Trade Attributes
Download sample file: TradeAttributes.csv
To perform the mapping between the parent/child relationship and market data, Market Risk Accelerator expects a minimum number of trade attributes.
This Trade Attributes file type is identified using the pattern: **TradeAttributes*.csv (as specified by tradeAttributesFilePattern).
This file is loaded using the TradeAttributes topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates the date of the file. See Note on AsOfDate. | |
| TradeId | Y | N | String | If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). | |
| LegalEntity | N | Y | String | Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy). See Legal Entity Parent Child Input File Format | |
| CounterpartyId | N | Y | String | Counterparty to map the trade to (must match the node in the Counterparty Hierarchy).See Counterparty Parent Child File Format | |
| Notional | N | Y | Double | Notional of the trade/position. | |
| NotionalCcy | N | Y | String | Currency of the notional trade. | |
| Trader | N | Y | String | Trader who performed the trade. | |
| Sales | N | Y | String | Salesperson who performed the sale of the trade (if applicable). | |
| InstrumentClass | N | Y | String | Highest level of instrument classification. | “Equity”, “Rates”, “Forex” |
| InstrumentType | N | Y | String | Main instrument classification. | “IRSWAP”, “Loan”, “Bond” |
| InstrumentSubType | N | Y | String | Sub-level of instrument classification. | “XCCY-BASIS”, “Overnight”, “Gilt” |
| TradeDate | N | Y | String with format ‘YYYY-MM-DD’ | Date the trade was made. | |
| MaturityDate | N | Y | String with format ‘YYYY-MM-DD’ | Maturity date of the trade. | |
| VaRInclusionType | N | Y | String | Defines on what basis to include the VaR of this trade:
|
“R”, “S” |