Miscellaneous parameters

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

Parameter	Parameter Name	Default Value
$\rho_{kl}^{(name)}$ in [MAR21.54] (via [MAR21.60])	sa.csr-nonsec.delta.rho-name.correlation	0.35
$\rho_{kl}^{(tenor)}$ in [MAR21.54] (via [MAR21.60])	sa.csr-nonsec.delta.rho-tenor.correlation	0.65
$\rho_{kl}^{(basis)}$ in [MAR21.60]	sa.csr-sec-ctp.delta.rho-basis.correlation	0.99
$RW_\sigma$ 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