Documentation Index
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The ETL (Extract, Transform, Load) layer provided with ,
using the default file format, will perform the following
transformations when data is loaded from the input files into the
datastore.
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: Equity Name + Type
- Vega: Equity Name
- Curvature: Equity Name
Normalisation
In the default file format, each row of the sensitivities’ files
contains the sensitivity as well as a description of the risk factor and
equity. The data normalisation splits this information across three
stores in the datastore, as described in the data model.
Vectorisation
For efficiency, Vega sensitivities are stored in vectors. The
entries of the vectors represent the 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.
Interpolation
For compatibility with risk engines, Vega sensitivities may be
loaded for any maturity. During the ETL, these sensitivities are
interpolated to match the maturities in the specification.
