Changelog

For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Market Risk Accelerator Migration Notes

2.1

2021-08-13

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

• A zip of the ui - we recommend building with a frozen lockfile. Both a lockfile for npm and yarn can be found in the lockfiles folder.
• A zip of the source files that can be used to build the reference implementation (including sample queries).
• A zip of the Maven repository required to build the project and run the tests. The ActiveViam 5.9.6 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
• A zip of the offline documentation that can be served by the accelerator.

Summary

• Sign-off/Analysis Hierarchy : The sign-off analysis hierarchy has been redesigned for clarity, see Sign-Off Analysis Hierarchy
• Sign-off/Adjustment : The adjustments are integrated within the sign-off workflow.
• Sign-off/Rollback : The sign-off rollback reverts to the live state of the cube without adjustments.
• Sign-off/Cube-level adjustment : It’s now possible to modify a single cell value in a cube.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Issue Key	Details
MRA-1165	Cube-level adjustment post-processor contains two unused properties: * sign-off.adjustments.cube.ids * sign-off.database.asOfDate.pattern We will remove these properties in a later release.
MRA-1138	When a cube-level adjustment request is sent to the MRA, the slicing hierarchies not explicitly present in the filters are not handled.
MRA-1091	Create Harrell-Davis: The Harrell-Davis VaR methodology is currently only implemented as an example on the Sensitivities Cube as the Taylor HD VaR measure. You can also implement it on the VaR-ES cube by copying the setup to this cube.

Dependency versions

Component	Version
ActivePivot	5.9.6
ActiveUI	4.3.17
Data Connectors	1.2.0
Java	JDK11
What-if	1.5.0
accelerator-sdk	4.1.2

Added

Issue Key	Details
MRA-1115	Sign-off: Implement approval mechanism for adjustments
MRA-1126	Implement logic to delete adjustments for roll-back in sign-off workflow
MRA-1148	Implement export of cube-level adjustments
MRA-1153	Handle _Version field for adjustments to display adjusted/non-adjusted values in sign-off status analysis hierarchy

Changed

Issue Key	Details
MRA-1108	Sign-off: Extract execution parameters to configuration properties

Removed

Issue Key	Details
MRA-1141	Clean up RESTful services for SignOffService (there are two implementations currently)

Fixed

Issue Key	Details
MRA-1139	Roll-over of PnL vectors: The Pnl values are not shifted properly.
MRA-1123	Implement non-regression tests for adjustments approval mechanism
MRA-1142	Add testing for roll-over and remaining fact-level adjustments
MRA-1157	Fix cube-level adjustment unit test
MRA-1160	Exception when attempting to parse a double in BucketingUtils

2.1.0-alpha

2021-07-09

Download the distribution files here

Summary

• Azure data loading support: MRA supports data loading from Azure Blob storage.
• Cube configuration: VaR, sensitivities and PnL cubes can now be disabled using properties.
• Cube-level adjustments: MRA handles adjustments of aggregated measures.
• Fact-level adjustments: Overrides and scaling are now handled in addition to add-ons.
• New approval mechanism for approvals: The sign-off approval mechanism now uses a specific analysis hierarchy instead of the epoch hierarchy.
• Harrell-Davis VaR: Harrell-Davis VaR has been implemented.
• Day count computation: The day count computation is now computed differently.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Issue Key	Details
MRA-1138	When a cube-level adjustment request is sent to the MRA, the slicing hierarchies not explicitly present in the filters are not handled.
MRA-1091	Create Harrell-Davis VaR
MRA-1139	Roll-over of PnL vectors: The Pnl values are not shifted properly.

