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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 |
girr.buckets.level |
GIRR Bucket@GIRR Buckets@Buckets |
| Risk Factor Name |
risk-factors.level |
Risk Factor@Risk Factors@Risk |
| Sensitivity Tenor |
vertices.level |
Vertex@Vertices@Risk |
| Option Maturity |
girr.vega.option.maturity |
Vertex@Vertices@Risk |
| Underlying Maturity |
girr.vega.underlying.maturity |
Maturity@Maturities@Risk |
| Curve Name |
market-data.underlying.level |
Underlying@Underlying@Market Data |
| Curve Type |
girr.curve.type.level |
GIRR Curve Type@GIRR Curve Types@Market Data |
| Curve Currency |
girr.ccy.level |
GIRR Curency@GIRR Currency@Market Data |
| PV Applied |
girr.pv.applied.level |
PVApplied@PVApplied@Currencies |
|
girr.delta.double-sums.levels |
Vertex1@GIRR Delta Double Sums@Double Sums, Vertex2@GIRR Delta Double Sums@Double Sums, Curve@GIRR Delta Double Sums@Double Sums |
|
girr.vega.double-sums.levels |
OptionMaturity1@GIRR Vega Double Sums@Double Sums, OptionMaturity2@GIRR Vega Double Sums@Double Sums, UnderlyingMaturity1@GIRR Vega Double Sums@Double Sums, UnderlyingMaturity2@GIRR Vega Double Sums@Double Sums |