TRADEPNLS - Atoti Hub

The TRADEPNLS table contains some of the attributes of the PnL data used as inputs for VaR and ES computations. If you are using a database that does not support native vector aggregation, the PNL_VECTOR field is omitted and the vectors are present in the TRADEPNLS_VECTOR table.

Column Name	Type	Not Null	Cube Field	Description
AS_OF_DATE	DATE	Y		Timestamp (at close of business) for the data.
TRADE_KEY	STRING	Y		The field contains the `tradeID` for full data or `Book#VaR Inclusion` for summary data.
TRADE_ID	STRING	Y	Trades	If TradeId comes from multiple systems you may need to prepend source system to the ID for uniqueness. Note that in certain cases, the TradeId could be for adjustment purposes. In such cases we might only have one PnL vector per Book or desk. The TradeId should contain this information clearly (ADDON or ADJ). Example: “ADDON_IR_IRSWAP_LIBOR3M”, “ADJ_EQ_12345677”, etc.
SCENARIO_SET	STRING	Y	Scenario Sets	Name of the scenario set for the PnL vector.
CALCULATION_ID	STRING	Y	CalculationIds	Name of the PnL vector calculation run. There may be several runs per AsOfDate.
MARKET_DATA_SET	STRING	Y	This field is not currently used	The market data set that should be used when retrieving rates for FX conversion.
RISK_FACTOR	STRING	Y	Risk Factors	Underlying risk factor (may be more than one) of the risk class.
RISK_CLASS	STRING	Y	Risk Classes	Defines the risk class that the PnL vector is computed for.
SENSITIVITY_NAME	STRING	Y		Name of the sensitivity that the PnL is attributed to.
CCY	STRING	Y	Currencies	Currency in which the PnL values are expressed.
MTM	DOUBLE			The mark-to-market value of the trade.
PNL_VECTOR	`ARRAY<DOUBLE>`			The PnL vector for the trade. This field is omitted if the database does not support native vector aggregation.

Unique Key

Columns
AS_OF_DATE
TRADE_KEY
SCENARIO_SET
CALCULATION_ID
MARKET_DATA_SET
RISK_FACTOR

Incoming Joins

Target Table	Source Columns	Target Columns
TRADEPNLS_VECTOR	AS_OF_DATE TRADE_KEY SCENARIO_SET CALCULATION_ID MARKET_DATA_SET RISK_FACTOR	AS_OF_DATE TRADE_KEY SCENARIO_SET CALCULATION_ID MARKET_DATA_SET RISK_FACTOR

Outgoing Joins

Target Table	Source Columns	Target Columns
TRADE_ATTRIBUTES	AS_OF_DATE TRADE_KEY	AS_OF_DATE TRADE_KEY
RISK_FACTORS_CATALOGUE	AS_OF_DATE RISK_FACTOR	AS_OF_DATE RISK_FACTOR_ID