PLCube
Download sample file: PLCube.csv
This is the input file for the PL Summary Cube
This PLCube file type is identified using the pattern: **PLCube*.csv (as specified by pnlImportFilePattern).
This file is loaded using the PnLBaseStore topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
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. |
| 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. | |
| RiskFactorType | N | Y | String or list of strings | Type of underlying risk factor. | “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate” |
| RiskFactorCcy | N | Y | String | Three-letter ISO currency code that represents the currency of the risk factor | EUR |
| CurveType | N | Y | String | Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation” | EUR 3 Months |
| Qualifier | N | Y | String | Identifier of a risk factor’s set. | Reference instrument identifier, curve identifier, vol surface identifier, etc. |
| 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. | |
| Desk | N | Y | String | Set to “Y” to identify this node as a desk, otherwise left empty. | |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). |