Changelog
For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Atoti FRTB Migration Notes
5.1.4
2024-07-24
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.15 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Summary
- Distributed what-if configuration: Additional options to configure distributed what-if.
- Upgrade to Atoti Server 6.0.15
- What-if performance: Reconfigured what-if engine to improve performance
- Bug Fixes
Known issues
| Issue Key | Details |
|---|---|
| Updated 2024-08-08: BAST-1110 |
In distributed deployments, what-if thread ends up unauthenticated, preventing other what-ifs. Workaround: Update the what-if tool version in the Solution’s pom.xml to 2.1.5-AS6.0 |
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=LATESTNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| FRTB-2868 | There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. |
Dependency versions
| Component | Version |
|---|---|
| Adjustments Services API | 2.2.0 |
| Atoti Server | 6.0.15 |
| Atoti UI | 5.1.x |
| Common Library | 1.15.0-AS6.0 |
| Data Connectors | 4.0.2 |
| Java | JDK11 |
| Sign-Off API | 2.1.0 |
| UI Components | 5.0.29 |
| What-If | 2.1.3 |
ISDA version
This release is compliant with ISDA v.3.3.1.
Distributed What-If
The distributed what-if configuration has been improved by adding additional options to configure the communication with the data nodes. The data nodes can now provide more information to the query node on how to connect to the REST endpoints. This includes the data node REST endpoint protocol and host name.
What-If Performance
The what-if engine has been reconfigured to improve performance of what-if simulations. Instead of persisting the simulation statuses to the datastore, they are now stored in a JDBC database. The default configuration uses an in-memory h2 database.
Changed
| Issue Key | Details |
|---|---|
| FRTB-2922 | Update what-if engine configuration to use JDBC database for persisting simulation status. |
| FRTB-3144 | Added configuration options for distributed what-if. |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-3121 | Fixed calculation of reported and netted measure variations to pick the SBM scenario per netting set. |
| FRTB-3152 | Fixed currency used for RRAO Notional. |
| FRTB-3173 | Fixed issue with unload operations for the topic aliases. OrganisationData, ALLSA, and ALLIMADaily when Categories hierarchy is disabled. |
| FRTB-3195 | Disabled CategoriesConfig when query node is enabled, to fix startup issue. |
5.1.3
2024-06-05
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Summary
- Reinstating the Categories hierarchy: The Categories hierarchy that was removed in 5.1.0 can be added back with a configuration property.
- Bug fixes This release fixes some known issues.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=LATESTNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| FRTB-2868 | There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release. |
| Updated 2024-07-23: FRTB-3173 |
When Categories hierarchy is disabled unload operations for the topic aliases OrganisationData, ALLSA, and ALLIMADaily would fail. |
Dependency versions
| Component | Version |
|---|---|
| Adjustments Services API | 2.2.0 |
| Atoti Server | 6.0.13 |
| Atoti UI | 5.1.x |
| Common Library | 1.15.0-AS6.0 |
| Data Connectors | 4.0.2 |
| Java | JDK11 |
| Sign-Off API | 2.1.0 |
| UI Components | 5.0.29 |
| What-If | 2.1.1 |
Added
| Issue Key | Details |
|---|---|
| FRTB-3075 | Reinstated the Categories hierarchy (requires property categories-hierarchy.enabled=true). |
Changed
| Issue Key | Details |
|---|---|
| FRTB-3098 | PeriodicActivePivotSchemaRebuilder has been disabled, and will be removed in a future release |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-3093 | Fixed FX Delta when translating from the base currency to the reporting currency with FXComplexTrade==N and Optionality=Y. |
| FRTB-3094 | Fixed Curvature queries when the risk-factor is in the location and there is only a single risk-factor in the results. |
5.1.2
2024-04-16
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.13 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Summary
- Atoti Server version: Upgraded to 6.0.13
- Bug fixes This release fixes some known issues.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=LATESTNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| FRTB-2868 | There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release. |
| FRTB-3093 | The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y. |
| FRTB-3094 | Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results. |
