Migration notes 5.1

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

Migrate to 5.1.1

No migration needed.

Breaking Changes

None

Summary

This release fixes some bugs.

Migrate to 5.1.0

Upgrading from version 5.0.1 See Atoti FRTB 5.1 Release Notes.

Atoti FRTB uses Atoti Server 6.0.5 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 6.0.5 is included with the Atoti FRTB 5.1.0 release.

Breaking Changes

None

Summary

DirectQuery

• Direct Query Database Configuration changes: Some fields have been modified in this version. See the Direct Query Database Configuration section below for a complete list of changes.
• Parent-child support with DirectQuery : LegalEntityParentChild and BookParentChild data can be provided in place of the LegalEntityHierarchy and BookHierarchy tables respectively.
• Direct Query Database Configuration changes: Some fields have been modified in this version. See the Direct Query Database Configuration section below for a complete list of changes.
• Additional DirectQuery Configuration Properties: See the new properties added to the application.yaml file.
• DirectQuery distribution configuration: The distribution configuration in DirectQuery now requires three nodes instead of two. See DirectQuery Horizontal Distribution for details on how to set up distribution when using DirectQuery.
• Migration REST Service: The Migration REST Service allows for extracting of data into a format that is ready to be loaded into one of the supported DirectQuery databases.
• DirectQuery Annotations: Annotations for use with DirectQuery have been added to help make defining beans and configuration classes easier when using DirectQuery.
• New Date Filter Configuration Bean: The newly added directQueryDatesToIncludeFilter bean allows for custom configuration of which dates to include in your DirectQuery data node.
• Removed “preview” package: The preview package has been removed from the frtb-directquery module. All child packages or classes have been moved to the parent frtb package.
• DirectQuery nodes work with InMemory Sign-off enabled nodes: A DirectQuery data node can now be connected to nodes with Sign-off enabled. The enable-signoff spring profile must be active on all nodes (in-memory and DirectQuery).
• Removed CacheRemoteTableLocallyTuplePublisher: You no longer need custom channel parameters when defining a cached remote table.

Other Changes

• Curvature store un-vectorized : Curvature store has been un-vectorized.
• ChannelParameters follow fluent conventions : We have changed how ChannelParameters are created by following fluent conventions instead of relying on a handful of constructors.
• Desk Descriptions separated from BookParentChild & BookHierarchy Stores: Desk Descriptions has been added to store desk descriptions.
• Stop Using Trade-Level PV and Notional for DRC and Curvature: Measure Chains for DRC and Curvature stores have been adjusted to use PV and Notional respectively.
• Split Desks from Book Parent Child: Desk Descriptions have been separated from the BookHierarchy store.
• What-If upgrade to 2.0.1: See What-If section below for the summary of changes.
• Book Desk Switching What-If Added new what-if for switching the desk of a given book. Works similarly to a desk model switch what-if
• Merged SA Sensitivities stores : Fixed memory use issue by merging the stores TradeBase, Delta, Vega, Curvature, and DRCBase into a single SASensitivities store.
• Added SA Query Cube : With this query cube, you can now query data across multiple data nodes in the StandardisedApproachCube.
• Minor database field changes: Some fields have been modified in this version. See the Databases section below for a complete list of changes.
• Parameter Adjustments: Updated parameters to match ISDA requirements in all data sets.
• Actuator Endpoint: Tightened security in default configuration for Spring boot actuator and now require admin role.
• Minor Refactoring of initialDataLoad bean: This bean now depends on a new bean, initialConfigDataLoad. More can be read below.

Parent-child support with DirectQuery

Previously the LegalEntityHierarchy and BookHierarchy stores had to define 5 and 15 levels respectively. Now, rather than creating and managing the LegalEntityHierarchy and BookHierarchy Tables yourself, you can instead just provide a ParentChild table, then create a series of views to generate the LegalEntityHierarchy and BookHierarchy Tables on the remote database.

For the SQL script to create the views to populate from a ParentChild table, see:

• LegalEntityHierarchy
• BookHierarchy

Stop Using Trade-Level PV and Notional for DRC and Curvature

Measure Chains for DRC and Curvature stores have been adjusted to use PV and Notional respectively. A migration script has been provided for migrating input data for each store. The scripts can be found in the folder frtb-starter/src/scripts.

