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frtb-config.properties

The frtb-config.properties file configures the Solution core at startup, adapting it for the reference implementation. The file is located in the folder frtb-starter\src\main\resources.

Type names

Key Value Description
girr.delta.curve.yield Yield Name of GIRR Delta Yield Curve Type must match curve type loaded into datastore
girr.delta.curve.basis Basis Name of GIRR Delta Cross Currency Basis Curve Type must match curve type loaded into datastore
girr.delta.curve.inflation Inflation Name of GIRR Delta Inflation Curve Type must match curve type loaded into datastore
equity.type.spot Spot Name of Equity SPOT Type must match type loaded into datastore
equity.type.repo Repo Name of Equity SPOT Type must match type loaded into datastore
src.rating.type.stc STC Name of STC rating type, used to trigger logic for SEC-ERBA STC ratings

DRC Buckets names

Key Value Description
drc.bucket.corporates Corporates Name of DRC corporates bucket must match type loaded into datastore
drc.bucket.sovereigns Sovereigns Name of DRC sovereigns bucket must match type loaded into datastore
drc.bucket.lgm Local Governments/Municipalities Name of DRC local governments/municipalities bucket must match type loaded into datastore
drc.bucket.lgm.splitter / Split character in local governments or municipalities bucket name used to accept either of the two types for this bucket
drc.seniority.senior senior Name of DRC senior seniority must match type loaded into datastore

