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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 |
csr-sec-ctp.buckets.level |
CSR Sec CTP Bucket@CSR Sec CTP Buckets@Buckets |
Risk Factor Name |
risk-factors.level |
Risk Factor@Risk Factors@Risk |
Sensitivity Tenor |
vertices.level |
Vertex@Vertices@Risk |
Option Maturity |
csr-sec-ctp.vega.option.maturity |
Vertex@Vertices@Risk |
Underlying Name |
csr.underlying.level |
Underlying@Underlying@Market Data |
Curve Type |
csr.basis.level |
Risk Factor Type@Risk Factor Types@Risk |
Credit Quality |
csr-sec-ctp.market-data.quality.level |
CSR Quality@CSR Quality@Market Data |
Sector |
csr-sec-ctp.market-data.sector.level |
CSR Sector@CSR Sector@Market Data |
PV Applied |
csr-sec-ctp.pv.applied.level |
PVApplied@PVApplied@Currencies |
|
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 |
|
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 |