The file FRTBParameters*.csv is loaded into the FRTBParameters store.Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
| Parameter | Parameter Name | Default Value |
|---|---|---|
| in [MAR21.87] | sa.fx.delta.rw | 0.15 |
| divider in [MAR21.87] | sa.fx.delta.rw.selected.pair.adjustment | 1.4142135623731 |
| in [MAR21.89] | sa.fx.correlation | 0.6 |
| divider in [MAR21.98] | sa.fx.curvature.divider | 1.5 |
| Reporting Currency | sa.fx.reporting-currency | EUR |
| Base Currency | sa.fx.base-currency | EUR |
| Is the Base Currency used? | sa.fx.use.base-currency | false |
| Divide by divider in [MAR21.98] | sa.fx.use.fx-divider | false |
| in [MAR21.92] | sa.vega.rw | 0.55 |
| in [MAR21.93](1)(a) | sa.vega.rho-option-maturity.alpha | 0.01 |