Market Risk Accelerator Reference Guide v2.0.0Ladder Definition
Download sample file: LadderDefinition.csv
File pattern match
The pattern match for the Ladder Definition file is **LadderDefinition*.csv
For information on the glob patterns used and how to customize them, see note on File name patterns.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | 2018-09-28 |
| RiskClass | Y | N | String | The risk class that the ladder scale is defined for. | Equity |
| ShiftType | N | N | String | The type of the scale (‘A’ for absolute, ‘R’ for relative). | A |
| Scale | N | N | List of doubles (delimited by semicolons) | The ladder scale for the risk class and as-of-date. The ladder must include the zero-shift as 0.0. |
-0.5;-0.25;-0.1;0.0;0.1;0.25;0.5 (Relative, percentages) or -47.6;-20.0;0.0;20.0;47.6 (Absolute shift values) |