frtb-config.properties

The frtb-config.properties file configures the Solution core at startup, adapting it for the reference implementation. The file is located in the folder frtb-application\src\main\resources. This file is now loaded into the Spring Boot environment (see Startup properties).

Type names

Key	Value	Description
girr.delta.curve.yield	Yield	Name of GIRR Delta Yield Curve Type must match curve type loaded into datastore
girr.delta.curve.basis	Basis	Name of GIRR Delta Cross Currency Basis Curve Type must match curve type loaded into datastore
girr.delta.curve.inflation	Inflation	Name of GIRR Delta Inflation Curve Type must match curve type loaded into datastore
equity.type.spot	Spot	Name of Equity SPOT Type must match type loaded into datastore
equity.type.repo	Repo	Name of Equity SPOT Type must match type loaded into datastore
src.rating.type.stc	STC	Name of STC rating type, used to trigger logic for SEC-ERBA STC ratings

DRC buckets names

Key	Value	Description
drc.bucket.cleaning	true	Enables column calculator to replace input with canonical names for DRC Non-Sec Buckets
drc.bucket.corporates	Corporates	Canonical name of DRC Non-Sec corporates bucket must match type loaded into datastore
drc.bucket.sovereigns	Sovereigns	Canonical name of DRC Non-Sec sovereigns bucket must match type loaded into datastore
drc.bucket.lgm	Local Governments/Municipalities	Canonical name of DRC Non-Sec local governments/municipalities bucket must match type loaded into datastore
drc.bucket.lgm.splitter	/	Split character in DRC Non-Sec local governments/municipalities bucket name used to accept either of the two types for this bucket
drc.seniority.senior	senior	Name of DRC senior seniority must match type loaded into datastore

