FRTB Accelerator Reference Guide v2.4.0PL VaR Scenario
Download sample file: PL_VaR_Scenario.csv
This file describes the scenarios in the P&L vector used for the VaR backtesting.
This PL VaR Scenario file type is identified using the pattern: **/PL_VaR_Scenario*.csv (as specified by pl.var.scenario.file-pattern).
This file is loaded using the VaRPLScenarios 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. | |
| Index | N | N | Unsigned Integer | The index of the VaR scenario (within the VaR P&L vector) | |
| Scenario | Y | N | String | The name of the VaR scenario |