Cube levels for post-processors

Key Value Description
date.hierarchy Date@Dates Cube Hierarchy for dates
as-of-date.level AsOfDate@Date@Dates Cube level for As Of Dates
vertices.level Vertex@Vertices@Risk Cube level for Vertices
risk-class.level RiskClass@Risk Classes@Risk Cube level for Risk Classes (GIRR, FX, Equity, etc)
market-data.type.level Market Type@Market Types@Market Data Cube level for Market Data Type (e.g. GIRR Curve type)
girr.buckets.level GIRR Bucket@GIRR Buckets@Buckets Cube level for GIRR Buckets (CCY)
equity.buckets.level Equity Bucket@Equity Buckets@Buckets Cube level for Equity Buckets
csr-ns.buckets.level CSR non-Sec Bucket@CSR non-Sec Buckets@Buckets Cube level for CSR non-Sec Buckets
fx.buckets.level FX Bucket@FX Buckets@Buckets Cube level for FX Buckets
fx.buckets.original.level FX Original Bucket@FX Original Buckets@Buckets Cube level for FX Original Buckets
fx.curvature.divider.level Curvature FX Divider Eligibility@FX Divider Eligibility@Risk Cube level for FX Original Buckets
csr-sec-ctp.buckets.level CSR Sec CTP Bucket@CSR Sec CTP Buckets@Buckets Cube level for CSR Sec CTP Buckets
csr-sec-non-ctp.buckets.level CSR Sec non-CTP Bucket@CSR Sec non-CTP Buckets@Buckets Cube level for CSR Sec non-CTP Buckets
commodity.buckets.level Commodity Bucket@Commodity Buckets@Buckets Cube level for Commodity Buckets
girr.delta.double-sums.levels Vertex1@GIRR Delta Double Sums@Double Sums,Vertex2@GIRR Delta Double Sums@Double Sums,Curve@GIRR Delta Double Sums@Double Sums Cube levels for GIRR Delta Double Sums
equity.delta.double-sums.levels Issuer@Equity Delta Double Sums@Double Sums,Type@Equity Delta Double Sums@Double Sums Cube levels for Equity Delta Double Sums
csr-ns.delta.double-sums.levels Name@CSR non-Sec Delta Double Sums@Double Sums,Tenor@CSR non-Sec Delta Double Sums@Double Sums,Basis@CSR non-Sec Delta Double Sums@Double Sums Cube levels for CSR non-Sec Delta Double Sums
csr-sec-non-ctp.delta.double-sums.levels Tranche@CSR Sec non-CTP Delta Double Sums@Double Sums,Tenor@CSR Sec non-CTP Delta Double Sums@Double Sums,Basis@CSR Sec non-CTP Delta Double Sums@Double Sums Cube levels for CSR Sec non-CTP Delta Double Sums
csr-sec-ctp.delta.double-sums.levels Name@CSR Sec CTP Delta Double Sums@Double Sums,Tenor@CSR Sec CTP Delta Double Sums@Double Sums,Basis@CSR Sec CTP Delta Double Sums@Double Sums Cube levels for CSR Sec CTP Delta Double Sums
commodity.delta.double-sums.levels Cty@Commodity Delta Double Sums@Double Sums,Tenor@Commodity Delta Double Sums@Double Sums,Basis@Commodity Delta Double Sums@Double Sums Cube levels for Commodity Delta Double Sums
fx.delta.double-sums.levels Ccy@FX Delta Double Sums@Double Sums Cube levels for Fx Delta Double Sums
risk-factors.level Risk Factor@Risk Factors@Risk Cube level for Risk Factors
ccy.level Ccy@Currency@Currencies Cube level for Currency
trade.level TradeId@Trades@Booking Cube level for Trade (the finest granularity in the cube)
curvature.shocked-pv.ccy.level Scenario Currency@Scenario Currency@Currencies Cube level for Currency used for Curvature shocked PV
pv.ccy.level Trade PV Currency@Trade PV Currency@Currencies Cube level for Currency used for the PV
notional.ccy.level Trade Notional Currency@Trade Notional Currency@Currencies Cube level for Currency used for the Notional
market-data.underlying.level Underlying@Underlying@Market Data Cube level for Market Data Underlying
equity.type.level Market Type@Market Types@Market Data Cube level for Equity Type (i.e. SPOT vs REPO)
equity.issuer.level Underlying@Underlying@Market Data Cube level for Equity Issuer (e.g. IBM or Apple)
csr.basis.level Market Type@Market Types@Market Data Cube level for CSR Basis
csr.underlying.level Underlying@Underlying@Market Data Cube level for CSR Underlying
equity.market-data.market-cap.level Equity Market Cap@Equity Market Cap@Market Data Cube level for Equity Market Data Market Capitalization
equity.market-data.economy.level Equity Issuer Economy@Equity Issuer Economy@Market Data Cube level for Equity Market Data Issuer Economy
csr-ns.market-data.quality.level CSR Quality@CSR Quality@Market Data Cube level for CSR non-Sec Quality
csr-ns.market-data.sector.level CSR Sector@CSR Sector@Market Data Cube level for CSR non-Sec Market Data Sector
