Risk Electrabel : exploiting SAP BW data for pricing and exposure reporting in Energy Trading

Transcription

1 Risk Electrabel : exploiting SAP BW data for pricing and exposure reporting in Energy Trading!Walter Waterschoot,!Risk System Expert, Electrabel!Paul Bruynseels,!Cross Application Project Mgr, Electrabel

2 «real world» Situation Middle Office Compliance Risk Policy RALCO Risk Reporting RMS Trading Generation Sales 2

3 Modeled implementation INFLOW: SAS/ACCESS to SAP BW SAS/ACCESS to ORACLE Current market data Pricing functions and methods OUTFLOW (reporting) OS (static reporting pdf) SAS/INTRNET(dynamic reporting) Enterprise Guide (ad hoc) Summary table RMS Current positions Instrument values Analysis project SAS/Warehouse Administrator (analytical engine) SAS Risk Management 3

4 Risk Management System current positions current market data Accounts Payable / Receivable Mark to Market project historic market data Value at Risk project Credit Reports 4

5 Market data flow The world outside mail data sources observations ftp Bloom berg data currencies; set bloomberg.daily_extract; run; ata collection proc sort data=currencies; by ISOCOE; run; current riskfactors Middle Office 5

6 Position data flow eal Capture System eal Capture System Front Office data fuel_oil_options; set trading.all_positions; if upcase(type) in ( CALL PUT ) then run; Position collection proc sort data=unit_conversion; current positions Middle Office 6

7 IT Challenges Multitude of data are on different platforms Oracle SAP/BW Excel Integration onto one platform using one software vendor " SAS Access to Oracle " SAS Access to BW " SAS Access to PC files 7

8 SAS/ACCESS to SAP BW! Where used? Risk Mgmt To access financial data coming from SAP/R3 s FI-CO environment daily! uploaded into BW OS s To access Trading Master ata coming from Oracle database made available in BW 8

9 SAS/ACCESS to SAP BW! Features Uses SAS/ACCESS to R/3 technology underneath Accesses Infocubes, OS s and PSA tables Works on non-windows platforms High performance -> good for mass extraction Wizard to load BW metadata into SAS Wizard to read BW InfoCubes, OS s and PSA tables into SAS Wizard to export OLAP metadata to SAS/EIS 9

10 Structure of InfoCube in SAP BW! BW stores InfoCubes in! Snowflake Schema: 1Fact table n imension tables n SI tables n Text tables M T S T S F M S S T M T M n Master tables S S T M T M 10

11 Extraction of InfoCube! Reduces snowflake schema to star schema: 1 fact table n dimension tables SAS Views to BW Snowflake Schema Tables T S M SAS ata Sets Star Schema Tables M T S F S T M S T M F S T M S T M SAS Formats 11

12 SAS/ACCESS to SAP BW Architecture etails Metadata SAS/ACCESS to SAP BW SAS/MB BASE SAS/ACCESS to R/3 Extractor Meta data Repository SAP BW Meta data Repository 12

13 SAS/ACCESS to SAP BW Architecture etails InfoCube SAS/ACCESS to SAP BW SAS/MB BASE SAS/ACCESS to R/3 Extractor SAP BW Meta data Repository Star Schema InfoCube 13

14 ! PROS SAS/ACCESS to SAP BW Easy interface Accesses Infocubes and OS s High performance with OS s especially when dedicated server used # good for mass extraction CONS No field selection possible No where clause possible When extracting complex infocubes performance tends to slow down! processing was introduced and tested but practically no gain (SAP BW s snowflake complexity) 14

15 SAS/ACCESS to R3 to access SAP BW! PROS Easy interface Accesses PSA tables easily High performance especially when dedicated server used # good for mass extraction Field selection possible Where clause possible No internal BW processing since only staging area used (very fast) 15

16 SAS/ACCESS to R3 to access SAP BW! CONS 16

17 SAS/ACCESS to R3 to access SAP BW! Where used? Marketing and Sales To access invoice data coming from several non-sap environments uploaded into BW PSA tables 17

18 Overall Remarks Ordinary userid s as defined in BW for end users cannot be used to access BW through SAS Access The SASCPIC userid that has to be defined to be able to access BW with SAS Access cannot restrict data access to the infoarea or data target level (it s all or nothing) 18

19 Tips and Tricks If data stored in BW as data repository only without any cubes built on top for query functionalities then use PSA instead Rather extract data from OS s instead of Infocubes (less complex # faster) efine several SASCPIC userid s in BW and dedicate each of them to different processes, dept s, groups to avoid interference To restrict data access, download restricted metadata datasets to different metadata files with restricted access Keep it simple 19

20 Some download times OS (with dedicated server) # obs. size # vars Mb Mb Mb 199 PSA (from client workstation) ownlaod Time Rate 1 Mb/s 11 Mb/s 1 Mb/s # obs. size # vars ownload Time Rate Mb Mb/s Mb Mb/s 20

21 Benefits Builds on previously made investment Harnesses the power of SAS Complements BW functionality Metadata driven extraction without programming Offloads analytical processing to specially tuned analytical SAS data mart Only product on the market to surface InfoCube data Not limited to Windows platforms -> scalable Prerequisite for data mining 21

22 Certification! SAS has an SAP-certified software interface for Business Information Warehouse s OLE B for OLAP (OBO) interface 22

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