Stress Calibration PL Trades
Download sample file: StressCalibration_IR_Trades.csv
This file contains simulated PL vectors over a long historical observation window, as well as position and scenario attributes to calibrate the stress period. The file includes both IMCC and SES simulated PL vectors.
This Stress Calibration PL Trades file type is identified using the pattern: **/StressCalibration_*_Trades*.csv (as specified by stress-calibration.trades.file-pattern).
This file is loaded using the StressCalibration_Trades topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| RiskFactorSet | Y | Y | String | For modellable risk-factors, Full or Reduced. For non-modellable risk-factors, leave blank. |
|
| TradeId | Y | N | String | The trade Id | |
| RiskFactor | Y | Y | String | The risk factor Note This is required for non-modellable risk-factors, but may be blank for modellable risk-factors. |
|
| RiskClass | Y | N | String | The risk class, which will be one of the following:
|
|
| LiquidityHorizon | Y | Y | Integer | 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 ETL will ensure that there are no gaps in the liquidity horizon. If there is a gap in the file, the ETL will copy the liquidity horizon from the next highest P&L vector. For example, if a liquidity horizon of 40 is supplied, but 20 and 10 are not included, then the gap-filling will copy the P&L vector from the liquidity horizon of 40 to 20 and 10. |
|
| Currency | N | N | String | The currency in which the PnL vector is expressed. | |
| PnL | N | N | Double | The PnL vector for the historical data, back to 2007 - 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. This is effectively an extra PnL vector Liquidity Horizon column to use as the reference into the new PnL Vector store. This new column will be copied from the existing Liquidity Horizon column for lines in the input files where PnL vectors exist. Then once the file is loaded (or transaction complete), a second pass will fill in the gaps by adding facts with missing Liquidity Horizons and existing PnL vectors. The advantage gained from this is that ‘Liquidity Horizon gaps’ no longer need to be filled. |
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| AsOfDate | Y | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. |