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frtb-config.properties
| Data Model Field |
Property |
Reference |
| As-Of Date |
as-of-date.level |
AsOfDate@Date@Dates |
| Trade ID |
trade.level |
TradeId@Trades@Booking |
| Risk Class |
risk-class.level |
RiskClass@Risk Classes@Risk |
| Risk Measure |
risk-measure.level |
Risk Measure@Risk Measures@Risk |
| Bucket |
equity.buckets.level |
Equity Bucket@Equity Buckets@Buckets |
| Risk Factor Name |
risk-factors.level |
Risk Factor@Risk Factors@Risk |
| Option Maturity |
equity.vega.option.maturity |
Vertex@Vertices@Risk |
| Equity Name |
equity.issuer.level |
Underlying@Underlying@Market Data |
| Type |
equity.type.level |
Risk Factor Type@Risk Factor Types@Risk |
| Economy |
equity.market-data.economy.level |
Equity Issuer Economy@Equity Issuer Economy@Risk |
| Market Cap |
equity.market-data.market-cap.level |
Equity Market Cap@Equity Market Cap@Risk |
| Sector |
equity.market-data.sector.level |
Equity Sector@Equity Sector@Risk |
| PV Applied |
equity.pv.applied.level |
PVApplied@PVApplied@Currencies |
|
equity.delta.double-sums.levels |
Issuer@Equity Delta Double Sums@Double Sums, Type@Equity Delta Double Sums@Double Sums |
|
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 |