SA ETL for Trade Attributes

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

Dataflow Diagram

Trade Attributes

Vectorisation and Interpolation

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

Normalisation

Trade Attributes-relevant Stores

The stores that are relevant for Trade Attributes are:

Stores
TradeBase Store
TradeMapping Store
SATradeDescription Store

Mapping of Trade Attributes fields onto the stores that they populate

Field from CSV file	TradeBase Store	TradeMapping Store	SATradeDescription Store
AsOfDate	(AsOfDate)	(AsOfDate)	(AsOfDate)
TradeId		(TradeId)	(TradeId)
Book		(Book)
LegalEntity		(LegalEntity)
Notional			(Notional)
NotionalCcy			(NotionalCcy)
PresentValue			(Notional)
PVCcy			(PVCcy)
ResidualRisk			(Residual Risk)
ExoticUnderlying			(ExoticUnderlying)
OtherResidualRiskType			(OtherResidualRiskType)

Tuple Publishers

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
TradesTuplePublisher		- Creates and publishes tuples to the TradeMapping store. - Creates tuples to be published by the NotionalPublisher. - Creates RRAO specific tuples for the TradeBase store, where applicable (if a row contains RRAO values, an entry for the TradeBase store will be created, with the RiskFactor, RiskClass and RiskMeasure fields set to “RRAO”).
	NotionalPublisher	- Supertype is StaticDataPublisher. - Takes incoming rows and commits them to the SATradeDescription store, after removing fully duplicated rows. - No other logic applied.