Migration guide 6.0

This guide explains the changes required to migrate to the stated version of the Atoti FRTB.

Migrate to 6.0.5

Summary

• Crypto 2a Support: Added configuration, cube dimensions, measures, and starter module components to support Group 2a cryptoassets.
• SBM Correlation Scenarios: Introduced a new cube dimension allowing user-defined correlation scenarios for enhanced control over SBM risk calculations.

Configuration files

Parameters

The following parameters have been added to the file FRTBParameters.csv:

Vertices

The following vertices have been added to the file Vertices.csv:

Configuration properties

Properties added

Datastores

Added stores

Modified stores

Cube schema

Added

Measures

Added

Integration of Crypto 2a into the frtb-starter module

The following classes have been added to the frtb-starter module:

• Crypto2aService
• Crypto2aConfig

and are imported in the FRTBConfig class:

  // Crypto 2a Configuration
  Crypto2aConfig.class,
  Crypto2aService.class

The Crypto2aConfigurationProperties is now included in the list of configuration properties classes in the class FRTBConfig:

@EnableConfigurationProperties({
        ...
		Crypto2aConfigurationProperties.class
})

The following classes have been modified to take into account the datastore and cube dimensions modifications needed:

• CommonDimensionsConfig

  • In the getSARiskDimension method, the argument Crypto2aConfigurationProperties crypto2aProp has been added.

    Before:

    public static ICanBuildCubeDescription<IActivePivotInstanceDescription> getSARiskDimension(ICanStartBuildingDimensions builder) {
    

    Now:

    public static ICanBuildCubeDescription<IActivePivotInstanceDescription> getSARiskDimension(ICanStartBuildingDimensions builder,
    		Crypto2aConfigurationProperties crypto2aProp) {
    

  • The implementation of that method has been changed to add the Crypto 2a Exchange hierarchy:

    Before:

    return builder
        .withDimension(RISK_DIM)
            .withHierarchy(RISK_CLASSES_HIERARCHY)
                .withLevel(RISK_CLASS_LVL)
    
     ...
    
            .withLevel(CRYPTO_2B_DIRECTION_LVL, DRC_DIRECTION_HIERARCHY);
    

    Now:

    var riskDimension = builder
            .withDimension(RISK_DIM)
                .withHierarchy(RISK_CLASSES_HIERARCHY)
                    .withLevel(RISK_CLASS_LVL)
    
         ...
    
    		if(crypto2aProp.isExchangeStored()){
    		riskDimension = riskDimension
    				.withHierarchy(CRYPTO_2A_EXCHANGE_LVL)
    					.withLevel(CRYPTO_2A_EXCHANGE_LVL,CRYPTO_2A_EXCHANGE);
    	}
    
        return riskDimension;
    

• The following method has been added:

  public static ICanBuildCubeDescription<IActivePivotInstanceDescription> getHiMedLowDimension(ICanStartBuildingDimensions builder) {
  	//@formatter:off
  	var hierarchy = ConstantHierarchy
  				.hierarchy(CORRELATION_SCENARIO_HIERARCHY)
  				.withLevel(CORRELATION_SCENARIO_LVL)
  					.withComparator(new CustomComparator<>(List.of("High", "Medium", "Low", "Reference"), List.of()))
  				.withLevelPath(null, "High")
  				.withLevelPath(null, "Medium")
  				.withLevelPath(null, "Low")
  				.withLevelPath(null, "Reference")
  				.build();
  	return builder
  			.withDimension(CORRELATION_SCENARIO_DIM)
  			.withAnalysisHierarchy(hierarchy)
  			.withAggregationProcedure(AnalysisHierarchyExpansionProcedure.PLUGIN_KEY)
  			.end();
  	//@formatter:on
  }
  

• CubesDimensionsConfig

  The Crypto2aConfigurationProperties crypto2aProp configuration properties are now used in the standardisedApproachCubeDimensions bean, and the new Correlation Scenario dimension has been added to that bean.

  Before:

    @Qualifier("DimensionsStandardisedApproachCube")
  @Order(20)
  @Bean
  public DimensionsAdder standardisedApproachCubeDimensions(
          ParentChildProperties parentChildProperties,
          ParameterSetConfig parameterSetConfig
  ) {
      return merge(
              builder -> CommonDimensionsConfig.getBookingDimension(builder, irtDeskGroupsEnabled),
              builder -> CommonDimensionsConfig.getOrganizationDimension(builder, parentChildProperties),
              castToDimensionsAdder(categoriesHierarchyAdder),
              CommonDimensionsConfig::getSARiskDimension,
  
              ...
  
