ETL (Reference Implementation)

The ETL (Extract, Transform, Load) layer provided with the FRTB Accelerator , 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 Tranche Name + Maturity.

Normalisation

In the default file format, each row of the DRC sensitivities' files contains the JTD as well as a description of the risk factor and tranche. The data normalisation splits this information across three stores in the datastore, as described in the data model.