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The ETL (Extract, Transform, Load) layer provided with uses the default file format. It performs the following transformations when data is loaded from the input files into the datastore.

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Risk Factor Name

If the risk-factor name is not included in the input file (using the default file format), a name is generated as follows:
  • Delta: Tranche Name + Curve Type
  • Vega: Tranche Name + Curve Type
  • Curvature: Tranche Name

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Normalization

In the default file format, each row of the sensitivities’ files contains the sensitivity as well as a description of the risk factor and tranche. The data normalization splits this information across three stores in the datastore, as described in the data model.

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Vectorization

For efficiency, Delta and Vega sensitivities are stored in vectors. The entries of the vectors represent the tenors/maturities of the risk factors. In the default file format, we allow sensitivities to be provided as either single values or as vectors. During the ETL, sensitivities are grouped together into vectors.

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Interpolation

For compatibility with risk engines, Delta and Vega sensitivities may be loaded for any tenor/maturity. During the ETL, these sensitivities are interpolated to match the tenors/maturities in the specification.