Updates since 5.3 pre-releases

This page lists the changes since 5.3.0-M1, and explains any changes required to migrate from 5.3.0-M1 to the stated version of Atoti FRTB.

Changes since 5.3.0-M1

Summary

  • 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.

Added

Issue Key Details
FRTB-2965 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.
FRTB-2975 Add measures to support EBA reporting. “Imported” measures used for the old EBA reporting have been deprecated.

Changed

Issue Key Details
FRTB-2845 SpringBootApplication is now used for FRTBApplication and properties are now read from application.properties instead of frtb.properties.
FRTB-2977 Moved IRT_Desk field from the DeskDescription store to the BookDescription store to support book level IRT flag.
FRTB-2988 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.
FRTB-2993 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.
UIACL-931 React-query is now handled as a peer dependency. See UI activation for more details.

Fixed

Issue Key Details
FRTB-3023 There are intermittent errors in the FX translation risk calculations.
FRTB-3024 The IMA Multiplier category is now accessible through the Parameter Sets widget.
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

Fixed issues introduced in 5.3.0-M1

Issue Key Details
FRTB-2988 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.
FRTB-2999 Fixed Swagger endpoint.
FRTB-3057 Upgraded to Solutions Tools BOM 2.2-AS6.0 to fix bug in Dr Pivot leading to a failure to retrieve the measures in the application cubes.
FRTB-3061 Fixed Spring boot executable jar in case where path name contains spaces

Migrate to 5.3.0-BETA

Upgrading from version 5.3.0-M1, see Atoti FRTB 5.3-BETA Release Notes.

Atoti FRTB uses Atoti Server 6.0.12-sb3 and Atoti UI 5.1.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.

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.

Summary

See Atoti FRTB 5.3.0 Migration Notes for details on:

  • 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.

Input file formats

Added

File Details
BookDescription.csv 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.

Modified

Modification File Field Optional Description
Removed DeskDescription.csv IRT_DESK Y 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.
BookMapping.csv This file can still be loaded, but has been replaced by DeskDescription.csv

Configuration files

Files Modified

application.yaml

New properties:

Property Name Comment Value
server.servlet.session.cookie.name Customize cookie name “FRTB_JSESSIONID”
server.servlet.session.cookie.secure Whether to always mark the cookie as secure “true”
server.servlet.session.cookie.http-only Whether to use “HttpOnly” attribute for the cookie “true”
server.servlet.session.cookie.same-site SameSite setting for the cookie “none”
directquery.database.databricks.* DirectQuery settings for Databricks database

Deleted properties:

Property Name Comment
directquery.wait-for-data-load / directquery.waitForDataLoad Replaced by starter.deployment.type=direct-query
frtb-config.properties

New properties:

Property Name Comment Value
irt.desk.use-desk-description Flag to use deprecated IRT_Flag field from DeskDescription input files to override the values provided by BookDescription input files false
frtb-data-load.properties

Updated properties:

Property Name Comment New Value Old Value
book-description-file-pattern Renamed from book-desk-mapping.file-pattern **/{BookDeskMapping,BookDescription}*.csv{,.gz} **/BookDeskMapping*.csv{,.gz}

Datastores

Added tables

Table Details
BOOK_DESCRIPTION Replaces BookDeskMapping table.

Modified tables

Modification Table Field Type Description
Added BOOK_DESCRIPTION IRT_DESK String
Removed DESK_DESCRIPTION IRT_DESK String

Deleted tables

Table Details
BookDeskMapping Renamed as BOOK_DESCRIPTION

Deprecated

Store Details
LegalEntityImports Imported measures are deprecated and only provided for backwards compatibility with older EBA reporting templates.

DirectQuery

Added

Added Details
IMA ES Support 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.
Cube Conditional Annotations Conditional expression annotations to create beans depending on whether different cubes are enabled/disabled.
Dates Filter Added configurations to filter the dates the DirectQuery node has access to from the remote database.
DirectQueryCachedTablesConfig Configures which tables to cache in-memory, sourced from a DirectQuery remote database table.
DirectQueryDictionarizedFieldsConfig Configures which DirectQuery table fields should be dictionarized.

Changed

Change Details
InitialDataDirectQueryConfig replaced with DirectQueryDatesFilterConfig Filtering dates has been modified to use standalone properties. Additionally customizations of the DirectQueryDatesFilterConfig beans have been simplified.
Defining tables to cache locally 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.

Databases

Added tables

Table Details
ES_SCENARIO_FX_RATES Only needed for IMA
IMARISK_FACTORS Only needed for IMA
IMATRADES Only needed for IMA
SCENARIOS Only needed for IMA
BOOK_DESCRIPTION Replaces BookDeskMapping table.

Modified tables

Modification Table Field Type Description
Added BOOK_DESCRIPTION IRT_DESK String
Removed DESK_DESCRIPTION IRT_DESK String

Deleted tables

Table Details
BookDeskMapping Renamed as BOOK_DESCRIPTION

Deprecated

Table Details
LegalEntityImports Imported measures are deprecated and only provided for backwards compatibility with older EBA reporting templates.

Cube schema

No changes.

Measures

Added

Cube Measure Details
SA risk-class risk-measure Risk Position scenario (reported) The “Reported” variation of the SBM Risk Position measures have been added for the new EBA reporting requirements.
SA drc-risk-class Net JTD direction (reported) The “Reported” variation of the DRC Net JTD measures have been added for the new EBA reporting requirements.
SA drc-risk-class WtS Ratio (reported) 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.

Previous cube New cube Measure name
CombinedCube StandardisedApproachCube PortfolioRiskCharge.Shift
CombinedCube StandardisedApproachCube PortfolioRiskCharge.D2D
CombinedCube IMADRCCube DRC - IMA
CombinedCube IMADRCCube IMADRC Lookback
CombinedCube IMADRCCube IMADRCavg
CombinedCube InternalModelApproachCube IMCCavg
CombinedCube InternalModelApproachCube SESavg
CombinedCube InternalModelApproachCube CA
CombinedCube InternalModelApproachCube IMCC Lookback
CombinedCube InternalModelApproachCube SES Lookback
CombinedCube InternalModelApproachCube ES (Model Variation) Lookback
CombinedCube InternalModelApproachCube ES (Model Variation) avg

Deprecated

Cube Measure Details
SA base-measure Imported Imported measures are and only provided for backwards compatibility with older EBA reporting templates. In a future version these measures will be hidden.

Context values

No changes.