PL 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. 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.
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.
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