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StressCalibrationTradesPL

Store Field Key CanBeNull Type Cube Field Description
RiskFactorSet Y String [Risk].[Risk Factors Set] The risk factor set to which the entry belongs (Full or Reduced).
For non-modellable risk-factors, this value should be blank.
TradeId Y 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 Int [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).

To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.
Ccy Y String [Risk].[Currency] The currency of the store.
PnL Double[] This field is a measure The historical PnL vector. 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].[Date] Timestamp (at close of business) for the data.