FRTB Accelerator Cubes GuidePL VaR Vector
Download sample file: pl-var-vector.csv
This file contains the trade-level P&L values used to calculate the VaR for backtesting.
This PL VaR Vector file type is identified using the pattern: **/PL_VaR_Vector*.csv (as specified by pl.var.vector.file-pattern).
This file is loaded using the IMAVaRPL 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. | |
| Trade | Y | N | String | The Trade Id | |
| Currency | N | N | String | The currency of VaR P&L Vector values. | |
| PL | N | N | Vector | VaR P&L Vector values. |