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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

Project details

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View statistics for this project via Libraries.io, or by using our public dataset on Google BigQuery

Release history Release notifications | RSS feed

0.6.0

Dec 24, 2023

0.5.0

Aug 16, 2023

0.4.2

Jul 30, 2023

0.4.1

Jul 24, 2023

0.4.0

Jul 22, 2023

0.3.4

Jun 20, 2023

0.3.3

Jun 10, 2023

0.3.2

Apr 25, 2023

0.3.1

Apr 19, 2023

0.3.0

Apr 19, 2023

0.2.0

Mar 28, 2023

0.1.6

Mar 16, 2023

0.1.5

Mar 15, 2023

0.1.4

Mar 12, 2023

0.1.3

Mar 7, 2023

This version

0.1.2

Feb 1, 2023

0.1.0

Jan 22, 2023

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