ETL (Reference Implementation)

The ETL (Extract, Transform, Load) layer provided with the Atoti FRTB, 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.