Project Structure and Distribution

This page describes the nature of the source code that is provided with the FRTB Accelerator. It explains the difference between the code in the FRTB-Core and FRTB-Reference.

Source Code

The FRTB Accelerator contains source code (with documentation) that includes PostProcessors to compute capital charges for the Standardised Approach (SA) and Internal Models Approach (IMA) in line with the regulation.

The FRTB Accelerator source code is organized into two logical blocks:

• FRTB-Core: Represents code that generally is not modified by clients. It comprises the FRTB calculations as specified for SA and IMA and will be maintained by ActiveViam as changes and/or new calculations come under the regulation.

  For more information on the postprocessor chains for the FRTB calculations, see DoctorPivot - viewing measures and postprocessors.

• FRTB-Reference : FRTB-Reference is a reference implementation. It is essentially a starter project on which customisations are likely be made, to conform with client data models, structures, naming conventions, etc.

  It provides:

  Element	Description
  An ETL (extraction, transformation, load) layer that supports a documented file format	For information, see FRTB ETL (Extract/Transform/Load) and FRTB Input File Formats, datastore configuration and cube configuration
  Various pre-defined measures in logically defined cubes	For information, see Measures and context values
  What-if scenarios	For information, see About What-If analysis
  A sample set of bookmarks for clients using ActiveUI	For information, see Dashboards

  • For more information, see FRTB Reference Implementation.