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Miscellaneous Parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
| Parameter |
Parameter Name |
Default Value |
| $\rho_{kl}$ in [MAR21.45] |
sa.girr.delta.differentcurve.correlation |
0.999 |
| $\rho_{kl}$ floor in [MAR21.46] |
sa.girr.delta.different-vertex.correlation-floor |
0.4 |
| $\theta$ in [MAR21.46] |
sa.girr.delta.different-vertex.theta |
0.03 |
| $\rho_{kl}$ multiplier in [MAR21.47] |
sa.girr.delta.different-vertex-and-curve.correlation |
0.999 |
| $\rho_{kl}$ in [MAR21.48] |
sa.girr.delta.inflation-vs-yield.correlation |
0.4 |
| $\rho_{kl}$ in [MAR21.49](1) |
sa.girr.delta.basis-vs-yield.correlation |
0 |
| $\rho_{kl}$ in [MAR21.49](2) |
sa.girr.delta.basis-vs-inflation.correlation |
0 |
| $\rho_{kl}$ in [MAR21.49](3) |
sa.girr.delta.basis-vs-basis.correlation |
0 |
| $\gamma_{bc}$ in [MAR21.50] |
sa.girr.delta.different-ccy.correlation |
0.5 |
| $RW_k$ divider in [MAR21.44] |
sa.girr.delta.rw.major.currency.adjustment |
1.4142135623731 |
| $RW_k$ in [MAR21.43] (Basis curves) |
sa.girr.delta.basis.risk-weight |
0.016 |
| $RW_k$ in [MAR21.43] (Inflation curves) |
sa.girr.delta.inflation.risk-weight |
0.016 |
| Decimal places in $\rho_{kl}$ in [MAR21.46] |
sa.girr.delta.vertex.correlation.rounding-dp |
3 |
| $RW_\sigma$ in [MAR21.92] |
sa.vega.rw |
0.55 |
| $\alpha$ in [MAR21.93](1)(a) |
sa.vega.rho-option-maturity.alpha |
0.01 |
| $\alpha$ in [MAR21.93](2)(a) |
sa.vega.rho-underlying-maturity.alpha |
0.01 |