This page provides an overview of ETL for Trade Attributes.Documentation Index
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Vectorization and Interpolation
No vectorization is used within the ETL procedure for Trade Attributes; therefore no interpolation is required either.Normalization
Trade Attributes-relevant Stores
The stores that are relevant for Trade Attributes are:| Stores |
|---|
| TradeMapping |
| SATradeDescription |
| SASensitivities |
Mapping of Trade Attributes fields onto the stores that they populate
| Field from CSV file | TradeMapping | SATradeDescription | SASensitivities |
|---|---|---|---|
| AsOfDate | (AsOfDate) | (AsOfDate) | (AsOfDate) |
| TradeId | (TradeKey for trade level data) | (TradeId) and (TradeKey for trade level data) | (TradeId) |
| Book | (part of TradeKey for summary data) | (part of TradeKey for summary data) | |
| LegalEntity | (part of TradeKey for summary data) | (part of TradeKey for summary data) | |
| Notional | (Notional) | ||
| Notional Ccy | (NotionalCcy) | ||
| PresentValue | (Notional) | ||
| PVCcy | (PVCcy) | ||
| ResidualRisk | (Residual Risk) | ||
| ExoticUnderlying | (ExoticUnderlying) | ||
| OtherResidualRiskType | (OtherResidualRiskType) | ||
| TradeDate | |||
| Sensitivity Scale Category | |||
| RRAO Category |
Tuple Publishers
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 its relevance to particular stores and apply ETL logic to the incoming rows:| Tuple Publisher Class | Publisher Class | Function |
|---|---|---|
| TradesTuplePublisher | - Creates and publishes tuples to the SATradeDescription, TradeMapping, RiskFactorDescription stores. - Creates RRAO-specific tuples for the SASensitivities and RRAO stores, where applicable (if a row contains RRAO values, an entry for the SASensitivities store will be created, with the RiskFactor, RiskClass and RiskMeasure fields set to “RRAO”). |