SA ETL for SBM Delta

This topic covers the ETL specifics for the Delta files. It provides an overview of ETL for SBM Delta, starting with a dataflow diagram for SBM Delta. A table shows you the fields included in each “SBM” row of a Delta Sensitivity 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 CSV Input files for each risk class:

Risk Class	Vector Information
- GIRR - CSR non-Sec - CSR Sec CTP - CSR Sec non-CTP Commodity	The indices of the vectors are the vertices. Vectorization is applied for both tenors and sensitivity values.
- Equity - FX	Fields are always single-value single-tenor for a Delta sensitivity.

PublisherUtils vectorization methods 

This table describes the PublisherUtils methods used for vectorization:

Method	Parameters	Description
PublisherUtils.buildVectorSensitivityAndCurrencyMaps	- tuples - publisherDataStructures - indexes - context	This PublisherUtils method is used for Vector-based Delta. It builds 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 Date -> Sensitivity. The key fields for vector creation and the vector fields themselves are show in Mapping of SBM Delta CSV file fields onto the stores that they populate.
PublisherUtils.buildSingleValueAndTradeBaseTuples	- tuples - publisherDataStructures - indexes - context	This PublisherUtils method is used for Single-value Delta. A single call to this method will create the Sensitivity and Base store tuples. The map and interpolation required by Vector-based Delta will not be performed, as sensitivities are always a single value for a single tenor.

Interpolation

All the input vectors will be interpolated onto FRTB vertices that are loaded from the following file:

frtb-starter/src/test/resources/data/configuration/Vertices.csv

All the vertices in the FRTB project can be found within this file. Default vertices are based on the BCBS specification.

PublisherUtils interpolation methods 

The PublisherUtils methods used for vectorization are described in the following table:

Method	Parameters	Description
PublisherUtils.buildVectorSensitivityAndCurrencyMaps	- tuples - publisherDataStructures - indexes - context	This PublisherUtils method is used for Vector-based Delta. It builds 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 Date -> Sensitivity. The key fields for vector creation and the vector fields themselves are show in Mapping of SBM Delta CSV file fields onto the stores that they populate.
PublisherUtils.buildSingleValueAndTradeBaseTuples	- tuples - publisherDataStructures - indexes - context	This PublisherUtils method is used for Single-value Delta. A single call to this method will create the Sensitivity and Base store tuples. The map and interpolation required by Vector-based Delta will not be performed, as sensitivities are always a single value for a single tenor.

Normalization

Delta-relevant stores

The stores that are relevant for Delta are:

Stores
TradeBase Store
Delta Store
RiskFactorDescription Store
UnderlyingDescription Store
FX Buckets Store
GIRR Buckets Store

 

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

Field from CSV file OR ColumnCalculator (if the CSV file field is null)	TradeBase Store	Delta Store	RiskFactor Description Store	Underlying Description Store	FX Buckets Store	GIRR Buckets Store	Key Fields for Vector Creation
AsOfDate	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)	(AsOfDate)
TradeId	(TradeId)	(TradeId)
DeltaCcy		(Ccy)
DeltaSensitivities (vector-valued field)		(Delta Sensitivities)
RiskClass	(Risk Class)	(Risk Class)	(Risk Class)	(Risk Class)
RiskMeasure	(Risk Measure)	(Risk Measure)	(Risk Measure)
SensitivityDates (vector-valued field)		(SensitivityDates)
RiskFactor OR RiskFactor ColumnCalculator	(RiskFactor)	#(RiskFactor)	#(RiskFactor)		#(RiskFactor)
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)
Optionality		(Optionality)
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
	ADeltaPublisher (with risk-class-specific implementations defining the context)	ADeltaPublisher applies vectorization/interpolation according to rules described in the specific sections on vectorization/interpolation. ADeltaPublisher 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).