Script	Description
CopyCurvatureFromTradeAttributes.py	Retrieves PV from Trade Attributes file for each trade in a Curvature file. Additionally if PVApplied is ‘N’, and currencies don’t match, it queries a running project for the value.
CopyDRCFromTradeAttributes.py	Retrieves PV and Notional from Trade Attributes file for each trade in a DRC file.

Split Desks from Book Parent Child

Desk Descriptions have been separated from the BookHierarchy store. BookParentChild.csv has been deprecated and renamed to BookParentChild.v1.csv. Old files can still be loaded and a migration script has been provided for the new file format.

Script	Description
SplitBookParentChild.py	Migration script which takes BookParentChild.v1.csv and creates BookParentChild.v2.csv, DeskDescription.csv and BookDeskMapping.csv

What-If upgrade to 2.0.1

• AWhatIfDefinition is now ADatabaseSimulationDefinition.
• SimulationDefinitions create JsonDatabaseActions which can be INSERT, UPDATE, or DELETE.
• To clean up the logic in the What-If REST controllers, some elements have been moved to simulation definitions.
• Now that desk descriptions are separated from the BookParentChild store, we use the common library implementation of BookParentChildWhatIfSubmitter.

SA Query Cube

The SA Query Cube, named “StandardisedApproachCube”, allows for querying across multiple SA data nodes. When running an application with DirectQuery and in-memory data, you are now be able to query all data in the StandardisedApproachCube. Previously, querying across the multiple nodes was only available in the combined cube.

AsOfDate Filter Config Bean

A new bean directQueryDatesToIncludeFilter has been added that supports complex logic for which dates to include in your DirectQuery data node. You no longer have to specify the dates you want to exclude from your DirectQuery data node through the initial-load.business-dates property.

Input file formats

Added

File	Details
BookParentChild.v1.csv	This file replaces BookParentChild.csv and allows users to load deprecated book parent child files
BookParentChild.v2.csv	New book parent child file which no longer contains desk descriptions
DeskDescription.csv	New file which contains desk descriptions
BookDeskMapping.csv	New file which contains book to desk mappings
IMA_ES_ScenarioFX.csv	New file that provides FX spot rates used in IMA ES scenarios

Modified

Modification	File	Field	Optional	Description
Unused	BookParentChild.v1.csv	Category		Category field will no longer be loaded
Deleted	Expected Shortfall PL Trade	PnL	N	Replaced with PV
Added	Expected Shortfall PL Trade	PV	N	Replaces PnL (backwards compatible)
Added	Expected Shortfall PL Trade	Base PV	Y	If present, subtracted from PV to get PnL
Deleted	IMA Summary	PnL	N	Replaced with PV
Added	IMA Summary	PV	N	Replaces PnL (backwards compatible)
Added	IMA Summary	Base PV	Y	If present, subtracted from PV to get PnL

Deprecated

File	Details
\BookParentChild.v1.csv	Book Parent Child file with Desk descriptions

Configuration files

Files Added

CSRNonSec_HighRatings.csv

Added CSRNonSec_HighRatings.csv to provide the ratings that are considered “high” for CSR non-Sec covered bonds.

Multiplier.csv

This file has moved from the daily files to the configuration files.

Files Modified

signoff.properties

Updated properties:

Property Name	Comment	New Value	Old Value
sign-off.level.members	New member names for sign-off analysis hierarchy	LATEST,SNAPSHOT,PRELIMINARY	INTRA-DAY,TOTAL REVIEWABLE,UNAPPROVED

frtb.properties

New properties:

Property Name	Value	Comment
contentServer.root.user	pivot	The root user of the content server, used by RemoteContentServiceConfig.
contentServer.remote.max-connection-time	PT5M	The max time to wait for Remote Content Service (in seconds or duration string), used by RemoteContentServiceConfig.

Deleted properties:

Property Name	Comment
contentServer.context-values.ignore	This property was used for a workaround for performance issues when using a remote content server. The original issue was due to cache for entitlements being set in milliseconds instead of seconds.

frtb-config.properties

New properties:

Property Name	Value	Comment
sbm.risk-factor.always-append-tenor	false	Set to true to always append the tenor to the risk factor name based on the risk-class and risk measure. When false the tenor will only be appended for those rows that contain vectors of sensitivities.
curvature.pv-ladder.level	Present Value Ladder@Present Value Ladder@Risk	Present Value Ladder Level
drc.gross-jtd.overridden.level	DRC Gross JTD Overridden@DRC Gross JTD Overridden@Default Risk Charge	Cube level for Gross JTD Overridden
agg.cache.size.sa-query	10,000,000	Configures the size of the aggregate cache for the StandardisedApproachCube Query Node

