FRTB Accelerator Cubes GuidePL Summary
Download sample file: pl-summary.csv
The desk-level P&L and VaR values. The P&L values represent the EOD valuations. The VaR values are the prediction for the next day.
This PL Summary file type is identified using the pattern: **/PL_Summary*.csv (as specified by pl.summary.file-pattern).
This file is loaded using the PLSummary topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | The as-of date (T-1). Timestamp (at close of business) for the data. | |
| Desk | Y | N | String | The desk ID, or “All-IMA” for company-wide. | |
| Currency | Y | N | String | The currency of P&L and VaR values. | |
| Actual PL | N | Y | Double | The Actual P&L value | |
| Hypothetical PL | N | Y | Double | The Hypothetical P&L value | |
| Theoretical PL | N | Y | Double | The Risk-Theoretical P&L value | |
| VaR99 | N | Y | Double | VaR at 99% confidence level | |
| VaR975 | N | Y | Double | VaR at 97.5% confidence level | |
| p-value Actual | N | Y | Double | p-value of Actual PL | |
| p-value Hypothetical | N | Y | Double | p-value of Hypothetical PL |