Input File Formats

Download PDF version of this chapter: FRTB_Input_File_Formats_3.0.0.pdf

This document contains the file formats for the CSV files that can be used by clients as input to the ActivePivot FRTB Accelerator Reference Implementation, for SA, IMA, and IMA Summary.

Sample input files are included in the source distribution. These files are loaded during testing of the reference implementation and provide examples of each of the file types.

What each page shows

For each input file, the format for each row (or record) is shown, followed by a table defining all the fields in a record.

File name patterns

the ActiveViam FRTB solution uses glob patterns with the (*) asterisk wildcard character to identify the relevant file names for each category of input file. So you can add characters before and after the listed names, such as timestamps or ID numbers.

For example, the pattern **/FXData*.csv matches all CSV files with names beginning with the string “FXData” in any subdirectory.

In this guide, the File Pattern Match section for each of the input files specifies the glob pattern used. However, the glob prefix is omitted as it is now injected automatically.

You can customize the glob patterns in frtb-data-load.properties.

This chapter describes the following:

• Common and Booking Files
• Core Configuration Files
• CRIF Files
• Sensitivity Files
• SA Input File Formats