Added

Issue Key	Details
MRA-1056	Data can be loaded from an Azure Blob Storage. Loading CSV data is split into two spring profiles; one for loading data from local file system and the other for cloud. NOTE: The necessary profiles must be included in future test files.
MRA-1091	Create Harrell-Davis VaR
MRA-1116	Implement location digest mechanism
MRA-1106	Implement fact-level overrides
MRA-1104	Implement fact-level scaling

Changed

Issue Key	Details
MRA-1115	Implement new approval mechanism for adjustments
MRA-1111	Use Common lib for day count computation
MRA-1102	Ability to disable cubes in configuration
MRA-1115	Implement new approval mechanism for adjustments

The following features still need to be implemented:

• Roll-back of adjustments
• Handling of sign-off status and adjustment status in a more ergonomic way
• Exporting and importing cube-level adjustments

2.0.0

2021-05-17

Download the distribution files here

Summary

• Usage of the common library : The common features used by all accelerators are located in the ‘com.activeviam.apps/shared*.jar’ library. Several classes have been moved to this library. As a consequence a lot of imports have changed from ‘com.activeviam.risk’ to ‘com.activeviam.accelerator.common’.
• Upgrade to AP5.9 : The accelerator now uses Active Pivot 5.9.x, which also means that only Java 11 is supported.
• Adjustments 2.0 : Integration of the interfaces allowing the interaction with the sign-off module.
• Datastore Helper 2.0 : The Datastore Helper tool for defining and customizing the datastore schema has been upgraded to version 2.0.
• JUnit 5 : Most of the tests now use JUnit 5.
• Data Connectors : The DEE feature is now integrated into an import/export toolbox library called “Data Connectors” prefixed with ‘com.activeviam.io’.
• Corporate Actions : The dividends, coupons, stock splits or merge are now taken in account for PnL calculations.
• Correlation : The correlation metric is handled. Its market data name is ‘RiskFactor 1/RiskFactor 2’.
• Cross-Gamma : The cross-gamma metric is handled; it is the gamma between two risk factors, without bucketing.
• Spring configuration : The Spring configuration templates for cube and datastore definition are in common with FRTB.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Added

Issue Key	Details
MRA-1006	Integrate common accelerators library with MRA
MRA-1071	2.0 adjustments
MRA-1043	Corporate Actions
MRA-1059	Add correlations input data and measure configuration
MRA-1058	Add cross-gamma input data and measures configuration

Changed

Issue Key	Details
MRA-1061	Upgrade MRA to AP 5.9
MRA-995	New performance testing cluster
MRA-1067	Handle AsOfDate for dynamic bucketing
MRA-1029	Get Cube Spring configuration made for FRTB

Removed

None

Fixed

None

Security

None

1.10.0

2021-01-29

Download the distribution files here

Summary

• Bug fix in export feature: In cube and aggregated exports, cube measures were not put in the output columns. This has been fixed.
• Parent/child data load: The system now waits for parent-child processing to complete before loading main stores.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Issue Key	Details
MRA-806	Real-time updates in MarketData.csv file are not taken into account.
MRA-1028	MRA SDK has an unmet dependency that causes build to fail. It is fixed now and the new version is uploaded. The old one is marked as broken.

Added

Issue Key	Details
MRA-1026	Fields were added in the base store used for aggregated import of VaR-ES data to match the measures put in the exported files.

Removed

Issue Key	Details
MRA-973	The unused sign-off REST service / members endpoint has been removed.

Fixed

Issue Key	Details
MRA-1022	Wait for parent-child processing to complete before loading main stores.
MRA-979	In cube and aggregated exports, cube measures were not put in the output columns.

1.9.1

2020-12-11

Download the distribution files here

Summary

• Minor bug fixes
• Configuration of sparse vectors: Sparse vectors can be used on any double[] vector and activated below a defined threshold.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Issue Key	Details
MRA-806	Real-time updates in MarketData.csv file are not taken into account.

Added

Issue Key	Details
MRA-987	Sparse vectors can be used on any double[] vector and activated below a defined threshold.
MRA-974	Added property controlling the creation of a new database persistence file when one isn’t provided.

Changed

None

Removed

None

Fixed

Issue Key	Details
MRA-1002	The definition of sample KPIs in the MRA cubes were using non-existing measures.
MRA-1004	Added caching mechanism per partition for market data retrieval to speed up PnL explain queries.

Security

None

1.9.0

2020-11-06

Download the distribution files here

Summary

• Sign-off: the sign-off is handled by an external application, only the export services stay under the responsibility of MRA.
• DEE: the common accelerator export tool is embedded in MRA.
• Market Data Retrieval Service: the Market Data computation and retrieval is handled by a specific spring bean that is customizable at will by the user.
• Cash metric: a new metric that computes the risk linked to a foreign currency position.
• Theta metric: a new metric that takes the time decay on the PnL into account.
• Incremental metrics: Incremental metrics has been reviewed and is customizable from the property file, with new reference metric introduced.

Known issues

• Updated 2022-09-12: PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.

Issue Key	Details
MRA-806	Real-time updates in MarketData.csv file are not taken into account

Added

Issue Key	Details
MRA-403	Explain PL needs to support Time Decay (Theta)
MRA-580	“ReferenceLevel” for Incremental measures - similar to FRTB
MRA-888	Contribution to VaR measures for weighted metrics (incremental metric compared to top level)
MRA-899	Market Data Retrieval Service
MRA-915	PL from PL in a different native currency (Cash metric)
MRA-942	[Sign-off] ExportRestService code into MRA
MRA-943	Integrate DEE into MRA

Changed

Issue Key	Details
MRA-887	Use Spring resolvers for content service DB
MRA-905	Implement common coding standards style (ongoing)
MRA-912	PL formula rule is now based on Sensitivity Type or SensitivityName
MRA-964	Upgrade MRA to AP5.8.14

Removed

Issue Key	Details
MRA-891	Remove duplicate incremental measures
PST-589	Remove code from old sign-off server

Fixed

Issue Key	Details
MRA-879	Add US locale to all DateTime formatter calls
MRA-890	Remove cube filters on As Of Date for PnL explain and market data measures
MRA-910	DLC unload All with a date causes data for all dates to be unavailable
MRA-913	Get rid of Maven build warnings
MRA-934	Current MD measures returns null if sensitivity data are present for the previous as of date but not for the current as of date
MRA-936	Cannot compute Weighted VaR on multiple scenario sets
MRA-952	DTD PnL measure not affected by the referenceCurrency
MRA-897	Secondary index on scalar market data store missing

Security

None

1.8.0

2020-07-08

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-838	Product control features were added and separated to the new module which can be used if those features are required. The instructions of how to do it is in the migration notes.

Changed

Issue key	Details
MRA-867	Upgrade MRA to Data Load Controller version 1.4.1
MRA-866	Product control cumulative PnL measures are no longer filtered on Actual PL Attributed only and is nullable.
MRA-864	Upgrade MRA to Data Load Controller version 1.4.1
MRA-863	MRA project and tools used by the MRA is upgraded to 5.8.11
MRA-854	The number formats can be setup from the config file.
MRA-850	The UI of Market Risk accelerator was upgraded to the newest version of the accelerator SDK (3.0.1) and ActiveUI version (4.3.7).
MRA-838	Product control features were added and separated to the new module which can be used if those features are required. The instructions of how to do it is in the migration notes.
MRA-510	Default value for tenors and maturities and default value for moneyness can be defined in property file

Removed

None

Fixed

None

Security

None

1.7.1

2020-07-24

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-829	Add possibility to do custom computations bases on the input location in market data post-processors
MRA-881	Add updateOnlyIfDifferent() to referenced store to avoid unnecessary classification and bitmap operations

Changed

Issue Key	Details
MRA-869	The number formats can be setup from the config file.
MRA-849	The updateOnlyIfDifferent() method has been added to referenced stores to avoid unnecessary operations when data are resubmitted to the datastore.
MRA-870	Exclude has_ladder field from the list of columns read from input files for sensitivities. That field is calculated and is not read from the input data.
MRA-871	The default value for tenors and maturities and the default value for the moneyness are defined in properties

