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IMATRADES

The IMATRADES table is the base in the IMA Cube star schema. Each row in this table represents a fact in the IMA Cube.

The IMATRADES table contains vector fields. In databases that do not natively support vectors, the vector fields are stored as separate columns.

IMATRADES Table Fields

Column Name Type Not Null Cube Field Description
DATA_SET STRING Y 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.
TRADE_KEY STRING Y This field is for internal usage only The field contains the tradeID for full data or Book#LegalEntity for summary data
TRADE_ID STRING Y TradeId The trade Id.
RISK_FACTOR STRING Y RiskFactor The risk-factor.

Note: This is required for non-modellable risk-factors, and optional for modellable risk-factors.
RISK_CLASS STRING Y RiskClass The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
PL_LH STRING Y 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 contain all the referring horizons, for instance for a horizon of 40 you must specify “40;20;10”.
CCY STRING Y Currency The currency of the PnL vector entries.
BASE_PV DOUBLE Y This field is a measure The base PV.
AS_OF_DATE DATE Y AsOfDate Timestamp (at close of business) for the data.
Column Name Type Not Null Cube Field Description
DATA_SET STRING Y 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.
TRADE_KEY STRING Y This field is for internal usage only The field contains the tradeID for full data or Book#LegalEntity for summary data
TRADE_ID STRING Y TradeId The trade Id.
RISK_FACTOR STRING Y RiskFactor The risk-factor.

Note: This is required for non-modellable risk-factors, and optional for modellable risk-factors.
RISK_CLASS STRING Y RiskClass The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
PL_LH STRING Y 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 contain all the referring horizons, for instance for a horizon of 40 you must specify “40;20;10”.
CCY STRING Y Currency The currency of the PnL vector entries.
BASE_PV DOUBLE Y This field is a measure The base PV.
PV ARRAY(DOUBLE) Y 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.
AS_OF_DATE DATE Y AsOfDate Timestamp (at close of business) for the data.

IMATRADES Unique Key

Columns
DATA_SET
TRADE_KEY
RISK_FACTOR
RISK_CLASS
PL_LH
AS_OF_DATE
Columns
DATA_SET
TRADE_KEY
RISK_FACTOR
RISK_CLASS
PL_LH
AS_OF_DATE

IMATRADES_VECTOR Table Fields

Column Name Type Not Null
VECTOR_INDEX INT Y
DATA_SET STRING Y
TRADE_KEY STRING Y
TRADE_ID STRING Y
RISK_FACTOR STRING Y
RISK_CLASS STRING Y
PL_LH STRING Y
CCY STRING Y
BASE_PV DOUBLE Y
PV DOUBLE Y
AS_OF_DATE DATE Y

No vector table is required when the database natively supports aggregation on vector types.

IMATRADES_VECTOR Unique Key

Columns
VECTOR_INDEX
DATA_SET
TRADE_KEY
RISK_FACTOR
RISK_CLASS
PL_LH
AS_OF_DATE

No vector table is required when the database natively supports aggregation on vector types.

Outgoing Joins

Target Table Source Columns Target Columns
IMATRADES_VECTOR DATA_SET
TRADE_KEY
RISK_FACTOR
RISK_CLASS
PL_LH
AS_OF_DATE		 AS_OF_DATE
BOOK
IMARISK_FACTORS RISK_FACTOR
RISK_CLASS
AS_OF_DATE		 RISK_FACTOR
RISK_CLASS
AS_OF_DATE
TRADE_MAPPING TRADE_KEY
AS_OF_DATE		 TRADE_KEY
AS_OF_DATE
Target Table Source Columns Target Columns
IMARISK_FACTORS RISK_FACTOR
RISK_CLASS
AS_OF_DATE		 RISK_FACTOR
RISK_CLASS
AS_OF_DATE
TRADE_MAPPING TRADE_KEY
AS_OF_DATE		 TRADE_KEY
AS_OF_DATE