Cube levels for post-processors

Key	Value	Description
date.hierarchy	Date@Dates	Cube Hierarchy for dates
as-of-date.level	AsOfDate@Date@Dates	Cube level for As Of Dates
vertices.level	Vertex@Vertices@Risk	Cube level for Vertices
risk-class.level	RiskClass@Risk Classes@Risk	Cube level for Risk Classes (GIRR, FX, Equity, etc)
market-data.type.level	Market Type@Market Types@Market Data	Cube level for Market Data Type (e.g. GIRR Curve type)
girr.buckets.level	GIRR Bucket@GIRR Buckets@Buckets	Cube level for GIRR Buckets (CCY)
equity.buckets.level	Equity Bucket@Equity Buckets@Buckets	Cube level for Equity Buckets
csr-ns.buckets.level	CSR non-Sec Bucket@CSR non-Sec Buckets@Buckets	Cube level for CSR non-Sec Buckets
fx.buckets.level	FX Bucket@FX Buckets@Buckets	Cube level for FX Buckets
fx.buckets.original.level	FX Original Bucket@FX Original Buckets@Buckets	Cube level for FX Original Buckets
fx.curvature.divider.level	Curvature FX Divider Eligibility@FX Divider Eligibility@Risk	Cube level for FX Original Buckets
csr-sec-ctp.buckets.level	CSR Sec CTP Bucket@CSR Sec CTP Buckets@Buckets	Cube level for CSR Sec CTP Buckets
csr-sec-non-ctp.buckets.level	CSR Sec non-CTP Bucket@CSR Sec non-CTP Buckets@Buckets	Cube level for CSR Sec non-CTP Buckets
commodity.buckets.level	Commodity Bucket@Commodity Buckets@Buckets	Cube level for Commodity Buckets
girr.delta.double-sums.levels	Vertex1@GIRR Delta Double Sums@Double Sums,Vertex2@GIRR Delta Double Sums@Double Sums,Curve@GIRR Delta Double Sums@Double Sums	Cube levels for GIRR Delta Double Sums
equity.delta.double-sums.levels	Issuer@Equity Delta Double Sums@Double Sums,Type@Equity Delta Double Sums@Double Sums	Cube levels for Equity Delta Double Sums
csr-ns.delta.double-sums.levels	Name@CSR non-Sec Delta Double Sums@Double Sums,Tenor@CSR non-Sec Delta Double Sums@Double Sums,Basis@CSR non-Sec Delta Double Sums@Double Sums	Cube levels for CSR non-Sec Delta Double Sums
csr-sec-non-ctp.delta.double-sums.levels	Tranche@CSR Sec non-CTP Delta Double Sums@Double Sums,Tenor@CSR Sec non-CTP Delta Double Sums@Double Sums,Basis@CSR Sec non-CTP Delta Double Sums@Double Sums	Cube levels for CSR Sec non-CTP Delta Double Sums
csr-sec-ctp.delta.double-sums.levels	Name@CSR Sec CTP Delta Double Sums@Double Sums,Tenor@CSR Sec CTP Delta Double Sums@Double Sums,Basis@CSR Sec CTP Delta Double Sums@Double Sums	Cube levels for CSR Sec CTP Delta Double Sums
commodity.delta.double-sums.levels	Cty@Commodity Delta Double Sums@Double Sums,Tenor@Commodity Delta Double Sums@Double Sums,Basis@Commodity Delta Double Sums@Double Sums	Cube levels for Commodity Delta Double Sums
fx.delta.double-sums.levels	Ccy@FX Delta Double Sums@Double Sums	Cube levels for Fx Delta Double Sums
risk-factors.level	Risk Factor@Risk Factors@Risk	Cube level for Risk Factors
ccy.level	Ccy@Currency@Currencies	Cube level for Currency
trade.level	TradeId@Trades@Booking	Cube level for Trade (the finest granularity in the cube)
curvature.shocked-pv.ccy.level	Scenario Currency@Scenario Currency@Currencies	Cube level for Currency used for Curvature shocked PV
pv.ccy.level	Trade PV Currency@Trade PV Currency@Currencies	Cube level for Currency used for the PV
notional.ccy.level	Trade Notional Currency@Trade Notional Currency@Currencies	Cube level for Currency used for the Notional
market-data.underlying.level	Underlying@Underlying@Market Data	Cube level for Market Data Underlying
equity.type.level	Market Type@Market Types@Market Data	Cube level for Equity Type (i.e. SPOT vs REPO)
equity.issuer.level	Underlying@Underlying@Market Data	Cube level for Equity Issuer (e.g. IBM or Apple)
csr.basis.level	Market Type@Market Types@Market Data	Cube level for CSR Basis