Dependency versions
| Component | Version |
|---|---|
| Adjustments Services API | 2.2.0 |
| Atoti Server | 6.0.13 |
| Atoti UI | 5.1.x |
| Common Library | 1.15.0-AS6.0 |
| Data Connectors | 4.0.2 |
| Java | JDK11 |
| Sign-Off API | 2.1.0 |
| UI Components | 5.0.29 |
| What-If | 2.1.1 |
Changed
| Issue Key | Details |
|---|---|
| FRTB-3038 | Upgrade to Atoti Server 6.0.13. |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-3023 | Fixed intermittent FX translation risk calculations. |
| FRTB-3031 | Fixed filtering of FX Delta sensitivities which have set the flag FXComplexTrade=Y. |
| FRTB-3037 | Fixed creation of risk-factor name by correctly including the tenor. |
5.1.1
2023-12-14
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.7 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=LATESTNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| FRTB-2868 | There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release. |
| FRTB-3023 | There are intermittent errors in the FX translation risk calculations. |
| FRTB-3031 | FX Delta sensitivities with the flag FXComplexTrade=Y are always filtered by the base currency, even if the base currency isn’t used.The workaround is to set sa.fx.base-currency equal to sa.fx.reporting-currency when not using the base currency. |
| FRTB-3037 | When loading sensitivities one per row without supplying a risk-factor name, the tenor is missed from the generated risk-factor name. A potential workaround is to set sbm.risk-factor.always-append-tenor=true |
| FRTB-3093 | The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y. |
| FRTB-3094 | Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results. |
Summary
This release fixes some bugs.
Dependency versions
| Component | Version |
|---|---|
| Adjustments Services API | 2.2.0 |
| Atoti Server | 6.0.7 |
| Atoti UI | 5.1.x |
| Data Connectors | 4.0.1 |
| Java | JDK11 |
| Sign-Off API | 2.1.0 |
| UI Components | 5.0.29 |
| What-If | 2.1.1 |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2879 | Fixed issue with GIRR sensitivities being lost when UnderlyingMaturity vectors were of length one for multiple trades under the same underlying |
| FRTB-2901 | Fixed autogenerated overrides |
| FRTB-2923 | Fixed issue with combined parent child files (now deprecated) not triggering book hierarchy topic |
| FRTB-2924 | Fixed issue with risk weights being merged with duplicate curvature tuples |
| FRTB-2929 | Fixed issue with risk factors containing “%” character and corrected issue where tenor would not be added to non vectorized data if sbm.risk-factor.always-append-tenor was set to true. |
| FRTB-2941 | Fixed issue with FRTB Desk=N flag being interpreted as Y in BookParentChild.v1.csv. |
5.1.0
2023-08-17
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.5 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-12-05: FRTB-2929 |
ETL breaks for risk-factor names containing “%”. |
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=LATESTNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| FRTB-2868 | There is a performance regression with loading IMA DRC data. It is taking significantly longer than in version 4.1. This will be addressed in an upcoming maintenance release. |
| FRTB-3093 | The FX Delta translations from the base currency to the reporting currency don’t always work when FXComplexTrade==N and Optionality=Y. |
| FRTB-3094 | Some Curvature queries don’t work when the risk-factor is in the location and there is exactly one risk-factor in the results. |
Summary
- Complete DirectQuery implementation for SA
- Support for FX conversions of IMA ES P&L vectors
- The Interpretation and Implementation Guide has been expanded to include details for SA DRC
- Upgrade to What-If 2.0 with support for distributed deployments
- Definition of regulatory desks is now independent of the organization hierarchy
- Upgrade to ISDA unit tests v3.3.1 with the addition of UK-PRA
- Upgrade to Atoti Server 6.0.5 and Atoti UI 5.1.x
- Memory use improvements over 5.0
- Microsoft SQL Support: DirectQuery support for connecting to a Microsoft SQL Database has been added
Dependency versions
| Component | Version |
|---|---|
| Adjustments Services API | 2.2.0 |
| Atoti Server | 6.0.5 |
| Atoti UI | 5.1.x |
| Data Connectors | 4.0.1 |
| Java | JDK11 |
| Sign-Off API | 2.1.0 |
| UI Components | 5.0.24 |
| What-If | 2.1.1 |
DirectQuery
- Parent-child table support with DirectQuery: You can now use the LegalEntityParentChild and BookParentChild tables to directly populate the LegalEntityHierarchy and BookHierarchy tables respectively. See Legal Entity Hierarchy and Book Hierarchy for details.
- Overrides With DirectQuery: Overriding risk-factor descriptions for different Parameter Sets is now supported with DirectQuery. See Overrides With DirectQuery for details.
- DirectQuery Schema Validation: Schema can be validated at startup or on-demand through the DirectQuery REST service. DirectQuery Application Refresh: Application can be refreshed to be in sync with the remote database through the DirectQuery REST service.
- DirectQuery REST Service: REST service to interact with DirectQuery and perform health checks.
- New DirectQuery Properties: Properties have been added to:
- wait for DirectQuery data loading on startup
- validate remote database schema on startup
- specify a feedingWarehouse for Snowflake
- set clustering properties to improve database query times
- Added Clustering to DirectQuery: Clustering fields can be specified to improve query performance on remote databases when using DirectQuery.
- DirectQuery Annotations: Annotations for use with DirectQuery have been added to help make defining beans and configuration classes easier when using DirectQuery.
- Microsoft SQL Support: Support for connecting to a Microsoft SQL Database has been added.
- Customizable Date Filters: A new bean has been added that allows for customizing which dates to include in your DirectQuery data node.
- DirectQuery nodes work with InMemory Sign-off enabled nodes: A DirectQuery data node can now be connected to nodes with Sign-off enabled.
Other Changes
- Simplified combining UIs: Introduction of Atoti UI 5.1 simplifies how to activate and configure UI features in Atoti FRTB and across combined Atoti Business Solutions. See Configuring the UI for details.
- Added SA Query Cube : With this query cube, you can now query data across multiple data nodes in the StandardisedApproachCube. See the SA Query Cube section in the migration notes for more.
- Added SA measure : The new “SA” measure is the “Portfolio Risk Charge” measure calculated independently for IRT and non-IRT desks, then summed.
- IMA ES P&L Vector : The P&L vector for the IMA ES calculations has been replaced with a PV vector and a base PV value. This change is backwards compatible. See IMA ES FX Conversions for details.
- Parameter Adjustments: Update parameters to match ISDA unit tests in all data sets.
- Added Underlying field to SASensitivities store: This new field is used in store partitioning to improve performance of ETL and queries.
- Add support for summary data in SA Cube: Added “TradeKey” field to SASensitivities store to support summary data in the SA Cube.
ISDA version
This release is compliant with ISDA v.3.3.1.
Added
| Issue Key | Details |
|---|---|
| FRTB-2833 | Added Underlying field to SASensitivities store. |
| FRTB-2831 | Microsoft SQL Support: Support for connecting to a Microsoft SQL Database has been added. |
| FRTB-2781 | DirectQuery data nodes are compatible with in-memory data nodes with sign-off enabled. |
| FRTB-2779 | Added ability to refresh a DirectQuery application to account for updates to the remote database. |
| FRTB-2779 | Added ability to validate a remote database schema. |
| FRTB-2779 | Added configuration properties to wait for DirectQuery to finish data loading before cube starts. |
| FRTB-2779 | Added REST service to refresh and validate the DirectQuery remote database data on-demand. |
| FRTB-2769 | Added sbm.risk-factor.always-append-tenor configuration option to always append the tenor to the risk factor name in the ETL. |
| FRTB-2751 | Add UK-PRA parameter set to default configuration files. |
| FRTB-2750 | Support UK-PRA in ISDA unit tests. |
| FRTB-2747 | All REST services are now listed in the versions endpoint. |
| FRTB-2721 | Overriding risk-factor descriptions for different Parameter Sets is now supported with DirectQuery. |
| FRTB-2716 | Added directQueryDatesToIncludeFilter bean to customize which dates to include in your DirectQuery data node. |
| FRTB-2690 | Added ability to populate LegalEntityHierarchy table from a LegalEntityParentChild relationship table in DirectQuery through SQL Views. |
| FRTB-2666 | Add SA query node to support horizontal distribution of SA cube. |
| FRTB-2588 | Support curvature PV ladder in DirectQuery. |
| FRTB-2567 | Improved support for remote content server. |
| FRTB-2486 | Report “NaN” for DRC Net JTD when seniority ranking is missing. |
| FRTB-2468 | Added CSRNonSec_HighRatings.csv configuration file to specify which ratings are considered “high” for CSR non-Sec covered bonds. |
Changed
| Issue Key | Details |
|---|---|
| FRTB-2790 | Upgrade to Atoti Server 6.0.5. |
| FRTB-2784 | Fix memory use by merging the stores TradeBase, Delta, Vega, Curvature, and DRCBase into a single SASensitivities store. |
| FRTB-2772 | Upgrade to AdminUI 5.1.1. |
| FRTB-2763 | Tighten security for default configuration of Spring boot actuator and require admin role. |
| FRTB-2740 | Moved DirectQuery code out of preview package. |
| FRTB-2738 | Split IMA ES P&L vector into a PV vector and a base PV value. |
| FRTB-2735 | Moved IMAMultiplier.csv file from daily files to configuration files. |
| FRTB-2713 | Support version 3.3.1 of the ISDA unit test. |
| FRTB-2713 | Support version 1.4 of the ISDA FRTB-SA CRIF file format. |
| FRTB-2711 | Change ChannelParameters to follow fluent conventions instead of having a POJO which has multiple constructors. |
| FRTB-2698 | Similar to ACR, add “SA” measure that calculates Portfolio Risk Charge independently for IRT and non-IRT desks. |
| FRTB-2694 | Upgrade to version 2.0 of What-If tool. |
| FRTB-2689 | Regulatory desks are now independent of the multi-level book hierarchy. |
| FRTB-2688 | Stabilize DRC non-Sec Net JTD calculations by treating near-zero aggregated values of Scaled Gross JTD as zero. Configured using the existing |
| FRTB-2575 | Make SA compatible with summary data. |
| FRTB-2574 | Support customizations replacing the measures representing the underlying IMA ES P&L vectors. Update the annotations used for customizing measures. |
| FRTB-1890 | Update default parameter values to match ISDA unit tests. |
Removed
| Issue Key | Details |
|---|---|
| FRTB-2811 | The SBM CSR and Equity “Category” hierarchies have been deprecated (and hidden). |
| FRTB-2584 | Stop using (previously deprecated) trade-level PV and notional for SA DRC and Curvature. |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2835 | For Scenario FX rates, log error and return NaN when missing base FX rate. |
| FRTB-2830 | Improve performance of ETL. |
| FRTB-2820 | Improve memory use. |
| FRTB-2748 | CRIF file export now populates Variant column. |
| FRTB-2734 | Fixed Exception when invoking drillin REST endpoint. |
5.0.1+1
2023-03-23
The FRTB 5.0.1+1 release is a UI-only release updating the following dependencies:
| Component | Version |
|---|---|
| Accelerator-sdk | 5.0.18 |
| frtb-sdk | frtb-sdk-5.0.1-ui-update-1 |
note
No server-side changes were made. See the FRTB 5.0.1 release notes below for the latest server-side distribution files.
To download the FRTB 5.0.1-ui-update-1 UI-only distribution file, click here.
For instructions on downloading the artifacts, click here.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-12-05: FRTB-2935 |
ETL breaks for risk-factor names containing “%”. |
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=INTRA-DAYNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
Summary
- Fixed known issue in 5.0.1 where What-Ifs created through the Parameter Sets widget were not visible in the What-If Manager widget. You can now view /delete them through the What-If Manager widget.
5.0.1
2023-03-15
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The Atoti Server 6.0.3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-12-05: FRTB-2935 |
ETL breaks for risk-factor names containing “%”. |
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=INTRA-DAYNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| Updated 2023-03-20: | The What-If Manager does not show Parameter Sets widget changes. |
| LIM-581 | FRTB 5.0.1 is not compatible with the Limits Module. |
Summary
- Switch Desk Model improvements : Redundant fields have been removed and minor defects preventing the form from being populated correctly have been fixed.
- ClickHouse Database Support : Added support to connect to a ClickHouse Database.
- Feature Flags : Added configuration options to turn off or hide unused features.
- Fix ETL Customization Support : Fixed and updated support for customizing the ETL.
Dependency versions
| Component | Version |
|---|---|
| Atoti Server | 6.0.3 |
| ActiveUI | 5.0.21 |
| Data Connectors | 4.0.0 |
| Java | JDK11 |
| What-If | 1.8.0 |
| Accelerator SDK | 5.0.17 |
| Sign-Off API | 2.1.0 |
Added
| Issue Key | Details |
|---|---|
| FRTB-2591 | Added feature flags for hiding Capital allocation and Incremental Analysis measures. |
| FRTB-2592 | Added feature flags for disabling each What-If analysis REST endpoint. |
| FRTB-2655 | Added support to connect to a ClickHouse Database using DirectQuery. |
| FRTB-2593 | Added Bookmark filtering functionality when importing bookmarks from a folder based on disabled features. |
Changed
| Issue Key | Details | |
|---|---|---|
| UIACL-137 | Removed “From Branch” from the “Switch Desk Model” popup and fixed minor defects that caused | |
| the popup fields to be populated incorrectly. | ||
| FRTB-2453 | Changed file-pattern property values in frtb-data-load.properties to end in *.csv{,.gz} to |
|
| support loading gzipped files. | ||
| FRTB-2682 | Simplified and standardized ETL configuration to use ChannelParameter beans which are easier | |
| customize. | ||
| FRTB-2678 | Overhauled client extensibility documentation to highlight the use of ChannelParameters Beans | |
| introduced by FRTB-2682 | ||
| FRTB-2663 | Added endpoint to Parameter Sets widget to replace the one previously exposed by the | |
| Datastore Viewer (removed in FRTB 5.0.0) |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2709 | Fixed bug where the SBMCorrelationScenario postprocessor was incorrectly typed to a double. |
| FRTB-2705 | Fixed bug in optionality service |
5.0.0
2022-12-19
Download the distribution files here
The distribution files comprise the following zipped artifacts:
- UI source code.
- UI build that does not require an installation and can be directly deployed.
- Source files that can be used to build the module.
- Maven repository required to build the project and run the tests.
note
The ActiveViam 6.0.1 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
- Offline documentation that can be served by the module.
Known issues
| Issue Key | Details |
|---|---|
| Updated 2023-12-05: FRTB-2935 |
ETL breaks for risk-factor names containing “%”. |
| Updated 2023-09-26: BAS-1456 |
When Sign-Off is enabled, the DEE template orders generate duplicate rows. This occurs because the Sign-off Status slicing hierarchy introduced by the Sign-Off Module requires a member to be defined in the locations of the DEE template. Without this, the getAggregates query defaults to using a wildcard member and thus each member of the hierarchy gets exported.Fix: Inside each extraction template order, navigate to the locations defined under queries > locations. Append the following string to each location: Feed@Sign-off Status@Sign-off=INTRA-DAYNote: Levels must be separated by semi-colons. This issue is fixed in 5.2.0, where the default behavior changes to use a default member instead of a wildcard member. |
| Updated 2023-03-20: | The What-If Manager does not show Parameter Sets widget changes. |
| Updated 2023-02-27: FRTB-2682 |
The documented mechanism for customizing the ETL is not working. |
| Updated 2023-02-14: FRTB-2701 |
Distribution is not working for IMA. It is only working for SA. |
| LIM-581 | FRTB 5.0.0 is not compatible with the Limits Module. |
Summary
- Upgrade to ActivePivot 6.0.1
- Preview support for the Standardised Approach with DirectQuery
- Added support for overlapping tranches in CSR Sec non-CTP
- Merged summary and trade-level cubes
- Moved SBM sensitivity interpolation to query time and store sensitivities as scalars
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 6.0.1 |
| ActiveUI | 5.0.15 |
| Data Connectors | 4.0.0 |
| Java | JDK11 |
| What-if | 1.8.0 |
| Accelerator SDK | 5.0.15 |
| Sign-Off API | 2.1.0 |
DirectQuery Preview (FRTB-SA)
This version of Atoti FRTB includes a preview of DirectQuery support for the Standardised Approach.
This preview includes all SA calculations, but does not have full multi-jurisdictional support and has limited customizability.
Currently, DirectQuery does not support what-ifs, sign-off, or data updates. These features are only available using the in-memory datastore.
CSR Sec non-CTP tranche overlaps
In MAR 21.68, it is possible for two different risk-factors to have a correlation of 1 if they represent different tranches which overlap by more than 80%. Moreover, it is possible to have three tranches (from the same pool) with two pairs overlapping, while the third pair doesn’t.
Two tranches are considered to overlap if they belong to the same pool, and there is an 80% overlap of notional, as determined from the attachment and detachment points. Tranches in the same pool are checked for overlap at query time.
If no pool is specified for a tranche, then it will not be checked for overlap with other tranches.
To facilitate this, three additional fields–pool, attachment, and detachment–have been added to the Delta, Vega, Curvature, and Underlying Description Overrides input files. These three fields are also available as levels in the cube.
Merge Summary and Trade-Level cubes
The summary cubes have been removed. Instead the current trade-level cubes are now capable of holding summary data.
There are no changes to the file formats. The trade-level files will still be loaded as normal. The summary files will also be loaded into the same cube.
On the combined cube, some of the measures will have a suffix removed (e.g. .IMAMeasures).
We no longer support loading data for the same as-of date simultaneously at the trade-level and summary level.
Additionally, the measures in the stress calibration cube were renamed to avoid a naming conflict with the IMA ES measures.
Those measure which represent calculations over a one year window have the suffix .Window appended.
Sensitivity Storage and Interpolation
Previously, we stored vectors of sensitivities in the datastore. These vectors were indexed by the prescribed maturities and interpolated from the input sensitivities in the ETL.
Now, we store sensitivities as scalars using the original maturities. We perform the interpolation to the prescribed maturities at query time.
This also changes the definitions of the risk-factors used in the cube. Previously, the risk-factors did not include the maturity and represented a vector indexed by maturity. Now, the risk-factors include the original (input) maturity. So where there was previously a single risk-factor representing a vector, there are now multiple risk-factors.
Added
| Issue Key | Details |
|---|---|
| FRTB-2657 | Added the user-detail-filename property for loading user detail service from a file. |
| FRTB-2570 | Added the SBM Risk Charge (reference scenario) measure to help with reporting. |
| FRTB-2500 | Add support for overlapping tranches in CSR Sec non-CTP |
| FRTB-2568 | Added Kolmogorov-Smirnov Test p-value measure. |
| FRTB-2634 | Added aggregated-double-precision property to define the precision when testing equality of up and down curvature risk position scenarios |
Changed
| Issue Key | Details |
|---|---|
| FRTB-2583 | Moved SBM sensitivity interpolation to query time |
| FRTB-2461 | Add AsOfDate placeholder to included DEE template orders |
| FRTB-2606 | In ETL, stop modifying risk-factor type for SBM Vega sensitivities |
| FRTB-2581 | Remove liquidity horizon gap filling for IMA ES. All liquidity horizons now need to be listed. |
| FRTB-2571 | Merge summary cubes into trade-level cubes |
| FRTB-2644 | Migrated REST services from CXF to Spring MVC and changed the return types of methods from Response to the underlying objects. For details, refer to the Swagger interface. |
Fixed
| Issue Key | Details |
|---|---|
| FRTB-2624 | Explicitly specify the version of spring-boot-maven-plugin. |
| FRTB-2495 | Fix marginal and incremental measures for CRR2 (when using overrides) |
| FRTB-2631 | Fix overrides for Equity Curvature delta stripping |
| FRTB-2648 | Fix formatting of IMADRCavg measure |