type@Equity Delta Double Sums@Double Sums	Cube levels for Equity Delta Double Sums
Cube levels for post-processors	csr-ns.delta.double-sums.levels	Name@CSR non-Sec Delta Double Sums@Double Sums,Tenor@CSR non-Sec Delta Double Sums@Double Sums,Basis@CSR non-Sec Delta Double Sums@Double Sums	Cube levels for CSR non-Sec Delta Double Sums
Cube levels for post-processors	csr-sec-non-ctp.delta.double-sums.levels	Tranche@CSR Sec non-CTP Delta Double Sums@Double Sums,Tenor@CSR Sec non-CTP Delta Double Sums@Double Sums,Basis@CSR Sec non-CTP Delta Double Sums@Double Sums	Cube levels for CSR Sec non-CTP Delta Double Sums
Cube levels for post-processors	csr-sec-ctp.delta.double-sums.levels	Name@CSR Sec CTP Delta Double Sums@Double Sums,Tenor@CSR Sec CTP Delta Double Sums@Double Sums,Basis@CSR Sec CTP Delta Double Sums@Double Sums	Cube levels for CSR Sec CTP Delta Double Sums
Cube levels for post-processors	commodity.delta.double-sums.levels	Cty@Commodity Delta Double Sums@Double Sums,Tenor@Commodity Delta Double Sums@Double Sums,Basis@Commodity Delta Double Sums@Double Sums	Cube levels for Commodity Delta Double Sums
Cube levels for post-processors	fx.delta.double-sums.levels	Ccy@FX Delta Double Sums@Double Sums	Cube levels for Fx Delta Double Sums
Cube levels for post-processors	risk-factors.level	Risk Factor@Risk Factors@Risk	Cube level for Risk Factors
Cube levels for post-processors	ccy.level	Ccy@Currency@Currencies	Cube level for Currency
Cube levels for post-processors	trade.level	TradeId@Trades@Booking	Cube level for Trade (the finest granularity in the cube)
Cube levels for post-processors	delta.ccy.level	Delta Currency@Delta Currency@Currencies	Cube level for Currency used for Delta sensitivities
Cube levels for post-processors	vega.ccy.level	Vega Currency@Vega Currency@Currencies	Cube level for Currency used for Vega sensitivities
Cube levels for post-processors	curvature.shocked-pv.ccy.level	Scenario Currency@Scenario Currency@Currencies	Cube level for Currency used for Curvature shocked PV
Cube levels for post-processors	pv.ccy.level	Trade PV Currency@Trade PV Currency@Currencies	Cube level for Currency used for the PV
Cube levels for post-processors	notional.ccy.level	Trade Notional Currency@Trade Notional Currency@Currencies	Cube level for Currency used for the Notional
Cube levels for post-processors	market-data.underlying.level	Underlying@Underlying@Market Data	Cube level for Market Data Underlying
Cube levels for post-processors	risk-weight.level	Curvature Risk Weight@Curvature Risk Weights@Risk	Cube level for Curvature Risk Weight Data Underlying
Cube levels for post-processors	equity.type.level	Market Type@Market Types@Market Data	Cube level for Equity Type (i.e. SPOT vs REPO)
Cube levels for post-processors	equity.issuer.level	Underlying@Underlying@Market Data	Cube level for Equity Issuer (e.g. IBM or Apple)
Cube levels for post-processors	csr.basis.level	Market Type@Market Types@Market Data	Cube level for CSR Basis
Cube levels for post-processors	csr.underlying.level	Underlying@Underlying@Market Data	Cube level for CSR Underlying
Cube levels for post-processors	equity.market-data.market-cap.level	Equity Market Cap@Equity Market Cap@Market Data	Cube level for Equity Market Data Market Capitalization
Cube levels for post-processors	equity.market-data.economy.level	Equity Issuer Economy@Equity Issuer Economy@Market Data	Cube level for Equity Market Data Issuer Economy
Cube levels for post-processors	csr-ns.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR non-Sec Quality
Cube levels for post-processors	csr-ns.market-data.rating.category.level	CSR non-Sec Rating Category@CSR non-Sec Rating Category@Market Data	Cube level for CSR non-Sec Market Data Rating Category
