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Project description
Python FRTB Aggregator
This is a free python binding to implementation of Fundamental Review of the Trading Book (FRTB SA). Supports multiple jurisdictions (BCBS, CRR2). Aggregates at any level of breakdown. Supports everything you'd need in a proper production environment: Filtering, Overrides and WhatIf. Blazingly fast, parallel.
Currently covering SA (Standardised Approach), with some limitations, it will be extended to cover IMA (Internal Models Approach) and SA CVA shortly. Checkout our userguide.
Contributing
You will need python, make.
Before commit
First:
cd pyultima
Linting:
make pre-commit
Tests\examples:
make test
Playround:
make build
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