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This section describes the data used for the GIRR calculations, including how the data is structured. For GIRR, the Curve (Underlying) refers to one of the following:
  • “risk-free yield curve” MAR21.8(1)
  • “flat curve of market-implied inflation rates” MAR21.8(2)
  • “cross-currency basis curve” MAR21.8(3)
Each of these curves has a Curve Name, Curve Type, and Curve Currency. The Risk Factor is used to identify sensitivities. However, it is not used directly in the calculations, instead the Curve and tenor fields are use (as appropriate for the risk-measure). This means that multiple Risk Factor Names may be used for the same risk-factor. The Bucket is determined by the Curve Currency.