What's New?
This page is a changelog for the project, where you can see the main changes for each release.
3.0.0
Summary
- BREAKING The accelerator has been upgraded to ActivePivot 5.9.4
- If you made customizations to the accelerator, refer to the ActivePivot 5.9 migration guide to see if you have to migrate your code.
- This upgrade is only compatible with Java 11, if you don’t have Java 11 installed, you can download the binaries from Red Hat, AdoptOpenJDK, or from Oracle under the same GPL license the Oracle SE used to be licensed under.
- The UI has been upgraded to ActiveUI 4.3.13
- ISDA Tests now run in their own module.
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.
2.0.0
Summary
- Upgraded to ActivePivot v5.8.11
- Added support for Java11
- Updated regulations to d507 version of Basel CVA regulation
- Added ISDA Tests, all of which are passing
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
- An Additional whatif scenario has been added to allow users to upload stress test sensitivities and evaluate the stressed risk numbers side by side to the current risk numbers.
- If the upstream risk system can attribute netting set level CVA sensitivities down to transactions driving CVA, then it will be possible to decompose sensitivity inputs down to trades in the user interface.
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
- All calculations required for measuring counterparty credit risk exposures according to the BIS regulation are now implemented.
Known issues
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
- Bookmarks updated to be compliant with the accelerator standards and consistent with the latest FRTB Release
- Jurisdictional Support
- WhatIf functionality has been expanded to include the UI widgets and a sample implementation for changing configuration parameters.
- Note: The following parameters have not been included in this release and will be included in the next release.
- sa.default.disallowance.parameter: para 51 hedging disallowance parameter when calculating kb.
- SAMeasureBuilder.createBucketLevelCapitalChargeColumn: calculateKb
- ba.rho: correlation parameter in Khedged. ReducedCapital.java
- ba.beta: para 18 when calculating Kfull in BA. BACapitalChargePostProcessor
- Note: The following parameters have not been included in this release and will be included in the next release.
- Sign Off Module V1.1.0 has been included but there are several issues/limitations in this initial implementation. These issues have been captured as tickets linked to CVARC-372
- Only measures in the data cubes can be signed off (i.e. the total aggregate measures in the combined cube cannot), a showcase for CVARC BA in BA cube and CVARC SA in SA cube has been pre-configured
- Data export upon approval is not functional and will be enabled in the next versions
- The signoff tool in CVARC currently supports cube level adjustments, but not scaling and substitution for underlying data
- Default “risk” mandates are included (buttons are disabled without them)
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.
0.2.0
Summary
- updates based on usability/ux feedback on the 0.1.0 release including bookmark and formatting changes
- QIS bookmark added
- TOH aggregation of the SA and BA charge
- Distribution testing
- WhatIF framework (*Note: No specific what ifs have been included yet, only the standard framework have been pulled in.)
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.
0.1.0
Summary
- Input file formats for the CSV files that can be used by clients as input to the ActivePivot CVA Risk Capital Accelerator Reference Implementation.
- Portfolio risk data, reference data and configuration files need to be replaced with the organization’s data.
- Regulatory parameters files contain the default set of parameters as in BCBS and as a start can be left unchanged.
- Measures computing capital requirement under the BA approach.
- A set of validation bookmarks displays individual steps and components of the BA calculations.
- Measures computing capital requirement under the SA approach:
- re-gridding functionality, allocating input sensitivities to configurable regulatory vertices
- classification of input sensitivities to configurable regulatory buckets
- a set of validation bookmarks displaying intermediary aggregation steps of the SA calculation
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.