Migration notes 2.1.0

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

Migrate to 2.1.0

Upgrading from version 2.0.0 - see Market Risk Accelerator 2.1.0 Release Notes.

Headline announcement

  • New dimension for sign-off features : A Sign-off dimension containing two hierarchies - one for the sign-off status, one for handling adjustments
  • Day count computation: The day count computation is now calculated differently. See the Calendar Improvement feature on the What’s New page for details.

Input file formats

Added

File Details
cube-adjustments.csv Contains data representing the definition of cube-level adjustments. This file is generated when data is exported after the sign-off process for a sign-off process instance is completed.

Configuration files

Files Added

None

Files Modified

signoff.properties

New properties:

Property Name Value Comment
sign-off.level.members INTRA-DAY,TOTAL REVIEWABLE,UNAPPROVED The level member names for live, snapshot and unapproved task status
sign-off.var.levels AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking List of the levels eligible for filtering in the sign-off task definition for the Var-ES Cube
sign-off.sensi.levels AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking List of the levels eligible for filtering in the sign-off task definition for the Sensitivity Cube
sign-off.pnl.levels AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking List of the levels eligible for filtering in the sign-off task definition for the PnL Cube
sign-off.adjustments.cube.adjustableMeasures.VaR-ES\u0020Cube ES,VaR List of measures eligible for cube-level adjustment in the VaR-Es Cube
sign-off.adjustments.cube.adjustableMeasures.Sensitivity\u0020Cube Delta,Gamma,Vega List of measures eligible for cube-level adjustment in the Sensitivity Cube
sign-off.adjustments.cube.adjustableMeasures.PLCube DTD PnL List of measures eligible for cube-level adjustment in the PLCube
sign-off.adjustments.cube.asOfDateLevel.VaR-ES\u0020Cube AsOfDate@Date@Dates The asOfDate level, used by the cube-level adjustment in the VaR-Es Cube
sign-off.adjustments.cube.asOfDateLevel.Sensitivity\u0020Cube AsOfDate@Date@Dates The asOfDate level, used by the cube-level adjustment in the Sensitivity Cube
sign-off.adjustments.cube.asOfDateLevel.PLCube AsOfDate@Date@Dates The asOfDate level, used by the cube-level adjustment in the PL Cube
sign-off.adjustments.cube.hierarchiesToExclude.VaR-ES\u0020Cube Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk The hierarchies that are not part of the cube-level adjustment location in the VaR-ES Cube
sign-off.adjustments.cube.hierarchiesToExclude.Sensitivity\u0020Cube Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off The hierarchies that are not part of the cube-level adjustment location in the Sensitivity Cube
sign-off.adjustments.cube.hierarchiesToExclude.PLCube Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL The hierarchies that are not part of the cube-level adjustment location in the PnL Cube
sign-off.adjustments.cube.marketDataSetLevel.VaR-ES\u0020Cube MarketDataSet@MarketDataSets@MarketData The market data set level, used by the cube-level adjustment to handle the FX rate in the VaR-Es Cube
sign-off.adjustments.cube.marketDataSetLevel.Sensitivity\u0020Cube MarketDataSet@MarketDataSets@MarketData The market data set level, used by the cube-level adjustment to handle the FX rate in the Sensitivity Cube
sign-off.adjustments.cube.marketDataSetLevel.PLCube MarketDataSet@MarketDataSets@MarketData The market data set level, used by the cube-level adjustment to handle the FX rate in the PL Cube
sign-off.adjustments.cube.signOffFeedLevel.VaR-ES\u0020Cube Feed@Sign-off Status@Sign-off The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the Var-Es Cube
sign-off.adjustments.cube.signOffFeedLevel.Sensitivity\u0020Cube Feed@Sign-off Status@Sign-off The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the Sensitivity Cube
sign-off.adjustments.cube.signOffFeedLevel.PLCube Feed@Sign-off Status@Sign-off The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the PL Cube
sign-off.adjustments.cube.signOffStatusLevel.VaR-ES\u0020Cube Status@Sign-off Status@Sign-off The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the Var-Es Cube
sign-off.adjustments.cube.signOffStatusLevel.Sensitivity\u0020Cube Status@Sign-off Status@Sign-off The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube
sign-off.adjustments.cube.signOffStatusLevel.PLCube Status@Sign-off Status@Sign-off The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the PL Cube
sign-off.adjustments.cube.signOffTaskLevel.VaR-ES\u0020Cube Task@Sign-off Status@Sign-off The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the Var-Es Cube
sign-off.adjustments.cube.signOffTaskLevel.Sensitivity\u0020Cube Task@Sign-off Status@Sign-off The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube
sign-off.adjustments.cube.signOffTaskLevel.PLCube Task@Sign-off Status@Sign-off The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the PL Cube
sign-off.adjustments.cube.signOffAdjustmentSourceLevel.VaR-ES\u0020Cube Source@Adjustment@Sign-off The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the VaR-Es Cube
sign-off.adjustments.cube.signOffAdjustmentSourceLevel.Sensitivity\u0020Cube Source@Adjustment@Sign-off The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the Sensitivity Cube
sign-off.adjustments.cube.signOffAdjustmentSourceLevel.PLCube Source@Adjustment@Sign-off The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the PL Cube

Datastores

Added stores

Store Details
SignOffDigestStore Contains the definition of cube-level adjustments.

Cube schema

Added

Cube Dimension Hierarchy Levels Datastore fields Details
VaR-ES Cube Sign-off Sign-off Status Feed, Status, Task Analysis hierarchy Used to handle the status of the sign-off tasks
VaR-ES Cube Sign-off Adjustment Source, Input type Source, Input type Used to distinguish between unadjusted and adjusted facts
Sensitivity Cube Sign-off Sign-off Status Feed, Status, Task Analysis hierarchy Used to handle the status of the sign-off tasks
Sensitivity Cube Sign-off Adjustment Source, Input type Source, Input type Used to distinguish between unadjusted and adjusted facts
PLCube Sign-off Sign-off Status Feed, Status, Task Analysis hierarchy Used to handle the status of the sign-off tasks
PLCube Sign-off Adjustment Source, Input type Source, Input type Used to distinguish between unadjusted and adjusted facts

Measures

Added

Cube Measure Details
Sensitivity Cube \Taylor HD VaR> Harrell-Davis Taylor VaR, the Harrell-Davis quantile estimator applied on the Taylor VaR
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