Project Structure and Distribution

This page provides a description of how the repository for the Accelerator source code is split between the Reference Implementation and the Core. It describes the conceptual split of components, based on what is supposed to be covered by the specific Accelerator (in this case, FRTB).

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.

note

Source Code

Source code is provided for the FRTB specific implementation calculations and reference implementation. Source code is not provided for ActivePivot, ActiveMonitor, or ActiveUI.

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 customizations 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

Maven Project Modules

Project Structure

Below is a list of all the different maven modules that form part of the FRTB accelerator.

Module Name Delivery Type Description
frtb-core JAR Contains the post processors for the main calculations
frtb-activepivot Source Code + JAR Contains the store configuration and the default CSV ETL logic
frtb-activemonitor Source Code ActiveMonitor code for reference implementation
frtb-common Source Code Common classes shared between ActiveMonitor & ActivePivot
frtb-starter Source Code Reference implementation that ties together the frtb-core and frtb-activepivot. Client customisation should be done in this module.
frtb-es-tool Source Code A separate ActivePivot project containing the tool for determining the ES stress period over the given historical PL data.

When we refer to the “Core” throughout the documentation, we are referring to the module frtb-core. The “Reference Implementation” refers to the rest of the modules in the project which we expect to be customized as per client needs.