csr-sec-ctp.market-data.quality.level CSR Quality@CSR Quality@Market Data Cube level for CSR Sec CTP Quality
csr-sec-ctp.market-data.sector.level CSR Sector@CSR Sector@Market Data Cube level for CSR Sec CTP Market Data Sector
csr-sec-non-ctp.market-data.quality.level CSR Quality@CSR Quality@Market Data Cube level for CSR Sec non-CTP Quality
csr-sec-non-ctp.market-data.sector.level CSR Sector@CSR Sector@Market Data Cube level for CSR Sec non-CTP Market Data Sector
csr-sec-non-ctp.market-data.tranche.level CSR Tranche@CSR Tranche@Market Data Cube level for CSR Sec non-CTP Market Data Tranche
girr.vega.option.maturity Vertex@Vertices@Risk Cube level for GIRR Vega Option Maturity
girr.vega.underlying.maturity Maturity@Maturities@Risk Cube level for GIRR Vega Underlying Maturity
commodity.market-data.commodity.location.level Commodity Location@Commodity Location@Commodity Attributes Cube level for Commodity location
commodity.market-data.commodity.time.level Commodity Time@Commodity Time@Commodity Attributes Cube level for Commodity time
commodity.market-data.commodity.route.level Commodity Route@Commodity Route@Commodity Attributes Cube level for Commodity route
desk.level Desk@Desks@Booking Cube level for Desks
csr-sec-ctp.vega.option.maturity Vertex@Vertices@Risk Cube level for CSR Sec CTP Vega Option Maturity
csr-sec-non-ctp.vega.option.maturity Vertex@Vertices@Risk Cube level for CSR Sec Non-CTP Vega Option Maturity
csr-ns.vega.option.maturity Vertex@Vertices@Risk Cube level for CSR Non-Sec Vega Option Maturity
equity.vega.option.maturity Vertex@Vertices@Risk Cube level for Equity Vega Option Maturity
fx.vega.option.maturity Vertex@Vertices@Risk Cube level for FX Vega Option Maturity
commodity.vega.option.maturity Vertex@Vertices@Risk Cube level for Commodity Vega Option Maturity
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 Cube levels for Equity Vega Double Sums
csr-ns.vega.double-sums.levels Name@CSR non-Sec Vega Double Sums@Double Sums,Basis@CSR non-Sec Vega Double Sums@Double Sums,Maturity1@CSR non-Sec Vega Double Sums@Double Sums,Maturity2@CSR non-Sec Vega Double Sums@Double Sums Cube levels for CSR non-Sec Vega Double Sums
csr-sec-non-ctp.vega.double-sums.levels Tranche@CSR Sec non-CTP Vega Double Sums@Double Sums,Basis@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec non-CTP Vega Double Sums@Double Sums Cube levels for CSR Sec Non-CTP Vega Double Sums
csr-sec-ctp.vega.double-sums.levels Name@CSR Sec CTP Vega Double Sums@Double Sums,Basis@CSR Sec CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec CTP Vega Double Sums@Double Sums Cube levels for CSR Sec CTP Vega Double Sums
girr.vega.double-sums.levels OptionMaturity1@GIRR Vega Double Sums@Double Sums,OptionMaturity2@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity1@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity2@GIRR Vega Double Sums@Double Sums Cube levels for GIRR Vega Double Sums
commodity.vega.double-sums.levels Cty@Commodity Vega Double Sums@Double Sums,Maturity1@Commodity Vega Double Sums@Double Sums,Maturity2@Commodity Vega Double Sums@Double Sums Cube levels for Commodity Vega 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 Cube levels for FX Vega Double Sums
csr-sec-ctp.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for CSR Sec CTP curvature to indicate if PV has already been applied
csr-sec-non-ctp.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for CSR Sec Non-CTP curvature to indicate if PV has already been applied
csr-ns.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for CSRNS curvature to indicate if PV has already been applied
commodity.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for Commodity curvature to indicate if PV has already been applied
fx.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for FX curvature to indicate if PV has already been applied
equity.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for Equity curvature to indicate if PV has already been applied
girr.pv.applied.level PVApplied@PVApplied@Currencies PV applied flag for GIRR curvature to indicate if PV has already been applied
commodity.market-data.underlying.level Underlying@Underlying@Market Data Cube level for Commodity Market Data Underlying
risk-measure.level Risk Measure@Risk Measures@Risk Cube level for Risk Measure (Delta, Vega, Curvature)
