Migration notes 3.0

This page explains the changes required to migrate to the stated version of the FRTB Accelerator.

Migrate to 3.0

Upgrading from version 2.4.0 - see FRTB Accelerator 3.0 Release Notes.

Move cube description from xml to java configuration

The cube description is no longer in XML format. It has been moved to Java Conf.

Feature	Configuration file
The cubes tuning (partial providers, partitioning, aggregate cache)	frtb-starter/src/main/java/com/activeviam/frtb/starter/cfg/impl/AggregateProviderConfig.java.
The cubes kpis	frtb-starter/src/main/java/com/activeviam/frtb/starter/cfg/impl/KpiProviderConfig.java
The cubes dimensions	frtb-starter/src/main/java/com/activeviam/frtb/starter/cfg/impl/CubesDimensionsConfig.java

For more advanced changes, the full cubes description is located there : frtb-activepivot/src/main/java/com/activeviam/frtb/ref/cfg/applications/cubes/impl/* For more information on customizing cubes, see Extending the Accelerator.

The following cube values can now be changed from the configuration :

Category	Key	Value	Description
Store internals	store.partitioning.asOfDate	0	Maximum number of partitions used for the data stores depending on the asOfDate. 0 means partition number equals the number of CPUs. Note: The day-to-day store partitioned on asOfDate has no maximum partition number. It is also used for cube partial provider partitioning.
Cube internals	sa.cube.provider.partitioning	0	The partitioning modulo of the partial provider for the SA cube
Cube internals	store.partitioning.riskfactor	0	Maximum number of partitions to use per as-of date. When set to 0, the number of CPUs is used. Note: This may apply to fields other than the risk-factor, for example trade-id.
Cube internals	agg.cache.size.sa	-1	Aggregate cache size for the StandardisedApproachCube
Cube internals	agg.cache.size.ima	-1	Aggregate cache size for the InternalModelApproachCube
Cube internals	agg.cache.size.imasummary	-1	Aggregate cache size for the IMASummaryCube
Cube internals	agg.cache.size.drc	-1	Aggregate cache size for the IMADRCCube
Cube internals	agg.cache.size.drcsummary	-1	Aggregate cache size for the IMADRCSummaryCube
Cube internals	agg.cache.size.pl	-1	Aggregate cache size for the PLCube
Cube internals	agg.cache.size.plsummary	-1	Aggregate cache size for the PLSummaryCube
Cube internals	agg.cache.size.combined	20000000	Aggregate cache size for the FRTBCombinedCube
Context value	ctx.queries.time.limit.combined	600	The query time limit in seconds for the combined query cube, defined by the “queriesTimeLimit” context value
Context value	ctx.queries.time.limit.data	300	The query time limit in seconds for the data cubes, defined by the “queriesTimeLimit” context value
Context value	ctx.reference.ccy	EUR	The default displayed reporting currency used by the context value “ReferenceCurrency” used for display
Context value	ctx.ca.lookback	60	The default value for the “CA-Lookback” context value that defines the window size for IMCC and SES average calculation.
Context value	ctx.es.model.variation.lookback	12W	The default value for the “ES Model Variation Lookback” context value that defines the window for the “ES (Model Variation) Lookback” metric
Context value	ctx.ima.drc.lookback	12W	The default value for the “IMADRC-Lookback” context value that defines the average window used in the computation of “DRC-IMA”
Context value	ctx.back.testing.lookback	250	The default value for the “BackTestingLookback” context value that specifies the number of days for back testing
Context value	ctx.pla.lookback	250	The default value for the “PLALookback” context value containing the number of business days to look back when calculating the Mean, Variance, and Standard Deviation measures for PL Attribution Tests.
Context value	default.parameter.set	BCBS	The default parameter set used for computation. For example, BCBS or CRR2.

Replace Book and Legal Entity Hierarchy builders

To improve the loading performance, the multi-level Book and Legal Entity hierarchies are now built before loading the sensitivities, P&L vectors, and trade booking data. They are now also built in the same datastore transaction where the source parent/child data is loaded.

