Release notes
For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the SIMM Accelerator Migration Notes
2.0.2
2022-10-21
Download the distribution files here
Summary
- ISDA SIMM 2.5: The newly published SIMM 2.5 regulation is used as default. The new calibration file and updated ISDA SIMM tests are up to date.
- Parameter lookup collision issue: Parameter lookup collision issue has been fixed.
note
Please note that SIMM 2.0.2 uses ActivePivot 5.10, which requires Java 11.
- The default parameter set has been updated to 10d-2.5
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 | 5.10.5 |
| ActiveUI | 5.0.7 |
| Data Connectors | 2.2.1 |
| Java | JDK11 |
| What-if | 1.6.0 |
| accelerator-sdk | 5.0.4 |
Added
| Issue Key | Details |
|---|---|
| SIMM-607 | Updated ISDA Tests to 2.5. |
| SIMM-612 | Added 2.5 parameter set to sample data and updated tests. |
Changed
| Issue Key | Details |
|---|---|
| SIMM-581 | Bumped APM Version to 5.10.1. |
| SIMM-612 | 10d-2.5 parameter set is now the default parameter set. |
Fixed
| Issue Key | Details |
|---|---|
| SIMM-608 | Cache key collisions in DatastoreLookup cache resolved by using org.springframework.cache.interceptor.SimpleKeyGenerator to generate key |
2.0.1+1
2022-01-27
note
The SIMM Accelerator 2.0.1+1 release is a UI only release, and no server-side changes were made. See the SIMM Accelerator 2.0.1 release notes below for the latest server-side distribution files.
To download the SIMM Accelerator 2.0.1+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 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
2.0.1
2021-12-03
Download the distribution files here
Summary
- Improvements have been made to the Accelerator-sdk. For more information, see the Migration notes
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.
- Update 2022-06-07: We’ve identified a bug in the Frequent Value Compression ActivePivot feature (new since AP 5.10). SIMM 2.0.1.* depends on ActivePivot 5.10.5 and is therefore impacted. We strongly recommend disabling the Frequent Value Compression by setting the following property when launching ActivePivot:
-Dactiveviam.chunk.compression.enabledFrequentValue=0. The next maintenance release of SIMM will include an upgrade to ActivePivot, which resolves this issue.
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 5.10.5 |
| ActiveUI | 5.0.7 |
| Data Connectors | 2.2.1 |
| Java | JDK11 |
| What-if | 1.6.0 |
| accelerator-sdk | 5.0.2 |
Changed
| Issue Key | Details |
|---|---|
| SIMM-581 | Bumped APM Version to 5.10.1 |
2.0.0
2021-10-26
Download the distribution files here
Summary
note
Please note that SIMM 2.0.0 uses ActivePivot 5.10, which requires Java 11.
- ISDA 2.4 Regulation Updates
- As a result, the default parameter set is now 10-2.4
- Integrated APM to assist with performance monitoring
- ActiveMonitor has been added
- Upgrade to ActiveUI5
- Upgrade to ActivePivot 5.10
- Upgrade to Data Connectors 2.1
- Unit, integration and regression tests have been moved to junit5
- Upgrade to common-lib 1.7 including changes to FXRate post processor
- The Additional Margin Waterfall logic has been simplified
- 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.
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.
| Issue Key | Details |
|---|---|
| PIVOT-5038 | When using an ALocationShiftPostProcessor kind postprocessor on AP5.10 the retrieval usage count is incorrect. |
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 5.10.5 |
| ActiveUI | 5.0.4 |
| Data Connectors | 2.1.0 |
| Java | JDK11 |
| What-if | 1.5.0 |
| accelerator-sdk | 5.0.0-AUI5.0.4 |
Added
| Issue Key | Details |
|---|---|
| SIMM-489 | Added ActiveMonitor |
| SIMM-520 | Integrate APM to assist with performance monitoring |
| SIMM-549 | ISDA 2.4 Regulation Updates |
Changed
| Issue Key | Details |
|---|---|
| SIMM-499 | Simplify Additional Margin Waterfall logic |
| 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. |
| SIMM-530 | Upgrade to common-lib 1.7 including changes to FXRate post processor |
| SIMM-539 | Upgrade to Data Connectors 2.1 |
| SIMM-540 | Upgrade to AP 5.10 |
| SIMM-543 | Upgrade to ActiveUI5 |
| SIMM-545 | Unit, integration, and regression tests moved to junit5 |
Fixed
| Issue Key | Details |
|---|---|
| SIMM-488 | Corrected unrecognized product class “ProductA” in sample data. |
| SIMM-528 | Improved performance of VectorExpand PostProcessor the addition of an EhCache. This cache can be configured in the ehcache-simm.xml file. |
1.4.0
Summary
- The Sensitivity Upload what-if has been renamed to File Upload
- As a part of this change, we allow you to submit what-ifs for the FXRates topic through this widget
- The ISDA Tests have moved to their own module, where you can run your own development server to analyze the data
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.
