StressCalibrationTrades

The StressCalibrationTrades store holds the trade-level data used by the Stress Calibration cube, including the risk-factor set, risk class, liquidity horizon and the historical PV vector for each trade.

Store Field	Key	Type	Cube Field	Description
RiskFactorSet	Y	String	Risk Factors Set	The risk factor set to which the entry belongs (Full or Reduced). For non-modellable risk-factors, this value should be blank.
TradeId	Y	String	TradeId	The trade Id.
RiskFactor	Y	String	RiskFactor	The risk factor. 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
LiquidityHorizon	Y	Int	Liquidity Horizon	The Liquidity Horizon in days: 10, 20, 40, 60 or 120. For non-modellable risk-factors, this value should be blank (though it may be set to 10 without causing any problems). To ensure correct results, if a particular Liquidity Horizon is specified, then all lower Liquidity Horizons must also be included. So, for example, for Trade Id and Risk Class, if 40 is available, then 20 and 10 must be available as well.
Ccy	Y	String	Currency	The currency of the store.
Base PV		Double	This field is a measure	The base PV.
PV		Double[]	This field is a measure	The historical PV vector. The entries in this vector represent the PV for each historical date. 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]	Date	Timestamp (at close of business) for the data.

The P&L vector is calculated by subtracting the base PV from each entry in the PV vector.