Removed

None

Fixed

Issue Key	Details
MRA-880	Fix configuration of measures for the data import Spring profiles and add unit tests to check the export and import mechanisms

Security

None

1.7.0

2020-05-14

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-777	Add the DLC feature : the datastores load and unload are commanded by a REST service and not anymore by a “pull” behaviour.
MRA-788	For debugging purposes, measures that display information about the computation of market data interpolation have been added. Each step of the calculation is detailed for each axis (tenors, maturities, moneyness).
MRA-801	Query cache added for marketShifts in both - scalar and default Spring profiles for Taylor VaR performance improvement.

Changed

Issue Key	Details
MRA-634	Default bookmarks are now compatible with the scalar version. Just execute the script “migrateToScalarCube.sh” on bookmark folder.
MRA-808	Cleanup related to the PNL explain functionality in distributed mode.
MRA-780	For PnL explain the interpolation of market data is now defined defined by risk classes and sensitivity.
MRA-790	The metrics with an as-of date slicing (yesterday, day-to-day, …) are now compatible with the distribution topology by as-of date clustering.
MRA-775	The change effect on the VaR is displayed on the FX risk class and on the corresponding FX risk factor.
MRA-804	The PnL explain API now allows computations to be performed on market data before and after the interpolation of market data is performed on each axis (tenors, maturities, moneyness). Those computations are based on the value of the market data to process and on the value of the member on the current axis (tenors, maturities, moneyness).
MRA-772	Sensitivity ladders are now accepted as input for PnL Explain and Taylor VaR calculations. The sensitivity input file now contains fields for first-order and second-order ladders. An extra configuration input file is required to define the scale of the ladders used in the sensitivity input file. Configuration options have been added to control the behaviour per sensitivity type, with options to: - use the ladder input if available or default to the standard sensitivity. - use the ladder input exclusively (with null input if no ladders are provided). - use the sensitivity input exclusively.
MRA-786	Upgrade MRA to ActivePivot 5.8.8-jdk8 and 5.8.8-jdk11
MRA-778	Cleanup of Spring configuration linked with DLC
MRA-743	DayToDayDifference context value is not taken into account anymore by the PnL explain computation

Removed

Issue Key	Details
MRA-809	The bookmark export single JSON file has been replaced by a content server DB file to enable persistence between sessions in development. The folder-based bookmarks are considered the main reset option.

Fixed

Issue Key	Details
MRA-744	Fix AsOfDateNeighbourValuePostProcessor
MRA-776	A GSON dependency was missing in the POM file
MRA-80	The definition of the measures to display market data was incorrect in the vectorised sensitivities Spring profile. This bug only affected the display of the market data and not the computations of the PnL explain based on the market data.

Security

None

1.6.1

2020-03-24

Download the distribution files here

Known issues

ActivePivot incompatible with latest OpenJDK

WARNING!

ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15).  This is due to a breaking change in OpenJDK (JDK-8211919)

Added

None

Changed

Issue Key

Details

MRA-792

Several custom actions that were using hardcoded level names have been updated to use settings. The following keys and defaults are part of the mr-sdk library: * “mr.trade-level.name”: “TradeId” * “mr.as-of-date-level.name”:“AsOfDate” * “mr.book-level.name”: “Book” * “mr.var-domain-level.name”:“VaR” * “mr.sensi-domain-level.name”:“Sensi” * “mr.calculation-id-level.name”:“CalculationId” * “mr.risk-factor-level.name”:“RiskFactor” * “mr.scenario-set-level.name”:“Scenario Set” * “mr.scenario-level.name”:“Scenario” * “mr.tenor-level.name”: “Tenor” * “mr.branch-level.name”: “Branch”

Removed

None

Fixed

Issue Key	Details
MRA-783	Fix calculation error for the weighted measures when the PnL data are present from oldest to newest in the input vectors
MRA-785	Fix implementation of best scenario measure
MRA-797	Fix order in which scenarios names are displayed in the scenarios names measures: the order in previous releases was non-deterministic and did not match the values returned by the scenario values measures.

