Navigation :
test ../../ test user-ref.html
User & Reference Guide
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Getting started
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- Using this guide
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- What's New
test ../../ test getting-started/data-model.html
- Market Risk Data Model
test ../../ test dashboards.html
Dashboards
test ../../ test what-if.html
What-If Analysis
test ../../ test limits.html
Limit monitoring
test ../../ test sign-off.html
Sign-Off Approvals
test ../../ test calculations.html
Calculations Guide
test ../../ test configuration.html
Configuration files
test ../../ test cube.html
Cube Reference
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Datastores
test ../../ test datastore/signoffdigest.html
- SignOffDigest
test ../../ test datastore/pnl.html
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PnL
test ../../ test datastore/sensitivities.html
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Sensitivities
test ../../ test datastore/vares.html
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VaR-ES datastore definitions
test ../../ test datastore/vares/trade-pnl.html
-- TradePnL
test ../../ test datastore/vares/trade-attributes.html
-- TradeAttributes
test ../../ test datastore/vares/fxrates.html
-- FxRates
test ../../ test datastore/vares/quantiles.html
-- Quantiles
test ../../ test datastore/vares/roundingmethods.html
-- RoundingMethods
test ../../ test datastore/vares/scenarios.html
-- Scenarios
test ../../ test datastore/vares/bookparentchild.html
-- BookParentChild
test ../../ test datastore/vares/bookhierarchy.html
-- BookHierarchy
test ../../ test datastore/vares/legalentityparentchild.html
-- LegalEntityParentChild
test ../../ test datastore/vares/counterpartyparentchild.html
-- CounterpartyParentChild
test ../../ test datastore/vares/legalentityhierarchy.html
-- LegalEntityHierarchy
test ../../ test datastore/vares/counterpartyhierarchy.html
-- CounterpartyHierarchy
test ../../ test datastore/vares/counterparty.html
-- Counterparty
test ../../ test datastore/vares/country.html
-- Country
test ../../ test input-files.html
Input file formats
test ../../ test dev.html
Developer Guide
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Release and migration notes
test ../../ test dev/dev-getting-started.html
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Getting Started
test ../../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../../ test dev/dev-libraries.html
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Market Risk Libraries
test ../../ test dev/dev-extensions.html
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Extending the Accelerator
test ../../ test dev/dev-tools.html
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Configuring Accelerator tools and methodologies
test ../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../ test dev/dev-whatif.html
-
What-If
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PDF Guides
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