Cube levels for post-processors	csr-ns.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR non-Sec Market Data Sector
Cube levels for post-processors	csr-ns.market-data.sector.category.level	CSR non-Sec Sector Category@CSR non-Sec Sector Category@Market Data	Cube level for CSR non-Sec Market Data Sector Category
Cube levels for post-processors	csr-sec-ctp.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR Sec CTP Quality
Cube levels for post-processors	csr-sec-ctp.market-data.rating.category.level	CSR Sec CTP Rating Category@CSR Sec CTP Rating Category@Market Data	Cube level for CSR Sec CTP Market Data Rating Category
Cube levels for post-processors	csr-sec-ctp.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR Sec CTP Market Data Sector
Cube levels for post-processors	csr-sec-ctp.market-data.sector.category.level	CSR Sec CTP Sector Category@CSR Sec CTP Sector Category@Market Data	Cube level for CSR Sec CTP Market Data Sector Category
Cube levels for post-processors	csr-sec-non-ctp.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR Sec non-CTP Quality
Cube levels for post-processors	csr-sec-non-ctp.market-data.rating.category.level	CSR Sec non-CTP Rating Category@CSR Sec non-CTP Rating Category@Market Data	Cube level for CSR Sec non-CTP Market Data Rating Category
Cube levels for post-processors	csr-sec-non-ctp.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR Sec non-CTP Market Data Sector
Cube levels for post-processors	csr-sec-non-ctp.market-data.sector.category.level	CSR Sec non-CTP Sector Category@CSR Sec non-CTP Sector Category@Market Data	Cube level for CSR Sec non-CTP Market Data Sector Category
Cube levels for post-processors	csr-sec-non-ctp.market-data.tranche.level	CSR Tranche@CSR Tranche@Market Data	Cube level for CSR Sec non-CTP Market Data Tranche
Cube levels for post-processors	girr.vega.option.maturity	Vertex@Vertices@Risk	Cube level for GIRR Vega Option Maturity
Cube levels for post-processors	girr.vega.underlying.maturity	Maturity@Maturities@Risk	Cube level for GIRR Vega Underlying Maturity
Cube levels for post-processors	commodity.market-data.commodity.location.level	Commodity Location@Commodity Location@Commodity Attributes	Cube level for Commodity location
Cube levels for post-processors	commodity.market-data.commodity.time.level	Commodity Time@Commodity Time@Commodity Attributes	Cube level for Commodity time
Cube levels for post-processors	commodity.market-data.commodity.route.level	Commodity Route@Commodity Route@Commodity Attributes	Cube level for Commodity route
Cube levels for post-processors	desk.level	Desk@Desks@Booking	Cube level for Desks
Cube levels for post-processors	csr-sec-ctp.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Sec CTP Vega Option Maturity
Cube levels for post-processors	csr-sec-non-ctp.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Sec Non-CTP Vega Option Maturity
Cube levels for post-processors	csr-ns.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Non-Sec Vega Option Maturity
Cube levels for post-processors	equity.vega.option.maturity	Vertex@Vertices@Risk	Cube level for Equity Vega Option Maturity
Cube levels for post-processors	fx.vega.option.maturity	Vertex@Vertices@Risk	Cube level for FX Vega Option Maturity
Cube levels for post-processors	commodity.vega.option.maturity	Vertex@Vertices@Risk	Cube level for Commodity Vega Option Maturity
Cube levels for post-processors	equity.vega.double-sums.levels	Issuer@Equity Vega Double Sums@Double Sums,Maturity1@Equity Vega Double Sums@Double Sums,Maturity2@Equity Vega Double Sums@Double Sums	Cube levels for Equity Vega Double Sums
