Navigation :
test ../ test user-ref.html
User & Reference Guide
test ../ test getting-started.html
Getting started
test ../ test getting-started/using-this-guide.html
- Using this guide
test ../ test getting-started/whats-new.html
- What's New
test ../ test getting-started/video-walk-throughs.html
- Video walk-throughs
test ../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../ test getting-started/directquery.html
- DirectQuery
test ../ test configuration.html
Configuration files
test ../ test datastore.html
Data Stores
test ../ test database.html
Database
test ../ test input-files.html
Input Data
test ../ test input-files/configuration.html
-
Core Configuration Files
test ../ test input-files/crif.html
-
CRIF Files
test ../ test input-files/reference-booking.html
-
Reference and Booking Files
test ../ test input-files/sa_input_files.html
-
SA Input File Formats
test ../ test input-files/ima_input_files.html
-
IMA Input Files
test ../ test input-files/ima_input_files/capital_charge_calculation.html
--
Capital Charge Calculation Input Files
test ../ test input-files/ima_input_files/pl_attributiontests_backtesting.html
--
P&L Attribution Tests and Backtesting File Formats
test ../ test input-files/pl-summary.html
--- PL Summary
test ../ test input-files/pl-summary-scenarios.html
--- PL Summary Scenarios
test ../ test input-files/pl-var-scenario.html
--- PL VaR Scenario
test ../ test input-files/pl-var-vector.html
--- PL VaR Vector
test ../ test input-files/stress-calibration.html
-
Stress Calibration Input Files
test ../ test tutorials.html
Tutorials
test ../ test tutorials/data-sanity-check.html
- Data Sanity Check
test ../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../ test interpret-impl.html
Interpretation and Implementation of the MAR standard
test ../ test cube.html
Analytics Reference
test ../ test dev.html
Developer Guide
test ../ test dev/dev-release.html
-
Release and migration notes
test ../ test dev/dev-getting-started.html
-
Getting Started
test ../ test dev/dev-ui-config.html
-
Configuring the UI
test ../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../ test dev/dev-core.html
-
FRTB Core
test ../ test dev/dev-extensions.html
-
Extending the Solution
test ../ test dev/dev-tools.html
-
Configuring Solution tools and methodologies
test ../ test dev/dev-sign-off.html
-
Sign-Off
test ../ test dev/dev-direct-query.html
-
DirectQuery
test ../ test limits.html
Limit monitoring
test ../ test sign-off.html
Sign-Off Approvals
test ../ test what-if.html
What-If Analysis
test ../ test pdf-guides.html
PDF Guides
test ../ test glossary.html
Glossary
PL VaR Scenario
Download sample file: PL_VaR_Scenario.csv
This file describes the scenarios in the P&L vector used in trade level PL Cube for the VaR backtesting.
This PL VaR Scenario file type is identified using the pattern: **/PL_VaR_Scenario*.csv (as specified by pl.var.scenario.file-pattern).
This file is loaded using the PLScenarios topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
Field
Key
Null
FieldType
Description
Example
AsOfDate
Y
N
Date
‘YYYY-MM-DD’
The as-of date (T-1). Timestamp (at close of business) for the data.
Index
N
N
Unsigned Integer
The index of the VaR scenario (within the VaR P&L vector)
Scenario
Y
N
String
The name of the VaR scenario