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Ladder Definition
Download sample file: LadderDefinition.csv
For more information, see Sensitivity ladders
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) |