39.2 Stratification Action Operations

When creating pools of instruments, you need to identify the operation for each of the attributes. You have the following choices in terms of how to populate each attribute in the instrument pool from the instrument data:

• Discrete: Directs the Aggregation and Stratification engine to populate the instrument pool with discrete values.

  This option populates the pool with discrete values for an attribute if there is no logical or mathematical way to group instruments with different values, and the attribute is significant for processing purposes. Choosing the discrete action for an attribute ensures that only instruments with matching values are grouped in a pool. The discrete action may be the correct choice for important code fields. Be careful when using the discrete action on the Amount, Date, or Rate Fields. These types of fields tend to have many discrete values. A typical value for a discrete group by is a dimension ID field or a yes or no flag.

• Group by: Use for dimensions or other attributes that you want to use to group the detailed data.

  This option allows you to select columns that you want to use to group the instrument data. This will be used for dimension columns like Product, Org Unit or Currency, or any other dimensions that are needed for grouping the data.

• Tier: If you want to group the data by ranges of values, you can define the ranges using Stratification Tiers.

  Tiers are used for balance and rate fields to assist in grouping similar data into tranches or pools. Tiers should be defined on columns that affect the way assumptions are made, such as prepayments, interest rate margins, or other meaningful assumptions.