csr.underlying.level	Underlying@Underlying@Market Data	Cube level for CSR Underlying
equity.market-data.market-cap.level	Equity Market Cap@Equity Market Cap@Market Data	Cube level for Equity Market Data Market Capitalization
equity.market-data.economy.level	Equity Issuer Economy@Equity Issuer Economy@Market Data	Cube level for Equity Market Data Issuer Economy
csr-ns.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR non-Sec Quality
csr-ns.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR non-Sec Market Data Sector
csr-sec-ctp.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR Sec CTP Quality
csr-sec-ctp.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR Sec CTP Market Data Sector
csr-sec-non-ctp.market-data.quality.level	CSR Quality@CSR Quality@Market Data	Cube level for CSR Sec non-CTP Quality
csr-sec-non-ctp.market-data.sector.level	CSR Sector@CSR Sector@Market Data	Cube level for CSR Sec non-CTP Market Data Sector
csr-sec-non-ctp.market-data.tranche.level	CSR Tranche@CSR Tranche@Market Data	Cube level for CSR Sec non-CTP Market Data Tranche
girr.vega.option.maturity	Vertex@Vertices@Risk	Cube level for GIRR Vega Option Maturity
girr.vega.underlying.maturity	Maturity@Maturities@Risk	Cube level for GIRR Vega Underlying Maturity
commodity.market-data.commodity.location.level	Commodity Location@Commodity Location@Commodity Attributes	Cube level for Commodity location
commodity.market-data.commodity.time.level	Commodity Time@Commodity Time@Commodity Attributes	Cube level for Commodity time
commodity.market-data.commodity.route.level	Commodity Route@Commodity Route@Commodity Attributes	Cube level for Commodity route
desk.level	Desk@Desks@Booking	Cube level for Desks
csr-sec-ctp.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Sec CTP Vega Option Maturity
csr-sec-non-ctp.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Sec Non-CTP Vega Option Maturity
csr-ns.vega.option.maturity	Vertex@Vertices@Risk	Cube level for CSR Non-Sec Vega Option Maturity
equity.vega.option.maturity	Vertex@Vertices@Risk	Cube level for Equity Vega Option Maturity
fx.vega.option.maturity	Vertex@Vertices@Risk	Cube level for FX Vega Option Maturity
commodity.vega.option.maturity	Vertex@Vertices@Risk	Cube level for Commodity Vega Option Maturity
equity.vega.double-sums.levels	Issuer@Equity Vega Double Sums@Double Sums,Maturity1@Equity Vega Double Sums@Double Sums,Maturity2@Equity Vega Double Sums@Double Sums	Cube levels for Equity Vega Double Sums
csr-ns.vega.double-sums.levels	Name@CSR non-Sec Vega Double Sums@Double Sums,Basis@CSR non-Sec Vega Double Sums@Double Sums,Maturity1@CSR non-Sec Vega Double Sums@Double Sums,Maturity2@CSR non-Sec Vega Double Sums@Double Sums	Cube levels for CSR non-Sec Vega Double Sums
csr-sec-non-ctp.vega.double-sums.levels	Tranche@CSR Sec non-CTP Vega Double Sums@Double Sums,Basis@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec non-CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec non-CTP Vega Double Sums@Double Sums	Cube levels for CSR Sec Non-CTP Vega Double Sums
csr-sec-ctp.vega.double-sums.levels	Name@CSR Sec CTP Vega Double Sums@Double Sums,Basis@CSR Sec CTP Vega Double Sums@Double Sums,Maturity1@CSR Sec CTP Vega Double Sums@Double Sums,Maturity2@CSR Sec CTP Vega Double Sums@Double Sums	Cube levels for CSR Sec CTP Vega Double Sums
girr.vega.double-sums.levels	OptionMaturity1@GIRR Vega Double Sums@Double Sums,OptionMaturity2@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity1@GIRR Vega Double Sums@Double Sums,UnderlyingMaturity2@GIRR Vega Double Sums@Double Sums	Cube levels for GIRR Vega Double Sums
