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 the three different scopes in the FRTB reference implementation. A custom scope definition can be added 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. Atoti FRTB 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	IMA_Trades, IMA_Summary
FXData	Recent FX rates	As-of date scope	FXRates, EsScenarioFxRates
OrganisationData	Book and Legal Entity hierarchies	As-of date scope	Reference and Booking Files: CombinedBookParentChildDesk, BookParentChild, BookDescription, DeskDescription, IRTDeskGroups, and Categories. BookHierarchy store tuples are generated from BookParentChild Store tuples, LegalEntityParentChild, and LegalEntityAttributes
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_DESCRIPTION_NONSEC, CSR_BUCKET_DESCRIPTION_SECNONCTP, CSR_BUCKET_DESCRIPTION_SECCTP, SeniorityDescription, SBM_Curvature_Sensi, SBM_Delta_Sensi, SBM_Vega_Sensi, RRAO
CrifData			CRIF
SADRCData	SA DRC data	As-of date scope	DRC, PublicSectorObligorRiskWeights
SAOverrides			UnderlyingDescriptionOverrides, ObligorOverrides, TrancheOverrides, RRAOOverrides
CATradeData	IMA and SES trade level data	As-of date scope	Scenarios, IMARiskFactors, IMA_Trades
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
PLTradeData	Recent PLAT and backtesting trade-level data	As-of date scope	PLSummary, PLScenarios
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))
StressCalibrationData	Trades & Scenarios data for Stress Calibration Cube	As-of date scope	StressCalibrationPLTrades, StressCalibrationScenarios, StressCalibrationScenarioFxRates
HistoricalOrganisationData	BookDescriptionHistorical + BookParentChildHistorical	Historical scope	Book Parent Child, Desk Description, IRT Desk Groups, and Reference and Booking Files
IMADRCSummaryData	Historical IMA DRC data	Historical scope	IMA_DRC_Summary, FXHistorical
PLSummaryData	Historical/summary PLAT and backtesting Trades & Scenario data	Historical scope	PLSummary, PLSummaryScenarios, FXHistorical
IMASummary	IMA and SES historical/summary data	Historical scope	IMA_Summary, IMARiskFactorsHistorical, FXHistorical, EsScenarioFxHistorical
SASummary	CASummaryData	Historical scope	SBM_Delta_Sensi_Summary, SBM_Vega_Sensi_Summary, SBM_Curvature_Sensi_Summary, DRC_Summary, RRAO_Summary

Unload Topic Aliases

Unload topic aliases allow data to be selectively unloaded for a specific as-of date, cube by cube. Each alias maps to the set of datastore tables that feed a specific cube. This allows one cube’s data to be unloaded without affecting others.

