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IMATrades

Store Field Key CanBeNull Type Cube Field Description
DataSet Y String 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 TradeId The trade Id.
RiskFactor Y String RiskFactor The risk-factor.

Note: This is required for non-modellable risk-factors, and optional for modellable risk-factors.
RiskClass Y String RiskClass The risk class, which will be one of the following:
  • GIRR
  • CSR
  • Equity
  • Commodity
  • FX
  • allin
PL_HL Y String 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 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] 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.