CSRNS_Bucket_Correlations

The CSRNS_Bucket_Correlations.csv file provides the gamma correlation between two CSR non-Sec buckets. It is loaded into the CSRBucketCorrelations store.

File format

Field name Description
Bucket X The first CSR non-Sec bucket (e.g. 1-18)
Bucket Y The second CSR non-Sec bucket (e.g. 1-18)
Correlation The gamma correlation between the two buckets
Date The start date that the parameter takes effect
ParameterSet The parameter set to which the parameter belongs (default = BCBS)