Hi,
My data set has 260 business days, 15 string fields, and 1 numeric field.
Below is a simple example. This is a perfect example that the trade HQLA L1 with CP 1 always occurs every day, but in my data set it's varied. The trade could be matured and not rebooked after a few days. 'm going to use the DoD result to calculate the standard deviation later of the same field combination. How do I calculate the DoD?
| Date | Att1 | Att2 | Att3 | Amount | DoD | | Date | Att1 | Att2 | Att3 | Amount | DoD | | Date | Att1 | Att2 | Att3 | Amount | DoD |
| 31-Oct | Bank 1 | HQLA L1 | CP 1 | 99 | | | 31-Oct | Bank 1 | HQLA L2 | CP 1 | 0 | | | 31-Oct | Bank 1 | HQLA L3 | CP 1 | 49 | |
| 30-Oct | Bank 1 | HQLA L1 | CP 1 | 81 | 18 | | 30-Oct | Bank 1 | HQLA L2 | CP 1 | 12 | -12 | | 30-Oct | Bank 1 | HQLA L3 | CP 1 | 71 | -22 |
| 29-Oct | Bank 1 | HQLA L1 | CP 1 | 59 | 22 | | 29-Oct | Bank 1 | HQLA L2 | CP 1 | 63 | -51 | | 29-Oct | Bank 1 | HQLA L3 | CP 1 | 49 | 22 |
| 28-Oct | Bank 1 | HQLA L1 | CP 1 | 57 | 2 | | 28-Oct | Bank 1 | HQLA L2 | CP 1 | 46 | 17 | | 28-Oct | Bank 1 | HQLA L3 | CP 1 | 92 | -43 |
| 27-Oct | Bank 1 | HQLA L1 | CP 1 | 16 | 41 | | 27-Oct | Bank 1 | HQLA L2 | CP 1 | 68 | -22 | | 27-Oct | Bank 1 | HQLA L3 | CP 1 | 85 | 7 |
| 26-Oct | Bank 1 | HQLA L1 | CP 1 | 83 | -67 | | 26-Oct | Bank 1 | HQLA L2 | CP 1 | 6 | 62 | | 26-Oct | Bank 1 | HQLA L3 | CP 1 | 54 | 31 |
| 25-Oct | Bank 1 | HQLA L1 | CP 1 | 66 | 17 | | 25-Oct | Bank 1 | HQLA L2 | CP 1 | 75 | -69 | | 25-Oct | Bank 1 | HQLA L3 | CP 1 | 50 | 4 |
| 24-Oct | Bank 1 | HQLA L1 | CP 1 | 19 | 47 | | 24-Oct | Bank 1 | HQLA L2 | CP 1 | 46 | 29 | | 24-Oct | Bank 1 | HQLA L3 | CP 1 | 14 | 36 |
| 23-Oct | Bank 1 | HQLA L1 | CP 1 | 49 | -30 | | 23-Oct | Bank 1 | HQLA L2 | CP 1 | 13 | 33 | | 23-Oct | Bank 1 | HQLA L3 | CP 1 | 27 | -13 |
| 22-Oct | Bank 1 | HQLA L1 | CP 1 | 33 | 16 | | 22-Oct | Bank 1 | HQLA L2 | CP 1 | 70 | -57 | | 22-Oct | Bank 1 | HQLA L3 | CP 1 | 25 | 2 |
| 21-Oct | Bank 1 | HQLA L1 | CP 1 | 11 | 22 | | 21-Oct | Bank 1 | HQLA L2 | CP 1 | 87 | -17 | | 21-Oct | Bank 1 | HQLA L3 | CP 1 | 83 | -58 |
| 20-Oct | Bank 1 | HQLA L1 | CP 1 | 44 | -33 | | 20-Oct | Bank 1 | HQLA L2 | CP 1 | 42 | 45 | | 20-Oct | Bank 1 | HQLA L3 | CP 1 | 21 | 62 |
| 19-Oct | Bank 1 | HQLA L1 | CP 1 | 71 | -27 | | 19-Oct | Bank 1 | HQLA L2 | CP 1 | 55 | -13 | | 19-Oct | Bank 1 | HQLA L3 | CP 1 | 36 | -15 |
