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Trade PnL

Download sample file: TradePnLs.csv

The calculation of VaR and similar measures (Marginal VaR, Expected Shortfall) form the backbone of the Market Risk Accelerator.

Input data consists of trade-level/position-level vectors of PnL simulations. The reference data model proposes a breakdown by risk factor - which may or may not be used - and a single set of PnLs per trade.

File pattern match

The pattern match for the TradePnL file is: **TradePnLs*.csv

For information on the glob patterns used and how to customize them, see note on File name patterns.

Field	Key	Null	FieldType	RiskClass	Description	Example
AsOfDate	Y	N	String with format ‘YYYY-MM-DD’		Indicates the date of the file. See Note on AsOfDate.
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.
ScenarioSet	Y	N	String		Name of the scenario set for the PnL vector.	“Historical”, “Stress”
CalculationId	Y	N	String		Name of the PnL vector calculation run. There may be several runs per AsOfDate.
RiskFactor	Y	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.
				GIRR	Name of underlying curve (e.g. UsdLibor3m).
				Credit	Name of issuer credit spread curve plus basis (Bond or CDS), or issuer tranche
				Equity	Name of equity plus type (spot or repo) (e.g.“IBM_SPOT”).
				Commodity	Unique commodity name should include commodity name, grade, and delivery time
				FX	Currency pair or the currency against the reporting currency.
RiskClass	N	N	String		Defines the risk class that the PnL vector is computed for.
				GIRR	“GIRR”
				Credit	“CSR” and other credit risks.
				Equity	“Equity”
				Commodity	“Commodity”
				FX	“FX”
SensitivityName	N	Y	String		Name of the sensitivity that the PnL is attributed to.	“Delta”
LiquidityHorizon	N	Y	Integer		The Liquidity Horizon in days. This field is optional.	10, 20, 40, 60, 120
Ccy	N	N	String		Currency in which the PnL values are expressed.
PnL[]	N	N	Double Array, separated by semicolons		Vector of profit and loss values.