Security

None

1.6.0

2020-02-24

Download the distribution files here

Known issues

WARNING

Calculation error for weighted measures

There is a calculation error for the weighted measures when the PnL data are present from oldest to newest in the input vectors (MRA-783)

Best scenario measure is incorrectly implemented

The best scenario measure in incorrectly implemented (MRA-785)

#### ActivePivot incompatible with latest OpenJDK
ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15).  This is due to a breaking change in OpenJDK (JDK-8211919)

Added

Issue Key	Details
https://support.activeviam.com/jira/browse/MRA-762[MRA-762]()	Add support for RiskFactor2 field for the Vanna sensitivity in the export/import feature
MRA-758	Add access to user documentation present in MRA back-end
MRA-755	Implement Parametric VaR and Parametric VaE measures
MRA-752	Create 2 MRA versions: one compatible with the JDK 8 and one compatible with the JDK 11.
MRA-711	Create PnL explain measures for Vanna and Volga
MRA-366	Implement Taylor VaR (VaR computed from sensitivities and market data shifts). Note: this feature is only intended to be used for demos at the moment; the complete implementation will be delivered in a future release of the MRA

Changed

Issue Key	Details
MRA-754	Expose intermediate calculations used for VaR, VaE, ES and ETG as measures, e.g. the list scenarios used and the corresponding PnL values
MRA-753	The Accelerator now uses the Bookmark Import/Export Tool for bookmark management. Documentation is available for the functionality available via this tool in the “Managing bookmarks with the Bookmark Tool” section.
MRA-766	Some default values for context values were hard-coded in the definition of the VaR/ES cube; they are now defined in the risk-config.properties file

Removed

None

Fixed

Issue Key	Details
MRA-751	Fix location out of scope issue in dynamic bucketing
MRA-691	Fixing What-if so it would be able to support scalar sensitivities

Security

None

1.6.0 alpha

This is a temporary release.

1.5.1

2019-11-06

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-648	Document weighted VaR and weighted ES computations.
MRA-704	Add support of moneyness for Vega
MRA-707	Market data interpolation logic now supports moneyness
MRA-709	Add EmptyCalculator for domain field in sensitivities scalar source
MRA-734	Create measures for non-interpolated market data
MRA-737	Some bookmarks were added: * Vanna PnL explain and Volga PnL explain measures were added. * A bookmark that shows non-interpolated market data vs. interpolated market data was added

Changed

Issue Key	Details
None	Spring Boot Starting from version 1.4.0, the risk-starter and risk-activemonitor projects have been migrated to Spring Boot. As an immediate consequence, building these projects will produce executable JAR files instead of WAR files, which are deployed as standalone applications. For more details regarding the project migration to Spring Boot, see the Migration Notes.
MRA-718	Market data are now interpolated in the market data post-processor and not in the PnL explain post-processor

Removed

None

Fixed

Issue Key	Details
MRA-703	Update read-me file that was out-of-date.
MRA-708	Fix a bug in BucketComparator
MRA-742	The logger used in classes SensiImportSourceConfig and PnlImportSourceConfig was named incorrectly.

Security

None

1.5.1 alpha1

2019-10-16

Download the distribution files here

This is a test version delivered specifically to test the PnL explain calculations on site before an offical 1.5.1 delivery.

1.5.0

2019-09-30 Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-690	Non-regression tests have been added for scalar sensitivities
MRA-689	Implement interpolation of market data for PnL explain for vectorised sensitivities.
MRA-682	Added the Epoch dimension to the combined cube. This supports existing branches on data nodes, but does not support individual epochs.
MRA-681	Pivot wizard is added into explore view
MRA-675	In the sample data set, some static data were missing for four trades. Those data have been added.
MRA-660	Fields for risk factor enrichment coming for the Risk Factors Catalog input CSV file have been added to the schema.
MRA-695	In the ‘02 - What-If Scaling’ bookmark real-time has been enabled and a filter on one trade id has been added.

