TRADEPNLS
The TRADEPNLS table contains some of the attributes of the PnL data used as inputs for VaR and ES computations. The PnL vectors are present in the TRADEPNLS_VECTOR table.
| Column Name | Type | Not Null | Cube Field | Description |
|---|---|---|---|---|
| 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. |
|
| TRADE_ID | STRING | Y | Trades | 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. |
| SCENARIO_SET | STRING | Y | Scenario Sets | Name of the scenario set for the PnL vector. |
| CALCULATION_ID | STRING | Y | CalculationIds | Name of the PnL vector calculation run. There may be several runs per AsOfDate. |
| MARKET_DATA_SET | STRING | Y | This field is not currently used | The market data set that should be used when retrieving rates for FX conversion. |
| RISK_FACTOR | STRING | Y | Risk Factors | Underlying risk factor (may be more than one) of the risk class. |
| RISK_CLASS | STRING | Y | Risk Classes | Defines the risk class that the PnL vector is computed for. |
| SENSITIVITY_NAME | STRING | Y | Name of the sensitivity that the PnL is attributed to. | |
| LIQUIDITY_HORIZON | INT | Y | Liquidity Horizons | The Liquidity Horizon in days. This field is optional. |
| CCY | STRING | Y | Currencies | Currency in which the PnL values are expressed. |
| MTM | DOUBLE | The mark-to-market value of the trade. |
Unique Key
| Columns |
|---|
| AS_OF_DATE |
| TRADE_KEY |
| SCENARIO_SET |
| CALCULATION_ID |
| MARKET_DATA_SET |
| RISK_FACTOR |
| LIQUIDITY_HORIZON |
Incoming Joins
| Target Table | Source Columns | Target Columns |
|---|---|---|
| TRADEPNLS_VECTOR | AS_OF_DATE TRADE_KEY SCENARIO_SET CALCULATION_ID MARKET_DATA_SET RISK_FACTOR LIQUIDITY_HORIZON |
AS_OF_DATE TRADE_KEY SCENARIO_SET CALCULATION_ID MARKET_DATA_SET RISK_FACTOR LIQUIDITY_HORIZON |
Outgoing Joins
| Target Table | Source Columns | Target Columns |
|---|---|---|
| TRADE_ATTRIBUTES | AS_OF_DATE TRADE_KEY |
AS_OF_DATE TRADE_KEY |
| RISK_FACTORS_CATALOGUE | AS_OF_DATE RISK_FACTOR |
AS_OF_DATE RISK_FACTOR_ID |