Type | String |
Description | Key rate duration buckets |
Required | No |
Default | 0 |
Comments | If 0 is omitted, it is added automatically to the front of the list |
Symbolic constant | FT_STRING_KRD_VALUES |
This setting allows the user to set up the width of the KRD (key rate duration) buckets used in principal component analyses.
KRD buckets can have the following suffices:
- d: days
- w: weeks
- m: months
- q: quarters
- y: years
If no suffix is provided, the number is assumed to mean a year.
A KRDList set to “1d, 1w, 1m, 3m, 6m, 1, 5, 10” will therefore set up the following partition:
- 0-1 days
- 1 day to 1 week
- 1 week to 1 month
- 1 month to 3 months
- 3 months to 6 months
- 6 months to 1 year
- 1 year to 5 years
- 5 years to 10 years
- More than 10 years.