Miscellaneous parameters

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

Parameter	Parameter Name	Default Value
$RW_k$ in [MAR21.87]	sa.fx.delta.rw	0.15
$RW_k$ divider in [MAR21.87]	sa.fx.delta.rw.selected.pair.adjustment	1.4142135623731
$\gamma_{bc}$ in [MAR21.89]	sa.fx.correlation	0.6
$CVR_k$ 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 $CVR_k$ by divider in [MAR21.98]	sa.fx.use.fx-divider	false
$RW_\sigma$ in [MAR21.92]	sa.vega.rw	0.55
$\alpha$ in [MAR21.93](1)(a)	sa.vega.rho-option-maturity.alpha	0.01

⌘I