Trade Attributes

Download sample file: TradeAttributes.csv

To perform the mapping between the parent/child relationship and market data, Market Risk Accelerator expects a minimum number of trade attributes.

This Trade Attributes file type is identified using the pattern: **TradeAttributes*.csv (as specified by tradeAttributesFilePattern). This file is loaded using the TradeAttributes 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 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.
Book N Y String Book to map the trade to (must match the node in the Book Hierarchy).
LegalEntity N Y String Legal Entity to map the trade to (must match the node in the Legal Entity Hierarchy). See Legal Entity Parent Child Input File Format
CounterpartyId N Y String Counterparty to map the trade to (must match the node in the Counterparty Hierarchy).See Counterparty Parent Child File Format
Notional N Y Double Notional of the trade/position.
NotionalCcy N Y String Currency of the notional trade.
Trader N Y String Trader who performed the trade.
Sales N Y String Salesperson who performed the sale of the trade (if applicable).
InstrumentClass N Y String Highest level of instrument classification. “Equity”, “Rates”, “Forex”
InstrumentType N Y String Main instrument classification. “IRSWAP”, “Loan”, “Bond”
InstrumentSubType N Y String Sub-level of instrument classification. “XCCY-BASIS”, “Overnight”, “Gilt”
TradeDate N Y String with format ‘YYYY-MM-DD’ Date the trade was made.
MaturityDate N Y String with format ‘YYYY-MM-DD’ Maturity date of the trade.
VaRInclusionType N Y String Defines on what basis to include the VaR of this trade:
  • ‘R’ for repricing
  • ‘S’ for sensitivity,
“R”, “S”