Market Risk Accelerator v2.1risk.properties
File purpose
The risk.properties file defines the file loading formats and pattern matching for the input files to the datastore, content server settings, parameters for the starter web apps, spring profiles, and FX rates service.
File values
Section: Spring Profiles
| Key | Value | Description |
|---|---|---|
| spring.profiles.active | default,embedded-monitor,standard,local-content,reporting-rest,reporting-plugins,contentservice-scheduling,scheduling-plugins | The “standard” Spring profile is required to be active in order to run the Accelerator with the standard configuration and data loading. |
| default: disable the embedded ActiveMonitor component | ||
| default,embedded-monitor: enable the embedded ActiveMonitor | ||
| ‘store-import’ and ‘aggregated-import’ :load data that has previously been exported using the signoff functionality. | ||
| WARNING: | ||
| The three profiles (‘standard’, ‘store-import’ and ‘aggregated-import’ are mutually exclusive! | ||
| ‘local-content’ and ‘remote-content’: choose whether to make a local content server or connect to a remote one. | ||
| WARNING: New test cases must include the profile for the type of data loading used (cloud or local file system)! |
Section: FX Rates
| Key | Value | Description |
|---|---|---|
| fx-rates.common-currency | EUR |
Section: Data load
CSV Source
| Key | Value | Description |
|---|---|---|
| csvSource.dataset | data | Path to the directory containing the files to load |
| csvSource.dataset.import.store | import/store | |
| csvSource.dataset.import.aggregated | import/aggregated | |
| csvSource.parserThreads | 18 | Number of threads used to parse the files |
| csvSource.bufferSize | 1024 | The size of the buffers (in KB) used by the parser threads |
| csvSource.separator | , | Separator used to between values in the files |
| csvSource.linesToSkip | 1 | Number of lines to skip in each file before parsing, used when column headers are present for example |
| csvSource.pollingDelay | 5000 | The delay in milliseconds between polling for new files |
File loading patterns
| Key | Value | Description |
|---|---|---|
| tradePnlFilePattern | glob:**TradePnLs*.csv | |
| tradeAttributesFilePattern | glob:**TradeAttributes*.csv | |
| fxRatesFilePattern | glob:**FXRates*.csv | |
| scenariosFilePattern | glob:**Scenarios*.csv | |
| bookParentChildFilePattern | glob:**BookParentChild*.csv | |
| legalEntityParentChildFilePattern | glob:**LegalEntityParentChild*.csv | |
| counterpartyParentChildFilePattern | glob:**CounterpartyParentChild*.csv | |
| counterpartiesFilePattern | glob:**Counterparties*.csv | |
| countriesFilePattern | glob:**Countries*.csv | |
| signOffMandatesFromBaseFilePattern | glob:**MandatesFromBase*.csv | |
| pnlFilePattern | glob:**PLActuals*.csv | Default for the input file which does not have product control fields |
| glob:*PLPCActuals.csv | Input file that has product control fields (cumulative PnLs) | |
| sensiLaddersFilePattern | glob:**LadderDefinition*.csv | |
| roundingMethodsFilePattern | glob:**RoundingMethods*.csv | |
| quantilesFilePattern | glob:**Quantiles*.csv |
Sensitivities file loading patterns
| Key | Value | Description |
|---|---|---|
| sensiDeltaFilePattern | glob:**DeltaSensitivities*.csv | Pattern for the Delta sensitivities input file |
| sensiVegaFilePattern | glob:**VegaSensitivities*.csv | Pattern for the Vega sensitivities input file |
| sensiGammaFilePattern | regex:^(?i).*Gamma(?<!CrossGamma)Sensitivities.*.csv.*$ | Pattern for the Gamma sensitivities input file |
| sensiVannaFilePattern | glob:**VannaSensitivities*.csv | Pattern for the Vanna sensitivities input file |
| sensiVolgaFilePattern | glob:**VolgaSensitivities*.csv | Pattern for the Volga sensitivities input file |
| sensiCashFilePattern | glob:**CashSensitivities*.csv | Pattern for the Cash sensitivities input file |
| sensiThetaFilePattern | glob:**ThetaSensitivities*.csv | Pattern for the Theta sensitivities input file |
| sensiCrossGammaFilePattern | glob:**CrossGammaSensitivities*.csv | Pattern for the Cross Gamma sensitivities input file |
| sensiTenorsFilePattern | glob:**StaticTenors*.csv | |
| sensiMaturitiesFilePattern | glob:**StaticMaturities*.csv | |
| sensiMoneynessFilePattern | glob:**StaticMoneyness*.csv | Pattern for the static moneyness labels input file |
| sensiDynTenorsFilePattern | glob:**DynamicTenors*.csv | |
| sensiDynMaturitiesFilePattern | glob:**DynamicMaturities*.csv | |
| sensiDynMoneynessFilePattern | glob:**DynamicMoneyness*.csv | |
| riskFactorCatalogueFilePattern | glob:**RiskFactorsCatalog*.csv | Pattern for the dynamic moneyness labels input file |
| marketDataFilePattern | glob:**MarketData*.csv | |
| marketDataSetsFilePattern | glob:**MarketDataSets.csv | |
| corporateActionFilePattern | glob:**CorporateAction*.csv* | Pattern for the corporate action input file |
Data import file loading patterns
| Key | Value | Description |
|---|---|---|
| varImportFilePattern | glob:**VaR-ES Cube*.csv* | |
| pnlImportFilePattern | glob:**PLCube*PnL*.csv* | |
| sensiImportFilePattern{Delta,Vega,Gamma}.csv | glob:**Sensitivity Cube*.csv* |
Section: Content Server
| Key | Value | Description |
|---|---|---|
| contentServer.security.calculatedMemberRole | ROLE_USER | The role users must have to create calculated members in the content server |
| contentServer.security.kpiRole | ROLE_USER | The role users must have to create KPIs in the content server |
| contentServer.security.cache.entitlementsTTL | 3600 | The time to live (in seconds) of the entitlement cache |
