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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:

  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
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.
PV N N Double The historical PV vector. The entries in this vector represent the PV for each historical date. 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 N Date ‘YYYY-MM-DD’ Timestamp (at close of business) for the data.
Base PV N Y Double The PV for the base scenario. If this value is not provided, then the PV vector becomes the P&L vector.