              CommonDimensionsConfig::getSaDefaultRiskChargeDimension,
              b -> CommonDimensionsConfig.getParameterSetsDimension(b, parameterSetConfig.root()),
              this::getDisplayCurrencyDimension);
  }
  

  Now:

  @Qualifier("DimensionsStandardisedApproachCube")
  @Order(20)
  @Bean
  public DimensionsAdder standardisedApproachCubeDimensions(
          ParentChildProperties parentChildProperties,
          ParameterSetConfig parameterSetConfig,
          Crypto2aConfigurationProperties crypto2aProp
  ) {
      return merge(
              builder -> CommonDimensionsConfig.getBookingDimension(builder, irtDeskGroupsEnabled),
              builder -> CommonDimensionsConfig.getOrganizationDimension(builder, parentChildProperties),
              castToDimensionsAdder(categoriesHierarchyAdder),
              b -> CommonDimensionsConfig.getSARiskDimension(b, crypto2aProp),
              CommonDimensionsConfig::getMarketDataDimension,
  
              ...
  
              CommonDimensionsConfig::getSaDefaultRiskChargeDimension
  			CommonDimensionsConfig::getHiMedLowDimension,
              b -> CommonDimensionsConfig.getParameterSetsDimension(b, parameterSetConfig.root()),
              this::getDisplayCurrencyDimension);
  }
  

• DatastoreCustomisationsConfig

  The following bean has been added:

  @Qualifier(SP_QUALIFIER__CUSTOMISATIONS)
  @Bean
  @ConditionalOnExchangeDatastoreFieldEnabled
  DatastoreConfiguratorConsumer addCrypto2aExchangeToUnderlyingStore() {
  	return this::addCrypto2aExchangeToUnderlyingStore;
  }
  
  private void addCrypto2aExchangeToUnderlyingStore(IDatastoreConfigurator configurator) {
  	configurator.appendField(UNDERLYING_DESCRIPTION_STORE_NAME, new CustomField(
  			FieldDescription.builder()
  					.name(UNDERLYING_DESCRIPTION_STORE_CRYPTO_EXCHANGE)
  					.dataType(STRING)
  					.build()));
  }
  

Miscellaneous

The following dependency has been added to the frtb-starter POM file:

<dependency>
    <groupId>com.activeviam</groupId>
    <artifactId>atoti-server-test</artifactId>
    <scope>test</scope>
</dependency>

Migrate to 6.0.4

Summary

• Atoti What-If upgrade: Atoti What-If has been upgraded to 4.1.1-AS6.1. To migrate any custom What-If configuration, see the migration guides for this release.

Migrate to 6.0.3

Summary

• Virtual hierarchies can be set with the property frtb.configuration.virtual-hierarchies.
• The new Curvature CVR measure will be disabled by default in 6.0.x versions of Atoti FRTB. To enable it, set the property frtb.curvature-cvr.enabled=true in the application.yaml file.
• Cube distribution can now handle data overlap. This means it is possible to have several data cubes with duplicated data. you need to set frtb.distribution.enable-data-duplication=true.
• HistoricalDatesProvider no longer queries the base stores for the list of historical dates. This is achieved by using the database statistics to gather the set of unique dates. The HistoricalDatesProvider can be reverted to the previous behavior of executing distinct datastore queries by setting the property frtb.historical-dates-provider.is-using-approximate-members=false.
• The zero risk-weight can now be specified per obligor and jurisdiction, defaulting to 0%.

Breaking changes

None.

Deprecations

• Cube distribution by field: Distribution of data cubes across nodes by defining clustering fields is deprecated, it should be done with distribution levels.

Input file formats

Added

Configuration properties

Properties added

Properties deprecated

Properties files

Files Modified

frtb-data-load.properties

New properties:

Datastores

Added stores

Databases

Added tables

Measures

Added

Migrate to 6.0.2

No migration needed.

Migrate to 6.0.1

No migration needed.

Breaking changes

None

Summary

• Upgraded to Data Connectors 5.0.4

Migrate to 6.0.0

Upgrading from version 5.3.0, see Atoti FRTB 6.0 Release Notes.