Changed

Issue Key	Details
MRA-687	Translation has been updated
MRA-676	Offset for VaR whatif substitution is now taken into the account and gives correct numbers for different scenarios
MRA-673	When sensitivity is not aligned with the market pillars, a linear interpolation is now applied on market data in order to fit the tenor/maturity/moneyness of the sensitivity. This feature is available on Scalar configuration.
MRA-662	Use an EmptyCalculator for the sensitivities domain field to allow easier customisation of sensitivities base store.
MRA-621	If a percentile of ‘0’ is set for the VaR or ES computations, the best scenario is now returned. Previously the 0 percentile was considered as a non-valid input and the computations were done with the default confidence level instead.
MRA-614	By default, the length of the PnL vector is used for the length of the regression in the Component VaR computation, unless a value is explicitly defined for the property cvar.regression.length
MRA-590	When sensitivity is not aligned with the market pillars, a linear interpolation is now applied on market data in order to fit the tenor/maturity/moneyness of the sensitivity. This feature is available on Scalar configuration.
MRA-520	The UI now contains an option to scale PnL numbers by scenario.

Removed

Issue Key	Details
MRA-692	Obsolete documentation files have been removed.

Fixed

Issue Key	Details
MRA-685	The ‘rouding’ property was misspelled and has been replaced by the ‘rounding’ property
MRA-684	An ‘ES’ measure folder was incorrectly present alongside the ‘Expected Shortfall’ folder.
MRA-672	The ordering of security filters has been changed to ensure JWT filtering is done after CORS. This fixes the issues with expired tokens preventing ActiveUI logins.
MRA-664	The ‘NotionalCcy’ level is used for Notional FX conversion. Previously the ‘Ccy’ level was used, which was incorrect.
MRA-550	The previous day market data post-processor uses the current day sensitivities as underlying measures so that the if no sensitivities is present for the current day no market data is returned for the previous day. It has been resolved.

Security

None

1.4.0

2019-08-30

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-485	Support for scalar sensitivities has been implemented. To run the application in scalar data-load mode, use one of the following Spring Profiles, as required: * scalar-sensi * scalar-sensi-store-import * scalar-sensi-aggregated-import The file format for the default sample data load is unchanged between vectorised and scalar sensitivities, however signoff import data formats will be different.
MRA-575	DHS (Displaced Historical Simulation) computation is implemented for PnL explain. It can be defined in the greek-based-pl-formula-rules.properties file.
MRA-545	Volga and Vanna sensitivities measures have been implemented.

Changed

Issue Key	Details
MRA-551](https://support.activeviam.com/jira/browse/MRA-551)	Context actions ordered and standardised across UI components
MRA-547	Migrate ActiveUI code to ESLint config 1.3.1
MRA-538	Measure ‘Notional Native’ shows the aggregated notional value in native currency (provided the currency level is present in the MDX query) and the ‘Notional’ measure shows the aggregated notional converted into reference currency.
MRA-470	Weighted VaR is using exponential weighting for PnL values so that the most recent PnL figures have more weight than older PnL values. The parameter used to compute the weight is defined in the IWeightedVaRLambda context value.
MRA-537	Weighted ES is using exponential weighting for PnL values so that the most recent PnL figures have more weight than older PnL values. The parameter used to compute the weight is defined in the IWeightedVaRLambda context value.
MRA-534	Migrate to Spring Boot to deploy using executable JAR file instead of a WAR file.
MRA-494	Reporting server upgraded from 0.1.0 to 0.1.8
MRA-461	A server started with a non-default port will generate non-default H2 console ports, using the application port as a seed.
MRA-456	Maturity conversion for dynamic bucketing is now done via the IMaturityConverter interface. The default implementation queries the tenor stores for static and dynamic tenors and maturities. There is also a simple implementation that allows a custom tenor converter and day count convention to be used.
MRA-298	Sensitivities are now present in one store: TradeSensitivities. The abstract classes AGreekSensiCubeMeasureConfig, AMatrixTypeSensiCubeMeasureConfig and A3DTypeSensiCubeMeasureConfig allow the configuration of 1-dimensional, 2-dimensional and 3-dimensional sensitivities measures.

