SA ETL for DRC
This page provides an overview of ETL for DRC.
It also provides a table showing the fields that are included in each row of a DRC CSV Input Data file, indicating which Stores these fields are copied to during the ETL process.
Additionally, it shows which are the key fields for vector creation and which fields have the potential to be populated with vectors, as opposed to always containing scalar values.
Vectorization and Interpolation
No vectorization is used within the ETL procedure for DRC; therefore no interpolation is required either.
Normalization
DRC-relevant Stores
The stores that are relevant for DRC are:
| Stores |
|---|
| SASensitivities |
| Tranche |
| Obligor |
| Security |
Mapping SA DRC CSV file fields onto the stores that they populate
| Field from CSV file | SASensitivities | Tranche | Obligor | Security |
|---|---|---|---|---|
| AsOfDate |  (AsOfDate) |
(AsOfDate) | (AsOfDate) |
|
| TradeId | (TradeId) |
|||
| RiskClass | (RiskClass) |
|||
| Risk Factor | (ObligorId) |
(ObligorId) |
||
| ObligorCategory | (ObligorCategory) |
|||
| Instrument LGD Type | (Instrument LGD Type) |
|||
| Seniority | (Seniority) |
|||
| direction | (Direction) |
|||
| maturity | (Maturity) |
|||
| rating | (Rating) |
|||
| notional | (Notional) |
|||
| PresentValue | (MarketValue) |
|||
| GrossJTD | (GrossJTD) |
|||
| ccy | (GrossJTDCcy) |
|||
| Underlying | (Tranche) |
|||
| region | (Region) |
|||
| asset_class | (AssetClass) |
|||
| attachment | (Attachment) |
|||
| detachment | (Detachment) |
|||
| RecoveryRates | ||||
| RecoveryValues | ||||
| rating type | ||||
| RiskWeight | ||||
| Adjustment | ||||
| Bucket | ||||
| Zero Risk Weight | ||||
| DRC Fund Treatment |
Column Calculators and Tuple Publishers
No Column Calculators are used within the ETL procedure for DRC.
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 relevance to particular stores and applying ETL logic to incoming rows.
The publishers that are employed, together with their descriptions, can be found within the following table:
| Tuple Publisher Class | Publisher Class | Function |
|---|---|---|
| DefaultRiskChargeTuplePublisher | - Creates tuples for the Security, Obligor and Tranche stores - Converts the ObligorCategory from the incoming field into a list of canonical values defined in FRTBConstants - Creates DRC tuples for the SASensitivities store |