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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.
Base PV Double This field is a measure The base PV.
PV Double[] This field is a measure The PV vector calibrated for 12 months’ worth of data. The entries in this vector represent the PV for each scenario. The values are separated by a semi-colon.

This vector may optionally represent the P&L vector by setting the base PV to zero.
AsOfDate Y LOCALDATE[yyyy-mm-dd] [Dates].[AsOfDate] Timestamp (at close of business) for the data.

The P&L vector is calculated by subtracting the base PV from each entry in the PV vector.