Cube levels for post-processors	csr-ns.vega.double-sums.levels	Name@CSR non-Sec Vega Double Sums@Double Sums,Basis@CSR non-Sec Vega Double Sums@Double Sums,Maturity1@CSR non-Sec Vega Double Sums@Double Sums,Maturity2@CSR non-Sec Vega Double Sums@Double Sums	Cube levels for CSR non-Sec Vega Double Sums
Cube levels for post-processors	csr-sec-non-ctp.vega.double-sums.levels	Tranche@CSR Sec non-CTP Vega Double Sums@Double Sums,Basis@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec non-CTP Vega Double Sums@Double Sums	Cube levels for CSR Sec Non-CTP Vega Double Sums
Cube levels for post-processors	csr-sec-ctp.vega.double-sums.levels	Name@CSR Sec CTP Vega Double Sums@Double Sums,Basis@CSR Sec CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec CTP Vega Double Sums@Double Sums	Cube levels for CSR Sec CTP Vega Double Sums
Cube levels for post-processors	girr.vega.double-sums.levels	OptionMaturity1@GIRR Vega Double Sums@Double Sums,OptionMaturity2@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity1@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity2@GIRR Vega Double Sums@Double Sums	Cube levels for GIRR Vega Double Sums
Cube levels for post-processors	commodity.vega.double-sums.levels	Cty@Commodity Vega Double Sums@Double Sums,Maturity1@Commodity Vega Double Sums@Double Sums,Maturity2@Commodity Vega Double Sums@Double Sums	Cube levels for Commodity Vega Double Sums
Cube levels for post-processors	fx.vega.double-sums.levels	Ccy@FX Vega Double Sums@Double Sums,Maturity1@FX Vega Double Sums@Double Sums,Maturity2@FX Vega Double Sums@Double Sums	Cube levels for FX Vega Double Sums
Cube levels for post-processors	commodity.curvature.double-sums.levels	Cty@Commodity Curvature Double Sums@Double Sums,Basis@Commodity Curvature Double Sums@Double Sums	Cube levels for Commodity Curvature Double Sums
Cube levels for post-processors	csr-sec-ctp.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSR Sec CTP curvature to indicate if PV has already been applied
Cube levels for post-processors	csr-sec-non-ctp.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSR Sec Non-CTP curvature to indicate if PV has already been applied
Cube levels for post-processors	csr-ns.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSRNS curvature to indicate if PV has already been applied
Cube levels for post-processors	commodity.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for Commodity curvature to indicate if PV has already been applied
Cube levels for post-processors	fx.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for FX curvature to indicate if PV has already been applied
Cube levels for post-processors	equity.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for Equity curvature to indicate if PV has already been applied
Cube levels for post-processors	girr.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for GIRR curvature to indicate if PV has already been applied
Cube levels for post-processors	commodity.market-data.underlying.level	Underlying@Underlying@Market Data	Cube level for Commodity Market Data Underlying
Cube levels for post-processors	risk-measure.level	Risk Measure@Risk Measures@Risk	Cube level for Risk Measure (Delta, Vega, Curvarture)
Cube levels for post-processors	fx.counter.ccy.level	FX Counter Currency@FX Counter Currency@Currencies	Cube level for FX Counter Currency level, used for weight adjustment
Cube levels for post-processors	nb.elemts.analysis.hierarchy	1000	Number of elements for the analysis hierarchy
Cube levels for post-processors	delta.optionality.level	Delta Optionality@Optionality@Risk	Cube level for Delta Optionality.
