GIRR correlation overrides

The GIRR Correlation Overrides.csv file contains overrides for the GIRR delta bucket (

\gamma_{bc}

) correlations. For example, the ERM II currencies for CRR2. It is loaded into the GIRRCorrelationOverrides store.

File format

Field name	Description
Currency	The first GIRR bucket in the pair
Counter Currency	The second GIRR bucket in the pair
Correlation	The correlation to use between the two buckets ( $\gamma_{bc}$ )
Start Date	The start date that the parameter takes effect
ParameterSet	The parameter set to which the parameter belongs (default = BCBS)

Currency	Counter Currency	Correlation	Start Date	ParameterSet
DKK	EUR	0.8	2016-01-01	CRR2

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