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.
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
context-value.reference-currency.members EUR,USD,GBP,CHF,JPY,SEK,NOK,CAD Order of the available reference currencies in the display currency level

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

Summary cubes file loading patterns

Key Value Description
varImportFilePattern glob:**VaR-ES Cube*.csv*
pnlImportFilePattern glob:**PLCube*.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 for the VaR-ES cube.
inc.metrics.list.summary.std booking,top,trades The list of the technical names of the relative metrics created for the Var-ES summary cube on the default/full profile.
inc.metrics.list.summary.agg booking,top The list of the technical names of the relative metrics created for the Var-ES summary cube on the aggregated.
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.var.summary.cube true Enable (true) or disable (false) the Var-ES Summary cube
enable.sensi.summary.cube true Enable (true) or disable (false) the Sensi Summary cube
enable.pnl.summary.cube true Enable (true) or disable (false) the PnL Summary cube
enable.common.cube true Enable (true) or disable (false) the MRACombinedCube