Standardised Approach Datastore Definition
The SA Cube Schema starts with the TradeBase store, which is an index to all the facts in the SA Cube.
Trade Description
The TradeMapping store places each trade in the organisational hierarchy. See Global section for more details.
The SATradeDescription store provides trade-level data.
Risk Factor Descriptions
The TradeBase store references the risk-factor descriptions for all SA facts.
The risk-factor description starts with the RiskFactorDescription store which contains the description of risk-factor (independent of the underlying).
The RiskFactorDescription contains references to the follow stores:
Risk Class | Underlying Store |
---|---|
GIRR, CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity, FX | UnderlyingDescription |
DRC non-Sec | Obligor |
DRC Sec non-CTP | Tranche |
RRAO | RRAO |
Buckets
The isolated bucket stores allow the bucket to be determined in the ETL if it is not provided. These stores are:
Risk Class | Bucket Store |
---|---|
Equity | EquityBuckets |
CSR non-Sec | CSRNonSecBucket |
CSR Sec non-CTP | CSRSecNonCTPBucket |
CSR Sec CTP | CSRSecCTPBucket |
Commodity | CommodityBuckets |
Sensitivities
The TradeBase store references trade-level sensitivities stores for all SA facts (except RRAO).
Risk Measure | Sensitivity Store |
---|---|
Delta | Delta |
Vega | Vega |
Curvature | Curvature |
DRC | DRCBase |
Imports
The isolated Legal Entity Imports store contains pre-calculated values that are imported by date, legal entity, parameter set, and measure name.
Overrides
The underlying description stores reference by the RiskFactorDescription store have counterparts that allow the descriptions to be overridden per parameter set. These stores are:
Risk Class | Underlying Store | Override Store |
---|---|---|
CSR non-Sec, CSR Sec non-CTP, CSR Sec CTP, Equity, Commodity | UnderlyingDescription | UnderlyingDescriptionOverride |
DRC non-Sec | Obligor | ObligorOverride |
DRC Sec non-CTP | Tranche | TrancheOverride |
RRAO | RRAO | RRAOOveride |