Release notes

For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Atoti CVA Risk Capital Migration Notes

4.0.3

2023-06-20

Download the distribution files here

Summary

  • Fixed CCS K Delta calculation bug.
  • Improved performance of CCS K Delta calculations.

Known issues

Issue Key Details
PIVOT-5759 Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
UI-8541 Building the UI raises the error cannot find module @babel/plugin-proposal-nullish-coalescing-operator. The dependency can be added manually as a workaround.

Dependency versions

Component Version
Accelerator-sdk 5.0.20
Atoti Server 5.10.6
Atoti UI 5.0.23
Bookmark Manager 3.0.0
Data Connectors 2.2.1
Java JDK11
Test Harness 2.1.1
What-If 1.6.0

Fixed

Issue Key Details
CVARC-744 Fixed CCS calculation bug that occurred when a query spanned multiple dates.
CVARC-756 Performance improvements for CCS Kb Delta calculations.

4.0.2

2023-05-04

Download the distribution files here

Summary

  • Performance improvements and bug fixes

Known issues

Issue Key Details
PIVOT-5759 Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Dependency versions

Component Version
Accelerator-sdk 5.0.16
Atoti Server 5.10.6
Atoti UI 5.0.18
Bookmark Manager 3.0.0
Data Connectors 2.2.2
Java JDK11
Test Harness 2.1.1
What-If 1.7.0

Fixed

Issue Key Details
CVARC-712 Fixed bug where IRProductNetty Post Processor calculated the double sum when the tenors were the same.
CVARC-717 Add sa.cva-loss.sign property to indicate if CVA losses are represented by “positive” or “negative” numbers
CVARC-732 Remove NaN values from Vega risk-weights, when not at bucket level
CVARC-723 Fixed isCVA hierarchy
CVARC-734 Fixed bug in CCS Kb Delta calculation

4.0.1

2023-02-23

Download the distribution files here

Summary

Performance improvements and bug fixes

Known issues

Issue Key Details
PIVOT-5759 Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Dependency versions

Component Version
ActivePivot 5.10.6
ActiveUI 5.0.5
Data Connectors 2.2.1
Java JDK11
What-if 1.6.0
accelerator-sdk 5.0.2
Bookmark manager 3.0.0
Test Harness 2.1.1

Fixed

Issue Key Details
CVARC-710 Fixed bug where the Hedge Remaining Maturity measure factored the FX conversion twice.
CVARC-714 Fixed bugs where users couldn’t load data from Azure and Query ActivePivot via Excel.
CVARC-716 Performance improvements in the counterparty credit spread risk calculations.

A new property sets the container’s URL: CVA Capital Risk Accelerator Migration Notes. An Azure-specific Source Config file was added for loading CRIF files.

4.0.0+1

2022-01-27

note

The CVA Risk Capital Accelerator 4.0.0+1 release is a UI only release, and no server-side changes were made. See the CVA Risk Capital Accelerator 4.0.0 release notes below for the latest server-side distribution files.

To download the CVA Risk Capital Accelerator 4.0.0+1 UI-only distribution file, click here.

Summary

Technical upgrade to ActiveUI 5.0.7 to integrate bug fixes. See ActiveUI release notes

Known issues

  • Updated 2022-09-21: CVARC-712 - In the sa-cva-risk-factors-correlations-delta-interest-rate.csv file, specifying 100% correlation for the same tenors results in the Kb being incorrect. To avoid this issue, exclude the same tenor correlation in the file, as in the sample file (sa-cva-risk-factors-correlations-delta-interest-rate.csv), or set it to be 0.
  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

4.0.0

2021-12-03

Download the distribution files here

Summary

  • Support has been added for FX Rates conversion. For more information, see the Migration notes.
  • The Branch Manager and WhatIf Manager screens have been combined into a single WhatIf Manager Widget. This widget shows all created branches with the audit details and the ability to show differences against the master branch. Users will also be able to delete branches from this screen. Please note: the merge functionality has been removed.

Dependency versions

Component Version
ActivePivot 5.10.6
ActiveUI 5.0.7
Data Connectors 2.2.1
Java JDK11
What-if 1.6.0
accelerator-sdk 5.0.2
Bookmark manager 3.0.0
Test Harness 2.1.1

Known issues

  • Updated 2022-09-21: CVARC-712 - In the sa-cva-risk-factors-correlations-delta-interest-rate.csv file, specifying 100% correlation for the same tenors results in the Kb being incorrect. To avoid this issue, exclude the same tenor correlation in the file, as in the sample file (sa-cva-risk-factors-correlations-delta-interest-rate.csv), or set it to be 0.
  • Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
  • Update 2022-06-07: We’ve identified a bug in the Frequent Value Compression ActivePivot feature (new since AP 5.10). CVA-RC 4.0.* depends on ActivePivot 5.10.6 and is therefore impacted. We strongly recommend disabling Frequent Value Compression by setting the following property when launching ActivePivot: -Dactiveviam.chunk.compression.enabledFrequentValue=0. The next version maintenance release of CVA-RC will include an upgrade to ActivePivot, which resolves this issue.

Added

Issue Key Details
CVARC-56 ReferenceCurrency to be used as analysis hierarchy in the FX service and express calculation in the reference ccy.
CVARC-673 Support has been added for parsing BA CRIF files.

Changed

Issue Key Details
CVARC-688 Upgraded CVARC to 5.10.5
GENACL-503 The Branch Manager and WhatIf Manager screens have been combined into a single WhatIf Manager Widget. This widget shows all created branches with the audit details and the ability to show differences against the master branch. Users will also be able to delete branches from this screen. Please note: the merge functionality has been removed.

Removed

Issue Key Details
CVARC-385 Removed unnecessary reporting-lib dependencies.

3.0.0

Summary

  • BREAKING The accelerator has been upgraded to ActivePivot 5.9.4
    • If you made customizations to the accelerator, refer to the ActivePivot 5.9 migration guide to see if you have to migrate your code.
    • This upgrade is only compatible with Java 11, if you don’t have Java 11 installed, you can download the binaries from Red Hat, AdoptOpenJDK, or from Oracle under the same GPL license the Oracle SE used to be licensed under.
  • The UI has been upgraded to ActiveUI 4.3.13
  • ISDA Tests now run in their own module.

Known issues

Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.