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.

Why to use ultibi

Why to use ultibi for FRTB

  • The calculation goes as per FRTB SA Paper (Note: ultibi is 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). ultibi supports CRR2 parameter set out of the box. Switch between the two is as easy as setting jurisdiction to CRR2 or BCBS.

  • ultibi is very flexible and allows you to override any of the prescribed parameters (such as girr_delta_rho_infl_base_low) via calc_params argument. 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.