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