The TRADEPNLS_VECTOR table contains the PnL vectors used as inputs for VaR and ES computations. This table is created when using a database that does not support native vector aggregation. If vector aggregation is supported, the PnL vector is stored as an array in the TRADEPNLS table.Documentation Index
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| Column Name | Type | Not Null | Cube Field | Description |
|---|---|---|---|---|
| VECTOR_INDEX | INT | Y | Index in the PnL vector. | |
| 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. | |
| 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. |
| PNL_VECTOR | DOUBLE | Y | PnL value corresponding to the index. |
Unique Key
| Columns |
|---|
| VECTOR_INDEX |
| AS_OF_DATE |
| TRADE_KEY |
| SCENARIO_SET |
| CALCULATION_ID |
| MARKET_DATA_SET |
| RISK_FACTOR |
Outgoing Joins
| Target Table | Source Columns | Target Columns |
|---|---|---|
| TRADEPNLS | 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 |