> ## Documentation Index
> Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
> Use this file to discover all available pages before exploring further.

# Measures

Both Cubes share the same measures which are seamlessly tied together within the [FRTBCombinedCube](../../../cube/measures/frtbcombined/index).

## Common Measures

| Measure                           | Description                                                                                                                            |
| --------------------------------- | -------------------------------------------------------------------------------------------------------------------------------------- |
| **VaR PL**                        | A technical vector-valued measure from the **PL** field in the input files (after currency conversion).                                |
| **VaR PL Expand**                 | VaR PL Vector expanded along the **Scenario** analysis hierarchy.                                                                      |
| **Hypothetical PL**               | From input file (after currency conversion).                                                                                           |
| **Actual PL**                     | From input file (after currency conversion).                                                                                           |
| **Theoretical PL**                | From input file (after currency conversion).                                                                                           |
| **Unexplained PL**                | Difference between Theoretical PL and Hypothetical PL.                                                                                 |
| **VaR 99**                        | The value-at-risk with 99% confidence level [^9].                                                                                      |
| **VaR 97.5**                      | The value-at-risk with 97.5% confidence level.                                                                                         |
| **VaR 99 (previous day)**         | VaR 99 of previous day (T-2).                                                                                                          |
| **VaR 97.5 (previous day)**       | VaR 97.5 of previous day (T-2).                                                                                                        |
| **ES 99**                         | The Expected Shortfall with 99% confidence level.                                                                                      |
| **ES 97.5**                       | The Expected Shortfall with 97.5% confidence level.                                                                                    |
| **p-value (Actual)**              | p value for Actual PL given PL Vector input as distribution.                                                                           |
| **p-value (Hypothetical)**        | p value for Hypothetical PL given PL Vector input as distribution.                                                                     |
| **Exception 99 (Actual)**         | Exception at 99% confidence level for Actual P\&L<br />\* 1 if Actual PL \< VaR 99 (previous day)<br />\*  0 otherwise                 |
| **Exception 99 (Hypothetical)**   | Exception at 99% confidence level for Hypothetical P\&L<br />\* 1 if Hypothetical PL \< VaR 99 (previous day)<br />\* 0 otherwise      |
| **Exception 97.5 (Actual)**       | Exception at 97.5% confidence level for Actual P\&L<br /> \* 1 if Actual PL \< VaR 97.5 (previous day)<br />\* 0 otherwise             |
| **Exception 97.5 (Hypothetical)** | Exception at 97.5% confidence level for Hypothetical P\&L <br />\* 1 if Hypothetical PL \< VaR 97.5 (previous day)<br />\* 0 otherwise |
| **Outlier 99**                    | MAX(Exception 99 (Actual), Exception 99 (Hypothetical)).                                                                               |
| **Outlier 97.5**                  | MAX(Exception 97.5 (Actual), Exception 97.5 (Hypothetical)).                                                                           |

## FRTBCombinedCube Measures

### For PL Attribution Tests

| Measure                            | Description                                                                |
| ---------------------------------- | -------------------------------------------------------------------------- |
| **Spearman Correlation Metric**    | The correlation between RTPL and HPL.                                      |
| **Kolmogorov-Smirnov Test Metric** | The similarity of the distributions of RTPL and HPL.                       |
| **Hypothetical PL Lookback**       | The Hypothetical PL values expanded along the Lookback analysis hierarchy. |
| **Theoretical PL Lookback**        | The Theoretical PL values expanded along the Lookback analysis hierarchy.  |
| **Variance Hypothetical PL**       | The Variance of historical Hypothetical PL data.                           |

### For Backtesting

| Measure                                 | Description                                                                                                 |
| --------------------------------------- | ----------------------------------------------------------------------------------------------------------- |
| **Exception 99 Count (Actual)**         | The number of Exceptions at the 99% confidence level over the past year using Actual PL.                    |
| **Exception 97.5 Count (Actual)**       | The number of Exceptions at the 97.5% confidence level over the past year using Actual PL.                  |
| **Exception 99 Dates (Actual)**         | An array of dates of the Exceptions at the 99% confidence level over the past year using Actual PL.         |
| **Exception 97.5 Dates (Actual)**       | An array of dates of the Exceptions at the 97.5% confidence level over the past year using Actual PL.       |
| **Exception 99 Count (Hypothetical)**   | The number of Exceptions at the 99% confidence level over the past year using Hypothetical PL.              |
| **Exception 97.5 Count (Hypothetical)** | The number of Exceptions at the 97.5% confidence level over the past year using Hypothetical PL.            |
| **Exception 99 Dates (Hypothetical)**   | An array of dates of the Exceptions at the 99% confidence level over the past year using Hypothetical PL.   |
| **Exception 97.5 Dates (Hypothetical)** | An array of dates of the Exceptions at the 97.5% confidence level over the past year using Hypothetical PL. |
| **Exception 99 Count**                  | MAX(Exception 99 Count (Actual) , Exception 99 Count (Hypothetical)).                                       |
| **Exception 97.5 Count**                | MAX(Exception 97.5 Count (Actual), Exception 97.5 Count (Hypothetical)).                                    |

### Extras

| Measure                | Description                                                                |
| ---------------------- | -------------------------------------------------------------------------- |
| **Outlier 97.5 Count** | The number of Exceptions at the 97.5% confidence level over the past year. |
| **Outlier 99 Count**   | The number of Exceptions at the 99% confidence level over the past year.   |

[^9]: Calculated by taking the quantile of the VaR PL Vector