DRC Non Linear Recovery Trade

Download sample file: DRC_NonLinear_Recovery_Trade.csv

This file contains the P&L values of trades and DRC risk-factors for different scenarios.

This DRC Non Linear Recovery Trade file type is identified using the pattern: **/DRC_NonLinear_Recovery_*.csv (as specified by drc.non-linear.recovery.file-pattern). This file is loaded using the DRC_NONLINEAR_RECOVERY topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.

Field Key Null FieldType Description Example
AsOfDate Y N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
TradeId Y N String Trade Identifier
ObligorId Y Y String Identifier of the Obligor
Seniority Y Y String Indication of the Seniority level the recovery rate applies to. This will be used to look up the Recovery rate in the DRC scenario file.
Ccy N N String The currency of the P&L values
ScenarioIds N N Vector of Integers List of Scenario ids which include the trade as defaulting. Scenarios are numbered from 1 to the scenario count (inclusive).
PnL N N Vector of Double The P&L values corresponding to the Scenario ids. The first entry corresponds to scenario id 1.
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