SA ETL for DRC - Atoti Hub

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
AsOfDate	(AsOfDate)	![checkmark icon](../../Resources/Image s/check.png)(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

​Vectorization and Interpolation

​Normalization

​DRC-relevant Stores

​Mapping SA DRC CSV file fields onto the stores that they populate

​Column Calculators and Tuple Publishers

​The Tuple Publisher and Publisher Classes