Ultima's Python Userguide (with FRTB SA Aggregator)

ultibi is a free (subject to license agreement) python package for a Cube like UI and backend solution. This book uses Fundamental Review of the Trading Book (FRTB SA) as an example. Supports multiple jurisdictions (BCBS, CRR2). Aggregates at any level of breakdown. Supports everything you'd need in a proper production environment: Filtering, Parameter Sets, Overrides and WhatIf. Blazingly fast, leveraging on Rust and polars.

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.

Acknowledgements

Ultima

Get started

pip install ultibi

Contributing

You will need python, make, wget and mdbook.

Before commit

All examples must be plased into src/examples and refered to from .md files as {#include ./examples/...}

While developing: mdbook watch --open

Download data: make data

Build venv: make venv

Linting: make fmt

Tests\examples: make run