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StressCalibrationTrades

Store Field Key CanBeNull Type Cube Field Description
RiskFactorSet Y String Risk Factors Set The risk factor set to which the entry belongs (Full or Reduced).
For non-modellable risk-factors, this value should be blank.
TradeId Y 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
LiquidityHorizon Y Int 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).

To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.
Ccy Y String Currency The currency of the store.
Base PV Double This field is a measure The base PV.
PV Double[] This field is a measure 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 LOCALDATE[yyyy-mm-dd] Date 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.