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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).
TradeKey Y N String This field is for internal use only The field contains the tradeID for full data or Book#VaR Inclusion for summary data.
TradeId N Y 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 Y 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.
MTM N Y Double Measure: [MTM] The mark-to-market value of the trade.
PnL[] N Y Double[] Measure: [PnLVectorExpand] The vector of profit and loss values.