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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(i.e. BookParentChild, LegalEntityParentChild, LegalEntityAttributes, LegalEntityImports)
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, RiskFactorDescriptionOverrides
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, VaRPLScenarios
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)

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 behaviour).

For this set of as-of dates, the following topics are loaded with the “AsOfDate” field set in the scope:

  • IMADRCScenariosData

  • ALLSA

  • ALLIMADaily

  • PLTradeData

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