The ETL (Extract, Transform, Load) layer provided with FRTB SA QIS,
using the default file format, will perform the following
transformations when data is loaded from the input files into the
datastore.
Risk Factor Name
If the risk-factor name is not included in the input file (using the
default file format), a name is generated as follows:
Delta: Underlying Name + Curve Type
Vega: Underlying Name + Curve Type
Curvature: Underlying Name
Normalisation
In the default file format, each row of the sensitivities’ files
contains the sensitivity as well as a description of the risk factor and
Underlying. The data normalisation splits this information across three
stores in the datastore, as described in the data model.
Vectorisation
For efficiency, Delta and Vega sensitivities are stored in vectors. The
entries of the vectors represent the tenors/maturities of the risk
factors.
In the default file format, we allow sensitivities to be provided as
either single values or as vectors. During the ETL, sensitivities are
grouped together into vectors.
Interpolation
For compatibility with risk engines, Delta and Vega sensitivities may be
loaded for any tenor/maturity. During the ETL, these sensitivities are
interpolated to match the tenors/maturities in the specification.