Deleted properties:

Property Name	Comment
curvature.pv.overridden.level	No longer needed now that Trade PV is no longer used
drc.pv.overridden.level	No longer needed now that Trade PV is no longer used
drc.notional.overridden.level	No longer needed now that Trade Notional is no longer used

frtb-data-load.properties

New properties:

Property Name	Value	Details
csr-non-sec.high-ratings.file-pattern	**/CSRNonSec_HighRatings*.csv{,.gz}	File name pattern match for CSRNonSec_HighRatings.csv

application.yaml

New properties:

Property Name	Default Value	Details
directquery.waitForDataLoad	true	Application will wait to start until all initial aggregation queries are complete.
directquery.schema.validation.validateOnStartup	true	Validate the remote database schema when the application starts.
directquery.schema.validation.failStartupOnBadSchema	true	If the schema is invalid, then the application should not start.
directquery.clustering.enabled	true	Indicates if clustering by database fields is enabled.
directquery.clustering.clusteringPerTable	SASensitivities: AsOfDate	Defines the clustering fields per database table.
directquery.database.snowflake.feedingWarehouse	directquery.database.snowflake.warehouse value	The Snowflake compute warehouse to use for the initial aggregation queries.
directquery.database.snowflake.role	null	The Snowflake user role for Atoti FRTB to use when running queries on the database.
management.endpoints.web.exposure.exclude	env,beans	Endpoints to exclude from Spring boot actuator
management.endpoint.env.additional-keys-to-sanitize	activeviam.jwt.key.*	Exclude JWT keys from actuator env endpoint (if enabled)

Updated properties:

Property Name	New Value	Old Value	Comment
management.endpoints.web.exposure.include	health	*	Only expose health endpoint in actuator

FRTBParameters.csv

Modification	Parameter	Type	Default	Description
Modified	sa.girr.major-ccy-adjustment	Boolean	true	Divide risk weights for major currencies by square root of 2
Modified	sa.fx.major-ccy-adjustment	Boolean	true	Divide risk weights for some currency pairs by square root of 2
Modified	sa.vega.rw.rounding-dp	Integer	0	Turn off rounding for Vega risk weights.
Modified	sa.girr.delta.vertex.correlation.rounding-dp	Integer	0	Turn off rounding for GIRR Delta vertex correlations.

Files Deleted

Multiplier.csv was previously loaded as a daily file, but has been moved to the configuration files.

Datastores

Added stores

Store	Details
CSRNonSecHighRatings	The ratings that are considered “high” for CSR non-Sec covered bonds.
SaSensitivities	Merged TradeBase, Delta, Vega, Curvature, and DRCBase stores.
BookDeskMapping	Split descriptions of the desks from BookHierarchy.
DeskDescription	Split mapping of books to desks from BookHierarchy.

Modified stores

Modification	Store	Field	Type	Description
Modified	Curvature	RiskWeight	Double	Curvature store is now un-vectorized on ETL, files can remain untouched.
Modified	Curvature	ShiftUpPV	Double	Curvature store is now un-vectorized on ETL, files can remain untouched.
Modified	Curvature	ShiftDownPV	Double	Curvature store is now un-vectorized on ETL, files can remain untouched.
Added	Curvature	PVLadder	String	New optional field for interpolation.
Deleted	Curvature	PresentValueOverridden	String	No longer needed now that Trade PV is no longer used.
Deleted	DRCBase	PresentValueOverridden	String	No longer needed now that Trade PV is no longer used.
Deleted	DRCBase	NotionalOverridden	String	No longer needed now that Trade Notional is no longer used.
Modified	BookHierarchy			Split out BookDeskMapping and DeskDescription stores.
Added	SaSensitivities	Underlying	String	Added Underlying field, files can remain untouched.
Modified	RiskFactorDescription	Underlying	String	Made Underlying a key field.
Added	SaSensitivities	TradeKey	String	Added TradeKey field, files can remain untouched.
Modified	TradeMapping	TradeKey	String	TradeID field renamed to TradeKey.

Deleted stores

Store	Details
TradeBase	Merged into SaSensitivities store
Delta	Merged into SaSensitivities store
Vega	Merged into SaSensitivities store
Curvature	Merged into SaSensitivities store
DRCBase	Merged into SaSensitivities store

Partitioning

The datastore partitioning has been modified to match the partitioning of the default partial LEAF aggregate providers.