fx.counter.ccy.level FX Counter Currency@FX Counter Currency@Currencies Cube level for FX Counter Currency level, used for weight adjustment
delta.optionality.level Delta Optionality@Optionality@Risk Cube level for Delta Optionality.
display-currency.sort-order EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD The display currencies sort order in the displayCurrency level
fx-rates.leaf-levels List of additional leaf levels
reference-levels.list ,FRTB Model@FRTB Model List of Levels for the Reference Level Context Value
pro-rata.hierarchies.list ,Books,Desks,Legal Entities,BookHierarchy,LegalEntityHierarchy List of Hierarchies for the Pro-Rata Hierarchy Context Value
pro-rata.leaf-levels.list ,TradeId@Trades,Book@Books,Desk@Desks,Legal Entity@Legal Entities List of Levels for the Pro-Rata Leaf Level Context Value
rrao.exotic-underlying.level Exotic Underlying@Residual Risk Add On@Risk Cube level for RRAO Exotic Underlying flag
drc.gross-jtd.currency.level DRC Gross JTD Currency@DRC Gross JTD Currency@Currencies Cube level of DRC Gross JTD currency
drc.lgd.instrument-type.level DRC Instrument LGD Type@DRC Instrument LGD Type@Default Risk Charge Cube level of DRC instrument LGD type
drc.direction.level DRC Direction@DRC Direction@Default Risk Charge Cube level of DRC direction
drc.maturity.level DRC Maturity@DRC Maturity@Default Risk Charge Cube level of DRC maturity
drc.obligor.level Underlying@Underlying@Market Data Cube level of DRC Obligor
drc.seniority.level DRC Seniority@DRC Seniority@Default Risk Charge Cube level of DRC Seniority
drc.tranche.level Underlying@Underlying@Market Data Cube level of DRC Tranche
drc.non-sec.rating.level DRC non-Sec Rating@DRC non-Sec Rating@Default Risk Charge Cube level of DRC Rating
drc.sec-non-ctp.rating.level DRC Sec non-CTP Rating@DRC Sec non-CTP Rating@Default Risk Charge Cube level of DRC Sec non-CTP Rating
drc.sec-non-ctp.attachment.level DRC Sec non-CTP Attachment@DRC Sec non-CTP Attachment@Default Risk Charge Cube level of DRC Sec non-CTP Attachment
drc.sec-non-ctp.detachment.level DRC Sec non-CTP Detachment@DRC Sec non-CTP Detachment@Default Risk Charge Cube level of DRC Sec non-CTP Detachment
drc.non-sec.bucket.level DRC non-Sec Bucket@DRC non-Sec Bucket@Default Risk Charge Cube level of DRC non-Sec Bucket
drc.sec-non-ctp.bucket.level DRC Sec non-CTP Bucket@DRC Sec non-CTP Bucket@Default Risk Charge Cube level of DRC Sec non-CTP Bucket
frtb.model.level FRTB Model@FRTB Model@Booking Cube level for FRTB Model
ima.currency.leaf.level Currency@Currencies@Risk Cube levels for Currency
ima.as-of-date.level AsOfDate@Date@Dates Cube level for As Of Date
non-modellable.riskfactor.level NMRF@Model@Risk Cube level for NMRF
ima.risk-factors.level Risk Factor@Risk Factors@Risk Cube level for IMA Risk Factors
ima.risk-class.level RiskClass@Risk Classes@Risk Cube level for IMA Risk Classes
ima.data.sets.level Data Set@Data Sets@Risk Cube level for IMA Data sets
ima.liquidity.horizons.level Liquidity Horizon@Liquidity Horizons@Risk Cube level for liquidity horizons
ima.scenario.level Scenario@Scenarios@Risk Cube level for Scenario
ima.idiosyncratic.risk.level Idiosyncratic@Idiosyncratic@Risk Cube level for Idiosyncratic risk
ima.drc.currency.leaf.level Currency@Currencies@Risk Cube level for Currency
pl.currency.leaf.level Currency@Currencies@FX PL Cube level for Currency
pl.desk.level Desk@Desks@Booking PL Summary Cube level for Desk
pl.lookback.hierarchy.level Lookback@Lookback@Lookback PL Summary Cube level for Lookback hierarchy
legal-entity.level Legal Entity@Legal Entities@Organization Cube level for legal entities
sbm.sensitivity-scale.category.level Sensitivity Scale Category@Sensitivity Scale Category@Risk Cube level to specify the category used to specify the SBM scale factor
drc.sec-non-ctp.rating.type.level DRC Sec non-CTP Rating Type@DRC Sec non-CTP Rating Type@Default Risk Charge Cube level of DRC Sec non-CTP Rating Type
sbm.buckets.level SBM Bucket@SBM Buckets@Buckets Cube level for SBM buckets.
netting-set.level Netting Set@Netting Set@Booking Cube level for Netting sets
rrao.other-type.level Other Residual Risk Type@Residual Risk Add On@Risk Cube level for RRAO Other Residual Risk Type
rrao.flag.level RRAO@RRAO@Risk Cube level for RRAO flag
