Navigation :
test ../../ test user-ref.html
User & Reference Guide
test ../../ test getting-started.html
Getting started
test ../../ test getting-started/about.html
- Using this guide
test ../../ test getting-started/whats-new.html
- 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
test ../../ test datastore.html
Datastores
test ../../ test datastore/signoffdigest.html
- SignOffDigest
test ../../ test datastore/pnl.html
-
PnL
test ../../ test datastore/sensitivities.html
-
Sensitivities
test ../../ test datastore/vares.html
-
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
test ../../ test dev/dev-release.html
-
Release and migration notes
test ../../ test dev/dev-getting-started.html
-
Getting Started
test ../../ test dev/dev-mr-application.html
-
The Market Risk Application
test ../../ test dev/dev-libraries.html
-
Market Risk Libraries
test ../../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../ test dev/dev-whatif.html
-
What-If
test ../../ test pdf-guides.html
PDF Guides
TradePnL
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.
ScenarioSet
Y
N
String
[ScenarioSet]
The name of the scenario set for the PnL vector. Example: “Historical”, “Stress”.
CalculationID
Y
N
String
[CalculationId]
The name of the PnL vector calculation run. There may be several runs per AsOfDate.
RiskFactor
Y
N
String
[RiskFactor]
The 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.
RiskClass
N
N
String
[RiskClass]
The risk factor’s asset class:Interest rate Credit spread Foreign exchange Equity Commodity Hybrid
RiskFactorType
N
N
String
[RiskFactorType]
The type of the underlying risk factor.
LiquidityHorizon
N
N
Int
[LiquidityHorizon]
The Liquidity Horizon in days. This field is optional.
Ccy
N
N
String
[Ccy]
The currency in which the PnL values are expressed.
PnL[]
N
Y
Double[]
Measure: [PnLVectorExpand]
The vector of profit and loss values.