Cube levels for post-processors	context-value.reference-currency.members	EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD	List of available reference currencies
Cube levels for post-processors	fx-rates.leaf-levels		List of additional leaf levels
Cube levels for post-processors	reference-levels.list	,FRTB Model@FRTB Model	List of Levels for the Reference Level Context Value
		,Book@Books
		,Desk@Desks
		,Legal Entity@Legal Entities
		,Level 1@BookHierarchy
		,Level 2@BookHierarchy
		,Level 3@BookHierarchy
		,Level 4@BookHierarchy
		,Level 5@BookHierarchy
		,Level 1@LegalEntityHierarchy
		,Level 2@LegalEntityHierarchy
		,Legal Entity@Legal Entities;FRTB Model@FRTB Model
		,Level 1@BookHierarchy;FRTB Model@FRTB Model
		,Level 2@BookHierarchy;FRTB Model@FRTB Model
		,Level 3@BookHierarchy;FRTB Model@FRTB Model
		,Level 4@BookHierarchy;FRTB Model@FRTB Model
		,Level 5@BookHierarchy;FRTB Model@FRTB Model
		,Level 1@LegalEntityHierarchy;FRTB Model@FRTB Model
		,Level 2@LegalEntityHierarchy;FRTB Model@FRTB Model
Cube levels for post-processors	pro-rata.hierarchies.list	,Books,Desks,Legal Entities,BookHierarchy,LegalEntityHierarchy	List of Hierarchies for the Pro-Rata Hierarchy Context Value
Cube levels for post-processors	pro-rata.leaf-levels.list	,TradeId@Trades,Book@Books,Desk@Desks,Legal Entity@Legal Entities	List of Levels for the Pro-Rata Leaf Level Context Value
Cube levels for post-processors	rrao.exotic-underlying.level	Exotic Underlying@Residual Risk Add On@Risk	Cube level for RRAO Exotic Underlying flag
Cube levels for post-processors	drc.gross-jtd.currency.level	DRC Gross JTD Currency@DRC Gross JTD Currency@Currencies	Cube level of DRC Gross JTD currency
Cube levels for post-processors	drc.lgd.instrument-type.level	DRC Instrument LGD Type@DRC Instrument LGD Type@Default Risk Charge	Cube level of DRC instrument LGD type
Cube levels for post-processors	drc.direction.level	DRC Direction@DRC Direction@Default Risk Charge	Cube level of DRC direction
Cube levels for post-processors	drc.maturity.level	DRC Maturity@DRC Maturity@Default Risk Charge	Cube level of DRC maturity
Cube levels for post-processors	drc.obligor.level	Underlying@Underlying@Market Data	Cube level of DRC Obligor
Cube levels for post-processors	drc.seniority.level	DRC Seniority@DRC Seniority@Default Risk Charge	Cube level of DRC Seniority
Cube levels for post-processors	drc.seniority.ranking.level	DRC Seniority Ranking@DRC Seniority@Default Risk Charge	Cube level of DRC Seniority Ranking
Cube levels for post-processors	drc.tranche.level	Underlying@Underlying@Market Data	Cube level of DRC Tranche
Cube levels for post-processors	drc.non-sec.rating.level	DRC non-Sec Rating@DRC non-Sec Rating@Default Risk Charge	Cube level of DRC Rating
Cube levels for post-processors	drc.sec-non-ctp.rating.level	DRC Sec non-CTP Rating@DRC Sec non-CTP Rating@Default Risk Charge	Cube level of DRC Sec non-CTP Rating
Cube levels for post-processors	drc.sec-non-ctp.attachment.level	DRC Sec non-CTP Attachment@DRC Sec non-CTP Attachment@Default Risk Charge	Cube level of DRC Sec non-CTP Attachment
Cube levels for post-processors	drc.sec-non-ctp.detachment.level	DRC Sec non-CTP Detachment@DRC Sec non-CTP Detachment@Default Risk Charge	Cube level of DRC Sec non-CTP Detachment
Cube levels for post-processors	drc.non-sec.bucket.level	DRC non-Sec Bucket@DRC non-Sec Bucket@Default Risk Charge	Cube level of DRC non-Sec Bucket
Cube levels for post-processors	drc.sec-non-ctp.bucket.level	DRC Sec non-CTP Bucket@DRC Sec non-CTP Bucket@Default Risk Charge	Cube level of DRC Sec non-CTP Bucket
Cube levels for post-processors	drc.pv.overridden.level	DRC PV Overridden@DRC PV Overridden@Default Risk Charge	Cube level of DRC PV Overridden
Cube levels for post-processors	drc.notional.overridden.level	DRC Notional Overridden@DRC Notional Overridden@Default Risk Charge	Cube level of DRC Notional Overridden
Cube levels for post-processors	frtb.model.level	FRTB Model@FRTB Model@Booking	Cube level for FRTB Model
Cube levels for post-processors	ima.currency.leaf.level	Currency@Currencies@Risk	Cube levels for Currency
Cube levels for post-processors	ima.desk.level	Desk@Desks@Booking	Cube levels for Capital charge
Cube levels for post-processors	ima.asOf.date.level	AsOfDate@Date@Dates	Cube level for As Of Date
Cube levels for post-processors	non-modellable.riskfactor.level	NMRF@Model@Risk	Cube level for NMRF
Cube levels for post-processors	ima.risk-factors.level	Risk Factor@Risk Factors@Risk	Cube level for IMA Risk Factors
Cube levels for post-processors	ima.risk-class.level	RiskClass@Risk Classes@Risk	Cube level for IMA Risk Classes
Cube levels for post-processors	ima.data.sets.level	Data Set@Data Sets@Risk	Cube level for IMA Data sets
Cube levels for post-processors	ima.liquidity.horizons.level	Liquidity Horizon@Liquidity Horizons@Risk	Cube level for liquidity horizons
Cube levels for post-processors	ima.scenario.level	Scenario@Scenarios@Risk	Cube level for Scenario
Cube levels for post-processors	ima.idiosyncratic.risk.level	Idiosyncratic@Idiosyncratic@Risk	Cube level for Idiosyncratic risk
Cube levels for post-processors	ima.drc.currency.leaf.level	Currency@Currencies@Risk	Cube level for Currency
Cube levels for post-processors	pl.currency.leaf.level	Currency@Currencies@FX	PL Cube level for Currency
Cube levels for post-processors	pl.desk.level	Desk@Desks@Booking	PL Summary Cube level for Desk
Cube levels for post-processors	pl.index.hierarchy.level	IndexHierarchy@IndexHierarchy@IndexHierarchy	PL Cube level for Index hierarchy
Cube levels for post-processors	pl.lookback.hierarchy.level	Lookback@Lookback@Lookback	PL Summary Cube level for Lookback hierarchy
Cube levels for post-processors	book.level	Book@Books@Booking	Cube level for books
Cube levels for post-processors	book.hierarchy	BookHierarchy@Organization	Cube hierarchy for the multi-level organisation hierarchy
Cube levels for post-processors	legal-entity.level	Legal Entity@Legal Entities@Organization	Cube level for legal entities
Cube levels for post-processors	legal-entity.hierarchy	LegalEntityHierarchy@Organization	Cube hierarchy for the multi-level legal entities hierarchy
Cube levels for post-processors	sbm.sensitivity-scale.category.level	Sensitivity Scale Category@Sensitivity Scale Category@Risk	Cube level to specify the category used to specify the SBM scale factor
Cube levels for post-processors	drc.sec-non-ctp.rating.type.level	DRC Sec non-CTP Rating Type@DRC Sec non-CTP Rating Type@Default Risk Charge	Cube level of DRC Sec non-CTP Rating Type
Cube levels for post-processors	sbm.buckets.level	SBM Bucket@SBM Buckets@Buckets	Cube level for SBM buckets.
Cube levels for post-processors	equity.market-data.market-cap.category.level	Equity Market Cap Category@Equity Market Cap Category@Market Data	Cube level for Equity Market Cap Category.