1.3.0
Summary
- New What-ifs have been added:
- Additional Margin what-if, which allows you to modify your addon trade information
- Trade novation what-if, which allows you to move trades from one portfolio to another
- You can now perform a trade scale what-if on any date loaded in the accelerator
- ISDA SIMM 2.3 parameters have been added
- ISDA Tests for v2.3 have been added, and an updated ISDA test suite has been added
- Overriding of different vertices for a child parameter set is now supported
- VectorExpand.java now provides two methods that can be overridden - getSensitivityForInflationOrXCcyBasis and getSensitivityForBaseCorr - allowing for customization of vertecies for sensitivities, such as inflation and cross-currency
- An error is now logged if an input line is provided from a crif input without a qualifier
- LookupUtil.keysHashCode is now private
- Concentration thresholds are now represented in the amount currency
- Schedule measures now reflect the value of the ‘Reference Currency’ context value when applied
- There have been various performance improvements in what-ifs
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.
1.2.1
Summary
- Buckets are now sorted in a more user-friendly manner
- It is now easier to customize stores and the CrifTuplePublisher
- We now properly handle both post and collect regulations
- We have made further performance improvements
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.
1.2.0
Summary
- Exceptions are no longer thrown by the SIMM measure when you add dimensions below the portfolio-level to your query.
- The Ehcache has been optimized to improve the hit/miss ratio.
- The SIMM, Additional Margin, and Total IM measures no longer return any value at the regualtory bucket level, and the new measure K_generic returns the margin for the buckets.
- We have optimized some of our calculations, so the SIMM and Total IM measures are calulated faster.
- The CrifTuplePublisher class can now handle the AddOnFixed parameter with a defined product class.
- Risk_Generic now allows you to expand by label and risk type.
- AmountCurrency is now a level for the SIMM Cube.
- Multi-regulation trades can now have input provided via multiple lines in the CRIF file.
- A new property, default.multiple.regulation.separator has been added, for when multi-regulation trades use a delimiter other than ‘;’ to denote the regulations applicable.
- You’ll now see a notification in the logs if your vertices are not the same length as your sensitivities, as this indicates that the configuration is off.
- Schedule calculations are only applied to regulations in a trade that are marked as schedule, and SIMM is no longer calculated for these entries.
- Customization of the CrifTuplePublisher class for publishing to new datastores has been made easier.
- WTD_Risk_FX now uses CollectCalculationCcy in its calculation.
- Calls to load data in the accelerator will now respond with the status of the load, either SUCCESS or FAILED
- You can now create custom analysis actions and save them within a bookmark or your UI session.
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.
1.1.0
Summary
- Support for additional margin calculations / ISDA Tests added
- We have added a ‘Worst Regulation’ measure, that will let you know what the worst applicable regulation is.
- Reference currencies are dynamically loaded from the FXRate store
- What-if functionality added, it is now possible to:
- Scale trades
- Change parameter values
- Upload new files on a new branch
- UI has been upgraded to Activeui v4.3.7
- The ‘PortfolioId’ column of the crif file is now treated as a netting set id, and the ‘NettingSetId’ column has been removed from the input files.
- Parameter Sets are now just 10d and 1d, SIMM v2.2 and v2.1 are applied based on the date of the data (2.2 is 2019-01-01 and later, and 2.1 is 2018-12-31 and earlier)
- We have made some performance improvements in data loading and query times
- Schedule margin for post mode is now the absolute value of the measure
- We improved the logging/exceptions when there is missing data
- Fewer null pointers are thrown from measures when certain dimensions are added to the query
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.
1.0.0
Summary
- Standard IM calculations are now supported
- Users can select presentation currency, using the ReferenceCurrency context value, read more in our documentation
- 1D holdings calculation support (via the ParameterSet) / ISDA Single day holding tests
- Support for parameters in the CRIF format
- Post & Collect Modes - input through the crif file
- Multiple regulation support
- The Total Margin has been added to display the Worst Regulation initial margin at netting set level.
- The documentation now includes datastore descriptions.
- What If Upload is now supported (Out of the box support for CrifData topic)
- To add What If Upload support for another topic register a new what if topic associated with the topic you would like to add support for.
For example for CrifData we registered the topic StressedSensitivityWhatIfRestfulService.CSV_WHAT_IF_TOPIC_PREFIX + ASourceConfig.CSV_TOPIC__CRIF within DataLoadControllerConfig.registerCsvSourceAndChannels()
Ensure the topic is added to the source and topic channels map with correct tuple publisher, subdirectory.
Lastly make sure to add the topic to the configuredTopics list maintained in StressedSensitivityWhatIfRestfulService which is a list of supported topics
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.
0.3.0
Summary
- The release included SIMM aggregation for Credit Qualified / Credit Non Qualified Risk Classes
- ISDA Test Cases for Equity, Commodity, FX
- ISDA Test Cases for Credit Qualified / Credit Non Qualified
- Product Classes
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.