commodity.vega.double-sums.levels	Cty@Commodity Vega Double Sums@Double Sums,Maturity1@Commodity Vega Double Sums@Double Sums,Maturity2@Commodity Vega Double Sums@Double Sums	Cube levels for Commodity Vega Double Sums
fx.vega.double-sums.levels	Ccy@FX Vega Double Sums@Double Sums,Maturity1@FX Vega Double Sums@Double Sums,Maturity2@FX Vega Double Sums@Double Sums	Cube levels for FX Vega Double Sums
csr-sec-ctp.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSR Sec CTP curvature to indicate if PV has already been applied
csr-sec-non-ctp.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSR Sec Non-CTP curvature to indicate if PV has already been applied
csr-ns.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for CSRNS curvature to indicate if PV has already been applied
commodity.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for Commodity curvature to indicate if PV has already been applied
fx.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for FX curvature to indicate if PV has already been applied
equity.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for Equity curvature to indicate if PV has already been applied
girr.pv.applied.level	PVApplied@PVApplied@Currencies	PV applied flag for GIRR curvature to indicate if PV has already been applied
commodity.market-data.underlying.level	Underlying@Underlying@Market Data	Cube level for Commodity Market Data Underlying
risk-measure.level	Risk Measure@Risk Measures@Risk	Cube level for Risk Measure (Delta, Vega, Curvature)
fx.counter.ccy.level	FX Counter Currency@FX Counter Currency@Currencies	Cube level for FX Counter Currency level, used for weight adjustment
delta.optionality.level	Delta Optionality@Optionality@Risk	Cube level for Delta Optionality.
display-currency.sort-order	EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD	The display currencies sort order in the displayCurrency level
reference-levels.list	,IRT Desk,FRTB Model@FRTB Model,Book@Books,Desk@Desks,Legal Entity@Legal Entities,Level 1@BookHierarchy,Level 2@BookHierarchy,Level 3@BookHierarchy,Level 4@BookHierarchy,Level 5@BookHierarchy,Level 1@LegalEntityHierarchy,Level 2@LegalEntityHierarchy,Legal Entity@Legal Entities;FRTB Model@FRTB Model,Level 1@BookHierarchy;FRTB Model@FRTB Model,Level 2@BookHierarchy;FRTB Model@FRTB Model,Level 3@BookHierarchy;FRTB Model@FRTB Model,Level 4@BookHierarchy;FRTB Model@FRTB Model,Level 5@BookHierarchy;FRTB Model@FRTB Model,Level 1@LegalEntityHierarchy;FRTB Model@FRTB Model,Level 2@LegalEntityHierarchy;FRTB Model@FRTB Model	List of Levels for the Reference Level Context Value
pro-rata.hierarchies.list	,Books,Desks,Legal Entities,BookHierarchy,LegalEntityHierarchy	List of Hierarchies for the Pro-Rata Hierarchy Context Value. A list naming several hierarchies also uses frtb.pro-rata.multi-hierarchy-totals
pro-rata.leaf-levels.list	,TradeId@Trades,Book@Books,Desk@Desks,Legal Entity@Legal Entities	List of Levels for the Pro-Rata Leaf Level Context Value
rrao.exotic-underlying.level	Exotic Underlying@Residual Risk Add On@Risk	Cube level for RRAO Exotic Underlying flag
drc.gross-jtd.currency.level	DRC Gross JTD Currency@DRC Gross JTD Currency@Currencies	Cube level of DRC Gross JTD currency
drc.lgd.instrument-type.level	DRC Instrument LGD Type@DRC Instrument LGD Type@Default Risk Charge	Cube level of DRC instrument LGD type
drc.direction.level	DRC Direction@DRC Direction@Default Risk Charge	Cube level of DRC direction
drc.maturity.level	DRC Maturity@DRC Maturity@Default Risk Charge	Cube level of DRC maturity
drc.obligor.level	Underlying@Underlying@Market Data	Cube level of DRC Obligor
drc.seniority.level	DRC Seniority@DRC Seniority@Default Risk Charge	Cube level of DRC Seniority
drc.tranche.level	Underlying@Underlying@Market Data	Cube level of DRC Tranche