Atoti FRTB uses Atoti Server 6.1.7 and Atoti UI 5.2.x. For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server.

Breaking changes

• Measure Configuration: The text replacement template for measure configuration now uses the pattern #{_name_} instead of ${_name_}. See Startup Properties.
• frtb-application module: Some of the content of the frtb-starter module has been moved to the new frtb-application module.
• DLC 5.0 Upgrade: With the new version of the DLC, the configuration of the ETL has been simplified.
• What-if endpoints: The (undocumented) what-if REST endpoints used by the Switch Desk Model and Switch Book Desk what-if simulations have changed.
• DoctorPivot endpoint: DoctorPivot is now embedded within the AdminUI. See Relocation of DoctorPivot for more.

Headline announcement

• Upgraded to Atoti Server 6.1.7 : Upgraded to the latest Atoti Server.
• Upgraded to JDK 21 : Upgraded from JDK 17 to JDK 21 to utilize the latest features.
• Removed ActiveMonitor : The Active-Monitor module and related features have been removed.
• frtb-application module: The frtb-application module replaces the frtb-starter module. All customizations should now be done in the frtb-application module, or in a new module based on the frtb-application module.
• Sign-Off Service Availability: The Sign-Off REST service now throws ServiceUnavailableExceptions until the initial data loading phase has been completed. The Sign-Off REST service now provides a GET /enabled endpoint to check if the service is currently enabled.
• Simplified OpenTelemetry Configuration: We now rely on OpenTelemetry’s GlobalOpenTelemetry to configure the export of logs and metrics.
• OpenRewrite recipes As an experimental feature, we have added OpenRewrite recipes that you can use to automate some of the migration steps.

OpenRewrite recipes

To help with upgrades, we have created a set of OpenRewrite recipes that can be used to automatically perform some of the migration steps from 5.3 to 6.0.

The recipes included in this release are:

See Using OpenRewrite in Atoti FRTB for instructions on how to run the recipes.

frtb-application module

The new frtb-application Maven module has been split out of the frtb-starter Maven module.

Components moved

The following components have been moved into the new module:

• FRTBApplication class including the main() method.
• Spring security configuration
• OpenTelemetry configuration
• Logging configuration
• Content Service configuration
• Configuration files

Configuration classes moved

For the full list of configuration classes that have been moved into the frtb-application module, see the Moved Classes section.

Data & Test folders moved

The sample data located at /frtb-starter/src/test/resources/ has been moved out of the frtb-starter module to the /sample-data/ folder located at the root of the project.

The tests included in the frtb-starter module have been moved into the new frtb-application-tests module.

OpenTelemetry Configuration

The previous OpenTelemetry configuration has been replaced with a simple OpenTelemetry bean.

To enable the autoconfiguration of this bean, set -Dotel.java.global-autoconfigure.enabled=true on the command line.

FX Translation Risk

The field “Translation Risk Currency” has been added to support loading translation risk for different reporting currencies. It is now possible to load different translation risks for different reporting currencies.

This field is only used if FXComplexTrade=Y (otherwise the translation risk is calculated automatically).

• If this field is empty, the sensitivity is not treated as translation risk but instead treated normally.
• If this field is set, then the sensitivity will be interpreted as translation risk for that currency. It will be filtered and only used if the translation risk currency is the same as the reporting currency.

Alternative root parameter sets

The property parameter-set.root has been added to specify the root parameter set in the configuration and input files.

It is expected that input files are generated for the parameter set specified in this property.

Additionally, the configuration files containing parameters will need to be adapted to the new root parameter set.

• Previously, when no parameter set was specified in the configuration it was assumed to be “BCBS”. Now, these parameters will default to the specified root parameter set.
• Parameter configuration will need to be modified for the new root parameter set.

For example, for the bucket used for CSR non-Sec covered bonds we have in FRTBParameters.csv:

If you want to set CRR2 as the root parameter set, the above two lines can change to become:

So that the value in the CRR2 parameter set is still “10”, and the value for the BCBS parameter set is still “8”.

Summing Sensitivities

When multiple sensitivities with the same key fields are loaded, they are now summed. Previously this was only done when processing a chunk within a file, now it is done across the whole transaction.