| contentServer.remote.api.uri | http://localhost:9093/content | The URI of the content server used by RemoteContentServiceConfig |
| contentServer.prefix | mra | NOTE: The value here is the URL of the content server as executed with Jetty in Eclipse . You should change this value accordingly to your content server |
| contentServer.factory-reset | TRUE | Reset the contents of the content server to those provided in the Market Risk Accelerator release. |
| NOTE: Development only, turn this off in production. | ||
| contentServer.factory-reset.filename | classpath:risk-content-server.json | Filename of the release version of the content server contents. |
| activemonitor.restUrl | http://localhost:10010/risk-activepivot/sentinel/rest/v6/ | ActiveMonitor REST URL |
Section: Incremental metrics
| Key | Value | Description |
|---|---|---|
| inc.metrics.list.std | booking,trades,top,rlshift | The list of the technical names of the relative metrics created by running a standard spring profile (standard or scalar-sensi). For each value in the list, a set of properties is specified to define the relative metrics. |
| inc.metrics.list.aggregated | booking,top | The list of the technical names of the relative metrics created by running an aggregated spring profile (aggregated-import or scalar-sensi-aggregated-import). For each value in the list, a set of properties is specified to define the relative metrics. |
| inc.metrics.list.import | booking,trades,top,rlshift | The list of the technical names of the relative metrics created by running a store import spring profile (standard,scalar-sensi or store-import,scalar-sensi-store-import). For each value in the list, a set of properties is specified to define the relative metrics. |
| inc.metrics.[name].sufix | Booking | [name] is the technical name of the metric. It defines the suffix appended to the relative metrics. It can be empty. |
| inc.metrics.[name].folder | [name] is the technical name of the metric. It defines the sub-folder used for the relative metrics. It can be empty. | |
| inc.metrics.[name].pp | ParentValue | [name] is the technical name of the metric. It defines the post-processor that computes the reference used by the relative metrics. |
| inc.metrics.[name].hierarchy | BookHierarchy@Organization | Only for “pp=ParentValue”, [name] is the technical name of the metric. It defines the axis used to find-out the parent for the relative metrics. |
| inc.metrics.[name].clearFilter | false | Only for “pp=TopPostProcessor”, [name] is the technical name of the metric. If set to true, the top metric is taken by also clearing all the query filters. |
| inc.metrics.[name].nullAtTop | false | Only for some post-processor, [name] is the technical name of the metric. If set to true, the metric returns null at the top level. |
| inc.metrics.[name].exclude | CounterpartyIds@Counterparties,Trades@Booking | Only for “pp=TopPostProcessor”, [name] is the technical name of the metric. A list of hierarchies that are excluded from the top level computation. |
| reference-levels.list | ,Book@Books,Desk@Desks | The list of levels available for the “ReferenceLevel” context value. The empty level means the top level for all hierarchies. |
inc.metrics.[name].pp content
| pp value | Description | Additional fields |
|---|---|---|
| ParentValue | Sets the reference of the relative metrics to the upper level of the given hierarchy. | hierarchy, nullAtTop |
| TopPostProcessor | Sets the reference of the relative metrics to the highest level of the cube for all hierarchies, keeping only the slicing hierarchies and “allMembers” levels. The clearFilter property specifies whether the MDX filters are also cleared. | clearFilter, nullAtTop, exclude |
| ReferenceLevelLocationShift | Sets the reference of the relative metrics to a dynamic level that is set by the “ReferenceLevel” context value. The property [reference-levels.list] defines the available levels for the context value. |
Section: Cube formatters
| Key | Value | Description |
|---|---|---|
| cube.format.double | DOUBLE[#,##0.00;-#,##0.00] | Formatter for double measures with at most 2 digits after the decimal separator |
| cube.format.percent | DOUBLE[#,##0.00%] | Formatter for percentage double measures. |
| cube.format.integer | INT[#,###] | Int formatter |
| cube.format.date | DATE[HH:mm:ss] | Date formatters for timestamps. |
| cube.format.array | DOUBLE_ARRAY[#.###########] | Double array formatter with at most 2 digits after the decimal separator. |
Section: Starter Web Apps
| Key | Value | Description |
|---|---|---|
| starter.serverUrl | http://localhost:10010/risk-activepivot | Base URL for all starter web apps (i.e. DoctorPivot, Content Service UI, Documentation) |
| starter.javadocBaseUrl | https://artifacts.activeviam.com/documentation/accelerators/mra/ | Javadoc base URL for DoctorPivot |
| starter.javadocVersion | 1.2.0 | Javadoc version for DoctorPivot |
| starter.documentationRoot | Default.htm | Documentation root file to redirect to index.html |
| jgroup.protocol.file.path | jgroups-protocols/protocol-udp.xml | JGroup configuration file used for distributed cubes. |
Section: Cubes activation
| Key | Value | Description |
|---|---|---|
| enable.var.cube | true | Enable (true) or disable (false) the Var-ES cube |
| enable.sensi.cube | true | Enable (true) or disable (false) the Sensi cube |
| enable.pnl.cube | true | Enable (true) or disable (false) the PnL cube |
| enable.common.cube | true | Enable (true) or disable (false) the MRACombinedCube |