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Copy path05_19_2022.txt
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05_19_2022.txt
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Features:
- Bucket Vega Settings CR - ISDA CRQ 2.0 (1)
- Bucket Vega Settings CR - ISDA CRQ 2.1 (2)
- Bucket Vega Settings CR - ISDA CRNQ 2.0 (3)
- Bucket Vega Settings CR - ISDA CRNQ 2.1 (4)
- Bucket Vega Settings CR - Constructor (5)
- Bucket Vega Settings CR - Scaler (6)
- Bucket Vega Settings CR - Historical Volatility Ratio (7)
- Bucket Vega Settings CR - Tenor Delta Risk Weight (8)
- Bucket Vega Settings CR - Tenor Risk Weight (9, 10)
- Bucket Vega Settings IR - Scaler (11, 12)
- Bucket Vega Settings IR - Historical Volatility Ratio (13, 14)
- Bucket Vega Settings IR - OIS Tenor Delta Risk Weight (15, 16)
- Bucket Vega Settings IR - PRIME Tenor Delta Risk Weight (17, 18)
- Bucket Vega Settings IR - LIBOR 1M Tenor Delta Risk Weight (19, 20)
- Bucket Vega Settings IR - LIBOR 3M Tenor Delta Risk Weight (21, 22)
- Bucket Vega Settings IR - LIBOR 6M Tenor Delta Risk Weight (23, 24)
- Bucket Vega Settings IR - LIBOR 12M Tenor Delta Risk Weight (25, 26)
- Bucket Vega Settings IR - MUNICIPAL Tenor Delta Risk Weight (27, 28)
- Bucket Vega Settings IR - ISDA 2.0 (29)
- Bucket Vega Settings IR - ISDA 2.1 (30)
- Bucket Vega Settings IR - Constructor (31)
- Bucket Vega Settings IR - OIS Tenor Vega Risk Weight (32)
- Bucket Vega Settings IR - LIBOR 1M Tenor Vega Risk Weight (33)
- Bucket Vega Settings IR - LIBOR 3M Tenor Vega Risk Weight (34)
- Bucket Vega Settings IR - LIBOR 6M Tenor Vega Risk Weight (35)
- Bucket Vega Settings IR - LIBOR 12M Tenor Vega Risk Weight (36)
- Bucket Vega Settings IR - PRIME Tenor Vega Risk Weight (37)
- Bucket Vega Settings IR - MUNICIPAL Tenor Vega Risk Weight (38)
- Bucket Vega Settings IR - OIS Tenor Risk Weight (39)
- Bucket Vega Settings IR - LIBOR 1M Tenor Risk Weight (40)
- Bucket Vega Settings IR - LIBOR 3M Tenor Risk Weight (41)
- Bucket Vega Settings IR - LIBOR 6M Tenor Risk Weight (42)
- Bucket Vega Settings IR - LIBOR 12M Tenor Risk Weight (43)
- Bucket Vega Settings IR - PRIME Tenor Risk Weight (44)
- Bucket Vega Settings IR - MUNICIPAL Tenor Risk Weight (45)
- Liquidity Settings - Concentration Threshold (46, 47)
- Liquidity Settings - Constructor (48)
- Risk Class Sensitivity Settings - Vega (49, 50)
- Risk Class Sensitivity Settings - Delta (51, 52)
- Risk Class Sensitivity Settings - Curvature (53, 54)
- Risk Class Sensitivity Settings - ISDA EQ 2.0 (55)
- Risk Class Sensitivity Settings - ISDA EQ 2.1 (56)
- Risk Class Sensitivity Settings - ISDA CT 2.0 (57)
- Risk Class Sensitivity Settings - ISDA CT 2.1 (58)
- Risk Class Sensitivity Settings - ISDA FX 2.0 (59)
- Risk Class Sensitivity Settings - ISDA FX 2.1 (60)
Bug Fixes/Re-organization:
Samples:
IdeaDRIP: