The StressCalibrationScenarioFxRates store contains the Scenario FX Rates for the Stress Calibration cube. It is an isolated store and not part of any cube facts.
The store is indexed by RiskFactorSet, RiskClass, LiquidityHorizon, BaseCcy, CounterCcy, and AsOfDate.
Vectors of scenario FX Rates are looked up via the IScenarioFXRates API by all these fields.
Store Field
Key
CanBeNull
Type
Description
RiskFactorSet
Y
String
The risk-factor set to which the entry belongs. The following different values are possible:
“Full”: data for the full set of risk-factors
“Reduced”: data for the reduced set of risk-factors
RiskClass
Y
String
The risk class, which will be one of the following:
GIRR
CSR
Equity
Commodity
FX
allin
LiquidityHorizon
Y
String
The Liquidity Horizon in days: 10, 20, 40, 60 or 120.
BaseCcy
Y
String
The left side of the currency pair.
CounterCcy
Y
String
The right side of the currency pair.
FxRates
Double Vector
The vector of FX rates between the two currencies. The vector is indexed by the same scenarios as the corresponding PV vector.