drc.non-sec.rating.level	DRC non-Sec Rating@DRC non-Sec Rating@Default Risk Charge	Cube level of DRC Rating
drc.sec-non-ctp.rating.level	DRC Sec non-CTP Rating@DRC Sec non-CTP Rating@Default Risk Charge	Cube level of DRC Sec non-CTP Rating
drc.sec-non-ctp.attachment.level	DRC Sec non-CTP Attachment@DRC Sec non-CTP Attachment@Default Risk Charge	Cube level of DRC Sec non-CTP Attachment
drc.sec-non-ctp.detachment.level	DRC Sec non-CTP Detachment@DRC Sec non-CTP Detachment@Default Risk Charge	Cube level of DRC Sec non-CTP Detachment
drc.non-sec.bucket.level	DRC non-Sec Bucket@DRC non-Sec Bucket@Default Risk Charge	Cube level of DRC non-Sec Bucket
drc.sec-non-ctp.bucket.level	DRC Sec non-CTP Bucket@DRC Sec non-CTP Bucket@Default Risk Charge	Cube level of DRC Sec non-CTP Bucket
frtb.model.level	FRTB Model@FRTB Model@Booking	Cube level for FRTB Model
ima.currency.leaf.level	Currency@Currencies@Risk	Cube levels for Currency
ima.as-of-date.level	AsOfDate@Date@Dates	Cube level for As Of Date
non-modellable.riskfactor.level	NMRF@Model@Risk	Cube level for NMRF
ima.risk-factors.level	Risk Factor@Risk Factors@Risk	Cube level for IMA Risk Factors
ima.risk-class.level	RiskClass@Risk Classes@Risk	Cube level for IMA Risk Classes
ima.data.sets.level	Data Set@Data Sets@Risk	Cube level for IMA Data sets
ima.liquidity.horizons.level	Liquidity Horizon@Liquidity Horizons@Risk	Cube level for liquidity horizons
ima.scenario.level	Scenario@Scenarios@Risk	Cube level for Scenario
ima.idiosyncratic.risk.level	Idiosyncratic@Idiosyncratic@Risk	Cube level for Idiosyncratic risk
ima.drc.currency.leaf.level	Currency@Currencies@Risk	Cube level for Currency
pl.currency.leaf.level	Currency@Currencies@FX	PL Cube level for Currency
pl.desk.level	Desk@Desks@Booking	PL Summary Cube level for Desk
pl.lookback.hierarchy.level	Lookback@Lookback@Lookback	PL Summary Cube level for Lookback hierarchy
legal-entity.level	Legal Entity@Legal Entities@Organization	Cube level for legal entities
sbm.sensitivity-scale.category.level	Sensitivity Scale Category@Sensitivity Scale Category@Risk	Cube level to specify the category used to specify the SBM scale factor
drc.sec-non-ctp.rating.type.level	DRC Sec non-CTP Rating Type@DRC Sec non-CTP Rating Type@Default Risk Charge	Cube level of DRC Sec non-CTP Rating Type
sbm.buckets.level	SBM Bucket@SBM Buckets@Buckets	Cube level for SBM buckets.
netting-set.level	Netting Set@Netting Set@Booking,IRT Desk@IRT Desk@Booking	Cube levels for Netting sets (multiple levels supported since 5.3.3)
rrao.other-type.level	Other Residual Risk Type@Residual Risk Add On@Risk	Cube level for RRAO Other Residual Risk Type
rrao.flag.level	RRAO@RRAO@Risk	Cube level for RRAO flag
frtb.eu-da.rrao-zero-risk-weight.level	RRAO Zero Risk Weight@RRAO Zero Risk Weight@Risk	Cube level for the RRAO Zero Risk Weight flag. The level is only added when the `frtb.eu-da.rrao-zero-risk-weight.enabled` property is set to true. A project that maintains its own `frtb-config.properties` must define this property before enabling `frtb.eu-da.rrao-zero-risk-weight.enabled`. Startup otherwise fails with a message naming both properties.
drc.gross-jtd.overridden.level	DRC Gross JTD Overridden@DRC Gross JTD Overridden@Default Risk Charge	Cube level for DRC Gross JTD Overridden
drc.obligor.alt.level	DRC Obligor@DRC Obligor@Default Risk Charge	Alternative Cube level of DRC Obligor. Previous value of drc.obligor.level.
drc.non-sec.seniority.level	DRC Seniority@DRC Seniority@Default Risk Charge	Cube level of DRC non-Sec Seniority
drc.sec-non-ctp.seniority.level	DRC Sec non-CTP Seniority@DRC Sec non-CTP Seniority@Default Risk Charge	Cube level of DRC Sec non-CTP Seniority
