☰
Navigation :

SA ETL for DRC

This page covers the ETL specifics for the DRC files. It provides an overview of ETL for DRC, starting with a dataflow diagram for DRC.

It also provides a table showing the fields that are included in each row of a DRC CSV Input Data file, indicating which Stores these fields are copied to during the ETL process.

Additionally, it shows which are the key fields for vector creation and which fields have the potential to be populated with vectors, as opposed to always containing scalar values.

Dataflow Diagram

DRC
DRC files SA etl dataflow diagram

Vectorisation and Interpolation

No vectorisation is used within the ETL procedure for DRC; therefore no interpolation is required either.

Normalisation

DRC-relevant Stores

The stores that are relevant for DRC are:

Stores
TradeBase Store
DRCBase Store
Tranche Store
Obligor Store

 

Mapping SA DRC CSV file fields onto the stores that they populate

Field from CSV file TradeBase Store DRCBase Store Tranche Store Obligor Store
AsOfDate checkmark icon(AsOfDate) checkmark icon(AsOfDate) ![checkmark icon](../../Resources/Image s/check.png)(AsOfDate) checkmark icon(AsOfDate)
TradeId checkmark icon(TradeId) checkmark icon(TradeId)
RiskClass checkmark icon(RiskClass) checkmark icon(RiskClass)
ObligorId checkmark icon(ObligorId) checkmark icon(ObligorId)
ObligorCategory checkmark icon(ObligorCategory)
InstrumentType checkmark icon(Instrument LGD Type)
Seniority checkmark icon(Seniority)
Direction checkmark icon(Direction)
Maturity checkmark icon(Maturity)
Rating checkmark icon(Rating)
Notional checkmark icon(Notional)
MarketValue checkmark icon(MarketValue)
GrossJTD checkmark icon(GrossJTD)
GrossJTDCcy checkmark icon(GrossJTDCcy)
Tranche checkmark icon(Tranche)
Region checkmark icon(Region)
AssetClass checkmark icon(AssetClass)
Attachment checkmark icon(Attachment)
Detachment checkmark icon(Detachment)

Column Calculators and Tuple Publishers

No Column Calculators are used within the ETL procedure for DRC.

 

The Tuple Publisher and Publisher Classes

The function of the TuplePublisher and its associated Publisher classes is to separate data in the incoming file row according to relevance to particular stores and applying ETL logic to incoming rows.

The publishers that are employed, together with their descriptions, can be found within the following table:

Tuple Publisher Class Publisher Class Function
DefaultRiskChargeTuplePublisher - It creates tuples to be published by TranchePublisher and ObligorPublisher
- In the process, it converts the ObligorCategory from the incoming field into a list of canon values defined in FRTBConstants
- It then creates and publishes tuples into the DRCBase store and TradeBase store (no particular logic applied)
Tranch Publisher - The supertype is StaticDataPublisher.
- This publisher takes the incoming rows and commits them into the Tranche Store, after removing fully duplicated rows (all fields equal between two rows). No other logic applied
ObligorPublisher - The supertype is StaticDataPublisher.
- This publisher takes the incoming rows and commits them into the Obligor Store, after removing fully duplicated rows (all fields equal between two rows). No other logic applied.