SA ETL for SBM Curvature

This topic covers the ETL specifics for the Curvature files. It provides an overview of ETL for SBM Curvature, starting with a dataflow diagram for SBM Curvature. A table shows you the fields included in each row of a Curvature CSV Input Data file, indicating which stores these fields are copied to during the ETL process.

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

Dataflow diagram

Vectorization

The following table provides information about the vectors employed within the Curvature CSV Input files for each risk class:

Risk Class	Vector Information
- GIRR	Curvature shocked prices; the indices of the vectors are the risk weights.
- CSR non-Sec
- CSR Sec CTP
- CSR Sec non-CTP
- Equity
- Commodity
- FX

PublisherUtils vectorization methods 

For Curvature, two sets of vectors are created:

Shift Up	Shift Down
[shift up risk weights]+[sensitivities]	[shift down risk weights]+[sensitivities]

Shift Up Risk Weights and Sensitivities

The PublisherUtils methods used for Shift Up Risk Weights and Sensitivities are described in the table below:

Methods	Parameters	Description
PublisherUtils.buildVectorSensitivityAndCurrencyMaps	- tuples - publisherDataStructures - shiftUpIndexes - context	These build maps based on key fields in the input file format (as of date, trade id, risk factor). The lowest level map is of the form RiskWeight -> Sensitivity. The key fields for vector creation and the vector fields themselves are shown in Mapping of SBM Curvature CSV file fields onto the stores that they populate.
PublisherUtils.buildVectorInterpolatedAndBaseTupleCurvatureMaps	- publisherDataStructures - publisherDataStructures2 - context - parameterRetriever

Shift Down Risk Weights and Sensitivities

The PublisherUtils methods used for Shift Down Risk Weights and Sensitivities are described in the table below:

Method	Parameters	Description
PublisherUtils.buildVectorSensitivityAndCurrencyMaps	- tuples - publisherDataStructures2 - shiftDownIndexes - context	These build maps based on key fields in the input file format (as of date, trade id, risk factor). The lowest level map is of the form RiskWeight -> Sensitivity. The key fields for vector creation and the vector fields themselves are shown in Mapping of SBM Curvature CSV file fields onto the stores that they populate.
PublisherUtils.buildVectorInterpolatedAndBaseTupleCurvatureMaps	- publisherDataStructures - publisherDataStructures2 - context - parameterRetriever

Interpolation

PublisherUtils interpolation methods

Interpolation is performed for the two sets separately, using linear interpolation and a predefined set of risk weights.

Normalization

Curvature-relevant stores

The stores that are relevant for Curvature are:

Stores
TradeBase Store
Curvature Store
RiskFactorDescription Store
UnderlyingDescription Store
FXBuckets Store
GIRRBuckets Store

Mapping of SBM Curvature CSV file fields onto the stores that they populate

Field from CSV file OR ColumnCalculator (if the CSV file field is null)	TradeBase Store	Curvature Store	RiskFactor Description Store	Underlying Description Store	FXBuckets Store	GIRRBuckets Store	Key Fields for Vector Creation
AsOfDate	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)
TradeId	(TradeId)	(TradeId)
RiskClass	(Risk Class)	(Risk Class)	(Risk Class)	(Risk Class)
RiskMeasure	(Risk Measure)	(Risk Measure)	(Risk Measure)
RiskFactor OR RiskFactor ColumnCalculator	(RiskFactor)	(RiskFactor)	(RiskFactor)		(RiskFactor)
Shift_Up_PV		(Shift_Up_PV)
Shift_Down_PV		(Shift_Down_PV)
CurvatureCcy		(Ccy)
RiskWeight		(RiskWeight)
PVApplied		(PVApplied)
Type			(RiskFactorType)	(GIRR Curve Type)
GIRRCcy				(GIRR Ccy)		(Bucket)
Underlying			(Underlying)	(Underlying)	(Bucket)	(Curve)
CSRQuality				(CSRQuality)
CSRSector				(CSRSector)
EquityEconomy				(EquityEconomy)
EquityMarketCap				(EquityMarketCap)
EquitySector				(EquitySector)
CmtyLocation			(CmtyLocation)
FXCounterCurrency			(FXCounterCurrency)
ALWAYS UnderlyingFxCcy ColumnCalculator				(UnderlyingFxCcy)

Column Calculators and Tuple Publishers

RiskFactorColumnCalculator

Risk Class	Creation Method for RiskFactor
Commodity	Risk Factor field value is created by concatenating Underlying, CmtyGrade and CmtyLocation, using ‘space’ as a delimiter
GIRR	Risk Factor field value is created by concatenating Underlying and RiskFactorType, using ‘space’ as a delimiter
Equity	Risk Factor field value is created by concatenating Underlying and RiskFactorType, using ‘space’ as a delimiter
CSR non-Sec	Risk Factor field value is created by concatenating Underlying and RiskFactorType, using ‘space’ as a delimiter
CSR Sec CTP	Risk Factor field value is created by concatenating Underlying and RiskFactorType, using ‘space’ as a delimiter
CSR Sec non-CTP	Risk Factor field value is created by concatenating Underlying and RiskFactorType, using ‘space’ as a delimiter
FX	If FXCounterCurrency: - is empty - Risk Factor field value is created by using Underlying - is populated - Risk Factor field value is created by concatenating Underlying and FXCounterCurrency, using a configurable delimiter

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 its relevance to particular stores and applying ETL logic to the incoming rows:

Tuple Publisher Class	Publisher Class	Function
RiskClassTuplePublisher		Splits fields according to the following criteria: - fields relevant to ADeltaPublisher OR AVegaPublisher OR ACurvaturePublisher - fields relevant to MarketDataPublisher (same one for all risk classes) - fields relevant to StaticDataPublisher classes for GIRR Buckets and FX Buckets
	ACurvaturePublisher (with risk-class-specific implementations defining the context)	ACurvaturePublisher applies vectorization/interpolation according to rules described in the specific sections on vectorization/interpolation. ACurvaturePublisher also publishes to TradeBase store
	RiskFactorDescriptionPublisher	RiskFactorDescriptionPublisher publishes to RiskFactorDescription store
	UnderlyingPublisher	UnderlyingPublisher publishes to UnderlyingDescription store
	StaticDataPublisher	StaticDataPublisher is a type that allows publishing of non-duplicated rows to a given store. Specific instances define the store (fxBucketsPublisher, girrBucketsPublisher).