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IMATrades

Store Field Key CanBeNull Type Cube Field Description
DataSet Y String [Risk].[Data Set] The data set to which the entry belongs. The following different values are possible:
  • “Full Set Current”: data for the last 12 months
  • “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period
  • “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months
For non-modellable risk-factors, this value should be blank.
TradeKey Y String This field is for internal usage only The field contains the tradeID for full data or Book#LegalEntity for summary data
TradeId String [Booking].[TradeId] The trade Id.
RiskFactor Y String [Risk].[RiskFactor] The risk. factor.

Note: This is required for non-modellable risk-factors, and optional for modellable risk-factors.
RiskClass Y String [Risk].[RiskClass] The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
LiquidityHorizon Y String [Risk].[Liquidity Horizon] The Liquidity Horizon in days: 10, 20, 40, 60 or 120

Note: For non-modellable risk-factors, this value should be blank (though it may be set to 10 without causing any problems).

The list must contains all the referring horizons, for instance for an horizon of 40 you must specify “40;20;10”.
Ccy String [Risk].[Currency] The currency of the PnL vector entries.
Pnl Double[] This field is a measure The PnL vector for 12 months’ worth of data. There is one value per day, which needs to be computed for a liquidity horizon of 10 days in the risk engine. The values are separated by a semi-colon.
AsOfDate Y LOCALDATE[yyyy-mm-dd] [Dates].[AsOfDate] Timestamp (at close of business) for the data.