drc.gross-jtd.overridden.level DRC Gross JTD Overridden@DRC Gross JTD Overridden@Default Risk Charge Cube level for DRC Gross JTD Overridden
drc.obligor.alt.level DRC Obligor@DRC Obligor@Default Risk Charge Alternative Cube level of DRC Obligor.
Previous value of drc.obligor.level.
drc.non-sec.seniority.level DRC Seniority@DRC Seniority@Default Risk Charge Cube level of DRC non-Sec Seniority
drc.sec-non-ctp.seniority.level DRC Sec non-CTP Seniority@DRC Sec non-CTP Seniority@Default Risk Charge Cube level of DRC Sec non-CTP Seniority
drc.tranche.alt.level DRC Sec non-CTP Tranche@DRC Sec non-CTP Tranche@Default Risk Charge Alternative Cube level of DRC Tranche.
Previous value of drc.tranche.level.
drc.sec-non-ctp.region.level DRC Sec non-CTP Region@DRC Sec non-CTP Region@Default Risk Charge Cube level of DRC Sec non-CTP Region
drc.sec-non-ctp.asset-class.level DRC Sec non-CTP Asset Class@DRC Sec non-CTP Asset Class@Default Risk Charge Cube level of DRC Sec non-CTP Asset Class
drc.zero-risk-weight.level DRC Zero Risk Weight@DRC Zero Risk Weight@Default Risk Charge Cube level for the zero risk-weight flag
curvature.pv-ladder.level Present Value Ladder@Present Value Ladder@Risk Present Value Ladder
display-currency.level displayCurrency@displayCurrency@displayCurrency Cube level for the display currency.
drc.sec-ctp.security DRC Sec CTP Security@DRC Sec CTP Security@Default Risk Charge Cube level of DRC Sec CTP Security
drc.sec-ctp.seniority DRC Sec CTP Seniority@DRC Sec CTP Seniority@Default Risk Charge Cube level of DRC Sec CTP Seniority
drc.sec-ctp.rating DRC Sec CTP Rating@DRC Sec CTP Rating@Default Risk Charge Cube level of DRC Sec CTP rating
drc.sec-ctp.attachment DRC Sec CTP Attachment@DRC Sec CTP Attachment@Default Risk Charge Cube level of DRC Sec CTP Attachment for tranche
drc.sec-ctp.detachment DRC Sec CTP Detachment@DRC Sec CTP Detachment@Default Risk Charge Cube level of DRC Sec CTP Detachment for tranche
drc.sec-ctp.rating.type DRC Sec CTP Rating Type@DRC Sec CTP Rating Type@Default Risk Charge Cube level of DRC Sec CTP rating type for tranche
drc.sec-ctp.bucket DRC Sec CTP Bucket@DRC Sec CTP Bucket@Default Risk Charge Cube level of DRC Sec CTP bucket
drc.sec-ctp.instrument.type DRC Sec CTP Instrument Type@DRC Sec CTP Instrument Type@Default Risk Charge Cube level of DRC Sec CTP Instrument Type
stress-calibration.sliding-window.size 250 Stress Calibration sliding window size
stress-calibration.scenario.level Scenario@Scenarios@Risk Stress Calibration Cube level for Scenario
stress-calibration.data.sets.level Data Set@Data Sets@Risk Stress Calibration Cube level for Data sets
stress-calibration.sliding-window.level Sliding Window@Sliding Window@Risk Stress Calibration Cube level for Sliding windows
stress-calibration.horizons.level Liquidity Horizon@Liquidity Horizons@Risk Stress Calibration Cube level for liquidity horizons
stress-calibration.risk-class.level RiskClass@Risk Classes@Risk Stress Calibration Cube level for Risk Classes
stress-calibration.as-of-date.level AsOfDate@Date@Dates Stress Calibration Cube level for As Of Date
stress-calibration.currency.leaf.level Currency@Currencies@Risk Stress Calibration Cube level for Currency
stress-calibration.trades.file-pattern **/StressCalibration__Trades.csv file path matcher for stress calibration pl trades
stress-calibration.scenarios.file-pattern */StressCalibration_Scenarios.csv file path matcher for stress calibration scenarios
ima.date.level.omega OmegaDate@OmegaDate@Dates The name of the level providing the reference date used to compute the Weekly Omega measure
ima.ses.pl-vector-scenarios.level RiskClass@Risk Classes@Risk The level to use for looking up NMRF scenarios
drc.fund-treatment.level DRC Fund Treatment@DRC Fund Treatment@Default Risk Charge The name of the level for DRC Equity Fund Treatment flag
csr-sec-non-ctp.market-data.pool.level CSR Sec non-CTP Pool@CSR Sec non-CTP Pool@Market Data Cube level for CSR Sec Non-CTP Pool
csr-sec-non-ctp.market-data.attachment.level CSR Sec non-CTP Attachment@CSR Sec non-CTP Attachment@Market Data Cube level for CSR Sec Non-CTP Attachment
csr-sec-non-ctp.market-data.detachment.level CSR Sec non-CTP Detachment@CSR Sec non-CTP Detachment@Market Data Cube level for CSR Sec Non-CTP Detachment