drc.tranche.alt.level	DRC Sec non-CTP Tranche@DRC Sec non-CTP Tranche@Default Risk Charge	Alternative Cube level of DRC Tranche. Previous value of drc.tranche.level.
drc.sec-non-ctp.region.level	DRC Sec non-CTP Region@DRC Sec non-CTP Region@Default Risk Charge	Cube level of DRC Sec non-CTP Region
drc.sec-non-ctp.asset-class.level	DRC Sec non-CTP Asset Class@DRC Sec non-CTP Asset Class@Default Risk Charge	Cube level of DRC Sec non-CTP Asset Class
drc.zero-risk-weight.level	DRC Zero Risk Weight@DRC Zero Risk Weight@Default Risk Charge	Cube level for the zero risk-weight flag
curvature.pv-ladder.level	Present Value Ladder@Present Value Ladder@Risk	Present Value Ladder
display-currency.level	displayCurrency@displayCurrency@displayCurrency	Cube level for the display currency.
drc.sec-ctp.security	DRC Sec CTP Security@DRC Sec CTP Security@Default Risk Charge	Cube level of DRC Sec CTP Security
drc.sec-ctp.seniority	DRC Sec CTP Seniority@DRC Sec CTP Seniority@Default Risk Charge	Cube level of DRC Sec CTP Seniority
drc.sec-ctp.rating	DRC Sec CTP Rating@DRC Sec CTP Rating@Default Risk Charge	Cube level of DRC Sec CTP rating
drc.sec-ctp.attachment	DRC Sec CTP Attachment@DRC Sec CTP Attachment@Default Risk Charge	Cube level of DRC Sec CTP Attachment for tranche
drc.sec-ctp.detachment	DRC Sec CTP Detachment@DRC Sec CTP Detachment@Default Risk Charge	Cube level of DRC Sec CTP Detachment for tranche
drc.sec-ctp.rating.type	DRC Sec CTP Rating Type@DRC Sec CTP Rating Type@Default Risk Charge	Cube level of DRC Sec CTP rating type for tranche
drc.sec-ctp.bucket	DRC Sec CTP Bucket@DRC Sec CTP Bucket@Default Risk Charge	Cube level of DRC Sec CTP bucket
drc.sec-ctp.instrument.type	DRC Sec CTP Instrument Type@DRC Sec CTP Instrument Type@Default Risk Charge	Cube level of DRC Sec CTP Instrument Type
stress-calibration.sliding-window.size	250	Stress Calibration sliding window size
stress-calibration.scenario.level	Scenario@Scenarios@Risk	Stress Calibration Cube level for Scenario
stress-calibration.data.sets.level	Data Set@Data Sets@Risk	Stress Calibration Cube level for Data sets
stress-calibration.sliding-window.level	Sliding Window@Sliding Window@Risk	Stress Calibration Cube level for Sliding windows
stress-calibration.horizons.level	Liquidity Horizon@Liquidity Horizons@Risk	Stress Calibration Cube level for liquidity horizons
stress-calibration.risk-class.level	RiskClass@Risk Classes@Risk	Stress Calibration Cube level for Risk Classes
stress-calibration.as-of-date.level	AsOfDate@Date@Dates	Stress Calibration Cube level for As Of Date
stress-calibration.currency.leaf.level	Currency@Currencies@Risk	Stress Calibration Cube level for Currency
stress-calibration.trades.file-pattern	**/StressCalibration__Trades.csv	file path matcher for stress calibration pl trades
stress-calibration.scenarios.file-pattern	*/StressCalibration_Scenarios.csv	file path matcher for stress calibration scenarios
ima.date.level.omega	OmegaDate@OmegaDate@Dates	The name of the level providing the reference date used to compute the `Weekly Omega` measure
ima.ses.pl-vector-scenarios.level	RiskClass@Risk Classes@Risk	The level to use for looking up NMRF scenarios
drc.fund-treatment.level	DRC Fund Treatment@DRC Fund Treatment@Default Risk Charge	The name of the level for DRC Equity Fund Treatment flag
csr-sec-non-ctp.market-data.pool.level	CSR Sec non-CTP Pool@CSR Sec non-CTP Pool@Market Data	Cube level for CSR Sec Non-CTP Pool
csr-sec-non-ctp.market-data.attachment.level	CSR Sec non-CTP Attachment@CSR Sec non-CTP Attachment@Market Data	Cube level for CSR Sec Non-CTP Attachment
csr-sec-non-ctp.market-data.detachment.level	CSR Sec non-CTP Detachment@CSR Sec non-CTP Detachment@Market Data	Cube level for CSR Sec Non-CTP Detachment

