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Rix— Distributed Aggregation Engine

Develop XVA, FRBT, SA-CCR aggregations with zero technical details — in days.

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Aggregation engine built with modern regulatory frameworks in mind

Ready for XVA, FRTB, SA-CCR, IRRBB, IM and other

Fast implementation

Complex aggregation implementation in days, not months, with comprehensive tools.

Expressive language

Finance-oriented aggregation definition language (ADL) without technical hassle.

High performance

Fast distributed in-memory calculations and smart memory management.

How it works

1

User defines aggregation

Aggregation Definition Language (Rix ADL) allows the user to define aggregation in financial terms without any knowledge of distributed or parallel execution, memory management and other advanced topics

2

Aggregation is compiled on-the-fly

Newly created or modified aggregation file is uploaded to the system. It is the compiled on-the-fly into effective byte-code: no recompilation/redeployment is needed.

3

Engine runs aggregation in the Cloud

The newly arrived aggregation is automatically distributed on the Cloud and executed effectively without any additional actions.

Technological choices

Distributed, cross-platform, cloud-ready

We chose the best available technology to make the distributed solution fast, reliable and truly cross-platform.
It is cloud-ready and not vendor-locked to the concrete provider. Be it public cloud or on-premises cluster, automatic deployment with Ansible and ability to ship as Docker containers will make deployment easy and repeatable on different environments.

What makes it special?

Technical and function details separation

Aggregation definition is expressed in financial terms and doesn’t involve instructions about execution.

Automatic distribution

The aggregation execution is distributed automatically using to the fullest the problem structure and taking into account the nature of the calculations.

Smart memory management

Large amounts of data are processed in a streamed fashion allowing keep memory at bay even for calculations involving terabytes of prices and curves.

Pluggable distribution backend

Standard implementation with Apache Ignite™ can be replaced with other distribution middleware using a powerful set of abstractions and interfaces.

Aggregation Definition Language

Rix aggregation definition language gives you the power to define complex aggregations in short time without any knowledge of technical aspects. Just define your hierarchies, metrics, formulas, and you are ready to go

Hierarchy
Metrix
Bindings
Conditions
Multipass

*Click on the code to stop/start the animation

				
					<Hierarchy Name="Portfolio" Fact="TradeFact">
    <Levels>
        <Level Name="Portfolio" Child="Pty"  ConstValue="Portfolio"  />
        <Level Name="Pty"       Child="Cpty"  Field="PartyId"         />
        <Level Name="Cpty"                    Field="CounterpartyId"  >
            <Send     To="NoCS" When="#CollateralSetId eq null"/>
            <ElseSend To="CS"/>
        </Level>
        <Level Name="CS"        Child="Trade" Field="CollateralSetId" />        
        <Level Name="NoCS"      Child="Trade" ConstValue="NoCS"       />        
        <Level Name="Trade"                   Field="TradeId"         />
    </Levels>
</Hierarchy>

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					<Metrics>
   <Metric Name="NPV"          Type="Scalar"                 />
   <Metric Name="PG"           Type="Grid" IsVolatile="true" />
   <Metric Name="EMTM"         Type="Profile"                />
   <Metric Name="EPE"          Type="Profile"                />
   <Metric Name="ENE"          Type="Profile"                />
</Metrics>

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					<Aggregation>   
    <Bindings Level="Trade">
        ...
        <Bind Metric="NPV"  To="$EMTM[0]"  />
    </Bindings>
    ...
    <Bindings Level="CS">
        ...
        <Bind Metric="CVA" To="CVA-DVA-Spot($EPE, @Cpty:DefaultProba, @Cpty:RecoveryRate)">
        <Bind Metric="DVA" To="CVA-DVA-Spot($ENE, @Pty:DefaultProba, @Pty:RecoveryRate)">
    </Bindings>
</Aggregation>

*Click on the code to stop/start the animation

				
					<Bindings Level="CS">
    ...    
    <Conditions>
        <When Condition="($csa.Direction eq 'Party')">
            <Bind Metric="EPE-Grid" To="$EPE-Grid2"/>
            <Bind Metric="EPE"      To="$EPE2"/>
        </When>
        
        <When Condition="($csa.Direction eq 'Counterparty')">
            <Bind Metric="ENE-Grid" To="$ENE-Grid2"/>
            <Bind Metric="ENE"      To="$ENE2"/>
        </When>            
    </Conditions>    
</Bindings>

