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TRADEPNLS_VECTOR
The TRADEPNLS_VECTOR table contains the PnL vectors used as inputs for VaR and ES computations.
| Column Name |
Type |
Not Null |
Cube Field |
Description |
| VECTOR_INDEX |
INT |
Y |
|
Index in the PnL vector. |
| AS_OF_DATE |
DATE |
Y |
|
Timestamp (at close of business) for the data. |
| TRADE_KEY |
STRING |
Y |
|
The field contains the tradeID for full data or Book#VaR Inclusion for summary data. |
| SCENARIO_SET |
STRING |
Y |
[Risk].[Scenario Sets] |
Name of the scenario set for the PnL vector. |
| CALCULATION_ID |
STRING |
Y |
[Risk].[CalculationIds] |
Name of the PnL vector calculation run. There may be several runs per AsOfDate. |
| RISK_FACTOR |
STRING |
Y |
[Risk].[Risk Factors] |
Underlying risk factor (may be more than one) of the risk class. |
| LIQUIDITY_HORIZON |
INT |
Y |
[Risk].[Liquidity Horizons] |
The Liquidity Horizon in days. This field is optional. |
| PNL_VECTOR |
DOUBLE |
Y |
|
PnL value corresponding to the index. |
Unique Key
| Columns |
| VECTOR_INDEX |
| AS_OF_DATE |
| TRADE_KEY |
| SCENARIO_SET |
| CALCULATION_ID |
| RISK_FACTOR |
| LIQUIDITY_HORIZON |
Outgoing Joins
| Target Table |
Source Columns |
Target Columns |
| TRADEPNLS |
AS_OF_DATE
TRADE_KEY
SCENARIO_SET
CALCULATION_ID
RISK_FACTOR
LIQUIDITY_HORIZON
|
AS_OF_DATE
TRADE_KEY
SCENARIO_SET
CALCULATION_ID
RISK_FACTOR
LIQUIDITY_HORIZON
|