Datastore (Reference Implementation)

This section describes how the SA datastore schema is used for the CSR non-Sec risk class.

The schema starts with the SaSensitivities store, which is an index of all the facts in the SA Cube. The SaSensitivities store has references to the risk-factor descriptions and sensitivities.

Risk Factor Descriptions

The risk-factor description starts with the RiskFactorDescription store, which contains the description of risk-factor independent of the curve, and a reference to the UnderlyingDescription store for a description of the curve.

The UnderlyingDescription store references the CSRBucketDesc store for the bucket descriptions.

Sensitivities

The sensitivities stores contain the sensitivity values, they are referenced from the SaSensitivities store.