Schedule Margin Rates

Download sample file: schedule-margin-rates.tsv

The file must contain the Margin Rates for the schedule calculation.

Field Key Null FieldType Description Example
AsOfDate N String with format ‘YYYY-MM-DD’ Risk value date 2019-12-01
ParameterSet Y String Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will be set to default SIMM 2.2
MaturityBucket N String Key of the bucket. Must match Regulatory Bucket (ProductClass and MaturityBucket if relevant) Credit5y+
BucketMargin N Double Value of the margin rate that will be applied to notional 0.1