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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)
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