To do this, the Datastore Listeners that were used to build the hierarchies have been replaced. Now these hierarchies are built using Topics in the ETL. When the corresponding parent/child topic is loaded via the Data Load Controller, then these additional topics are also loaded automatically and they are prioritized over the sensitivities, P&L vectors, and trade booking data.

If you make changes directly to the parent/child stores in the datastore (including using the Datastore Viewer UI widget), the hierarchies will no longer be automatically built and you will need to manually “load” these new topics. However, if you make changes to the parent/child stores via the DLC, then the hierarchies will continue to be built as before (though now in the same datastore transaction).

Input file formats

Modified

Modification	File	Field	Optional	Description
Added	Trade Attributes	Sensitivity Scale Category	Y	The category used to scale the SBM sensitivities. This matches the categories in Sensitivity_Scaling.csv.
Added	DRC Trade Level (SA)	Rating Type	Y	The rating type used alongside the rating to determine the risk weight. This matches the rating type in the ERBA_Risk_Weight file.
Added	DRC Trade Level (SA)	Risk Weight	Y	If set, this overrides the risk-weight for the tranche. This can be used as an alternative to SEC-ERBA, for example to provide SEC-SA risk-weights.
Added	DRC Trade Level (SA)	Adjustment	Y	If set, this provides an adjustment to the GrossJTD. This adjustment is only applied if sa.drc.adjustment.apply=true, by default this is only set for CRR2. The currency that the adjustment is expressed in is given by the existing Gross JTD currency field.
Changed Default	Delta	FxComplexDelta	Y	If this field is not set, it now defaults to “Y” instead of “N”.

The new fields are all optional and have been added to the end of each row, so existing Trade Attributes and DRC Trade Level (SA) files will continue to load without needing any modifications.

Configuration files

Added

FX Risk-Weight Overrides

Added the FX Risk Weight Overrides configuration file to allow overriding FX Delta risk-weights by bucket. This is intended for use in ERM II and replaces the FX risk-weights in the old Adjunct Currencies file.

GIRR Correlation Overrides

Added the GIRR Correlation Overrides configuration file to allow overriding GIRR Delta gamma correlations between two GIRR buckets. This is intended for use in ERM II and replaces the Adjunct Currencies file and sa.girr.delta.adjunct-ccy.correlation parameter.

Sensitivity Scaling

Added the Sensitivity Scaling configuration file to specify SBM scale factors by category. This is intended to support CRR2 underwriting.

Modified

frtb-config.properties

Modification	Property	Default	Description
Added	drc.block.size	10240000	The block size used for the DRC vector storage
Added	drc.batch.size	20	The number of lines of the DRC input processed together
Added	fx.translation.scale-factor	-0.9900990099009901	The scale factor to use when translating FX sensitivities (default = -1/1.01)
Added	sbm.sensitivity-scale.category.level	Sensitivity Scale Category@Sensitivity Scale Category@Risk	Cube level to specify the category used to set the SBM scale factor
Added	src.rating.type.stc	STC	Name of STC rating type, used to trigger logic for SEC-ERBA STC ratings
Added	drc.sec-non-ctp.rating.type.level	DRC Sec non-CTP Rating Type@DRC Sec non-CTP Rating Type@Default Risk Charge	Cube level of DRC Sec non-CTP Rating Type
Added	rrao.flag.file-column	ResidualRisk	File column in the trade attributes file that corresponds to the RRAO flag

FRTBParameters.csv

Modification	Parameter	Type	Default	Description
Added	sa.girr.inflation-basis-adjustment	Boolean	true	Set to true to include inflation and cross-currency basis curves when dividing major currency risk weights by sqrt 2. Set to false for the CRR2 parameter set.
Removed	sa.girr.delta.adjunct-ccy.correlation`			This parameter has been replaced with the GIRR_Correlation_Overrides.csv configuration file
Added	sa.drc.adjustment.apply	Boolean	false	Set to true to add the DRC Adjustments to the Gross JTD. Set to true for CRR2 parameter sets.
Added	sa.drc.sec-non-ctp.risk-weight-floor.stc	Double	0.012	The risk weight floor for SEC-ERBA STC.

