☰
Navigation :

Migration notes 6.0

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

Migrate to 6.0.0 BETA

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

Atoti FRTB uses Atoti Server 6.1.3 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 6.1.3 is included with the Atoti FRTB 6.0.0-BETA release.

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 contents 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.

Headline announcement

  • Upgraded to Atoti Server 6.1.3 : 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.

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:

Name Value Date ParameterSet
sa.csr-nonsec.bucket.covered-bonds 8 2016-01-01
sa.csr-nonsec.bucket.covered-bonds 10 2016-01-01 CRR2

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

Name Value Date ParameterSet
sa.csr-nonsec.bucket.covered-bonds 8 2016-01-01 BCBS
sa.csr-nonsec.bucket.covered-bonds 10 2016-01-01

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

Module Details
frtb-activemonitor ActiveMonitor and associated configurations have been removed from Atoti FRTB.

Added

Module Details
frtb-application Provides an example Spring Boot Application for Atoti FRTB.
* Contains simple configurations required to run Atoti FRTB.
* Is intended to be used as a reference for clients to build their own applications as this module is not production-ready.
* Provides various Spring profiles outlining the properties required to run the application in different environments.
For example, the profile dist-query-node activates the application-dist-query-node.yaml configuration file which defines the properties required to run the application as a distributed query node.

tip

To help ease upgrade efforts, move all customizations into your new module.

Input file formats

Modified

Modification File Field Optional Description
Added SBM_Delta_Sensitivities.csv Translation Risk Ccy Y FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.
Added SBM_Summary_Delta_Sensitivities.csv Translation Risk Ccy Y FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.
Added Trade_Attributes.csv Inclusion Y Indicates if the trade should be included (“Y”) or not by default in the calculations.
Default is ‘Y’

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.

New properties:

Property Name Comment Value Default Definition in File
dlc.enabled Enables or disables the Data Load Controller. true or false application.yaml
file-upload.staging-directory The staging directory for the File Upload. ${csv-source.dataset}/stage application.properties
file-upload.csv-source-subdirectory The sub-directory of files on which the What-If is executed. true or false application.properties
csv-source.dataset-historical Path to the directory containing historical files to load. ${csv-source.dataset}/historical application.properties
csv-source.dataset-configuration Path to the directory containing the configuration files to load. sample-data/configuration application.properties
parameter-set.root Root parameter set. Defaults to “BCBS”
datastore-sum-duplicates._store-name_.matching List of names of fields that must match when summing duplicates for the store store-name.
If missing, all fields are matched; if empty, no fields are matched.
datastore-sum-duplicates._store-name_.summing List of names of fields that should be summed when there are duplicates for the store store-name.

Updated properties:

Property Name Comment New Value Old Value Default Definition in File
activeviam.jwt.expiration Value changed from an int of seconds to a Duration. Note that an integer value will be picked up as milliseconds now. 12h (Duration) 43200 (seconds) jwt.properties
csv-source.dataset Split out to csv-source.dataset-historical, csv-source.dataset-configuration and csv-source.dataset sample-data/data data application.properties

Deleted properties:

Property Name Comment Deleted from File
activeviam.directquery.enableAutoVectorizer The property is no longer being used. application.properties
input.data.root.dir.path This is now a part of file-upload.staging-directory application.properties
csvSource.subdirectory.dataset.stage This is now a part of file-upload.staging-directory application.properties
csvSource.subdirectory.dataset.whatif This is now file-upload.csv-source-subdirectory application.properties

Configuration files

Files Modified

FRTBParameters.csv
Modification Parameter Type Default Description
Deprecated (for removal) sa.drc.no-maturity-floor-when-offsetting boolean false Parameter is no longer needed ref
frtb-config.properties
Modification Parameter Type Default Description
Changed Default sa.drc.strict-long-short boolean true Changed default to true.

Datastores

Modified stores

Modification Store Field Type Description
Added Trade Mapping Inclusion String Indicates if the trade should be included (“Y”) or not by default in the calculations.
Added SaSensitivities Translation Risk Ccy STRING FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.

Databases

Modified tables

Modification Table Field Type Description
Added SASENSITIVITIES TRANSLATION_RISK_CCY String FX only. Indicates the sensitivity represents translation risk; set to the reporting currency.
Added TRADE_MAPPING INCLUSION String Indicates if the trade should be included (“Y”) or not by default in the calculations.

Cube schema

Added

Cube Dimension Hierarchy Levels Datastore fields Details
All Booking Inclusion Inclusion TradeMapping.Inclusion This hierarchy is used to indicate which trades should be included in the calculations.

ACSVSourceConfig Updates

The ACSVSourceConfig class has been slightly refactored as follows:

Method Change Description
createCSVTopicFactory Removed Method was unused.
createCsvSource Made abstract Method is now abstract as the ACSVSourceConfig class is not specific to only Local CSV Sources. Now this method should be implemented by a source-specific implementation (Local, AWS, etc).

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:

Change Description
Removal of JMXEnabler Beans The JMXEnabler beans have been removed from Atoti FRTB as the Atoti Server’s Starters provide these beans automatically for us.
Removed FRTBI18nConfig Configuration Class This class is now autoconfigured by Atoti Server.
Removed SameSiteConfig The SameSite config is handled by Spring.

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.