Download sample file: StressCalibration_IR_Trades.csv This Stress Calibration PL Trades file type is identified using the pattern: **/StressCalibration_*_Trades*.csv (as specified by stress-calibration.trades.file-pattern). A sample file isDocumentation Index
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StressCalibration_IR_Trades. This file is loaded using the StressCalibration_Trades topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
| Field | Key | Null | FieldType | Description | Example |
| RiskFactorSet | Y | Y | String | For modellable risk-factors, Full or Reduced. For non-modellable risk-factors, leave blank. | |
| TradeId | Y | N | String | The trade Id | |
| RiskFactor | Y | Y | String | The risk factorNote This is required for non-modellable risk-factors, but may be blank for modellable risk-factors. | |
| RiskClass | Y | N | String | The risk class, which will be one of the following:GIRR, CSR, Equity, Commodity, FX, allin | |
| LiquidityHorizon | Y | Y | Integer | The Liquidity Horizon in days: 10, 20, 40, 60, or 120Note For non-modellable risk-factors, this value should be blank (though it may be set to 10 without causing any problems).The ETL will ensure that there are no gaps in the liquidity horizon. If there is a gap in the file, the ETL will copy the liquidity horizon from the next highest P&L vector. For example, if a liquidity horizon of 40 is supplied, but 20 and 10 are not included, then the gap-filling will copy the P&L vector from the liquidity horizon of 40 to 20 and 10. | |
| Currency | N | N | String | The currency in which the PnL vector is expressed. | |
| PV | N | N | Double | 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 | N | Date ‘YYYY-MM-DD’ | Timestamp (at close of business) for the data. | |
| Base PV | N | Y | Double | The PV for the base scenario. If this value is not provided, then the PV vector becomes the P&L vector. |