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PnL Cube

The PnL Component of the Market Risk Accelerator aims to facilitate P&L analysis next to sensitivities and VaR, as well as comparison between types and P&L time series.

Methodology

P&L data that feed the PnL cube are delivered at trade and risk factor level.

The input data fields contain, among other attributes, the following ones specific to the PnL cube:

  • P&L type (e.g. Flash, Actual, Risk-Theoretical): can take any value present in the input data. You can use any custom value that is needed here.

  • P&L Driver (e.g. Market Moves, New Trades): populated by upstream P&L systems and indicates why the P&L values changed. This field can also take any custom value provided in the input data.

Optionally, cumulated Monthly, Yearly, and Lifetime P&L values can be delivered MtD by upstream P&L systems.

You can build views from the PnL cube to make side-by-side comparisons between different P&L types (for instance to compare Flash P&L to Actual P&L). Additionally, views from the MRA Combined Cube can be built to display in a single view P&L measures defined in the PnL cube together with VaR measures defined in the VaR-ES Cube.

Default data model

Input Files

Out of the box, the Market Risk Accelerator works with a predefined file format, CSV. If you produce your data in this format, you can load and use the Accelerator with no customizations needed. However, you can edit and configure the Accelerator to work with any format or file, database, source, and so on, that Atoti+ is compatible with.

Sample CSV input files are included in the source distribution. These files are loaded when testing the MR application and provide examples of each of the file types.

For full details of the input files, see Input file formats in the Cube Reference Guide.

In addition to loading data from a local CSV file, the Market Risk Accelerator supports loading CSV-formatted data from Azure, given the correct information and credentials are provided.

Datastore definition

Datastore tables

For a full description of the fields in each store and how they map to the cube fields, see PnL datastore definitions in the Cube Reference Guide.

Cube dimensions and measures

For a full description of the dimensions and measures provided in the Accelerator of the PnL cube, see the Cube Reference Guide.