Migration notes 1.9.0

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

Migrate to 1.9.0

Upgrading from version 1.8.0. See Market Risk Accelerator 1.9.0 Release Notes.

The Accelerator is using ActivePivot 5.8.14-jdk8 or ActivePivot 5.8.14-jdk11 and ActiveUI 4.3.7. For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.

For clients licensed to use ActiveMonitor, a skeleton module based on version 5.8.14-jdk8 or 5.8.14-jdk11 is included with the MRA Accelerator 1.9.0 release.

Sign-off

The Sign-off server is now a standalone component. The back-end processing related to sign-off operations is not present in the MRA anymore and has been put into the standalone sign-off module.

Input file formats

Added

File Details
CashSensitivities.csv Cash sensitivities by asOfDate, it follows the standard sensitivity file format.
ThetaSensitivities.csv Theta sensitivities by asOfDate, it follows the standard sensitivity file format.

Modified

None

Removed

None

Configuration files

Files Added

dee.export.properties

New properties:

Property Name Comment Value
generated.files.base.dir.path Base dir path where all the generated files will be generated. This property is needed by the Download service ${java.io.tmpdir}
download.files.http.base.url URL used for the Download service http://localhost:10010/risk-activepivot/pivot/rest/v4/download
enhanced.drillthrough.base.dir.path Path for the generation of enhanced DT result files (server-side location) ${generated.files.base.dir.path}/dtrepo/
enhanced.drillthrough.http.base.url URL for the distribution of enhanced DT result files ${download.files.http.base.url}/dtrepo
data.extraction.templates.base.dir.path Path to retrieve the data extraction templates ./risk-starter/src/main/resources/dee-templates/
data.extraction.service.base.dir.path Path for the generation of data extraction result files (server-side location) ${generated.files.base.dir.path}dee
data.extraction.service.http.base.url URL for the distribution of data extraction result files ${download.files.http.base.url}/dee

Files Modified

hibernate.properties

New properties:

Property Name Comment Value
hibernate.dbfile.name Name for the Content Server database file mr_ref_impl_content_service

Updated properties:

Property Name Comment New Value Old Value
hibernate.connection.url Connection URL for the Content Server database jdbc:h2:%{dbfile};DB_CLOSE_DELAY=-1 jdbc:h2:file:%{resourceDir}/mr_ref_impl_content_service;DB_CLOSE_DELAY=-1

Deleted properties: None

risk.properties

New properties:

Property Name Comment Value
sensiCashFilePattern File pattern for the cash file sensitivity glob:*CashSensitivities.csv
sensiThetaFilePattern File pattern for the theta file sensitivity glob:*ThetaSensitivities.csv
inc.metrics.list.std List of incremental metrics for the standard configuration booking,trades,top,rlshift
inc.metrics.list.aggregated List of incremental metrics for the aggregated configuration booking,top
inc.metrics.list.import List of incremental metrics for the import configuration booking,trades,top,rlshift
inc.metrics.booking.* Sample incremental metric based on the parent value of the book hierarchy
inc.metrics.booking.suffix Name of the booking incremental metric placed at the end of the measures Booking
inc.metrics.booking.folder Sub-folder of the incremental metric containing all the measures \Booking
inc.metrics.booking.pp Key used to find the corresponding post-processor ParentValue
inc.metrics.booking.hierarchy Hierarchy used for the parent slicing BookHierarchy@Organization
inc.metrics.booking.nullAtTop Metric displayed at top level true
inc.metrics.trades.* Sample incremental metric based on the parent value of the trade hierarchy
inc.metrics.trades.suffix Name of the trade incremental metric placed at the end of the measures Trades
inc.metrics.trades.folder Sub-folder of the incremental metric containing all the measures \Trades
inc.metrics.trades.pp Key used to find the corresponding post-processor ParentValue
inc.metrics.trades.hierarchy Hierarchy used for the parent slicing Trades@Booking
inc.metrics.trades.nullAtTop Metric displayed at top level true
inc.metrics.top.* Sample incremental metric based on the value at top level of the cube
inc.metrics.top.suffix Name of the top incremental metric placed at the end of the measures Top
inc.metrics.top.folder Sub-folder of the incremental metric containing all the measures \Top
inc.metrics.top.pp Key used to find the corresponding post-processor TopPostProcessor
inc.metrics.top.clearFilter Specifies if the metric also clears the filter in order to compute the top level false
inc.metrics.top.nullAtTop Metric displayed at top level false
inc.metrics.top.exclude The hierarchies excluded from the top location computation
inc.metrics.rlshift.* Sample incremental metric based on a specific level of the cube configurable by the referenceLevel property
inc.metrics.rlshift.suffix Name of the reference shift incremental metric placed at the end of the measures Reference Level
inc.metrics.rlshift.folder Sub-folder of the incremental metric containing all the measures \Reference Level
inc.metrics.rlshift.pp Key used to find the corresponding post-processor ReferenceLevelLocationShift
reference-levels.list List of the levels available in the referenceLevel property , Book@Books, Desk@Desks, Legal Entity@Legal Entities, Level 1@BookHierarchy, Level 2@BookHierarchy, Level 3@BookHierarchy, Level 4@BookHierarchy, Level 5@BookHierarchy, Level 1@LegalEntityHierarchy, Level 2@LegalEntityHierarchy, Legal Entity@Legal Entities

