Miscellaneous parameters

The file FRTBParameters*.csv is loaded into the FRTBParameters store.

Parameter	Parameter Name	Default Value
$\rho_{kl}^{(tenor)}$ in [MAR21.83](2)	sa.commodity.rho-tenor.correlation	0.99
$\rho_{kl}^{(basis)}$ in [MAR21.83](3)	sa.commodity.rho-basis.correlation	0.999
$\gamma_{bc}$ in [MAR21.85](1)	sa.commodity.correlation	0.2
$\gamma_{bc}$ in [MAR21.85](2)	sa.commodity.other-commodity.correlation	0
$RW_\sigma$ in [MAR21.92]	sa.vega.rw	0.55
$\alpha$ in [MAR21.93](1)(a)	sa.vega.rho-option-maturity.alpha	0.01

⌘I

Documentation Index