Navigation :
test ../../../ test user-ref.html
User & Reference Guide
test ../../../ test getting-started.html
Getting started
test ../../../ test getting-started/using-this-guide.html
- Using this guide
test ../../../ test getting-started/whats-new.html
- What's New
test ../../../ test getting-started/frtb-data-model.html
- FRTB Data Model
test ../../../ test tutorials.html
Tutorials
test ../../ test tutorials/data-health-check.html
- Data Health Check
test ../../ test tutorials/tips-for-validating-the-calculations.html
- Tips for Validating the Calculations
test ../../../ test tutorials/viewing-qis-numbers.html
- Viewing QIS Numbers
test ../../../ test tutorials/workaround-for-deadlock-issue-when-attempting-to-create-partitions-for-reference-stores.html
- Workaround for deadlock issue when attempting to create partitions for reference stores
test ../../../ test configuration.html
Configuration files
test ../../../ test sign-off.html
Sign-Off Approvals
test ../../../ test cube.html
Data Cubes
test ../../../ test what-if.html
What-If Analysis
test ../../../ test datastore.html
Data Stores
test ../../../ test input-files.html
Input Files
test ../../../ test dev.html
Developer Guide
test ../../../ test dev/dev-release.html
-
Release and migration notes
test ../../../ test dev/dev-release/release-notes.html
-- Changelog
test ../../../ test dev/dev-release/migrate-4.0.html
-- Migration notes 4.0
test ../../../ test dev/dev-release/previous-migration.html
--
Previous migration notes
test ../../../ test dev/dev-release/previous-migration/migrate-3.1.1.html
--- Migration notes 3.1.1
test ../../../ test dev/dev-release/previous-migration/migrate-3.1.html
--- Migration notes 3.1
test ../../../ test dev/dev-release/previous-migration/migrate-3.0.0.html
--- Migration notes 3.0
test ../../../ test dev/dev-release/previous-migration/migrate-2.4.0.html
--- Migration notes 2.4.0
test ../../../ test dev/dev-release/previous-migration/migrate-2.3.0.html
--- Migration notes 2.3.0
test ../../../ test dev/dev-release/performance-benchmarks.html
--
Performance Benchmarks
test ../../../ test dev/dev-getting-started.html
-
Getting Started
test ../../../ test dev/dev-ref-impl.html
-
FRTB Reference Implementation
test ../../../ test dev/dev-core.html
-
FRTB Core
test ../../../ test dev/dev-extensions.html
-
Extending the Accelerator
test ../../../ test dev/dev-tools.html
-
Configuring Accelerator tools and methodologies
test ../../../ test dev/dev-sign-off.html
-
Sign-Off
test ../../../ test interpret-impl.html
FRTB Accelerator Interpretation and Implementation of BCBS 457
test ../../../ test pdf-guides.html
PDF Guides
test ../../../ test glossary.html
Glossary
Migration notes 2.3.0
Migration notes
This page explains the changes required to migrate to the stated version of the FRTB Accelerator.
Migrate to 2.3.0
Upgrading from version 2.2.1. - See FRTB Accelerator 2.3.0 Release
Notes .
The Accelerator is now using ActivePivot 5.8.8 (jdk8 or 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 5.8.8 is included with the FRTB Accelerator 2.3.0 release.
Added
File
Details
CRIF
Support for the CRIF file format , as described in ISDA's Risk Data Standards document.
Modified
File
Details
IMA DRC Summary
The Obligor and Seniority columns have been removed from the IMA DRC Summary files (these columns are still present in the trade-level files).
Configuration files
Files Added
File
Details
Adjunct_Currencies.csv
* The new Adjunct Currencies configuration file is used to specify which currencies should be considered "adjunct" and provides an FX Delta Risk Weight for each currency. * The configuration file provided with the accelerator is populated with the DKK currency for CRR2
Files Modified
File
Modification
Details
frtb-data-load.properties
Added
adjunct-currencies.file-pattern=\*\*/Adjunct\_Currencies\*.csv\
Removed
csr.sec-ctp.bucket.correlations.file-pattern
frtb.properties
Added
crif-reporting-currency=USD
Changed
maturity-converter.drc=simple
frtb-config.properties
Added
\# Cube level for Books
book.level=Book\@Books\@Booking
\# Organisational hierarchy for books
book.hierarchy=BookHierarchy\@Organization
\# Cube level for legal entities
legal-entity.level=Legal Entity\@Legal Entities\@Organization
\# Organisational hierarchy for legal entities
legal-entity.hierarchy=LegalEntityHierarchy\@Organization
FRTBParameters.csv
Added
CRR2 parameters sa.csr-nonsec.bucket.covered-bonds,10,2016-01-01,CRR2
sa.other.bucket.csr.ns,18,2016-01-01,CRR2
sa.other.bucket.csr.secctp,18,2016-01-01,CRR2
sa.index.buckets.csr-ns,19;20,2016-01-01,CRR2
sa.girr.delta.adjunct-ccy.correlation,0.8,2015-01-01,CRR2
CSRNS_Bucket_Correlation.csv
Added
CRR2 correlations
CSR_BucketsRiskWeights_NON_SEC.csv
Added
CRR2 risk weights
Removed
BCBS 352 risk weights
CSR_BucketsRiskWeights_SECCTP.
Added
CRR2 risk weights
FX_Special_Crosses.csv
Removed
Redundant currency pairs (implied as 1st order crossed): EUR/JPY, EUR/GBP. EUR/CHF, JPY/AUD
ParameterSet.csv
Added
CRR2
Removed
BCBS 352
Files Removed
CSR_Sec_CTP_Bucket_Correlation.csv
Datastores
Modified
Cube schema
Modified
Cube
Details
IMADRCSummaryCube
Remove Obligor and Seniority
Measures
Added
Context values
Added