Removed

None

Fixed

Issue Key	Details
MRA-556	Fix exception in dynamic bucketing computation when Tenors and DynamicTenors levels are simultaneously present in a view.

Security

None

1.3.0

2019-07-30

Download the distribution files here

Known issues

None

Added

Issue Key	Details
MRA-511	Implement methodology to find the rank in the PNL vector from the quantile : EQUAL_WEIGHT means equally spaced PNLs in ]0%-100%[ , CENTERED means centered PNL on quantile with 1/size steps. This methodology is defined via the property: rounding.quantile2Rank=EQUAL_WEIGHT
MRA-501	Create measures for mean and standard deviation of PnL explain: measures ‘Average’ and ‘Standard deviation’ in folder; ‘Value At Risk/VaR’
MRA-484	Create test data set to assess impact of sparse vectors (for ActiveViam internal testing)
MRA-483	Implement sparse vectors for sensitivities. Sparse vectors allow ta reduction of the off-heap memory usage in the datastore for vectors that contain a high proportion of zeros.
MRA-478	Implement 3 rounding methods used to find the closest quantile for VaR and ES computation, you can use : FLOOR, CEIL, ROUND. The rounding methods are defined in properties: ‘rouding.var’, ‘rouding.es’ and ‘rouding.vae’
MRA-459	Implement VaE (Value at Earnings). The VaE measure logic is identical to VaR but it is used to estimate the probability of profits instead of losses.

Changed

Issue Key	Details
MRA-509	Display FX Rate value in VaR cube (measure: ‘VaR FX Rate’ in folder: ‘Utility’). The FX rate corresponding to the members of the ‘Ccy@Currency@Currencies’ are displayed
MRA-499	Upgrade MRA to ActivePivot 5.8.2-jdk8
MRA-482	Refactor reload functionality for mandates to improve performance
MRA-472	Implement better mandate status filtering UX in sign-off views in ActiveUI
MRA-464	Externalise levels configuration in post-processors in properties file risk-config.properties. The levels used in post-processors are now defined in the properties instead of the risk measures to make the renaming of dimensions/hierarchies/levels easier. Examples from proprieties file risk-config.properties : tenors.analysis.level=Tenor@Tenors@Risk maturities.analysis.level=Maturity@Maturities@Risk
MRA-448	Increase number of measures displayed in sign-off widgets in ActiveUI
MRA-337	Migrate UI components to ActiveUI 4.2.7 API
MRA-310	Improve UX of Manager view in sign-off UI
MRA-274	Disable the negative values in red default parameter in the sign-off Controller/Manager views

Removed

Issue Key	Details
MRA-503	Remove H2 console server (used for ActiveViam internal testing only)
MRA-476	Remove hard-coded ActiveMonitor REST URL in SignOffNotificationService
MRA-392	Remove deprecated actions/builders from default bookmarks in ActiveUI

Fixed

Issue Key	Details
MRA-493	Fix ActiveViam logo routing & match routing pattern with FRTB in ActiveUI
MRA-335	Fix slowness in ActiveUI when too many sign-off tabs tabs are opened
MRA-334	Fix issue of mandate list showing the wrong mandate when the selected one is moved out of the filtered view in ActiveUI
MRA-312	Fix bug in approval workflow in sign-off module
MRA-458	Fix unnecessary UI renders in sign-off widgets in ActiveUI
MRA-477	Multiple indices on the same fields with different ordering
MRA-481	Fix issues with Redux caused by multiple Controller/Manager widgets in the same screen in ActiveUI

Security

None