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.Documentation Index
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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 () |
| Start Date | The start date that the parameter takes effect |
| ParameterSet | The parameter set to which the parameter belongs (default = BCBS) |
File values
| Currency | Counter Currency | Correlation | Start Date | ParameterSet |
|---|---|---|---|---|
| DKK | EUR | 0.8 | 2016-01-01 | CRR2 |