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Vertices
Download sample file: vertices.csv
The file provides tenor grids - indexes and labels - for different risk classes
| Field |
Key |
Null |
FieldType |
Description |
Example |
| AsOfDate |
Y |
|
String with format ‘YYYY-MM-DD’ |
Value date |
2018-09-28 |
| ParameterSet |
Y |
|
String |
Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS |
BCBS |
| Vertex |
Y |
|
Double |
Tenor in years. Must be a tenor defined in regulatory calculation. |
0.25 |
| RiskClass |
N |
|
String |
Risk class. Expected values for the SIMM risk types: commodity; credit non-qualifying; credit qualifying; equity; foreign exchange; interest rate |
interest rate |
| Index |
Y |
|
String, integer |
Index of a vertex (tenor), used to sort vertices. Must be 0 for the first tenor. |
2 |
See also