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IMATrades

Store Field Key CanBeNull Type Cube Field Description
DataSet Y String [Risk].[Data Set] The data set to which the entry belongs. The following different values are possible:
  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
For non-modellable trades, this value should be blank.
TradeId Y String [Booking].[TradeId] The trade Id.
RiskFactor Y String [Risk].[RiskFactor] The risk. factor

Note: This is used only for non-modellable trades, and should be blank for modellable trades.
RiskClass Y String [Risk].[RiskClass] The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
For non-modellable, non-idiosyncratic trades, this value should be blank.
LiquidityHorizon Y Int [Risk].[Liquidity Horizon] The Liquidity Horizon in days: 10, 20, 40, 60 or 120

Note: For non-modellable trades, this value should be blank.

To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.
StoreCurrency Y String [Risk].[Currency] The currency of the store.
Pnl Double[] This field is a measure The PnL vector for 12 months’ worth of data. There is one value per day, which needs to be computed for a liquidity horizon of 10 days in the risk engine. The values are separated by a semi-colon.
AsOfDate Y LOCALDATE[yyyy-mm-dd] [Dates].[AsOfDate] Timestamp (at close of business) for the data.