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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 Atoti Server 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.
Daily N N Double Measure: DTD PnL Native The DTD PnL value.
Type Y N String Type The type of PnL.

Example: ‘Actual PL’
PLDriver N N String PLDriver Driver for the PnL value.

Example: ‘Market moves’
IsFullReval N N String IsFullReval Indicates whether the PnL comes from a full revaluation in the risk engine.
Ccy N N String Ccy The currency of the PnL value.
RiskFactor Y Y 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 Y String RiskClass The risk factor’s asset class:
  • Interest rate
  • Credit spread
  • Foreign exchange
  • Equity
  • Commodity
  • Hybrid
Bucket N Y String Bucket Placeholder for a set of risk factors that are grouped together by common characteristics.

Product Control Additional Fields

Store Field Key CanBeNull Type Cube Field Description
Monthly N N Double Measure: MTD PnL Native The MTD PnL value.
Yearly N N Double Measure: YTD PnL Native The YTD PnL value.
Lifetime N N Double Measure: LTD PnL Native The LTD PnL value.