SA Download sample file: sa-cva-risk-factors-correlations-delta-interest-rate.csv The file is used to set risk factors correlations for interest rate delta risk factors.Documentation Index
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| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the start date for this parameter. Subsequent entries with later dates will apply an end to this date range | 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 |
| IsLiquidOrDomestic | Y | N | String, ‘Y’ or ‘N’ | Indicates whether the correlations refer to currencies listed in [MAR50.56] | Y |
| IsInflation | Y | N | String, ‘Y’ or ‘N’ | Indicates whether the risk weights refer to inflation curves | Y |
| Tenor1 | Y | Y | String | Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null. | 1 year |
| Tenor2 | Y | Y | String | Two fields should contain pairs of tenors defined in [MAR50.56] when IsLiquidOrDomestic contains ‘Y’ and IsInflation is ‘N’: 1 year 2 years 5 years 10 years 30 years Otherwise it must be Null. | 30 years |
| RiskFactorsCorrelation | N | N | Double | The correlation in numeric format. | 0.9 |