Measure format

Key	Value	Description
formatter.double.default	DOUBLE[#,###;-#,###]	Default measure Format, used by the majority of measures
formatter.double.4dp	DOUBLE[#,##0.0000;-#,##0.0000]	Measure format with 4 decimal places of precision
formatter.double.percent	DOUBLE[0.00%]	Measure format for displaying values as a percentage
formatter.double.4dp.percent	DOUBLE[0.0000%]	Measure format for displaying values as a percentage with 4 decimal places of precision

Folder structure

Key	Value	Description
folder.sbm.default	${risk-class}${risk-measure}	Folder structure for organizing SBM measures

Store internals

Key	Value	Description
sparse.vectors.enable.for.stores	DRCIMABase:ScenarioRecoveryValues,DRCIMASummaryBase:PnL	A comma-separated list of store:column of type double[] that needs to be compressed as it contains sparse values.
ima.drc.summary.density-threshold	0.2	The density threshold under which the vectors get parsed into sparse vector representations.
store.partitioning.riskfactor	0	Maximum number of partitions used for the data stores depending on the main risk factor. 0 means partition number equals number of CPU.
store.partitioning.asOfDate	0	Maximum number of partitions used for the data stores depending on the asOfDate. 0 means partition number equals number of CPU. Please note that day to day store partitioned on asOfDate has no maximum partition number. It is also used for cube partial provider partitioning.
drc.block.size	10240000	It overrides the default core value of vector chunk size for DRC. It must be greater than the DRC vector size and a multiple of 1024.
drc.batch.size	2	The number of DRC lines that are processed together during loading and commit, reducing the value will decrease the on-heap usage, but will increase the scheduling and internal messaging

Cube internals

Key	Value	Description
sa.cube.provider.partitioning	0	The partitioning modulo of the partial provider for the SA cube
agg.cache.size.sa	-1	The size of the aggregate cache for the StandardisedApproachCube data cube
agg.cache.size.sa-query	1000000	The size of the aggregate cache for the StandardisedApproachCube query cube
agg.cache.size.ima	-1	The size of the aggregate cache for the InternalModelApproachCube data cube
agg.cache.size.ima-query	1000000	The size of the aggregate cache for the InternalModelApproachCube query cube
agg.cache.size.drc	-1	The size of the aggregate cache for the IMADRCCube data cube
agg.cache.size.drc-query	1000000	The size of the aggregate cache for the IMADRCCube query cube
agg.cache.size.pl	-1	The size of the aggregate cache for the PLCube data cube
agg.cache.size.pl-query	1000000	The size of the aggregate cache for the PLCube query cube
agg.cache.size.combined	20000000	The size of the aggregate cache for the FRTBCombinedCube query cube
agg.cache.size.stresscalibration	-1	The size of the aggregate cache for the StressCalibrationCube

Default context values

Key	Value	Description
ctx.queries.time.limit.combined	600	The query time limit in second for the combined query cube, defined by the “queriesTimeLimit” context value
ctx.queries.time.limit.data	300	The query time limit in second for the data cubes, defined by the “queriesTimeLimit” context value
ctx.queries-result-limit.transient-size	10000000	The query result limit for intermediate values, defined by the “queriesResultLimit.transientSize” context value
ctx.queries-result-limit.intermediate-size	1000000	The query result limit for intermediate values, defined by the “queriesResultLimit.intermediateSize” context value
display-currency.default	EUR	The default displayed currency used in the displayCurrency hierarchy
ctx.ca.lookback	60	The default value for the “CA-Lookback” context value that defines the window size for IMCC and SES average calculation.
ctx.es.model.variation.lookback	12W	The default value for the “ES Model Variation Lookback” context value that defines the window for the “ES (Model Variation) Lookback” metric
ctx.ima.drc.lookback	12W	The default value for the “IMADRC-Lookback” context value that defines the average window used in the computation of “DRC-IMA”
ctx.back.testing.lookback	250	The default value for the “BackTestingLookback” context value that gives the number of days for back testing
ctx.pla.lookback	250	The default value for the “PLALookback” context value containing the number of business days to look back when calculating the Mean, Variance, and Standard Deviation measures for PL Attribution Tests.
ctx.drillthrough.maxrows	10000	The default value for drillthrough maximum rows.
default.parameter.set	BCBS	The default parameter set used for computation, BCBS or CRR2 for instance.

