Skip to main content

Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

Use this file to discover all available pages before exploring further.

​
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.
ScopeDescription
Configuration ScopeThis 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 ScopeThis 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 ScopeThis 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. contains the following topic aliases:
AliasDescriptionScopeTopics
ConfigurationDataParameter set dataConfiguration scopeConfiguration
TupleDataTuples inserted directly into the datastore (for QIS double sums hierarchies)Configuration scopeIMA_Trades, IMA_Summary
FXDataRecent FX ratesAs-of date scopeFXRates, EsScenarioFxRates
OrganisationDataBook and Legal Entity hierarchiesAs-of date scopeReference and Booking Files:
CombinedBookParentChildDesk, BookParentChild, BookDescription, DeskDescription, IRTDeskGroups, and Categories. BookHierarchy store tuples are generated from BookParentChild Store tuples, LegalEntityParentChild, and LegalEntityAttributes
TradeBookingDataTrade attributes and mappingAs-of date scopeTrade_Attributes
SBMDataSBM sensitivities and related bucket storesAs-of date scopeEquity 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
CrifDataCRIF
SADRCDataSA DRC dataAs-of date scopeDRC, PublicSectorObligorRiskWeights
SAOverridesUnderlyingDescriptionOverrides, ObligorOverrides, TrancheOverrides, RRAOOverrides
CATradeDataIMA and SES trade level dataAs-of date scopeScenarios, IMARiskFactors, IMA_Trades
IMADRCScenariosDataDescriptions of IMA DRC scenariosAs-of date scopeDRC_SCENARIO_COUNT, DRCScenarios
IMADRCTradeDataRecent IMA DRC trade dataAs-of date scopeDRC, DRC_NONLINEAR_RECOVERY
PLTradeDataRecent PLAT and backtesting trade-level dataAs-of date scopePLSummary, PLScenarios
ALLSAFXData + OrganisationData + TradeBookingData + SBMData + SADRCDataAs-of date scopeFXRates, Organisation, TradeBooking, SBM, SADRC, Crif, SAOverrides (loads all of these Aliases and their associated topics, as listed in this table (above))
ALLIMADailyFXData + OrganisationData + TradeBookingData + CATradeData + IMADRCTradeDataAs-of date scopeFXRates, Organisation, TradeBooking, CATrade, IMADRCTrade (loads all of these Aliases and their associated topics, as listed in this table (above))
StressCalibrationDataTrades & Scenarios data for Stress Calibration CubeAs-of date scopeStressCalibrationPLTrades, StressCalibrationScenarios, StressCalibrationScenarioFxRates
HistoricalOrganisationDataBookDescriptionHistorical + BookParentChildHistoricalHistorical scopeBook Parent Child, Desk Description, IRT Desk Groups, and Reference and Booking Files
IMADRCSummaryDataHistorical IMA DRC dataHistorical scopeIMA_DRC_Summary, FXHistorical
PLSummaryDataHistorical/summary PLAT and backtesting Trades & Scenario dataHistorical scopePLSummary, PLSummaryScenarios, FXHistorical
IMASummaryIMA and SES historical/summary dataHistorical scopeIMA_Summary, IMARiskFactorsHistorical, FXHistorical, EsScenarioFxHistorical
SASummaryCASummaryDataHistorical scopeSBM_Delta_Sensi_Summary, SBM_Vega_Sensi_Summary, SBM_Curvature_Sensi_Summary, DRC_Summary, RRAO_Summary

​
Unload Topic Aliases

Unload topic aliases allow you to selectively unload data 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 you to unload one cube’s data without affecting others.
AliasDescriptionStores
UnloadSAStandardised Approach cube storesSASensitivities, RiskFactorDescription, UnderlyingDescription, SATradeDescription, Obligor, Tranche, Security, RRAO, IRTDeskGroups, RiskFactorDescriptionOverrides, UnderlyingDescriptionOverrides, ObligorOverrides, TrancheOverrides, RRAOOverrides, EquityBuckets, CommodityBuckets, DrcSecNonCtpBuckets, EquityBucketDesc, CSRBucketDesc, PublicSectorObligorRiskWeights
UnloadIMAInternal Model Approach cube storesIMATrades, IMARiskFactors, Scenarios, EsScenarioFxRates
UnloadIMADRCIMA Default Risk Charge cube storesDRCIMABase, DRCScenarios, DRCScenariosCount
UnloadPLP&L Attribution / Backtesting cube storesPLTrades, PLScenarios
UnloadStressCalibrationStress Calibration cube storesStressCalibrationTrades, StressCalibrationScenarios, StressCalibrationScenarioFxRates
UnloadCommonShared organisation and booking stores used across all cubesTradeMapping, BookParentChild, BookHierarchy, BookDescription, DeskDescription, LegalEntityParentChild, LegalEntityHierarchy, LegalEntityAttributes, LegalEntityImports, FXRates
UnloadParametersGlobal 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
UnloadAllDataComposite 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:
PropertyDefault ValueDescription
csv-source.datasetsample-data/dataPath to the directory containing the files to load.
csv-source.dataset-historical$/historicalPath to the directory containing historical files to load.
csv-source.dataset-configurationsample-data/configurationPath to the directory containing the configuration files to load.
initial-load.business-datesIf set, the (comma-separated) set of as-of-dates to load at startup
initial-load.history trueIf 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:
  1. ConfigurationData
  2. 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:
  1. IMADRCScenariosData
  2. 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:
  1. HistoricalOrganisationData + IMASummary + PLSummaryData + IMADRCSummaryData