GIRR correlation overrides
Reference for the GIRR Correlation Overrides configuration file, which allows specific currency pairs to use a custom gamma cross-bucket correlation, such as DKK/EUR under the CRR2 parameter set, overriding the standard BCBS value.
The GIRR Correlation Overrides.csv file contains overrides for the GIRR delta bucket () correlations. For example, the ERM II currencies for CRR2. It is loaded into the GIRRCorrelationOverrides store.