Commodity_IntraBucketCorrelations - Atoti Hub

File format

Field name	Description
Bucket	The Commodity Bucket (e.g. 1-11, and 3a and 3b where a parameter set defines them)
Description	A description of the bucket
Correlation	The rho(cty) correlations
Date	The start date that the parameter takes effect
ParameterSet	The parameter set to which the parameter belongs (default = BCBS)

File values

Bucket	Description	Correlation	Date	ParameterSet
1	Energy-Solid combustibles	0.55	2016-01-01
2	Energy-Liquid combustibles	0.95	2016-01-01
3	Energy-Electricity and carbon trading	0.4	2016-01-01
4	Freight	0.8	2016-01-01
5	Metals - non-precious	0.6	2016-01-01
6	Gaseous combustibles	0.65	2016-01-01
7	Precious metals	0.55	2016-01-01
8	Grains & oilseed	0.45	2016-01-01
9	Livestock & dairy	0.15	2016-01-01
10	Softs and other agriculturals	0.4	2016-01-01
11	Other commodity	0.15	2016-01-01

The rows above are the BCBS list. Buckets are declared per parameter set as a whole set, so a parameter set that defines this file restates every bucket it needs. See for example CRR3 support and EU-DA support, which add commodity buckets 3a and 3b.