Migration notes 1.8.0

This page explains the changes required to migrate to the stated version of the Market Risk Accelerator.

Migrate to 1.8.0

Upgrading from version 1.7.0 See Market Risk Accelerator 1.7.0 Release Notes.

The Accelerator is using ActivePivot 5.8.11-jdk8 or ActivePivot 5.8.11-jdk11 and ActiveUI 4.3.7. For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.

For clients licensed to use ActiveMonitor, a skeleton module based on version 5.8.11-jdk8 or 5.8.11-jdk11 is included with the MRA Accelerator 1.8.0 release.

Input file formats

Added

File	Details
LadderDefinition.csv	Sensitivity ladder inputs require defining the scale of the input vectors.
MarketDataSets.csv	Market data set inputs defining different market data sets used for the calculations.
Quantiles.csv	Rounding methods inputs defining different rounding methods for VaR PostProcessor calculations.
PLPCActuals.csv	PL file for Product control extra measures for PnL cube. This would replace previous PLActuals file if product control module is used.

Modified

File	Details
PLActuals.csv	field “Value” is changed to “Daily” to represent DTD PnL Actual value.
Sensitivities.csv	For sensitivity ladder inputs, the sensitivity files now have two extra fields: FirstOrderLadder and SecondOrderLadder.

Removed

None

Configuration files

Files Added

None

Files Modified

File	Modification	Details
risk.properties	Added	roundingMethodsFilePattern Default: glob:**RoundingMethods*.csv File pattern for a csv to populate RoundingMethods store for analysis hierarchy. Example in resources/data/RoundingMethods.csv in risk-starter tests.
		quantilesFilePattern Default: glob:**Quantiles*.csv File pattern for a csv to populate Quantiles store for analysis hierarchy. Example in resources/data/Quantiles.csv in risk-starter tests.
		marketDataSetsFilePattern Default:glob:**MarketDataSets*.csv File pattern for a csv to populate MarketDataSets store for analysis hierarchy. Example in resources/data/${date}/MarketDataSets.csv in risk-starter tests.
		cube.format.double Default: DOUBLE[#,##0.00;-#,##0.00] The formatter for double measures with at most 2 digits after the decimal separator.
		cube.format.percent Default: DOUBLE[#,##0.00%] The formatter for percentage double measures.
		cube.format.integer Default: INT[#,###] The int formatter.
		cube.format.date Default: DATE[HH:mm:ss] The date formatters for timestamps.
		cube.format.array Default: DOUBLE_ARRAY[#.###########] Double array formatter with at most 2 digits after the decimal separator.
		activemonitor.restUrl Default: http://localhost:10010/risk-activepivot/sentinel/rest/v6
	Changed	csvSource.dataset.import.store New value: import/store Old value: import\\store
		csvSource.dataset.import.aggregated New value: import/aggregated Old value: import\\aggregated
		pnlFilePattern New value:glob:**PLActuals*.csv Old value: glob:**PLPC*.csv
risk-config.properties	Added	market.data.set.level
		quantileRank.level Default: QuantileName@Quantiles@Quantiles Level coordinate for market data set.
		rounding.level Default: MethodName@RoundingMethods@Rounding Level coordinate for market data set.
		quantile.2.rank.default Default: EQUAL_WEIGHT Level coordinate for market data set.
		marketData.set.default Default: Official EOD Level coordinate for market data set.
		rounding.default.type Default: CEIL Level coordinate for market data set.
		pnl.default.type Default: Actual PL Attributed Default PnL type for type slicing hierarchy in PnL cube.
		trades.var.inclusion.level Default: VaR inclusion type@VaR inclusion type@TradeAttributes Level description for Taylor VaR inclusion flag
		market.data.set.level Default: MarketDataSet@MarketDataSets@MarketData Level description for market data set name
		tenorAndMaturity.defaultValue Default: N/A Default value for tenors and maturities
		moneyness.defaultValue Default: `ATM Default value for moneyness
	Removed	rounding.var Changed with Rounding analysis hierarchy
		rounding.es Changed with Rounding analysis hierarchy
		rounding.vae Changed with Rounding analysis hierarchy
		rounding.etg Changed with Rounding analysis hierarchy
		rounding.quantile2Rank Changed with Rounding analysis hierarchy
signoff-export.properties	Changed	signoff.export.cube.skip-hierarchies New value: ALL::BookHierarchy;LegalEntityHierarchy,VaR::Percentile,Sensi::Ladder Shifts;BookHierarchy;LegalEntityHierarchy Old value: ALL::BookHierarchy;LegalEntityHierarchy,VaR::Percentile

