PL 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. 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’ 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
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