Measure format

Key Value Description
formatter.double.default DOUBLE[#,###;-#,###] Default measure Format, used by the majority of measures
formatter.double.4dp DOUBLE[#,##0.0000;-#,##0.0000] Measure format with 4 decimal places of precision
formatter.double.percent DOUBLE[0.00%] Measure format for displaying values as a percentage
formatter.double.4dp.percent DOUBLE[0.0000%] Measure format for displaying values as a percentage with 4 decimal places of precision

Folder Structure

Key Value Description
folder.sbm.default ${risk-class}\${risk-measure} Folder structure for organising SBM measures

Store internals

Key Value Description
sparse.vectors.enable.for.stores DRCIMABase:ScenarioRecoveryValues,DRCIMASummaryBase:PnL A comma-separated list of store:column of type double[] that needs to be compressed as it contains sparse values.
ima.drc.summary.density-threshold 0.2 The density threshold under which the vectors get parsed into sparse vector representations.
store.partitioning.riskfactor 0 Maximum number of partitions used for the data stores depending on the main risk factor. 0 means partition number equals number of CPU.
store.partitioning.asOfDate 0 Maximum number of partitions used for the data stores depending on the asOfDate. 0 means partition number equals number of CPU. Please note that day to day store partitioned on asOfDate has no maximum partition number. It is also used for cube partial provider partitioning.
drc.block.size 10240000 It overrides the default core value of vector chunk size for DRC. It must be greater than the DRC vector size and a multiple of 1024.
drc.batch.size 2 The number of DRC lines that are processed together during loading and commit, reducing the value will decrease the on-heap usage, but will increase the scheduling and internal messaging

Cube internals

Key Value Description
sa.cube.provider.partitioning 0 The partitioning modulo of the partial provider for the SA cube
agg.cache.size.sa -1 The size of the aggregate cache for the StandardisedApproachCube Data Node
agg.cache.size.sa-query 1000000 The size of the aggregate cache for the StandardisedApproachCube Query Node
agg.cache.size.ima -1 The size of the aggregate cache for the InternalModelApproachCube
agg.cache.size.drc -1 The size of the aggregate cache for the IMADRCCube
agg.cache.size.pl -1 The size of the aggregate cache for the PLCube
agg.cache.size.combined 20000000 The size of the aggregate cache for the FRTBCombinedCube
agg.cache.size.stresscalibration -1 The size of the aggregate cache for the StressCalibrationCube