The following stores now use modulo partitioning on the Underlying (or equivalent) field

• SaSensitivities
• RiskFactorDescription
• UnderlyingDescription
• RRAO (RRAOCategory)
• Obligor (ObligorId)
• Tranche (Tranche)
• Security (Security)

The following stores no longer use modulo partitioning on TradeId

• SaSensitivities
• SATradeDescription
• TradeMapping

Databases

Added Tables

Table	Details
SaSensitivities	Merged TradeBase, Delta, Vega, Curvature, and DRCBase tables.
BookDeskMapping	Split descriptions of the desks from BookHierarchy.
Desk Description	Desk descriptions have been separated out from the BookHierarchy store.

Modified Tables

Modification	Table	Field(s)	Type	Description
Moved	Book Hierarchy	DESK, FRTB_DESK_MODEL, PLA_ZONE, IRT_DESK		Desk description fields have been moved from the BookHierarchy store and moved to the newly added Desk Description store
Removed	Book Hierarchy	CATEGORY		Category field has been removed from the data model and as such has been removed from the DirectQuery Database configuration
Modified	Curvature	RISK_WEIGHT	DOUBLE	Risk weights are no longer a vector being stored as a string
Modified	Curvature	FX_DIVIDER_ELIGIBILITY	STRING	Name changed with added underscore (formerly FXDIVIDER_ELIGIBILITY)
Added	Curvature	PV_LADDER	STRING	Optional field that defaults to tradeID, used in shock interpolation
Removed	Curvature	PRESENT_VALUE_OVERRIDDEN	STRING	No longer needed now that Trade PV is no longer used
Removed	DRCBASE	PRESENT_VALUE_OVERRIDDEN	STRING	No longer needed now that Trade PV is no longer used
Removed	DRCBASE	NOTIONAL_OVERRIDDEN	STRING	No longer needed now that Trade Notional is no longer used
Added	Trade Mapping	DESK	STRING	Desk field has been added to the TradeMapping store
Removed Not-Null	Underlying Description	BUCKET		Bucket can be null
Modified	Trade Mapping	TRADE_KEY	String	TRADE_ID field renamed to TRADE_KEY
Added	SaSensitivities	UNDERLYING	String	Added Underlying field
Added	SaSensitivities	TRADE_KEY	String	Added TradeKey field

Deleted Tables

Table	Details
TradeBase	Merged into SaSensitivities table
Delta	Merged into SaSensitivities table
Vega	Merged into SaSensitivities table
Curvature	Merged into SaSensitivities table
DRCBase	Merged into SaSensitivities table

Cube schema

Added

Cube	Dimension	Hierarchy	Levels	Datastore fields	Details
StandardisedApproach	Risk	Present Value Ladder	Present Value Ladder	SaSensitivities.PVLadder	The cube leaf level (along with the RiskFactor and AsOfDate) to use when interpolating shocked PV ladders.
StandardisedApproach	Currencies	Currency	Ccy	SaSensitivities.Ccy	Currency used in the Sensitivity, ShiftUpPV, ShiftDownPV, PresentValue, Notional, GrossJTD, and Adjustment fields. Merged from several (hidden) currency levels.

Modified

None

Removed

None

Measures

Added

Cube	Measure	Details
StandardisedApproach	SA	The Portfolio Risk Charge measure evaluated independently for the IRT and non-IRT desks, then summed.

Context values

No changes

Measure Customizations

The annotations used to customize measures have changed as follows:

Cube	Old Annotation	New Annotation	List of Measures
StandardisedApproachCube	@SACopperContextBean	@SAMeasure
InternalModelsApproachCube	@IMACopperContextBean	@IMAMeasure	IMA Cube Measure Beans
StressCalibrationCube		@StressCalibrationMeasure

Additionally, the @Primary annotation is no longer needed on the custom measures.

See Replacing Cube Measures for more details.

Other changes

initialDataLoad bean refactoring

The initialDataLoad bean has been slightly altered to now rely on an initialConfigDataLoad bean which is responsible for loading the configuration data. The overall logic and order of file loading has not changed. Moving the loading of the configuration data into its own bean allows for cleaner configuration of a DirectQuery application.

Removed CacheRemoteTableLocallyTuplePublisher

The CacheRemoteTableLocallyTuplePublisher has been removed. Now when defining tables to cache locally, all that is required is to define the qualified SideStoresToCache bean.