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					<Aggregation ForPass="1">   
    <Bindings Level="Trade">
        ...
        <Bind Metric="NPV"  To="$EMTM[0]"  />
    </Bindings>
    ...
    <Bindings Level="CS">
        ...
        <Bind Metric="CVA" To="CVA-DVA-Spot($EPE, @Cpty:DefaultProba, @Cpty:RecoveryRate)">
        <Bind Metric="DVA" To="CVA-DVA-Spot($ENE, @Pty:DefaultProba, @Pty:RecoveryRate)">
    </Bindings>
</Aggregation>

<Aggregation ForPass="2">
    <Bindings Level="Trade">                              
        <Bind Metric="CVA" To="($NPV / @CS:NPV) * @CS:CVA" />
    </Bindings>    
</Aggregation>

Clean API

A set of APIs allows you to implement custom user and aggregation functions. Streaming API gives you the power to inject aggregation data as soon as it arrives.

Custom Functions
Aggregation functions
Streaming api

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					[RixFunc("CVA-DVA")]    
public sealed class ComputeCvaDva
{
    [RixCall]
    public double Call(
        ICurve<Date> exposure, ICurve<Date> dps, double rr, CurrencyIso currency,
        [RixTechnical] IAggregationGlobalContext ctx)
    {
        var dsc  = gCtx.Market.Get<InterestRateCurve>(index).DiscountCurve;
        var axis = exposure.Axis;
        
        double cvaDva = 0d;
        for (int j = 1; j < axis.Count; j++)
        {                                   
            var dp = dps[j] - dps[j - 1] > 0 ? dps[j] - dps[j - 1] : 0.0;
            cvaDva += (exposure[axis[j]]* dsc[j]  + dsc[j - 1]*exposure[axis[j-1]]) * 0.5d * dp;        
        }

        cvaDva *=  (1 - rr);
        
        return cvaDva;
    }

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					[RixFunc("Avg", RixFunctionType.Aggregator, OptimizeCalls = true)] // Mark the class as aggregator
public sealed class DoubleAvgAggregate : 
  IAggregate<DoubleAvgAggregate.AvgDoubleMutableAcc, double>       // Define the type of accumulator and result
{
    public class AvgDoubleMutableAcc {                             // Define accumulator class
        public double Sum;
        public int Count;

        public AvgDoubleMutableAcc(double sum, int count)
        {
            if (count < 0) throw new ArgumentOutOfRangeException(nameof(count));
            Sum = sum;
            Count = count;
        }
    }

    // Accumulator creation method
    public AvgDoubleMutableAcc CreateAccumulator(IAggregateContext ctx) => new AvgDoubleMutableAcc(0, 0);
      

  // Updating accumulator on new metrics
    public void Update(AvgDoubleMutableAcc acc, double metric, IAggregateContext ctx) { 
        acc.Sum += metric;
        acc.Count++;
    }

    // Merges two accumulators
    public void Merge(AvgDoubleMutableAcc target, AvgDoubleMutableAcc source, IAggregateContext ctx) {
        target.Sum += source.Sum;
        target.Count += source.Count;
    }

    // Computes final metrics
    public double Evaluate(AvgDoubleMutableAcc acc, IAggregateContext ctx) => acc.Sum / acc.Count;
}

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					var structure = RixApi                           // We use RIX API to aggregate
   .LoadFromFile("aggregation.xml")              // Load aggregation file
   .Compile(functions)                           // Compile with user-defined functions      
   .BuildStructure(trades);                      // Build tree structure using trades

var dataStore = structure.CreateDataStore();     // Create data store (for metrics)
var aggregationScope = structure.CreateScope()   // Create scope
    .WithGlobalVariable("PFE_Confidence", 95);   // with global variables

var slice = aggregationScope.CreateSlice("CS");  // Create slice for collateral set level

using (var stream = slice.CreateStream(          // Create aggregation stream
  collateralSetId,                               // for certain collateral set
  dataStore))                                    // and data store
{
    stream.Start();                              // Start the stream
    parallel foreach (var tradeId in tradeIds)   // iterate over trade IDs in parallel
    {
        var trade       = FetchTrade(tradeId);   // get trade from DB, cache, file etc.
        var pricingGrid = MonteCarlo(trade);     // simulate Monte-Carlo prices
        stream.PushData(                         // push data to the stream
            tradeId,                             // for the particular trade
            Fact.WithField("PG", pricingGrid);   // with "PG" field
    }
    stream.CompleteStreaming();                  // Complete stream (all data is in)
}

await stream.WaitTask;                           // Wait for the stream to finish

Whitepaper

We’ve prepared a whitepaper describing Rix in greater detail. It includes:

Quick Information
Technical Details
Performance Analysis
Aggregation Definition Language Example
Streaming Code Example

Get ready to see it in action!

Describe what you need and we will arrange a demo

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