Describes date assigned to each index of historical PnL vector in stress calibration trades file
This Stress Calibration Scenarios file type is identified using the pattern: **/StressCalibration_Scenarios*.csv (as specified by stress-calibration.scenarios.file-pattern).
This file is loaded using the StressCalibrationScenarios topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
Type
Y
N
String
For IMCC this is the risk-factor set (“Full” or “Reduced”). For SES (NMRF), this is the risk-class.
Index
N
N
Integer
The index in the vector representing the PnL - the first element has index 0.
Scenario
Y
N
String
The string representing the scenario corresponding to the index - for this reason, it is expected that the value of ‘Scenario’ should be distinct for each line in the input file.