PL VaR vector - Atoti Hub

Download sample file: PL_VaR_Vector.csv This file contains the trade-level P&L values used to calculate the VaR for backtesting. This PL VaR Vector file type is identified using the pattern: **/PL_VaR_Vector*.csv (as specified by pl.var.vector.file-pattern). A sample file is PL_VaR_Vector. This file is loaded using the PLTrades topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.


Field	Key	Null	FieldType	Description	Example
AsOfDate	Y	N	Date[‘YYYY-MM-DD’]	The as-of date (T-1). Timestamp (at close of business) for the data.
TradeId	Y	N	String	The Trade Id
Ccy	N	N	String	The currency of VaR P&L Vector values.
Actual PL	N	N	Double	The Actual P&L value
Hypothetical PL	N	N	Double	The Hypothetical P&L value
Theoretical PL	N	N	Double	The Risk-Theoretical P&L value
PnL	N	N	Vector	VaR P&L Vector values

PL VaR scenario

Stress calibration input files

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