File	Modification	Details
risk.properties	Added	roundingMethodsFilePattern Default: glob:*RoundingMethods.csv File pattern for a csv to populate RoundingMethods store for analysis hierarchy. Example in resources/data/RoundingMethods.csv in risk-starter tests.
		quantilesFilePattern Default: glob:*Quantiles.csv File pattern for a csv to populate Quantiles store for analysis hierarchy. Example in resources/data/Quantiles.csv in risk-starter tests.
		marketDataSetsFilePattern Default: glob:*MarketDataSets.csv File pattern for a csv to populate MarketDataSets store for analysis hierarchy. Example in resources/data/${date}/MarketDataSets.csv in risk-starter tests.
		cube.format.double Default: DOUBLE[#,##0.00;-#,##0.00] The formatter for double measures with at most 2 digits after the decimal separator.
		cube.format.percent Default: DOUBLE[#,##0.00%] The formatter for percentage double measures.
		cube.format.integer Default: INT[#,###] The int formatter.
		cube.format.date Default: DATE[HH:mm:ss] The date formatters for timestamps.
		cube.format.array Default: DOUBLE_ARRAY[#.###########] Double array formatter with at most 2 digits after the decimal separator.
		activemonitor.restUrl Default: http://localhost:10010/risk-activepivot/sentinel/rest/v6
	Changed	csvSource.dataset.import.store New value: import/store Old value: import\store
		csvSource.dataset.import.aggregated New value: import/aggregated Old value: import\aggregated
		pnlFilePattern New value: glob:*PLActuals.csv Old value: glob:*PLPC.csv
risk-config.properties	Added	market.data.set.level
		quantileRank.level Default: QuantileName@Quantiles@Quantiles Level coordinate for market data set.
		rounding.level Default: MethodName@RoundingMethods@Rounding Level coordinate for market data set.
		quantile.2.rank.default Default: EQUAL_WEIGHT Level coordinate for market data set.
		marketData.set.default Default: Official EOD Level coordinate for market data set.
		rounding.default.type Default: CEIL Level coordinate for market data set.
		pnl.default.type Default: Actual PL Attributed Default PnL type for type slicing hierarchy in PnL cube.
		trades.var.inclusion.level Default: VaR inclusion type@VaR inclusion type@TradeAttributes Level description for Taylor VaR inclusion flag
		market.data.set.level Default: MarketDataSet@MarketDataSets@MarketData Level description for market data set name
		tenorAndMaturity.defaultValue Default: N/A Default value for tenors and maturities
		moneyness.defaultValue Default: ATM Default value for moneyness
	Removed	rounding.var Changed with Rounding analysis hierarchy
		rounding.es Changed with Rounding analysis hierarchy
		rounding.vae Changed with Rounding analysis hierarchy
		rounding.etg Changed with Rounding analysis hierarchy
		rounding.quantile2Rank Changed with Rounding analysis hierarchy
signoff-export.properties	Changed	signoff.export.cube.skip-hierarchies New value: ALL::BookHierarchy;LegalEntityHierarchy,VaR::Percentile,Sensi::Ladder Shifts;BookHierarchy;LegalEntityHierarchy Old value: ALL::BookHierarchy;LegalEntityHierarchy,VaR::Percentile

Datastores

Added

None

Modified

None

Removed

None

Cube schema

Added

Cube	Details
PL cube	Analysis hierarchies Analysis hierarchies have been created for: * market data set * rounding type * rank computation from quantile See list of changed properties in risk-config.properties for the details on how to configure the default value for those analysis hierarchies.