| 18-Oct | Bank 1 | HQLA L1 | CP 1 | 15 | 56 | | 18-Oct | Bank 1 | HQLA L2 | CP 1 | 32 | 23 | | 18-Oct | Bank 1 | HQLA L3 | CP 1 | 75 | -39 |
| 17-Oct | Bank 1 | HQLA L1 | CP 1 | 1 | 14 | | 17-Oct | Bank 1 | HQLA L2 | CP 1 | 96 | -64 | | 17-Oct | Bank 1 | HQLA L3 | CP 1 | 56 | 19 |
| 16-Oct | Bank 1 | HQLA L1 | CP 1 | 90 | -89 | | 16-Oct | Bank 1 | HQLA L2 | CP 1 | 28 | 68 | | 16-Oct | Bank 1 | HQLA L3 | CP 1 | 10 | 46 |
| 15-Oct | Bank 1 | HQLA L1 | CP 1 | 99 | -9 | | 15-Oct | Bank 1 | HQLA L2 | CP 1 | 17 | 11 | | 15-Oct | Bank 1 | HQLA L3 | CP 1 | 75 | -65 |
| 14-Oct | Bank 1 | HQLA L1 | CP 1 | 33 | 66 | | 14-Oct | Bank 1 | HQLA L2 | CP 1 | 88 | -71 | | 14-Oct | Bank 1 | HQLA L3 | CP 1 | 26 | 49 |
| 13-Oct | Bank 1 | HQLA L1 | CP 1 | 42 | -9 | | 13-Oct | Bank 1 | HQLA L2 | CP 1 | 96 | -8 | | 13-Oct | Bank 1 | HQLA L3 | CP 1 | 45 | -19 |
| 12-Oct | Bank 1 | HQLA L1 | CP 1 | 75 | -33 | | 12-Oct | Bank 1 | HQLA L2 | CP 1 | 36 | 60 | | 12-Oct | Bank 1 | HQLA L3 | CP 1 | 18 | 27 |
| 11-Oct | Bank 1 | HQLA L1 | CP 1 | 47 | 28 | | 11-Oct | Bank 1 | HQLA L2 | CP 1 | 28 | 8 | | 11-Oct | Bank 1 | HQLA L3 | CP 1 | 50 | -32 |
| 10-Oct | Bank 1 | HQLA L1 | CP 1 | 50 | -3 | | 10-Oct | Bank 1 | HQLA L2 | CP 1 | 17 | 11 | | 10-Oct | Bank 1 | HQLA L3 | CP 1 | 24 | 26 |
| 9-Oct | Bank 1 | HQLA L1 | CP 1 | 82 | -32 | | 9-Oct | Bank 1 | HQLA L2 | CP 1 | 78 | -61 | | 9-Oct | Bank 1 | HQLA L3 | CP 1 | 4 | 20 |
| 8-Oct | Bank 1 | HQLA L1 | CP 1 | 67 | 15 | | 8-Oct | Bank 1 | HQLA L2 | CP 1 | 20 | 58 | | 8-Oct | Bank 1 | HQLA L3 | CP 1 | 3 | 1 |
| 7-Oct | Bank 1 | HQLA L1 | CP 1 | 43 | 24 | | 7-Oct | Bank 1 | HQLA L2 | CP 1 | 36 | -16 | | 7-Oct | Bank 1 | HQLA L3 | CP 1 | 63 | -60 |
| 6-Oct | Bank 1 | HQLA L1 | CP 1 | 25 | 18 | | 6-Oct | Bank 1 | HQLA L2 | CP 1 | 53 | -17 | | 6-Oct | Bank 1 | HQLA L3 | CP 1 | 32 | 31 |
| 5-Oct | Bank 1 | HQLA L1 | CP 1 | 100 | -75 | | 5-Oct | Bank 1 | HQLA L2 | CP 1 | 86 | -33 | | 5-Oct | Bank 1 | HQLA L3 | CP 1 | 35 | -3 |
| 4-Oct | Bank 1 | HQLA L1 | CP 1 | 32 | 68 | | 4-Oct | Bank 1 | HQLA L2 | CP 1 | 46 | 40 | | 4-Oct | Bank 1 | HQLA L3 | CP 1 | 74 | -39 |
| 3-Oct | Bank 1 | HQLA L1 | CP 1 | 17 | 15 | | 3-Oct | Bank 1 | HQLA L2 | CP 1 | 47 | -1 | | 3-Oct | Bank 1 | HQLA L3 | CP 1 | 39 | 35 |
| 2-Oct | Bank 1 | HQLA L1 | CP 1 | 52 | -35 | | 2-Oct | Bank 1 | HQLA L2 | CP 1 | 72 | -25 | | 2-Oct | Bank 1 | HQLA L3 | CP 1 | 23 | 16 |
| 1-Oct | Bank 1 | HQLA L1 | CP 1 | 31 | 21 | | 1-Oct | Bank 1 | HQLA L2 | CP 1 | 19 | 53 | | 1-Oct | Bank 1 | HQLA L3 | CP 1 | 74 | -51 |
