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08_28_2018.txt
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64 lines (59 loc) · 2.5 KB
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Features:
- ISDA IR Curvature Settings #1 (1, 2)
- ISDA IR Curvature Settings #2 (3, 4)
- ISDA IR Curvature Settings #3 (5, 6)
- ISDA IR Curvature Settings #4 (7, 8)
- 2W IR Tenor Scaling Factor (9)
- 1M IR Tenor Scaling Factor (10)
- 3M IR Tenor Scaling Factor (11)
- 6M IR Tenor Scaling Factor (12)
- 1Y IR Tenor Scaling Factor (13)
- 2Y IR Tenor Scaling Factor (14)
- 3Y IR Tenor Scaling Factor (15)
- 5Y IR Tenor Scaling Factor (16)
- 10Y IR Tenor Scaling Factor (17)
- 15Y IR Tenor Scaling Factor (18)
- 20Y IR Tenor Scaling Factor (19)
- 30Y IR Tenor Scaling Factor (20)
- OIS Curvature Tenor Risk Weight (21, 22)
- LIBOR1M Curvature Tenor Risk Weight (23, 24)
- LIBOR3M Curvature Tenor Risk Weight (25, 26)
- LIBOR6M Curvature Tenor Risk Weight (27, 28)
- LIBOR12M Curvature Tenor Risk Weight (29, 30)
- PRIME Curvature Tenor Risk Weight (31, 32)
- MUNICIPAL Curvature Tenor Risk Weight (33, 34)
- IR Curvature Risk Settings Map (35)
- IR Curvature Risk Measure Sensitivity (36, 37)
- Linear/Curvature Risk Measure Aggregate (38, 39)
- Bucket Risk Measure Sensitivity IR (40, 41, 42)
- Linear/Curvature Bucket Sensitivity IR (43, 44, 45)
- Linear Margin Covariance OIS OIS (46)
- Linear Margin Covariance LIBOR1M LIBOR1M (47)
- Linear Margin Covariance LIBOR3M LIBOR3M (48)
- Linear Margin Covariance LIBOR6M LIBOR6M (49)
- Linear Margin Covariance LIBOR12M LIBOR12M (50)
- Linear Margin Covariance PRIME PRIME (51)
- Linear Margin Covariance MUNICIPAL MUNICIPAL (52)
- Linear Margin Covariance OIS LIBOR1M (53)
- Linear Margin Covariance OIS LIBOR3M (54)
- Linear Margin Covariance OIS LIBOR6M (55)
- Linear Margin Covariance OIS LIBOR12M (56)
- Linear Margin Covariance OIS PRIME (57)
- Linear Margin Covariance OIS MUNICIPAL (58)
- Linear Margin Covariance LIBOR1M LIBOR3M (59)
- Linear Margin Covariance LIBOR1M LIBOR6M (60)
- Linear Margin Covariance LIBOR1M LIBOR12M (61)
- Linear Margin Covariance LIBOR1M PRIME (62)
- Linear Margin Covariance LIBOR1M MUNICIPAL (63)
- Linear Margin Covariance LIBOR3M LIBOR6M (64)
- Linear Margin Covariance LIBOR3M LIBOR12M (65)
- Linear Margin Covariance LIBOR3M PRIME (66)
- Linear Margin Covariance LIBOR3M MUNICIPAL (67)
- Linear Margin Covariance LIBOR6M LIBOR12M (68)
- Linear Margin Covariance LIBOR6M PRIME (69)
- Linear Margin Covariance LIBOR6M MUNICIPAL (70)
- Linear Margin Covariance LIBOR12M PRIME (71)
- Linear Margin Covariance LIBOR12M MUNICIPAL (72)
- Linear Margin Covariance PRIME MUNICIPAL (73)
Bug Fixes/Clean-up:
Samples: