Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-health-check.html
- Data Health Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../ test what-if.html
What-If Analysis
test ../ test configuration.html
Configuration files
test ../ test cube.html
Data Cubes
test ../ test datastore.html
Data Stores
test ../ test input-files.html
Input File Formats
test ../ test input-files/common.html
-
Common and Booking Files
test ../ test input-files/configuration.html
-
Core Configuration Files
test ../ test input-files/crif.html
-
CRIF Files
test ../ test input-files/sa_input_files.html
-
SA Input File Formats
test ../ test input-files/sa_input_files/buckets.html
--
Bucket Files
test ../ test input-files/commodity-buckets.html
--- Commodity Buckets
test ../ test input-files/csr-non-sec-bucket-descriptions.html
--- CSR non-Sec Bucket Descriptions
test ../ test input-files/csr-non-sec-buckets.html
--- CSR non-Sec Buckets
test ../ test input-files/csr-sec-ctp-bucket-descriptions.html
--- CSR Sec CTP Bucket Descriptions
test ../ test input-files/csr-sec-ctp-buckets.html
--- CSR Sec CTP Buckets
test ../ test input-files/csr-sec-non-ctp-bucket-descriptions.html
--- CSR Sec non-CTP Bucket Descriptions
test ../ test input-files/csr-sec-non-ctp-buckets.html
--- CSR Sec non-CTP Buckets
test ../ test input-files/equity-bucket-descriptions.html
--- Equity Bucket Descriptions
test ../ test input-files/equity-buckets.html
--- Equity Buckets
test ../ test input-files/sa_input_files/drc_trade_level.html
--
DRC Trade Level Files
test ../ test input-files/sa_input_files/overrides.html
--
Overrides
test ../ test input-files/sa_input_files/sbm_sensitivity-specific.html
--
SBM Sensitivity-specific Files
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
CSR Sec CTP Buckets
Download sample file: CSR_Bucket_SECCTP.csv
This file provides a mapping from Credit Quality and Sector to CSR Sec CTP bucket.
When the SBM sensitivity files (Curvature , Delta , or Vega ) omit the Bucket field, it is filled in from this CSR Sec CTP Buckets file. To take advantage of this, the buckets file must be loaded before (or at the same time as) the Curvature, Delta, or Vega file.
This CSR Sec CTP Buckets file type is identified using the pattern: **/CSR_Bucket_SECCTP*.csv (as specified by csr.bucket.sec-ctp.file-pattern).
This file is loaded using the CSR_BUCKET_SECCTP topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
Bucket
N
N
String
Bucket number (1 – 16)
CreditQuality
Y
N
String
Must match “CSRQuality” in sensitivities file
Sector
Y
N
String
Must match “CSRSector” in sensitivities file
AsOfDate
Y
N
Date
‘YYYY-MM-DD’
Timestamp (at close of business) for the data.