Modified

None

Removed

None

Measures

Added

Product Control measures

Cube	Measure name
PL cube	MTD PnL Native - Monthly PnL in native currency.
	MTD PnL  - Monthly PnL after FX conversion.
	YTD PnL Native - Yearly PnL in native currency.
	YTD PnL   - Yearly PnL after FX conversion.
	LTD PnL Native  - Lifetime PnL in native currency.
	LTD PnL  - Lifetime PnL after FX conversion.

Changed

Cube	Details
PL cube	Measure “Value” name is changed to “Daily” and the name in the cube is DTD PnL Native. Also in the cube is the DTD PnL measure which is the result after FX conversion.
	Some measures have also been changed in cube measure configuration. Check in the PnlCubeMeasuresConfig class.
	Formatter patterns Some of the formatter patterns are now defined via properties. See list of changed properties in risk-config.properties for the list of new properties.

Removed

None

Context values

Added

None

Modified

None

Removed

Name	Details
IMarketDataSet	The context value IMarketDataSet has been removed and has been replaced by an analysis hierarchy (see list of changed properties in risk-config.properties for the details on how to configure the default value for that analysis hierarchy).

Changes in pom.xml and modules

A new module is introduced which has product control features. It is called risk-product-control and has to be added to master pom.xml and risk-starter pom.xml files as a dependency. 

\<dependency\>
\<groupId\>com.activeviam.apps\</groupId\>
\<artifactId\>risk-product-control\</artifactId\>
\<version\>$
\</version\>
\</dependency\>

Changes in configurations

Required if Product Control module is used

These changes are ONLY required if product control features are used.

ProductControlMeasuresConfig.class has to be added to RiskStarterConfig if product control module is used.
Product control measures have to be injected in PnlCubeConfig

1. Autowire the measures:

@Autowired @Qualifier("productControlMeasures") public Consumer\<ICopperContext\> productControlMeasures;

2. productControlMeasures have to be added to cube config which means that addMeasuresAndDimensions method should be changed to:

public ICanBuildCubeDescription\<IActivePivotInstanceDescription\> addMeasuresAndDimensions(ICubeDescriptionBuilder.INamedCubeDescriptionBuilder builder, Environment env) {        return builder            .withCalculations(pnlMeasures.andThen(productControlMeasures))            .withDimensions(b -\> pnlDimensions.apply(b)); }

3. Extra store fields for new product control measures have to be injected to DatastoreCustomisationsConfig class

@Bean public IDatastoreCustomisations datastoreCustomisations() { IDatastoreCustomisations datastoreCustomisations = new ProductControlDatastoreCustomisations(); DatastoreHelper.injectCustomisations(datastoreCustomisations); return new DatastoreCustomisations(); }

Required for newly introduced analysis hierarchies

There are mandatory breaking changes for any project.

1. MarketDataSets/RoundingMethods/Quantiles/PnLType hierarchies would use the default value from risk-config.properties file. For the cubes that use this value, it would have to be injected: 

   1. In dimension configurations: 

      .withDimension(MARKET\_DATA\_DIMENSION) .withHierarchy(MARKET\_DATA\_SETS\_HIERARCHY) .slicing() .factless() .withStoreName(StoreNames.MARKET\_DATA\_SETS\_STORE\_NAME) .withLevel(MARKET\_DATA\_SET) .withFieldName(MARKET\_DATA\_SET)

   2. In cube configuration: 

      (i)

      public static final String MARKET\_DATA\_SETS\_HIERARCHY\_FULL = builder.append("\[" + MARKET\_DATA\_DIMENSION + "\]").append("\].\[").append("\[" + MARKET\_DATA\_SETS\_HIERARCHY + "\]").toString();

      (ii)

      public static String marketDataSetDefaultValue = new String();

      (iii) In pnlCubeDescription() method (or any other cube description method):

      this.marketDataSetDefaultValue = “[”+MARKET_DATA_SET+“].[”+env.getProperty(RiskConfigProperties.MARKET_DATA_SET_PROPERTY)+“]”;

      (iv) In mdxContext() method in all cubes that are using this hierarchy:

      withDefaultMember() .onHierarchy(MARKET_DATA_SETS_HIERARCHY_FULL) .withMemberPath(marketDataSetDefaultValue)