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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 |
fx.buckets.level |
FX Bucket@FX Buckets@Buckets |
|
fx.buckets.original.level |
FX Original Bucket@FX Original Buckets@Buckets |
| Risk Factor Name |
risk-factors.level |
Risk Factor@Risk Factors@Risk |
| Option Maturity |
fx.vega.option.maturity |
Vertex@Vertices@Risk |
| Risk Factor Curency |
risk-factors.level |
Underlying@Underlying@Market Data |
| Counter Currency |
fx.counter.ccy.level |
FX Counter Currency@FX Counter Currency@Risk |
|
fx.curvature.divider.level |
FX Curvature Divider Eligibility@FX Curvature Divider Eligibility@Risk |
|
fx.delta.divider.level |
FX Delta Divider Eligibility@FX Delta Divider Eligibility@Risk |
|
fx.delta.other.ccy.level |
FX Delta Other Currency@FX Delta Other Currency@Risk |
|
fx.delta.complex.trade.level |
FX Delta Complex Trade@FX Delta Complex Trade@Risk |
| PV Applied |
fx.pv.applied.level |
PVApplied@PVApplied@Currencies |
|
fx.delta.double-sums.levels |
Ccy@FX Delta Double Sums@Double Sums |
|
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 |