EBA Reporting : Additional measures have been added to support new EBA reporting templates.
UI Activation : An import of react-query is required when using frtb-sdk. See UI activation for more details.
Databricks : DirectQuery support for connecting to a Databricks Database has been added.
DirectQuery IMA Support: Added support for the IMA-ES cube, “InternalModelApproach”, via DirectQuery. See DirectQuery IMA Support for more details.
IMA and IMA-DRC query cubes: The IMA and IMA-DRC query cubes have been added to the InternalModelApproachCube and InternalModelApproachDrcCube respectively. These cubes contain measures that span multiple dates that were previously only available in the combined cube. A complete list of the moved measures can be found in the migration notes.
Add Query Cubes for the IMA and IMA-DRC Cubes. Measures that span multiple dates that were previously only available in the combined cube are now also available in the individual query nodes. See migration notes for complete list of measures.
Configured cookie name to default as FRTB_JSESSIONID and accept configuration with server.servlet.session.cookie.name property. Fixed issues with websocket connections by setting partitioned attribute for cookies and disabling Spring requirement of explicitly saving a session.
Use ProblemDetails responses for rest responses in File Upload REST service in case of errors, and add GlobalExceptionHandler to handle exceptions being thrown by REST services.
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.
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
Configured cookie name to default as FRTB_JSESSIONID and accept configuration with server.servlet.session.cookie.name property. Fixed issues with websocket connections by setting partitioned attribute for cookies and disabling Spring requirement of explicitly saving a session.
For clients licensed to use ActiveMonitor, a skeleton module based on
version 6.0.12-sb3 is included with the Atoti FRTB 5.3.0-BETA release.
Breaking Changes
IRT_Desk field: Moved from the DeskDescription store to the BookDescription store. This change is also reflected in DirectQuery Tables. The BookDescription store was previously named BookDeskMapping.
Backwards compatibility with old input files is maintained, though the use of the IRT_Desk field in DeskDescription files has been deprecated.
EBA Reporting : Additional measures have been included to support new EBA reporting templates.
The “Imported” measures used for the old reporting templates have been deprecated.
UI Activation : An import of react-query is required when using frtb-sdk. See UI activation for more details.
DirectQuery IMA Support: Addes support for using the IMA-ES cube (InternalModelApproachCube) with DirectQuery.
Configuration Property Naming Convention: Configuration properties inside application.yaml have been updated from camelCase to kebab-case. This change is to align with the Spring Boot naming convention. Both naming conventions are interchangeable/compatible with each other.
IMA and IMA-DRC query cubes: The IMA and IMA-DRC query cubes have been added to the InternalModelApproachCube and InternalModelApproachDrcCube respectively. These cubes are used to query the IMA and IMA-DRC data across data nodes. A complete list of measures can be found here.
This file replaces BookDeskMapping.csv and provides a description of the books. It includes the IRT_DESK field which replaces the field of the same name removed from the DeskDescription file. The old input file BookDeskMapping.csv is deprecated but can still be loaded.
This field has been deprecated to use this field to overwrite the ones provided in the BookDescription files you must enable irt.desk.use-desk-description
Deprecated
File
Details
LegalEntityImports.csv
Imported measures are deprecated and only provided for backwards compatibility with older EBA reporting templates.
DirectQuery can now be used with the InternalModelApproachCube cube. The IMA ES calculations can now be performed against data sourced from a remote database when using DirectQuery.
Filtering dates has been modified to use standalone properties. Additionally customizations of the DirectQueryDatesFilterConfig beans have been simplified.
How the tables to cache locally are defined has changed. Customizing the tables that are cached locally has been simplified.
Reference database data is now GZipped.
The reference data that is provided within frtb-directquery/src/test/resources/databases/xxx/input_data/ is now GZipped. This reduces the size of the deliverables.
Removed
Class
Details
ADirectQueryDatabaseSchema
Configuration has been removed and replaced with DirectQueryCachedTablesConfig and DirectQueryDictionarizedFieldsConfig.
The “Reported” variation of the DRC WtS Ratio measures have been added for the new EBA reporting requirements.
Moved
The following measures have been moved form the CombinedCube into the respective query cubes. By moving these measures into the query cube, we can now query across dates and data nodes without the measure needing to be defined in the CombinedCube. These measures will still exist in the CombinedCube and on all data-nodes.
Imported measures are and only provided for backwards compatibility with older EBA reporting templates. In a future version these measures will be hidden.