This file contains the P&L values of trades and DRC risk-factors for different scenarios.
This DRC Non Linear Recovery Trade file type is identified using the pattern: **/DRC_NonLinear_Recovery_*.csv (as specified by drc.non-linear.recovery.file-pattern).
This file is loaded using the DRC_NONLINEAR_RECOVERY topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
Date
‘YYYY-MM-DD’
Timestamp (at close of business) for the data.
TradeId
Y
N
String
Trade Identifier
ObligorId
Y
Y
String
Identifier of the Obligor
Seniority
Y
Y
String
Indication of the Seniority level the recovery rate applies to. This will be used to look up the Recovery rate in the DRC scenario file.
Ccy
N
N
String
The currency of the P&L values
ScenarioIds
N
N
Vector of Integers
List of Scenario ids which include the trade as defaulting. Scenarios are numbered from 1 to the scenario count (inclusive).
PnL
N
N
Vector of Double
The P&L values corresponding to the Scenario ids. The first entry corresponds to scenario id 1.