Market Risk Libraries
The Market Risk Libraries are a set of Maven modules containing calculations, services, and cube-related configuration, as follows:
| Module | Packages | Contents |
|---|---|---|
| mr-common-lib | com.activeviam.mr.common.calculations | Postprocessors, measure factories, and calculation implementation details common across models. |
| com.activeviam.mr.common.constants | Constants used across all modules. | |
| com.activeviam.mr.common.services | Services common across models. | |
| mr-common-config | com.activeviam.mr.common.config | Model-agnostic configuration used in the MR application. |
| com.activeviam.mr.common.cube | Cube-related configuration for all cubes. | |
| com.activeviam.mr.common.datastore | Datastore-related configuration for all cubes. | |
| com.activeviam.mr.common.measures | Measure-related configuration for all cubes. | |
| com.activeviam.mr.common.sources | Source-related configuration for all cubes. | |
| mr-sensi-lib | com.activeviam.mr.sensi.calculations | Postprocessors, measure factories, and calculation implementation details for the Sensitivity model. |
| com.activeviam.mr.sensi.services | Services for the Sensitivity model. | |
| mr-sensi-config | com.activeviam.mr.sensi.config | Sensitivity-specific configuration used in the MR application. |
| com.activeviam.mr.sensi.cube | Cube-related configuration for the Sensitivity cube. | |
| com.activeviam.mr.sensi.datastore | Datastore-related configuration for the Sensitivity cube. | |
| com.activeviam.mr.sensi.measures | Measure-related configuration for the Sensitivity cube. | |
| com.activeviam.mr.sensi.sources | Source-related configuration for the Sensitivity cube. | |
| mr-market-data-lib | com.activeviam.mr.marketdata.calculations | Postprocessors, measure factories, and calculation implementation details for Market Data. |
| mr-market-data-config | com.activeviam.mr.marketdata.cube | Cube-related configuration for the Market Data cube. |
| com.activeviam.mr.marketdata.datastore | Datastore-related configuration for the Market Data cube. | |
| com.activeviam.mr.marketdata.measures | Measure-related configuration for the Market Data cube. | |
| mr-pnl-lib | com.activeviam.mr.pnl.calculations | Postprocessors, measure factories, and calculation implementation details for the PnL model. |
| mr-pnl-config | com.activeviam.mr.pnl.cube | Cube-related configuration for the PnL cube. |
| com.activeviam.mr.pnl.datastore | Datastore-related configuration for the PnL cube. | |
| com.activeviam.mr.pnl.measures | Measure-related configuration for the PnL cube. | |
| com.activeviam.mr.pnl.sources | Source-related configuration for the PnL cube. | |
| mr-product-control-config | com.activeviam.mr.productcontrol.datastore | Datastore-related configuration for product control features on the PnL cube. |
| com.activeviam.mr.productcontrol.measures | Measure-related configuration for product control features on the PnL cube. | |
| mr-var-lib | com.activeviam.mr.var.calculations | Postprocessors, measure factories, and calculation implementation details for the VaR model. |
| mr-var-config | com.activeviam.mr.var.config | VaR-specific configuration used in the MR application. |
| com.activeviam.mr.var.cube | Cube-related configuration for the VaR-ES cube. | |
| com.activeviam.mr.var.datastore | Datastore-related configuration for the VaR-ES cube. | |
| com.activeviam.mr.var.measures | Measure-related configuration for the VaR-ES cube. | |
| com.activeviam.mr.var.sources | Source-related configuration for the VaR-ES cube. | |
| mr-combined-lib | com.activeviam.mr.combined.calculations | Postprocessors for combined calculations across all other cubes. |
| mr-combined-config | com.activeviam.mr.combined.cube | Cube-related configuration for the MRCombined cube. |
While we don’t expect clients to change the code in the *-lib modules, the source code is part of the distribution. The *-config modules are intended to be customized through custom Spring Beans.