ultibi is a free(subject to license agreement) python library by Ultima.
ultibi is a framework for building Pivot Tables and Cubes, to display and drill through the key metrics for your data.
This userguide will provide examples of the functionality. We pick - Fundamental Review of the Trading Book's Standardised Approach to serve as a great usecase example.
You can breakdown and drillthrough your computation
The calculation goes as per FRTB SA Paper (Note:
ultibiis not (yet) certified by ISDA. Always check the output against your own interpretation of the regulation) and aims to be fully compliant(although not certified).
ultibisupports CRR2 parameter set out of the box. Switch between the two is as easy as setting
ultibiis very flexible and allows you to override any of the prescribed parameters (such as
calc_paramsargument. This essentually means that you can define your own parameter sets as per any regulatory requirements (eg non BCBS/CRR2). This also means that you can stress test against changes in the values of the prescribed (aka hard coded by ISDA) parameters.