Market Risk Accelerator Reference Guide v2.0.0Profit & Loss without Product Control fields
Download sample file: PLActuals.csv
File pattern match
The pattern match for the Profit & Loss file is: **PLActuals*.csv
For information on the glob patterns used and how to customize them, see note on File name patterns.
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date. | 2019-01-01 |
| TradeID | Y | N | String | If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |
| Daily | N | N | Double | P&L | |
| Type | Y | N | String | Type of P&L | ‘Actual PL’ |
| PLDriver | N | Y | String | Driver for the P&L value | ‘Market moves’ |
| IsFullReval | N | Y | String | Flag to indicate whether the P&L comes from a full revaluation in the risk engine. ‘Y’ or ‘N’. | |
| Ccy | N | N | String | Currency of the P&L value | |
| RiskFactor | N | N | String | Underlying risk factor (may be more than one) of the risk class.It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. This field is mandatory. | |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| Bucket | N | Y | String | Placeholder for FRTB bucket of the risk factor. |