Linear P&L loading
Scenario association with trades
A scenario is associated with a trade only if the AsOfDate, the ObligorID and the Seniority are all the same. This also means scenarios for each day of trading should be loaded prior to the first trade loaded for that day.Data load
At file initialization, the “DRC_SCENARIOS_COUNT*.csv” and the “DRC_LINEAR_SCENARIOS*.csv” files will be extracted, published and loaded first with all of the scenarios being stored in the “DRCScenarios” and the “DRC_SCENARIO_COUNT” datastores. Trades stored in “DRC_Trade_*.csv” files will then be processed next. This ordering is important for the P&L calculation to be correct as the P&L length is determined by the amount of scenarios that exist at trade publish time. When ETL is done live both scenario files and trade files can be loaded though their ordering can cause different behaviors. If trades are published before any scenarios are defined for that trade, the trade will be accepted but the DRC P&L will be interpolated as an empty vector.P&L length
As “DRC_SCENARIOS_COUNT*.csv” are published, on the ETL layer, a cache is populated and updated for P&L sizes. P&L sizes are keyed by the dates associated to them. The cache itself is implemented as a Concurrent Sorted/Navigable Java Map where the keys will be sorted concurrently. This gives P&L loading the advantage of quickly querying the most recent date defined for the P&Ls associated date and getting the appropriate P&L count.Calculation
After the scenarios have been loaded then every trade file, that is subsequently extracted, at publish time will calculate the P&Ls of that trade by querying the “DRCScenarios” Store and the Scenarios Count cache.P&L values
First the Scenarios Count cache is queried for the most recently defined scenario count for the given trades date. If a count is found then the P&L size will be initialized to that count. If a count is not found the P&L size defaults to 0 instead and the P&L will be a empty vector. After the P&L size is determined a query on the “DRCScenarios” store is done to get all the scenarios associated with the trade based on the trade’s asOfDate, obligorID, and seniority. Once a scenarios result is queried each scenario in that result set will be used to calculate the P&L along with the trades Recovery Value and Recovery Rate. Once the calculation is complete the Scenario_ID from the scenario is used as the index to store the P&L value in the P&L vector. For each scenario ID, one of the following calculations is used based on certain conditions and priorities.Conditions
Condition 1 - Scenario ID exceeds the PnL size.
This condition has the highest priority. If the scenario ID of the scenario exceeds the scenario count found then the scenario can not be used to populate the vector. This is assumed to be bad data. No further calculation is done and a warning is logged indicating the scenario was not added.Condition 2 - Premature Default Date
This condition has a higher priority than 3, 4, or 5. A check is performed for the scenario to see if the scenario’s default date is less than the maturity date of the non-securitized trade. If the trade matures on or before the default date the pnl value is 0.Condition 3 - Multiple Recovery Rates
If there is more than 1 recovery rate for a trade then the normal linear interpolation calculation for the P&L value is as follows:* The lower and upper rates/values are found in the IMABaseTable based on the rate where the lowerRate is lower than the scenarioRate and
* similarly the upper rate is higher than the scenarioRate. If none are found the scenario is calculated as 0.
Condition 4 - Single Recovery Rate
If the default date is mature and there is only one rate in the IMA table and the scenario rate is greater than that recovery rate then the P&L defaults to that rates recovery value.Condition 5 - No Recovery Rates
If the default date is mature and there is no recovery rate for a non-securitized trade the P&L value defaults to 0.Non-linear P&L loading
Exceptional Trades that do not use the linear methodology for creating their P&Ls will need to populate the “DRC_SCENARIO_COUNT” datastore before publishing the NonLinear P&L trades. At tuple publish time the vector will be initialized to the scenario_count of the most recent date from the scenarios count cache. If no count is found for the date of the trade the PnL vector defaults to zero. After the vector is initialized, each scenario_id will be populated with the corresponding value in the P&L provided in the initial tuple. Like with Linear P&L loading, if a scenario ID found in the tuple exceeds the scenario count used for initializing the P&L vector then it is ignored and a warning is logged. This is assumed to be bad data.Limitations
Only supports initial scenarios
Because P&L calculations heavily rely on the entire state of the Scenarios Datastore the current implementation does not support users adding more scenarios throughout the day. Only the scenarios that are initially loaded in the day are guaranteed to be used for the PnL calculations. After the initial load of the DRC_Scenarios store and the first trade is loaded expect the following behavior:- If a new scenarios file is added with new scenarios for a day, it will not update the previously calculated P&Ls.
- If a new scenario count file is added with a new scenario count for a day, it will not update the previously calculated P&Ls.