FRTB Accelerator Cubes GuideIMA PL Scenarios
Download sample file: pl-scenarios.csv
This file contains input fields indicating the various PL scenarios corresponding to the Expected Shortfall PL Trade Input file.
This IMA PL Scenarios file type is identified using the pattern: **/IMA_Scenarios*.csv (as specified by ima.scenarios.file-pattern).
This file is loaded using the Scenarios topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| DataSet | Y | N | String | Exactly the same as for ‘Dataset’ as defined for the TradeInputs file. | |
| Index | N | N | Integer | The index in the vector representing the PnL - the first element has index 0. | |
| Scenario | Y | N | String | The string representing the scenario corresponding to the index - for this reason, it is expected that the value of ‘Scenario’ should be distinct for each line in the input file. | |
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |