Replacing Cube Measures (Alpha Preview)

This page provides a description of how some measures can be replaced to modify the calculation logic.

Current status:

• Only a few measures are supported; the SBM sensitivities and the SES capital requirements.
• The Spring annotations used to define and override the measures may change.

The measures at the beginning of the calculation chain are now defined using Spring beans. These definitions are designed to be overridden.

For example, this can be used to calculate the SES capital requirement according to the EBA’s RTS on the capitalisation of non-modellable risk factors . This could be done with the following steps:

• Customize the input files, datastore, and IMA cube schema to add the additional fields required by these calculations.
• Replace the “ES (SES)” measure with a measure that applies the EBA’s formulas using the additional fields.
• The accelerator will continue with the IMA ES calculations using this new custom measure.

To replace the “ES (SES)” measure, note that the default implementation is defined in IMAMeasureBeans with the following method signature and annotations:

@Qualifier(NMRF_CAPITAL_REQUIREMENT)
@IMACopperContextBean
public CopperMeasure nmrfCapitalRequirement(){
	...
}

This measure can be replaced in any Spring configuration class by adding a bean with a different name, but the same qualifier and @IMACopperContextBean annotations, adding the @Primary annotation. If the class you are using is new, be sure to include it in FRTBConfig imports. For example,

@Primary
@Qualifier(NMRF_CAPITAL_REQUIREMENT)
@IMACopperContextBean
public CopperMeasure nmrfCapitalRequirementEBA(){
	...
}

This new measure definition can include custom logic and make use of custom measures and levels in the cube. The Accelerator’s IMA ES calculations will use the measure defined by this bean as the underlying measure.

Suggested further reading

Adding New Cube Hierarchies

Adding and Loading New Columns to an Existing File