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.
pip install ultibi
You will need python, make, wget and mdbook.
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