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TradeAttributes

Store Field Key CanBeNull Type Cube Field Description
AsOfDate Y N Object [AsOfDate] Indicates the date of the file. The files in this document that contain an AsOfDate column will rely on that AsOfDate when loaded into the ActivePivot datastores. For the files that do not specify this column (whether described in this document or not), the AsOfDate is taken from the directory structure – these files should reside in the appropriate folder (usually ./data/20xx-yy-zz/ … /*.csv).
TradeId Y N String [TradeId] 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).

Example: “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc.
Book N N String [Book] The book to which the trade is mapped. It must match the node in the Book Hierarchy.
LegalEntity N N String [Legal Entity] The legal entity with which the trade is associated. It must match the node in the LegalEntityHierarchy
CounterpartyId N N String [CounterpartyId] The counterparty identifier. Used as a foreign key when counterparty is referenced.

Example: “HSBC Group”, “EBRD”
Notional N N String Measure: [Notional Native] The notional of the trade expressed in native currency.
Trader N N String [Trader] The name of the trader who booked the trade.
Sales N N String [Sales] The name of the salesperson associated with the trade.
InstrumentClass N N String [InstrumentClass] The asset class of the trade.

Example: ‘FX_OPT’, ‘FX_SPOT’, ‘BOND’
InstrumentType N N String [InstrumentType] The type of asset of the trade.

Example: ‘Linear’, ‘Non-linear’, ‘Spot’
TradeDate N N String [TradeDate] The date on which the trade was executed.
MaturityDate N N String [MaturityDate] The maturity date of the trade.
VaRInclusion N Y String [VaR inclusion type] Defines on what basis to include the VaR of this trade:
  • ‘R’ for repricing, from the VaR-ES cube
  • ‘S’ for sensitivity, from the Sensi cube using Taylor VaR methodology