Miscellaneous parameters
The file FRTBParameters*.csv is loaded into the FRTBParameters
store.
Documentation Index
Fetch the complete documentation index at: /llms.txt
Use this file to discover all available pages before exploring further.
| Parameter | Parameter Name | Default Value |
|---|---|---|
| ρkl(name) in [MAR21.54] (via [MAR21.60]) | sa.csr-nonsec.delta.rho-name.correlation | 0.35 |
| ρkl(tenor) in [MAR21.54] (via [MAR21.60]) | sa.csr-nonsec.delta.rho-tenor.correlation | 0.65 |
| ρkl(basis) in [MAR21.60] | sa.csr-sec-ctp.delta.rho-basis.correlation | 0.99 |
| RWσ in [MAR21.92] | sa.vega.rw | 0.55 |
| α in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |
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