irrbb_aggr_m
1. Description
Overview
The Irrbb_aggr_m program is designed to read multiple CF (Cash Flow) files in metadata format and process them for aggregation and consolidation. The program works as follows:
***|Reading CF Files: It can process multiple CF files at the same time. ***|CF to CF Transformation: If the next_rep_date flag is set to true, the program will perform a CF-to-CF transformation; otherwise, it will pass the CF data directly to the aggregator. ***|CF-to-CF Transformation
The CF-to-CF process operates under the following conditions:
Interest Rate & Spread Rate: If the interest rate (int_rate) and spread rate (spread_rate) are greater than zero, and a floating value is provided, the program will generate spread-based cashflows. Aggregation Process Each CF file is passed to the aggregator, which performs aggregation based on the bais of ***|LLG ***|Country ***|Currency (CCY) ***|Is_CF_Req (Whether CF is required) ***|Interest Basis (int_basis) ***|Cap ***|Floor ***|Benchmark Output: After aggregation, two separate output files will be generated for each CF file.
Merging Outputs
Once the aggregation for each CF file is completed, the program will merge the individual aggregator outputs.
Consolidation
The merged output is then passed to the consolidation (consol) process, where the data is consolidated into a single file.
Loading Data to IRB10 Table
Finally, the consolidated output will be loaded into the IRB10 table for further processing.
2. Program location
<installation_path>/irrbb_m_2
3. Input
3.1 Mandatory Parameters
| # | Parameters | Description | Example |
|---|---|---|---|
| 1 | as_on_date | The date for which the program has to run | 26-09-2023 |
| 2 | process-config | Path to process config file that needs to be processed | configs/process.json |
| 3 | connection-string | Connection credentials to connect to the database | Oracle (Username|Password|IP:PORT/Servicename) |
| 4 | default_currency | The default currency | USD |
| 5 | log-file | Path to write logs | logs/application.log |
| 6 | diagnostics-log-file | Path to write diagnostics logs | logs/diagnostics.log |
| 7 | base_currency | Base Currency to consider | INR |
| 8 | country | Country Value | IND |
3.2 Non Mandatory Parameters
| # | Parameters | Description | Default value | Example |
|---|---|---|---|---|
| 1 | log-level | Level of diagnostics written to the log file | info | debug |
| 2 | diagnostics-flag | Flag to enable/disable performance diagnostics in the diagnostics log file | false | true |
| 3 | is-consol-ex-rt-applied | Flag to enable/disable for doing consolidation in Consol part. | false | true |
4.1 Process config file 🔗
This file contains:
| # | File | Description | Example |
|---|---|---|---|
| 1 | input_metadata | Path to Exchngae rate file. | test-bed/M_IN001.json |
| 2 | additional_input | Path to additonal files required by the program. | test-bed/M_IN003.json. |
| 3 | output_metadata | Path to output_metadata file. | test-bed/M_OP001.json |
| 4 | AggrRule | Path to Rule files required by the program. | test-bed/rule.txt |
| 5 | Consol | Path to Consol files required by the program. | test-bed/M_IN003.json |
| 6 | Bucket | Path to bucket_schema_file_path files required by the program. | test-bed/M_IN007.json |
5.1 Required field file 🔗
| # | Parameters | Description | From Metadata | Mandatory |
|---|---|---|---|---|
| 1 | file_id | Id of the input file | M_IN002 | TRUE |
| 2 | ccy | Currency of the cashflows | INPUT FILE METADATA | TRUE |
| 3 | int_rate | Interest rate for the cashflows | INPUT FILE METADATA | FALSE |
| 4 | int_basis | Interest calculation basis | INPUT FILE METADATA | FALSE |
| 5 | exch_rt | Exchange rate for currency conversion | INPUT FILE METADATA | FALSE |
| 6 | cap | Cap value for the cashflows | INPUT FILE METADATA | FALSE |
| 7 | floor | Floor value for the cashflows | INPUT FILE METADATA | FALSE |
| 8 | benchmark | Benchmark reference rate | INPUT FILE METADATA | FALSE |
| 9 | spread_rate | Spread rate for the cashflows | INPUT FILE METADATA | FALSE |
| 10 | next_rep_date | Next reporting date | INPUT FILE METADATA | FALSE |
| 11 | int_flag | Flag indicating if interest is included | INPUT FILE METADATA | FALSE |
| 12 | cashflows | List of cashflows for aggregation | INPUT FILE METADATA | TRUE |
| 13 | acc_id | Account identifier | INPUT FILE METADATA | TRUE |
| 14 | last_cf_date | Date of the last cashflow | INPUT FILE METADATA | FALSE |
| 15 | acc_opn_date | Account opening date | INPUT FILE METADATA | FALSE |
| 16 | rate_flag | Flag indicating if rate adjustments are applied | INPUT FILE METADATA | FALSE |
| 17 | rule_id | Rule identifier for processing | RULE | TRUE |
| 18 | is_exch_rate_applied | Flag indicating if exchange rate is applied | FALSE | FALSE |
| 19 | is_consolidated | Flag indicating if data is consolidated | FALSE | FALSE |
| 20 | is_amt_abs | Flag indicating if amount is absolute | FALSE | FALSE |
| 21 | is_aggr_amt_abs | Flag indicating if aggregated amounts are absolute | FALSE | FALSE |
| 22 | is_neg_amt | Flag indicating if negative amounts are allowed | FALSE | FALSE |
| 23 | is_cf_req | Flag indicating if cashflows are required | FALSE | FALSE |
| 24 | is_cf_lvl_data | Flag indicating if cashflow-level data is provided | FALSE | FALSE |
| 25 | default_llg_code | Default LLG code | 1399 | TRUE |
| 26 | default_overdue_llg_code | Default overdue LLG code | 1399 | FALSE |
| 27 | default_int_basis | Default interest basis | ACTByact | FALSE |
| 28 | floating_rate_value | Value for floating interest rate | FLOATING | FALSE |
6. Sample test-bed
Click ⬇️ to download the sample data.
7. Output
7.1 Output file-1 : Consolidated Output
It will be uploaded in IRB10 table.
7.2 Output file-1 : Aggregated Spread Output
It will be used in IRRBB Spread Curve Program.
7.3 Output file-3 : Health report
The health check report gives summary about the processed accounts such as success counts, failed counts, etc.🔗