Updated properties:

Property Name Comment New Value Old Value
varImportFilePattern Data import file loading patterns for VaR glob:**VaR-ES Cube*.csv* glob:**MRAVaR.csv*
pnlImportFilePattern Data import file loading patterns for PnL glob:**PLCubePnL.csv* glob:**MRAPnL.csv*
sensiImportFilePattern Data import file loading patterns for Sensitivities glob:**Sensitivity Cube*.csv* glob:**MRA*{Delta,Vega,Gamma,Vanna,Volga}*.csv*

Deleted properties: None

risk-config.properties

New properties:

Property Name Comment Value
cash.currency.level Currency level used by the cash metric Ccy@Currencies@Currencies
theta.currency.level Currency level used by the theta metric Ccy@Currencies@Currencies
trade.maturity.date.level Level containing the trade maturity date, used by the theta metric MaturityDate@MaturityDates@TradeAttributes
sensi.type.cash Regular expression used to find the cash metric from the sensitivity name (?i).*(?:cash
sensi.type.theta Regular expression used to find the theta metric from the sensitivity name (?i).*(?:theta
theta.default.maturity Default maturity used as a reference in order to compute theta 2040-01-01

Updated properties: None

Deleted properties:

Property name Comment
book.hierarchy.hierarchy Replaced by inc.metrics.booking.hierarchy
trades.hierarchy Replaced by inc.metrics.trades.hierarchy
risk.class.hierarchy Not used
signoff.export.properties

New properties:

Property name Comment
signoff.export.max-file-size Replaces signoff.export.store.max-file-size

Updated properties:

Property Name Comment New Value Old Value
signoff.export.cube.skip-hierarchies Hierarchies to be skipped when exporting data ALL::BookHierarchy;LegalEntityHierarchy,VaR-ES Cube::Percentile,Sensitivity Cube::Ladder Shifts ALL::BookHierarchy;LegalEntityHierarchy,VaR::Percentile,Sensi::Ladder Shifts;BookHierarchy;LegalEntityHierarchy
signoff.export.cube.date-hierarchies Date hierarchies to use when filtering exports DEFAULT::AsOfDate@Date@Dates ALL::Date@Dates

Deleted properties:

Property name Comment
signoff.export.store Store exports are done systematically
signoff.export.cube Cube exports are done systematically
signoff.export.cube.aggregated Aggregated exports are done systematically
signoff.export.store.max-file-size Replaced by signoff.export.store.max-file-size
signoff.export.filenames.datastore-template Not used anymore
signoff.export.filenames.cube-template Not used anymore
signoff.export.filenames.export-root Replaced by generated.files.base.dir.path in dee.export.properties
signoff.export.base-dir-path Replaced by data.extraction.service.base.dir.path in dee.export.properties
signoff.export.thread-pool.size Not used anymore. Replaced by DEE configuration

Files Deleted

As the Sign-Off server is now a standalone component, the properties related to the sign-off back-end processing are not present in the MRA anymore.

- signoff.hibernate.properties

- signoff.properties

Datastores

Added

None

Modified

None

Removed

None

Cube schema

Added

None

Modified

None

Removed

None

Measures

Added

New sensitivity measures on sensitivity cube:

Cash

The Cash sensitivity is the amount of cash held in a foreign currency. It is mainly accounting value generated by foreign mark to market.

It uses reference currency held by the “ReferenceCurrency” context value and the foreign currency held by the riskFactor and the curency levels of the sensitivity.

Metric Comment
Cash The cash amount expressed in the reference currency
Cash Native The cash amount expressed in the foreign currency
Cash current MD The FX rate between foreign and reference currency
Cash previous MD The FX rate of the previous day
Cash PnL Explain The PnL explain generated by the FX rate move expressed in reference currency.
Cash PnL Explain Native The PnL explain in foreign currency.
Cash Taylor VaR The VaR generated by the FX risk on the cash.

Theta

The theta is the sensibility to time. There is no generated VaR as it is not a risk axis.

Metric Comment
Theta The theta sensitivity expressed in the reference currency
Theta Native The theta sensitivity expressed in the foreign currency
Theta current MD The duration of the deal from today.
Theta previous MD The duration of the deal from yesterday.
Theta PnL Explain The PnL explain generated by theta expressed in reference currency.
Theta PnL Explain Native The PnL explain in foreign currency.

Modified

None

Removed

None

Context values

Added

The referenceLevel context value has been added, it is used for incremental metrics.

Incremental metrics on VaR-ES cube

The incremental metrics have been completely redesigned. Now they are configured by the property files. For each incremental metric, a set of metrics will be created:

  • MetricName Incremental ReferenceSuffix
  • MetricName LEstimated ReferenceSuffix
  • MetricName Component ReferenceSuffix: only for VaR measures
  • MetricName Component Delta ReferenceSuffix: only for VaR measures

Those metrics are created in the spring config files with those code parts:

  • For the initialisation of the reference metric:
    Reference initialisation

incrementalMeasureConfig.buildReferenceMetrics(VAR_FX_VECTOR, context);

  • For the creation of the incremental metrics:
    Incremental metrics

incrementalMeasureConfig.forEachReference(VAR_FX_VECTOR, (refVector, suffix, subFolder) -> { ... });

Modified

None

Removed

None