frtb-data-load.properties

Modification	Parameter	Default	Description
Added	fx.risk-weight.overrides.file-pattern	**/FX_Risk_Weight_Overrides*.csv	File match pattern for FX Risk Weight Overrides configuration file.
Added	girr.correlation.overrides.file-pattern	**/GIRR_Correlation_Overrides*.csv	File match pattern for GIRR Correlation Overrides configuration file.
Added	sensitivity-scaling.file-pattern	**/Sensitivity_Scaling*.csv	File match pattern for Sensitivity Scaling configuration file.
Removed	adjunct-currencies.file-pattern		This Adjunct Currencies configuration file has been replaced by FX Risk Weight Overrides and GIRR Correlation Overrides configuration files.

ERBA_Risk_Weight

• Renamed old Type field to Term, e.g. long or short
• Added new Rating Type field, e.g. blank or STC
• Added STC ratings

Removed

Adjunct Currencies

The Adjunct Currencies configuration file has been replaced by FX Risk Weight Overrides and GIRR Correlation Overrides configuration files.

Datastores

The block size used for the DRC vector storage can be modified with “drc.block.size”. It overrides the default core value that may be too low for DRC. It must be greater than the DRC vector size and a multiple of 1024.

The number of lines processed together during loading and commit of the DRC stores are now configurable with “drc.batch.size”. It can help to tune performance and on-heap usage at start-up. Lower values mean less on-heap usage and smother off-heap load but also more processing overhead.

Added

Store	Details
FXRiskWeightOverrides	This store was added for the FX Risk Weight Overrides
GIRRCorrelationOverrides	This store was added for the GIRR Correlation Overrides
SensitivityScaling	This store was added for the SBM sensitivity scaling

Modified

Modification	Store	Field	Type	Description
Added	SATradeDescription	SensitivityScaleCategory	String	The category used to scale the SBM sensitivities. This matches the category in the SensitivityScaling store.
Added	DRCBase	Adjustment	Double	If set, this provides an adjustment to the GrossJTD. This adjustment is only applied if sa.drc.adjustment.apply=true, by default this is only set for CRR2. The currency the adjustment is expressed in is given by the existing Gross JTD currency field.
Added	Obligor	RiskClass	String	Set to “DRC non-Sec”
Added	Obligor	RiskWeight	Double	The risk weight to use for the obligor. This overrides the risk-weight based on the rating.
Added	Tranche	RiskClass	String	Set to “DRC Sec non-CTP”
Added	Tranche	Type	String	The rating type used alongside the rating to determine the risk weight. This matches the rating type in the ERBARiskWeight store.
Added	Tranche	RiskWeight	Double	The risk weight to use for the tranche. This overrides the SEC-ERBA risk-weight based on the rating (and type).
Renamed	ERBARiskWeight	Term	String	The “long” or “short” term for the rating. This was previously called Type
Added	ERBARiskWeight	Type	String	The rating type used alongside the rating to determine the risk weight.

Removed

Store	Details
AdjunctCurrency	This store was replaced by the FXRiskWeightOverrides and GIRRCorrelationOverrides stores

Cube schema

Added

Cube	Field / Level	Details
SA	DRC Sec non-CTP Rating Type	The rating type used alongside the rating to determine the SEC-ERBA risk-weight.
SA	Sensitivity Scale Category	The category used to scale the SBM sensitivities.

Measures

Added

Cube	Measure	Details
SA	DRC Adjustment	The adjustments added to the Gross JTD when sa.drc.adjustment.apply=true (CRR2).
SA	DRC non-Sec JTD Weightings Override	Optional override for the DRC non-Sec Obligor risk-weight. Requires DRC non-Sec Obligor cube level.
SA	DRC Sec non-CTP JTD Weightings Override	Optional override for the DRC Sec non-CTP Tranche risk-weight. Requires DRC Sec non-CTP Tranche cube level.

Context values

No change.

Other Changes

N/A