Download sample file: VaR-ES Cube.csv This is the input file for the VaR-ES Summary Cube This VaR-ES Cube file type is identified using the pattern: **VaR-ES Cube*.csv (as specified byDocumentation Index
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mr.var.file-patterns.var-import).
This file is loaded using the BaseStore topic. See the Topic Aliases table for an understanding of the topic aliases associated with each topic.
For information on the glob patterns used and how to customize them, see note on File name patterns
| Field | Key | Null | FieldType | Description | Example |
|---|---|---|---|---|---|
| AsOfDate | Y | N | String with format ‘YYYY-MM-DD’ | Indicates value date. | 2019-01-01 |
| CalculationId | Y | N | String | Name of the PnL vector calculation run. There may be several runs per AsOfDate. | |
| RiskClass | N | N | String | Risk factor’s asset class: “Interest rate”, “Credit spread”, “Foreign exchange”, “Equity”, “Commodity”, “Hybrid”. | Equity |
| MarketDataSet | Y | N | String | The market data set that should be used when retrieving rates for FX conversion. | Official EOD |
| RiskFactor | N | N | String | Underlying risk factor (may be more than one) of the risk class.It is expected that the risk factor name encompasses the definition of the risk factor per the FRTB specification (paragraphs 59-66) or remains as close as possible to this regulation. This field is mandatory. | |
| Scenario Set | Y | N | String | Name of the set of scenarios. | “Historical”, “Stress” |
| RiskFactorType | N | Y | String or list of strings | Type of underlying risk factor. | “implied rate”, “repo margin”, “currency pair”, “skew parameter”, “correlation parameter”, “recovery rate” |
| RiskFactorCcy | N | Y | String | Three-letter ISO currency code that represents the currency of the risk factor | EUR |
| CurveType | N | Y | String | Only populated if the risk class is a rates curve, otherwise left blank. Specifies the type of the curve. For example, “Interest rate”, “Tenor basis” or “Inflation” | EUR 3 Months |
| Qualifier | N | Y | String | Identifier of a risk factor’s set. | Reference instrument identifier, curve identifier, vol surface identifier, etc. |
| Ccy | N | N | String | Currency of the sensi value | |
| Desk | N | Y | String | Set to “Y” to identify this node as a desk, otherwise left empty. | |
| Book | N | Y | String | Book to map the trade to (must match the node in the Book Hierarchy). | |
| TradeId | Y | N | String | 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). | “IR_IRSWAP_LIBOR3M”, “EQ_12345677”, etc. |