Project Structure and Distribution

This page provides a description of how the repository for the Atoti FRTB 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 Atoti FRTB.

Source Code

Atoti FRTB 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 Atoti FRTB 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 Atoti UI	For information, see Displaying the Basel Framework bookmarks

  • For more information, see FRTB Reference Implementation.

Maven Project Modules

Project Structure

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

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-starter	Source Code	Reference implementation that ties together the frtb-core and frtb-activepivot. Client customization should be done in this module.
frtb-es-tool	Source Code	A separate Atoti Server project containing the tool for determining the ES stress period over the given historical PL data.