| Store Field | Key | CanBeNull | Type | Cube Field | Description |
|---|---|---|---|---|---|
| DataSet | Y | String | Data Set | The data set to which the entry belongs. The following different values are possible:“Full Set Current”: data for the last 12 months, “Reduced Set Stressed”: data with the reduced set of risk factors for the 12-month stress period, “Reduced Set Current”: data with the reduced set of risk factors for the last 12 months For non-modellable risk-factors, this value should be blank. | |
| TradeKey | Y | String | This field is for internal usage only | The field contains the tradeID for full data or Book#LegalEntity for summary data | |
| TradeId | String | TradeId | The trade Id. | ||
| RiskFactor | Y | String | RiskFactor | The risk-factor. Note: This is required for non-modellable risk-factors, and optional for modellable risk-factors. | |
| RiskClass | Y | String | RiskClass | The risk class, which will be one of the following:GIRR, CSR, Equity, Commodity, FX, allin | |
| PL_HL | Y | String | Liquidity Horizon | The Liquidity Horizon in days: 10, 20, 40, 60 or 120 Note: For non-modellable risk-factors, this value should be blank (though it may be set to 10 without causing any problems). The list must contain all the referring horizons, for instance for a horizon of 40 you must specify “40;20;10”. | |
| Ccy | String | Currency | The currency of the PnL vector entries. | ||
| Base PV | Double | This field is a measure | The base PV. | ||
| PV | Double[] | This field is a measure | The PV vector calibrated for 12 months’ worth of data. The entries in this vector represent the PV for each scenario. The values are separated by a semi-colon. This vector may optionally represent the P&L vector by setting the base PV to zero. | ||
| AsOfDate | Y | LOCALDATE[yyyy-mm-dd] | AsOfDate | Timestamp (at close of business) for the data. |
IMATrades
The P&L vector is calculated by subtracting the base PV from each entry in the PV vector.