Market Risk Accelerator Reference Guide v2.0.0Scenarios
Download sample file: Scenarios.csv
File pattern match
The pattern match for the DynamicTenors file is **Scenarios*.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 the date of the file. See Note on AsOfDate. | |
| ScenarioSet | Y | N | String | Name of the set of scenarios. | “Historical”, “Stress” |
| Index | Y | N | Integer | Pointer to position in the PnL[] vector for that Scenario. Values range from 0 to the total number of scenarios in the given scenario set. Note: The index must start at 0 for each ScenarioSet. | 0 to 499 for a PnL[] vector of 500 values of historical scenarios |
| Scenario | N | N | String | Name of the scenario for that Index. For historical scenarios, this could be the date. For stress simulations, it could be the name of the particular event. | “Black Monday 2007” |