Navigation :
GIRRCorrelationOverrides
Store Field |
Key |
CanBeNull |
Type |
Cube Field |
Description |
Ccy |
Y |
N |
String |
|
The first GIRR bucket in the pair |
CounterCcy |
Y |
N |
String |
|
The second GIRR bucket in the pair |
Correlation |
N |
Y |
Double |
|
The correlation to use between the two buckets ($\gamma_{bc}$) |
AsOfDate |
Y |
N |
LOCALDATE[yyyy-mm-dd] |
|
The start date that the parameter takes effect. |
ParameterSet |
Y |
N |
String |
|
The parameter set to which the parameter belongs (default = BCBS). |