Default context values

Key Value Description
ctx.queries.time.limit.combined 600 The query time limit in second for the combined query cube, defined by the “queriesTimeLimit” context value
ctx.queries.time.limit.data 300 The query time limit in second for the data cubes, defined by the “queriesTimeLimit” context value
ctx.queries-result-limit.transient-size 10000000 The query result limit for intermediate values, defined by the “queriesResultLimit.transientSize” context value
ctx.queries-result-limit.intermediate-size 1000000 The query result limit for intermediate values, defined by the “queriesResultLimit.intermediateSize” context value
display-currency.default EUR The default displayed currency used in the displayCurrency hierarchy
ctx.ca.lookback 60 The default value for the “CA-Lookback” context value that defines the window size for IMCC and SES average calculation.
ctx.es.model.variation.lookback 12W The default value for the “ES Model Variation Lookback” context value that defines the window for the “ES (Model Variation) Lookback” metric
ctx.ima.drc.lookback 12W The default value for the “IMADRC-Lookback” context value that defines the average window used in the computation of “DRC-IMA”
ctx.back.testing.lookback 250 The default value for the “BackTestingLookback” context value that gives the number of days for back testing
ctx.pla.lookback 250 The default value for the “PLALookback” context value containing the number of business days to look back when calculating the Mean, Variance, and Standard Deviation measures for PL Attribution Tests.
default.parameter.set BCBS The default parameter set used for computation, BCBS or CRR2 for instance.

Calculation parameters

Key Value Description
fx.translation.scale-factor -0.9900990099009901 The scale factor to use when translating FX sensitivities (-1/1.01)
ima.capital-surcharge.green-zones G,N/A List of IMA PLAT Green zones for capital surcharge calculations\nGreen and blank
ima.capital-surcharge.amber-zones A,R,Y,O List of IMA PLAT Amber zones for capital surcharge calculations\nAmber and Red (BCBS)\nYellow and Orange (CRR2)
imported.ignore.hierarchies The hierarchies that will be ignored when importing capital charge values.
ima.date.specific.omega Today=DAY0,Friday=WDA5 The specific dates used to fill the OmegaDate hierarchy, the first one is the default.

The format is <three characters for date plugin name> + <an integer as a parameter>.
Where the default registered date plugins are:
  • DAY: the business day
  • EOM: end of month
  • EOQ: end of quarter
  • EOY: end of year
For example:
Tomorrow = DAY+1
Previous day = DAY-1
End of month = EOM-1
sa.drc.zero-risk-weight-mode hbr How to interpret the CRR2 specification for zero risk-weight exposures
  • hbr zero-risk weight exposures are used for HBR only (otherwise ignored)
  • ignore zero risk-weight exposures are filtered out (ignored)
  • weighted use the weighted average of risk-weights
sa.drc.strict-long-short false true to apply MAX/MIN to Gross JTD according to long/short direction.
false to assume direction from sign of Gross JTD.
aggregated-double-precision 0.000001 The precision to use when testing equality of up and down curvature risk position scenarios or when comparing DRC non-Sec Scaled Gross JTD with zero.

In general:

  • If two aggregated values are within this precision, they are treated as the same
  • If the absolute value of an aggregated value is less than this precision, it is treated as zero

ETL Parameters

Key Value Description
rrao.flag.file-column ResidualRisk File column in the trade attributes file that corresponds to the RRAO flag
sbm.risk-factor.always-append-tenor false Set to true to always append the tenor to the risk factor name based on the risk-class and risk measure.

When false the tenor will only be appended for those rows that contain vectors of sensitivities.

Display Currency Parameters

Key Value Description
display-currency.default EUR The default display currency
display-currency.sort-order EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD The display currencies sort order in the displayCurrency level

FRTB Feature Flags

Key Value Description
measure.capital-allocation.hide false Hides Capital-Allocation measures.
measure.incremental.hide false Hides Incremental measures.
what-if.trade-scaling.disable false Disables trade-scaling REST functionality.
what-if.file-upload.disable false Disables file-upload REST functionality.
what-if.book-hierarchy.disable false Disables book-hierarchy REST functionality.
what-if.desk-switch.disable false Disables desk-switch REST functionality.
what-if.parameter-set.disable false Disables parameter-set widget REST functionality.