> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.
# frtb-config.properties
> Reference for frtb-config.properties, the main Atoti FRTB startup configuration file, covering cube hierarchy level names, DRC bucket identifiers, measure formats, feature flags, calculation parameters, and default context values.
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](./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 |
| 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 |
| 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 organising 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 \ + \.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. |