Download sample file: vertices.tsv

The file provides tenor grids - indexes and labels - for different risk classes

Field Key Null FieldType Description Example
AsOfDate Y N String with format ‘YYYY-MM-DD’ Value date 2018-09-28
ParameterSet Y 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 N Double Tenor in years. Must be a tenor defined in regulatory calculation. 0.25
RiskClass N 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 N String, integer Index of a vertex (tenor), used to sort vertices. Must be 0 for the first tenor. 2

See also