Alias	Description	Stores
UnloadSA	Standardised Approach cube stores	SASensitivities, RiskFactorDescription, UnderlyingDescription, SATradeDescription, Obligor, Tranche, Security, RRAO, IRTDeskGroups, RiskFactorDescriptionOverrides, UnderlyingDescriptionOverrides, ObligorOverrides, TrancheOverrides, RRAOOverrides, EquityBuckets, CommodityBuckets, DrcSecNonCtpBuckets, EquityBucketDesc, CSRBucketDesc, PublicSectorObligorRiskWeights
UnloadIMA	Internal Model Approach cube stores	IMATrades, IMARiskFactors, Scenarios, EsScenarioFxRates
UnloadIMADRC	IMA Default Risk Charge cube stores	DRCIMABase, DRCScenarios, DRCScenariosCount
UnloadPL	P&L Attribution / Backtesting cube stores	PLTrades, PLScenarios
UnloadStressCalibration	Stress Calibration cube stores	StressCalibrationTrades, StressCalibrationScenarios, StressCalibrationScenarioFxRates
UnloadCommon	Shared organization and booking stores used across all cubes	TradeMapping, BookParentChild, BookHierarchy, BookDescription, DeskDescription, LegalEntityParentChild, LegalEntityHierarchy, LegalEntityAttributes, LegalEntityImports, FXRates
UnloadParameters	Global parameter stores (risk weights, correlations, etc.)	FRTBParameters, ParameterSet, CSRNonSecBucket, CSRSecCTPBucket, CSRSecNonCTPBucket, DRCWeight, ERBARiskWeight, CommodityBucketRiskWeights, EquityBucketsRiskWeight, CSRBucketsRiskWeight, VegaRiskWeights, CommodityIntraBucketCorrelations, CSRBucketCorrelations, EquityGammaCorrelations, EquityRhoCorrelations, CSRNonSecHighRatings, GIRRDeltaWeighting, GIRRMajorCurrency, GIRRCorrelationOverrides, FXDeltaSpecialCrosses, FXRiskWeightOverrides, Vertices, OptionResidualMaturityVertices, LiquidityHorizons, IMAMultiplier, SensitivityScaling, InstrumentToLGD, ObligorToRiskWeight, GIRRDeltaDoubleSums, EquityDeltaDoubleSums, CsrNsDeltaDoubleSums, CsrSecNonCtpDeltaDoubleSums, CsrSecCtpDeltaDoubleSums, CommodityDeltaDoubleSums, FXDeltaDoubleSums, Crypto2aDeltaDoubleSums, GIRRVegaDoubleSums, EquityVegaDoubleSums, CsrNsVegaDoubleSums, CsrSecNonCtpVegaDoubleSums, CsrSecCtpVegaDoubleSums, CommodityVegaDoubleSums, FXVegaDoubleSums, Crypto2aVegaDoubleSums
UnloadAllData	Composite alias that unloads all of the above (except Parameters)	UnloadSA + UnloadIMA + UnloadIMADRC + UnloadPL + UnloadStressCalibration + UnloadCommon

To unload, for example, the SA cube data for a specific date:

{
  "operation": "UNLOAD",
  "topic": "UnloadSA",
  "scope": { "AsOfDate": "2018-09-28" }
}

To unload all cube data for a date while keeping parameters:

{
  "operation": "UNLOAD",
  "topic": "UnloadAllData",
  "scope": { "AsOfDate": "2018-09-28" }
}

Configuration Properties

The following properties can be set in application.properties:

Property	Default Value	Description
`csv-source.dataset`	sample-data/data	Path to the directory containing the files to load.
`csv-source.dataset-historical`	`${csv-source.dataset}/historical`	Path to the directory containing historical files to load.
`csv-source.dataset-configuration`	sample-data/configuration	Path to the directory containing the configuration files to load.
`initial-load.business-dates`		If set, the (comma-separated) set of as-of-dates to load at startup
`initial-load.history`	true	If set to `true`, historical data will be loaded

Initial Load Order

Topic Aliases

The following topic aliases are loaded on startup in the specified order.

Configuration

If there is a configuration directory available, the following topics are loaded:

ConfigurationData
TupleData

As-of-Dates

If the configuration parameter initial-load.business-dates is set, the dates listed in the parameter are used. For example, in the application.properties file:

initial-load.business-dates=2018-09-28,2018-09-27

If the initial-load.business-dates parameter is not set, the top level of the data directory is scanned for directories with date names. These dates are then used as the as-of-dates for the initial load. This matches the previous startup behavior.

Topics loaded with As-Of-Dates

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

IMADRCScenariosData
ALLSA + ALLIMADaily + PLTradeData + StressCalibrationData

Historical Data (Optional)

If the configuration parameter initial-load.history is set to true and there is a historical directory available, the following additional topics are loaded:

HistoricalOrganisationData + IMASummary + PLSummaryData + IMADRCSummaryData

​Scopes

​Topic Aliases

​Unload Topic Aliases

​Configuration Properties

​Initial Load Order

​Topic Aliases

​Configuration

​As-of-Dates

​Topics loaded with As-Of-Dates

​Historical Data (Optional)

Scopes

Topic Aliases

Unload Topic Aliases

Configuration Properties

Initial Load Order

Topic Aliases

Configuration

As-of-Dates

Topics loaded with As-Of-Dates

Historical Data (Optional)