Datastore (reference implementation)

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

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Risk factor descriptions

The risk-factor description starts with the RiskFactorDescription store. This store contains the description of the risk-factor independent of the tranche. It also holds a reference to the UnderlyingDescription store for a description of the tranche. The UnderlyingDescription store references the CSRBucketDesc store for the bucket descriptions.

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Sensitivities

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