Navigation :
test ../ test developer-getting-started.html
Getting Started
test ../ test developer-getting-started/maven-modules.html
- Maven Project Modules
test ../ test developer-guides.html
Developer Guides
test ../ test developer-guides/adding-a-field.html
- Adding a Field
test ../ test developer-guides/adding-a-new-file.html
- Adding a File
test ../ test developer-guides/adding-a-hierarchy.html
- Adding a Hierarchy
test ../ test developer-guides/adding-a-measure.html
- Adding a Measure
test ../ test developer-guides/column-calculators.html
- Column Calculators
test ../ test developer-guides/examples-datastorehelpers.html
- Datastore Helper Examples
test ../ test developer-guides/navigating-managerdesc.html
- Navigating managerDesc
test ../ test user-getting-started.html
Getting started
test ../ test user-getting-started/about-cvarc.html
- About the Accelerator
test ../ test user-getting-started/about-guide.html
- About this guide
test ../ test user-getting-started/bookmarks.html
- Bookmarks
test ../ test user-getting-started/pdf.html
- PDF
test ../ test cube.html
Cube reference
test ../ test regulatory-calcs.html
Regulatory calculations
test ../ test input-files.html
Input file formats
test ../ test input-files/configuration.html
-
Configuration files
test ../ test input-files/risk-data.html
-
Portfolio risk data
test ../ test input-files/crif.html
-- CRIF
test ../ test input-files/delta-sensitivities-of-hedges.html
-- Delta sensitivities of Hedges
test ../ test input-files/delta-sensitivities-of-the-regulatory-cva.html
-- Delta sensitivities of the Regulatory CVA
test ../ test input-files/exposures-at-default.html
-- Exposures at default
test ../ test input-files/hedges-risk-data.html
-- Hedges risk data
test ../ test input-files/vega-sensitivities-of-hedges.html
-- Vega sensitivities of Hedges
test ../ test input-files/vega-sensitivities-of-the-regulatory-cva.html
-- Vega sensitivities of the Regulatory CVA
test ../ test input-files/reference-data.html
-
Reference data
test ../ test input-files/regulatory-parameter.html
-
Regulatory parameters
test ../ test sign-off.html
Sign-Off
test ../ test what-if.html
What-If
test ../ test widgets.html
Widgets
CRIF
Download sample file: crif.csv
The file must contain sensitivities for the credit valuation adjustment calculation in CRIF format. Please note, the order of the fields can be changed in a customer implementation by extending ASourceConfig.java and overriding the method: generateCrifCsvFields
Field
IsKey
CanBeNull
FieldType
Description
Example
ValuationDate
Y
N
String with format 'YYYY-MM-DD'
Valuation Date
2018-09-29
Variant
N
Y
String
See ISDA CRIF specification
mx_cfc8ed1e
Sensitivity ID
Y
N
String
Unique sensitivity identifier
S_IRD_b2
RiskType
Y
N
String
See ISDA CRIF specification
IR_DELTA
Qualifier
N
Y
String
See ISDA CRIF specification
USD
Bucket
N
Y
String
See ISDA CRIF specification
3
Label1
N
Y
String
See ISDA CRIF specification
INFL
Label2
Y
N
String
See ISDA CRIF specification
CVA
Amount
N
N
Double
See ISDA CRIF specification
366.44
AmountCurrency
N
N
String
See ISDA CRIF specification
EUR
AmountUSD
N
N
Double
See ISDA CRIF specification
403.084
Label3
N
Y
String
See ISDA CRIF specification
INDEX_A
EndDate
N
Y
String with format 'YYYY-MM-DD'
End Date
2023-12-21
CreditQuality
N
Y
String
See ISDA CRIF specification
IG
CVA Risk Capital Accelerator V1.2.0