Cube levels for post-processors	equity.market-data.economy.category.level	Equity Economy Category@Equity Economy Category@Market Data	Cube level for Equity Economy Category.
Cube levels for post-processors	equity.market-data.sector.category.level	Equity Sector Category@Equity Sector Category@Market Data	Cube level for Equity Sector Category.
Cube levels for post-processors	netting-set.level	Netting Set@Netting Set@Booking	Cube level for Netting sets
Cube levels for post-processors	rrao.other-type.level	Other Residual Risk Type@Residual Risk Add On@Risk	Cube level for RRAO Other Residual Risk Type
Cube levels for post-processors	rrao.flag.level	RRAO@RRAO@Risk	Cube level for RRAO flag
Cube levels for post-processors	rrao.category.level	RRAO Category@RRAO Category@Risk	Cube level for RRAO Category
Cube levels for post-processors	drc.obligor.alt.level	DRC Obligor@DRC Obligor@Default Risk Charge	Alternative Cube level of DRC Obligor. Previous value of drc.obligor.level.
Cube levels for post-processors	drc.non-sec.seniority.level	DRC Seniority@DRC Seniority@Default Risk Charge	Cube level of DRC non-Sec Seniority
Cube levels for post-processors	drc.sec-non-ctp.seniority.level	DRC Sec non-CTP Seniority@DRC Sec non-CTP Seniority@Default Risk Charge	Cube level of DRC Sec non-CTP Seniority
Cube levels for post-processors	drc.tranche.alt.level	DRC Sec non-CTP Tranche@DRC Sec non-CTP Tranche@Default Risk Charge	Alternative Cube level of DRC Tranche. Previous value of drc.tranche.level.
Cube levels for post-processors	drc.sec-non-ctp.region.level	DRC Sec non-CTP Region@DRC Sec non-CTP Region@Default Risk Charge	Cube level of DRC Sec non-CTP Region
Cube levels for post-processors	drc.sec-non-ctp.asset-class.level	DRC Sec non-CTP Asset Class@DRC Sec non-CTP Asset Class@Default Risk Charge	Cube level of DRC Sec non-CTP Asset Class
Cube levels for post-processors	ima.drc.seniority.level	DRC Seniority@DRC Seniority@Default Risk Charge	Cube level of IMA DRC Seniority
Cube levels for post-processors	drc.zero-risk-weight.level	DRC Zero Risk Weight@DRC Zero Risk Weight@Default Risk Charge	Since 3.1.1 Cube level for the zero risk-weight flag

Measure format

Category	Key	Value	Description
Measure format	formatter.double.default	DOUBLE[#,###;-#,###]	Default measure Format, used by the majority of measures
Measure format	formatter.double.4dp	DOUBLE[#,##0.0000;-#,##0.0000]	Measure format with 4 decimal places of precision
Measure format	formatter.double.percent	DOUBLE[0.00%]	Measure format for displaying values as a percentage
Measure format	formatter.double.4dp.percent	DOUBLE[0.0000%]	Measure format for displaying values as a percentage with 4 decimal places of precision

Folder Structure

Category	Key	Value	Description
Folder Structure	folder.sbm.default	${risk-class}\${risk-measure}	Folder structure for organising SBM measures

Store and cube internals

Category	Key	Value	Description
Store internals	sparse.vectors.enable.for.stores	DRCIMABase:ScenarioRecoveryValues,DRCIMASummaryBase:PnL	A comma-separated list of store:column of type double[] that needs to be compressed as it contains sparse values.
Store internals	ima.drc.summary.density-threshold	0.2	The density threshold under which the vectors get parsed into sparse vector representations.
Store internals	store.partitioning.riskfactor	0	Maximum number of partitions used for the data stores depending on the main risk factor. 0 means partition number equals number of CPU.
Store internals	store.partitioning.asOfDate	0	Maximum number of partitions used for the data stores depending on the asOfDate. 0 means partition number equals number of CPU. Please note that day to day store partitioned on asOfDate has no maximum partition number. It is also used for cube partial provider partitioning.
