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.

Risk Measure Sensitivity Store
Delta Delta
Vega Vega
Curvature Curvature