The following configuration has been added to application.yaml and will sum sensitivities and PVs for the SASensitivities store, making sure that the currency and a few other fields are the same.

datastore-sum-duplicates:
  SASensitivities:
    matching: ["Ccy", "RiskWeight", "FXOtherCcy", "Direction"]
    summing: ["Sensitivity", "Shift_Up_PV", "Shift_Down_PV", "PresentValue", "Notional", "Adjustment"]

FRTB Modules

Removed

Added

DLC 5.0 upgrade

The upgrade to DLC 5.0 has brought some significant changes to the ETL configuration. For non-FRTB specific DLC migration, please see the DLC 5.0 Migration Guide.

DLC configurations for Atoti FRTB have now been organized into FrtbDlcConfig.

Loading Topic Configurations

Before the DLC redesign, ChannelParameters were being used to encapsulate DLC configurations into beans. Now, configurations that were previously found as ChannelParameters beans can be found as Topic Descriptions in the following classes:

Column calculators are now configured as DLC CustomFieldDescription beans and have been organized into CustomFieldDescriptionConfig. The DLC implicitly adds CSVColumnParser column calculators based on the store being targeted, so those have been removed from the topic configurations. The new DLC also lets you configure parser overrides. In Atoti FRTB they can be found in ColumnParserOverridesDescriptionConfig.

Tuple publishers are now configured as DLC TargetDescription beans and have been organized into TargetDescriptionsConfig.

Unloading Topic Configurations

Unloading topics are now completely separate from loading topics. They are configured in UnloadTopicDescriptionsConfig.

Topic Aliases

Topic Ordering Logic

ETL Extension Updates

See the following sections on how the ETL extensions have changed with the new DLC:

• Adding and Populating a New Store
• Adding Columns to an Existing File and Store
• Enriching File Fields by Adding Column Calculators

Removed classes

See the list of classes removed as part of the DLC 5.0 upgrade.

Input file formats

Modified

Startup properties

The file frtb-config.properties is now loaded into the Spring Boot environment, so the properties in this file can be overridden on the command line.

The file measures-config.json is now also loaded into the Spring Boot environment. The json file is converted to properties with the prefix “measures”.

The text replacement template in these files now uses the pattern #{_name_} instead of ${_name_}. The ${_name_} pattern can still be used for Spring Boot’s property placeholders.

Updated properties: changed values or renamed

Changed values:

Renamed

Deleted properties:

Configuration files

Files Modified

FRTBParameters.csv

frtb-config.properties

Datastores

Modified stores

Databases

Modified tables

Cube schema

Added

Modified Classes

The following classes have been added, removed or had their function replaced with new classes.

Added Classes

Removed Classes

DataLoadController

The following classes related to the DLC and data loading have been removed as part of the DLC 5.0 upgrade.

WhatIf

The following classes have been replaced with DatastoreChangeSimulations because the configuration of WhatIfs has changed.

Services

Moved Classes

Migrating to using Atoti Starters

Atoti Server now provides Spring Boot Starters to aid in application development. These starters will auto-configure some basic and required beans for the application to run. Atoti FRTB has been updated to use these starters. The following changes have been made:

Historical Date Provider Service

The historical dates used for the Lookback hierarchy measures are now configurable via a IHistoricalDatesProvider bean. By default, a HistoricalDatesProvider (configured in HistoricalDatesProviderConfig) will be created that provides all AsOfDates available in all base stores.

Sign-Off REST services

The implementation of the Sign-Off REST service now has a Boolean to enable state flag. Out of the box, the Sign-Off REST services are disabled until the initial load is completed. This prevents the Sign-Off server from sending requests on those services before the end of the initial load. The status of the Sign-Off service can be retrieved through a GET request at /enabled.

Atoti Server exceptions are now used instead of the previously used Javax exceptions.

Error messages and constants have been fixed. Their prefix and/or content was previously incorrect.In particular, the constant ERROR_MESSAGE has been replaced by the constant ERROR_MESSAGE_NO_VALID_DTO_PROVIDED. The exception message prefix has been changed from "[EXPORT]" to "[SIGN-OFF]" in the error message constants.

Relocation of DoctorPivot

DoctorPivot has been moved from the endpoint /frtb-starter/doctorpivot to now being embedded within the AdminUI’s Measures dependencies tab which is located at: /frtb-starter/admin/ui/index.html#/measures-dependencies.