Store internals	drc.block.size	10240000	It overrides the default core value of vector chunk size for DRC. It must be greater than the DRC vector size and a multiple of 1024.
Store internals	drc.batch.size	20	The number of DRC lines that are processed together during loading and commit, reducing the value will decrease the on-heap usage, but will increase the scheduling and internal messaging
Cube internals	sa.cube.provider.partitioning	0	The partitioning modulo of the partial provider for the SA cube
Cube internals	agg.cache.size.sa	-1	The size of the aggregate cache for the StandardisedApproachCube
Cube internals	agg.cache.size.ima	-1	The size of the aggregate cache for the InternalModelApproachCube
Cube internals	agg.cache.size.imasummary	-1	The size of the aggregate cache for the IMASummaryCube
Cube internals	agg.cache.size.drc	-1	The size of the aggregate cache for the IMADRCCube
Cube internals	agg.cache.size.drcsummary	-1	The size of the aggregate cache for the IMADRCSummaryCube
Cube internals	agg.cache.size.pl	-1	The size of the aggregate cache for the PLCube
Cube internals	agg.cache.size.plsummary	-1	The size of the aggregate cache for the PLSummaryCube
Cube internals	agg.cache.size.combined	20000000	The size of the aggregate cache for the FRTBCombinedCube

Default context values

Category	Key	Value	Description
Context value	ctx.queries.time.limit.combined	600	The query time limit in second for the combined query cube, defined by the “queriesTimeLimit” context value
Context value	ctx.queries.time.limit.data	300	The query time limit in second for the data cubes, defined by the “queriesTimeLimit” context value
Context value	ctx.reference.ccy	EUR	The default displayed reporting currency used by the context value “ReferenceCurrency” used for display
Context value	ctx.ca.lookback	60	The default value for the “CA-Lookback” context value that defines the window size for IMCC and SES average calculation.
Context value	ctx.es.model.variation.lookback	12W	The default value for the “ES Model Variation Lookback” context value that defines the window for the “ES (Model Variation) Lookback” metric
Context value	ctx.ima.drc.lookback	12W	The default value for the “IMADRC-Lookback” context value that defines the average window used in the computation of “DRC-IMA”
Context value	ctx.back.testing.lookback	250	The default value for the “BackTestingLookback” context value that gives the number of days for back testing
Context value	ctx.pla.lookback	250	The default value for the “PLALookback” context value containing the number of business days to look back when calculating the Mean, Variance, and Standard Deviation measures for PL Attribution Tests.
Context value	default.parameter.set	BCBS	The default parameter set used for computation, BCBS or CRR2 for instance.

Calculation parameters

Category	Key	Value	Description
Calculation Parameters	fx.translation.scale-factor	-0.9900990099009901	The scale factor to use when translating FX sensitivities (-1/1.01)
Calculation Parameters	ima.capital-surcharge.green-zones	G,N/A	List of IMA PLAT Green zones for capital surcharge calculations\nGreen and blank
Calculation Parameters	ima.capital-surcharge.amber-zones	A,R,Y,O	List of IMA PLAT Amber zones for capital surcharge calculations\nAmber and Red (BCBS)\nYellow and Orange (CRR2)
Calculation Parameters	imported.ignore.hierarchies		The hierarchies that will be ignored when importing capital charge values.
Calculation Parameters	sa.drc.zero-risk-weight-mode	hbr	Since 3.1.1 How to interpret the CRR2 specification for zero risk-weight exposures hbr zero-risk weight exposures are used for HBR only (otherwise ignored) ignore zero risk-weight exposures are filtered out (ignored) weighted use the weighted average of risk-weights

ETL Parameters

Category	Key	Value	Description
ETL Parameters	rrao.flag.file-column	ResidualRisk	File column in the trade attributes file that corresponds to the RRAO flag