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What's New

This page provides a brief overview of the user-facing new features and improvements in the latest version of the Market Risk Accelerator.

For bug fixes and developer-facing changes, see our Changelog.

2.1

Summary

This release follows the developments of the 2.1.0 Alpha for the Sign-off features.

2.1.0 Alpha

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.

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.

New features

Calendar Improvement

The day count computation now uses MraSimpleTenorConverter and DayCount30on360ISDA instead of using LegacyTenorConverter and DayCountA365Fixed. This change results in almost the same duration.

Component Use Behaviour Convention
LegacyTenorConverter Tenor to Date converter Convert a tenor by using 30 days for a month and 360 days for a year. 30/360
MraSimpleTenorConverter Tenor to Date converter Convert a tenor using the exact computation. Exact
DayCountA365Fixed Date interval to days converter Convert a date interval to an exact number of days. A001
DayCount30on360ISDA Date interval to days converter Convert a date interval to a number of days by using 30 days for a month and 360 days for a year. A005

The two conventions produce almost the same result, except for the pillars represented by:

  • A number of days above 30D.
  • A number of weeks above 4W.
  • An exact date.
  • The end of month (31st is assumed to be a 30th, February end of month is assumed to be a 28th (or 29th)).

The year fraction will be interpreted as Year / Month / Day by assuming that 1M = 1/12Y such that:

  • 0.5Y=6M
  • 0.25Y=3M
  • 1.5Y=1Y6M

See Indicator: Method of Interest Computation Indicator for the convention.

This change highly impacts the Theta metric.

You can change the convention if required.

Azure data loading support

MRA supports loading data from Azure Blob storage. The azureCredentials.properties file defines the necessary credential information for connecting to an Azure Blob container.

Cubes enabling/disabling

VaR, sensitivities and PnL cubes can now be activated or disabled from the configuration file risk.properties.

Cube-level adjustments

Cube-level adjustments are now supported. The logic relies on the concept of location digest and uses a look-up in the datastore to retrieve the overriding value for a measure. The overridden measures have the “_Adjusted” suffix.

Fact-level adjustments

Overrides and roll-over are now supported.

Harrell-Davis VaR

Harrell-Davis VaR is now implemented.

New approval mechanism for approvals

The sign-off approval mechanism now uses a specific analysis hierarchy instead of the epoch hierarchy.

2.0.0

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.

Fixed Issues

none

New features

Usage of the common library

Several class are now shared with other accelerators. They are located in the file ‘shared*.jar’.

The maven dependency is :

\<dependency\>

\<artifactId\>shared\</artifactId\>

\<groupId\>com.activeviam.apps\</groupId\>

\<version\>${common-lib.version}\</version\>

\</dependency\>

The package name is : com.activeviam.accelerator.common

Sign-off profile

The **enable-signoff **Spring Profile has been added to the Market Risk Accelerator, grouping all Sign-off functionality in a single toggled configuration.

Adjustments 2.0

Interfaces have been integrated allowing interaction with the Sign-Off Module.

For details about supported adjustments, see Supported Sign-off Adjustments.

Corporate Actions

The dividends, coupons, stock splits or merge are now taken in account for PnL calculations.

For details, see Corporate Actions

New measures

Correlation

The correlation measure is a two-risk factor sensitivity that relies on a single market data. For a correlation RF1 * RF2, the market data name will be RF1/RF2. The market data separator is defined by the property correlation.risk.level.split. Apart from these specifics, it behaves like a delta metric. It can handle one maturity.

Cross-Gamma

The cross-gamma measure is a two-risk factor sensitivity that relies on two distinct market data. The PnL explain is calculated by applying the two PnL formulas PnL = f_RF2(f_RF1(crossGamma, MD_1_d, MD_1_d-1), MD_2_d, MD_2_d-1) sequentially. This measure does not handle any tenors, maturities or moneyness.

Improvements

  • Upgrade to AP5.9 : The accelerator now uses Active Pivot 5.9.x, which also means that only Java 11 is supported.
  • 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’.
  • Datastore Helper 2.0 : The Datastore Helper tool for defining and customizing the datastore schema has been upgraded to version 2.0.
  • Spring configuration : The Spring configuration templates for cube and datastore definition are in common with FRTB.

Previous releases

1.10.0

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.

New features

None

Bug fixes

  • 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.

1.9.1

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.

New features

None

Improvements

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

1.9.0

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.
  • The Accelerator doesn’t handle the real-time update on market data.

New features

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 customisable at will by the user. For details, see Market Data Retrieval Service.

Cash metric

A new metric that computes the risk linked to a foreign currency position.

Theta metric

A new metric that takes in account the time decay on the PnL.

Incremental metrics

The whole incremental metrics has been reviewed and is customizable from the property file, with new reference metrics introduced: - Compared to the top location - Compared to a specific level - Slicing on any hierarchy

For details, see risk.properties.

Active Pivot Core

Upgrade to AP 5.8.14

1.8.0

Known issues

None

New features

Product Control

Product control features were added in a new separate module which can be used if those features are required. The instructions of how to do it is in the migration notes.

Improvements

None

1.7.1

Known issues

None

New features

None

Improvements

Back-port bug fixes from MRA 1.8.0

1.7.0

Known issues

None

New features

Data Load Controller

The Data Load Controller has now been integrated into the accelerator.  It provides the ability to better manage loading (and unloading) data.  A REST service is provided, so that your data orchestration service (the process that is responsible for delivering data to the accelerator), can trigger the loading of data into ActivePivot.

The REST service will allow loading (and unloading) of topics (or groups of topics, called aliases) by scope.  Currently the scope allows the specification of an as-of date, however it can easily be customized to support, for example, desks or legal entities.  The scope helps the data load controller find the data when loading, and becomes the criteria for removing data when unloading.  For example, it is possible to load (or unload) all Delta sensitivities (the topic alias) for the as-of date 2019-08-09 (the scope).

Improvements

None

1.6.1

Known issues

None

New features

None

Improvements

Fixed weighted VaR and weighted ES computations in the case PnL vectors are loaded from the oldest to the latest date

1.6.0

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 is 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)

New features

Support for Java 8 and Java 11

Starting from version 1.6.0, the MRA is delivered in 2 versions, one that supports Java 8 and one that supports Java 11. For more details, see the Migration Notes for 1.6.0.

Taylor VaR

First version of Taylor VaR to compute VaR from market data shifts and sensitivities.

Improvements

None

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