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frtb-data-load.properties

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

Core stores

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

Hierarchy stores

Key Value
book.parent-child.file-pattern **/BookParentChild.csv
legal-entity.parent-child.file-pattern **/LegalEntityParentChild.csv

Bucket stores

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
equity.bucket-description.file-pattern **/Equity_Bucket_Description*.csv

IMA stores

Key Value
ima.risk-factors.file-pattern **/IMARiskFactors.csv

 

Config stores

Key Value
frtb.parameters.file-pattern **/FRTBParameters.csv
parameter-set.file-pattern **/ParameterSet.csv

 

PL topics & stores

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

IMA trades stores

Key Value
ima.trades.file-pattern */IMA__Trades.csv
ima.summary.file-pattern **/IMA_Summary.csv

 

bucket stores

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

 

Trades file

Key Value
trade.attributes.sa.trades.file-pattern **/{Trade_Attributes,SA_Trades}.csv

 

Key Value
legal-entity.attributes.file-pattern **/LegalEntityAttributes*.csv
legal-entity.imports.file-pattern **/LegalEntityImports*.csv

DRC file

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

 

Sensitivities file

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

 

Overrides file

Key Value
underlying-desc.overrides.file-pattern **/Underlying_Desc_Overrides*.csv
drc.obligor.overrides.file-pattern **/Obligor_Overrides*.csv
drc.tranche.overrides.file-pattern **/Tranche_Overrides*.csv
rrao.overrides.file-pattern **/RRAO_Overrides*.csv
risk-factor-desc.overrides.file-pattern **/RiskFactor_Desc_Overrides*.csv (Since 3.1.1)

 

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