Stress calibration scenarios

Download sample file: StressCalibration_Scenarios.csv This Stress Calibration Scenarios file type is identified using the pattern: **/StressCalibration_Scenarios*.csv (as specified by stress-calibration.scenarios.file-pattern). A sample file is StressCalibration_Scenarios. This file is loaded using the StressCalibrationScenarios topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.


Field	Key	Null	FieldType	Description	Example
Type	Y	N	String	For IMCC this is the risk-factor set (“Full” or “Reduced”). For SES (NMRF), this is the risk-class.
Index	N	N	Integer	The index in the vector representing the PnL - the first element has index 0.
Scenario	Y	N	String	The string representing the scenario corresponding to the index - for this reason, it is expected that the value of ‘Scenario’ should be distinct for each line in the input file.
AsOfDate	Y	N	Date ‘YYYY-MM-DD’	Timestamp (at close of business) for the data.

Stress calibration scenario FX rates

Tutorials

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