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Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| $\rho_{kl}^{(tranche)}$ in [MAR21.68](1) |
sa.csr-sec-non-ctp.delta.rho-tranche.correlation |
0.4 |
| $\rho_{kl}^{(tenor)}$ in [MAR21.68](2) |
sa.csr-sec-non-ctp.delta.rho-tenor.correlation |
0.8 |
| $\rho_{kl}^{(basis)}$ in [MAR21.68](3) |
sa.csr-sec-non-ctp.delta.rho-basis.correlation |
0.999 |
| $\gamma_{bc}$ in [MAR21.70] |
sa.csr-sec-non-ctp.delta.different-buckets.correlation |
0 |
| $\gamma_{b\ other}$ in [MAR21.71] (See Interpretation Note) |
sa.csr-sec-non-ctp.delta.other-bucket.correlation |
0 |
| Add $K_{other}$ after taking square root in [MAR21.4](5) (See Interpretation Note) |
sa.csr-sec-non-ctp.delta.other-bucket.added |
true |
| Add $K_{other}$ after taking square root in [MAR21.5](4) (See Interpretation Note) |
sa.csr-sec-non-ctp.curvature.other-bucket.added |
true |
| $RW_\sigma$ in [MAR21.92] |
sa.vega.rw |
0.55 |
| $\alpha$ in [MAR21.93](1)(a) |
sa.vega.rho-option-maturity.alpha |
0.01 |
| Threshold for notional overlap for $\rho_{kl}^{(tranche)}$ in [MAR21.68](1) |
sa.csr-sec-non-ctp.delta.rho-tranche.overlap-threshold |
0.8 |