Calculation parameters

Key	Value	Description
fx.translation.scale-factor	-0.9900990099009901	The scale factor to use when translating FX sensitivities (-1/1.01)
ima.capital-surcharge.green-zones	G,N/A	List of IMA PLAT Green zones for capital surcharge calculations\nGreen and blank
ima.capital-surcharge.amber-zones	A,R,Y,O	List of IMA PLAT Amber zones for capital surcharge calculations\nAmber and Red (BCBS)\nYellow and Orange (CRR2)
imported.ignore.hierarchies		The hierarchies that will be ignored when importing capital charge values.
ima.date.specific.omega	Today=DAY0,Friday=WDA5	The specific dates used to fill the `OmegaDate` hierarchy, the first one is the default. The format is <three characters for date plugin name> + <an integer as a parameter>.Where the default registered date plugins are: DAY: the business day, EOM: end of month, EOQ: end of quarter, EOY: end of yearFor example:Tomorrow = DAY+1Previous day = DAY-1End of month = EOM-1
sa.drc.zero-risk-weight-mode	hbr	How to interpret the CRR2 specification for zero risk-weight exposures`hbr` zero risk-weight instruments are used for the HBR. To calculate the Net JTD risk-weight exposures are scaled by the ZRW risk-weight divided by the obligor’s (ratings-based) risk-weight`ignore` zero risk-weight exposures are scaled by the ZRW risk-weight divided by the obligor’s (ratings-based) risk-weight`weighted` use the weighted average of risk-weights
sa.drc.strict-long-short	true	`true` to apply MAX/MIN to Gross JTD according to long/short direction. `false` to assume direction from sign of Gross JTD.
aggregated-double-precision	0.000001	The precision to use when testing equality of up and down curvature risk position scenarios or when comparing DRC non-Sec Scaled Gross JTD with zero.In general:If two aggregated values are within this precision, they are treated as the sameIf the absolute value of an aggregated value is less than this precision, it is treated as zero

ETL parameters

Key	Value	Description
sbm.risk-factor.always-append-tenor	false	Set to `true` to always append the tenor to the risk factor name based on the risk-class and risk measure.When `false` the tenor will only be appended for those rows that contain vectors of sensitivities.

Display currency parameters

Key	Value	Description
display-currency.default	EUR	The default display currency
display-currency.sort-order	EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD	The display currencies sort order in the displayCurrency level

FRTB feature flags

Key	Value	Description
measure.capital-allocation.hide	false	Hides Capital-Allocation measures.
measure.incremental.hide	false	Hides Incremental measures.
what-if.trade-scaling.disable	false	Disables trade-scaling REST functionality.
what-if.file-upload.disable	false	Disables file-upload REST functionality.
what-if.book-hierarchy.disable	false	Disables book-hierarchy REST functionality.
what-if.desk-switch.disable	false	Disables desk-switch REST functionality.
what-if.parameter-set.disable	false	Disables parameter-set widget REST functionality.
irt-desk-groups.enabled	false	Enables multiple membership groups for IRT Desks.
frtb.pro-rata.multi-hierarchy-totals	false	Set to `true` to report, at the total of an outer Pro-Rata hierarchy, the sum of its members’ allocations.

​Type names

​DRC buckets names

​Cube levels for post-processors

​Measure format

​Folder structure

​Store internals

​Cube internals

​Default context values

​Calculation parameters

​ETL parameters

​Display currency parameters

​FRTB feature flags