Vertices
Download sample file: vertices.tsv
The file provides tenor grids - indexes and labels - for different risk classes
Documentation Index
Fetch the complete documentation index at: /llms.txt
Use this file to discover all available pages before exploring further.
| Field | Key | Nullable | Type | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Value date | 2018-09-28 |
| ParameterSet | Y | Y | String | Specifies the parameter set to which the parameter belongs to. If no ParameterSet is defined within the file, it will default to BCBS | BCBS |
| Vertex | Y | N | Double | Tenor in years. Must be a tenor defined in regulatory calculation. | 0.25 |
| RiskClass | N | N | String | Risk class. Expected values for the SIMM risk types: commodity; credit non-qualifying; credit qualifying; equity; foreign exchange; interest rate | interest rate |
| Index | Y | N | String, integer | Index of a vertex (tenor), used to sort vertices. Must be 0 for the first tenor. | 2 |
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