Miscellaneous parameters

This page lists the miscellaneous parameters used in the Commodity risk class calculations, along with their parameter names and default values. The file FRTBParameters*.csv is loaded into the FRTBParameters store.

Parameter	Parameter Name	Default Value
$\rho_{kl}^{(tenor)}$ in	sa.commodity.rho-tenor.correlation	0.99
Per-bucket divisor of $\rho_{kl}^{(tenor)}$ , [CRR Article 495r]	sa.commodity.rho-tenor.correlation.bucket-divisors	none, so no bucket is divided
$\rho_{kl}^{(basis)}$ in	sa.commodity.rho-basis.correlation	0.999
$\gamma_{bc}$ in	sa.commodity.correlation	0.2
$\gamma_{bc}$ in	sa.commodity.other-commodity.correlation	0
$RW_\sigma$ in	sa.vega.rw	0.55
$\alpha$ in	sa.vega.rho-option-maturity.alpha	0.01