FRTB-specific Configuration
Scopes
The scope describes which data is loaded and unloaded.
Each request to the Data Load Controller contains a scope. In the FRTB reference implementation, the as-of date scope is turned into a directory and all the files in that directory are loaded. When unloading data, the scope is turned into a RemoveWhere clause to be run on the datastore.
The following table shows you the three different scopes in the FRTB reference implementation. You can add your own scope definition if required, such as ‘book’, ‘portfolio’, and so on.
| Scope | Description |
|---|---|
| Configuration Scope | This scope is used for configuration files, including the parameters which are fetched the parameters API. Data in this scope typically has a “start date” rather than an as-of date. The files in this scope are found in the “configuration” directory. This scope has no parameters. |
| Historical Scope | This scope is used for historical summary data. This data is not at the trade level and does not include recent dates. Instead it is at the aggregate level (for example, book and legal entity) and contains a long history. The files in this scope are found in the “historical” directory. This scope has no parameters. |
| As-Of Date Scope | This scope is for the daily trade-level files. The files in this scope are found in directories whose names match the requested date. This scope is parameterized by as-of date. For example: "scope":{ "AsOfDate": "2018-09-27" } |
Topic Aliases
Each input file is loaded with a topic (see Input file formats). Topic aliases are used to group those topics. The FRTB Accelerator contains the following topic aliases:
| Alias | Description | Scope | Topics |
|---|---|---|---|
| ConfigurationData | Parameter set data | Configuration scope | Configuration |
| TupleData | Tuples inserted directly into the datastore (for QIS double sums hierarchies) | Configuration scope | IMATrades, IMASummary |
| FXData | Recent FX rates | As-of date scope | FXRates |
| OrganisationData | Book and Legal Entity hierarchies | As-of date scope | Common and Booking Files (that is, Book Parent Child and Book Hierarchy, Legal Entity Parent Child and Legal Entity Hierarchy, Legal Entity Attributes) |
| TradeBookingData | Trade attributes and mapping | As-of date scope | Trade_Attributes |
| SBMData | SBM sensitivities and related bucket stores | As-of date scope | Equity Buckets, EquityBucketDescription, CommodityBuckets, DRCSecNonCtpBuckets, CSR_BUCKET_NONSEC, CSR_BUCKET_DESCRIPTION_NONSEC, CSR_BUCKET_SECNONCTP, CSR_BUCKET_DESCRIPTION_SECNONCTP, CSR_BUCKET_SECCTP, CSR_BUCKET_DESCRIPTION_SECCTP, SeniorityDescription, SBM_Curvature_Sensi, SBM_Delta_Sensi, SBM_Vega_Sensi |
| CrifData | CRIF | ||
| SADRCData | SA DRC data | As-of date scope | SeniorityDescription, DRC |
| SAOverrides | UnderlyingDescriptionOverrides, ObligorOverrides, TrancheOverrides, RRAOOverrides | ||
| CATradeData | IMA and SES trade level data | As-of date scope | Scenarios, IMARiskFactors, IMAMultiplier, IMATrades |
| CASummaryData | IMA and SES historical/summary data | Historical scope | IMA_Summary, IMARiskFactorsHistorical, FXHistorical |
| IMADRCScenariosData | Descriptions of IMA DRC scenarios | As-of date scope | DRC_SCENARIO_COUNT, DRCScenarios |
| IMADRCTradeData | Recent IMA DRC trade data | As-of date scope | DRC, DRC_NONLINEAR_RECOVERY |
| IMADRCSummary | IMA_DRC_SUMMARY, FXHistorical | ||
| PLTradeData | Recent PLAT and backtesting trade-level data | As-of date scope | PLSummary, PLScenarios |
| PLSummaryData | Historical/summary PLAT and backtesting data | Historical scope | PLSummary, FXHistorical |
| ALLSA | FXData + OrganisationData + TradeBookingData + SBMData + SADRCData | As-of date scope | FXRates, Organisation, TradeBooking, SBM, SADRC, Crif, SAOverrides (loads all of these Aliases and their associated topics, as listed in this table (above)) |
| ALLIMADaily | FXData + OrganisationData + TradeBookingData + CATradeData + IMADRCTradeData | As-of date scope | FXRates, Organisation, TradeBooking, CATrade, IMADRCTrade (loads all of these Aliases and their associated topics, as listed in this table (above)) |
| IMASummary | CASummaryData | Historical scope | CASummary (loads all topics covered in the CASummary Alias as listed in this table (above) |
| PLSummaryScenarios | PLSummaryScenario store data | As-of date scope | PLSummaryScenarios |
Configuration Properties
The following properties can be set in frtb.properties:
| Property | Default Value | Description |
|---|---|---|
initial-load.business-dates |
(null) | If set, the (comma-separated) set of as-of dates to load at start-up |
csvSource.dataset |
“data” | The directory containing the CSV files. The scope directories are immediate subdirectories of this |
Initial Load
On startup, the following topic aliases are loaded in order (without parameters):
-
ConfigurationData
-
TupleData
-
IMASummary
-
PLSummaryData
Additionally, a list of as-of dates is determined as follows:
-
If the configuration parameter initial-load.business-dates is set, the as-of dates listed are used. For example, in the frtb.properties file:
initial-load.business-dates=2018-09-28,2018-09-27 -
Otherwise, the top level of the data directory is scanned for directories whose names are dates. These dates are used for the as-of dates in the initial load. (This matches the previous start-up behavior).
For this set of as-of dates, the following topics are loaded with the “AsOfDate” field set in the scope:
-
IMADRCScenariosData
-
ALLSA
-
ALLIMADaily
-
PLTradeData