frtb-config.properties.
| Data Model Field | Property | Reference |
|---|---|---|
| As-Of Date | as-of-date.level | AsOfDate@Date@Dates |
| Trade ID | trade.level | TradeId@Trades@Booking |
| Risk Class | risk-class.level | RiskClass@Risk Classes@Risk |
| Risk Measure | risk-measure.level | Risk Measure@Risk Measures@Risk |
| Bucket | csr-sec-ctp.buckets.level | CSR Sec CTP Bucket@CSR Sec CTP Buckets@Buckets |
| Risk Factor Name | risk-factors.level | Risk Factor@Risk Factors@Risk |
| Sensitivity Tenor | vertices.level | Vertex@Vertices@Risk |
| Option Maturity | csr-sec-ctp.vega.option.maturity | Vertex@Vertices@Risk |
| Underlying Name | csr.underlying.level | Underlying@Underlying@Market Data |
| Curve Type | csr.basis.level | Risk Factor Type@Risk Factor Types@Risk |
| Credit Quality | csr-sec-ctp.market-data.quality.level | CSR Quality@CSR Quality@Market Data |
| Sector | csr-sec-ctp.market-data.sector.level | CSR Sector@CSR Sector@Market Data |
| PV Applied | csr-sec-ctp.pv.applied.level | PVApplied@PVApplied@Currencies |
| csr-sec-ctp.delta.double-sums.levels | Name@CSR Sec CTP Delta Double Sums@Double Sums, Tenor@CSR Sec CTP Delta Double Sums@Double Sums, Basis@CSR Sec CTP Delta Double Sums@Double Sums | |
| csr-sec-ctp.vega.double-sums.levels | Name@CSR Sec CTP Vega Double Sums@Double Sums, Basis@CSR Sec CTP Vega Double Sums@Double Sums, Maturity1@CSR Sec CTP Vega Double Sums@Double Sums, Maturity2@CSR Sec CTP Vega Double Sums@Double Sums |