Migration notes 2.1.0
This page explains the changes required to migrate to the stated version of the Market Risk Accelerator.
Migrate to 2.1.0
Upgrading from version 2.0.0 - see Market Risk Accelerator 2.1.0 Release Notes.
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The Accelerator uses ActivePivot 5.9.6 and ActiveUI 4.3.17. For new features and fixes included in these releases, please see the ActiveUIdocumentation and ActiveUI Migration Notes, and the release notes for ActivePivot.
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For clients licensed to use ActiveMonitor, a skeleton module based on version 5.9.6 is included with the Market Risk Accelerator 2.1.0 release.
Headline announcement
- New dimension for sign-off features : A Sign-off dimension containing two hierarchies - one for the sign-off status, one for handling adjustments
- Day count computation: The day count computation is now calculated differently. See the Calendar Improvement feature on the What’s New page for details.
Input file formats
Added
| File | Details |
|---|---|
| cube-adjustments.csv | Contains data representing the definition of cube-level adjustments. This file is generated when data is exported after the sign-off process for a sign-off process instance is completed. |
Configuration files
Files Added
None
Files Modified
signoff.properties
New properties:
| Property Name | Value | Comment |
|---|---|---|
| sign-off.level.members | INTRA-DAY,TOTAL REVIEWABLE,UNAPPROVED | The level member names for live, snapshot and unapproved task status |
| sign-off.var.levels | AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking | List of the levels eligible for filtering in the sign-off task definition for the Var-ES Cube |
| sign-off.sensi.levels | AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking | List of the levels eligible for filtering in the sign-off task definition for the Sensitivity Cube |
| sign-off.pnl.levels | AsOfDate@Date@Dates,Book@Books@Booking,Desk@Desks@Booking | List of the levels eligible for filtering in the sign-off task definition for the PnL Cube |
| sign-off.adjustments.cube.adjustableMeasures.VaR-ES\u0020Cube | ES,VaR | List of measures eligible for cube-level adjustment in the VaR-Es Cube |
| sign-off.adjustments.cube.adjustableMeasures.Sensitivity\u0020Cube | Delta,Gamma,Vega | List of measures eligible for cube-level adjustment in the Sensitivity Cube |
| sign-off.adjustments.cube.adjustableMeasures.PLCube | DTD PnL | List of measures eligible for cube-level adjustment in the PLCube |
| sign-off.adjustments.cube.asOfDateLevel.VaR-ES\u0020Cube | AsOfDate@Date@Dates | The asOfDate level, used by the cube-level adjustment in the VaR-Es Cube |
| sign-off.adjustments.cube.asOfDateLevel.Sensitivity\u0020Cube | AsOfDate@Date@Dates | The asOfDate level, used by the cube-level adjustment in the Sensitivity Cube |
| sign-off.adjustments.cube.asOfDateLevel.PLCube | AsOfDate@Date@Dates | The asOfDate level, used by the cube-level adjustment in the PL Cube |
| sign-off.adjustments.cube.hierarchiesToExclude.VaR-ES\u0020Cube | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk | The hierarchies that are not part of the cube-level adjustment location in the VaR-ES Cube |
| sign-off.adjustments.cube.hierarchiesToExclude.Sensitivity\u0020Cube | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off | The hierarchies that are not part of the cube-level adjustment location in the Sensitivity Cube |
| sign-off.adjustments.cube.hierarchiesToExclude.PLCube | Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL | The hierarchies that are not part of the cube-level adjustment location in the PnL Cube |
| sign-off.adjustments.cube.marketDataSetLevel.VaR-ES\u0020Cube | MarketDataSet@MarketDataSets@MarketData | The market data set level, used by the cube-level adjustment to handle the FX rate in the VaR-Es Cube |
| sign-off.adjustments.cube.marketDataSetLevel.Sensitivity\u0020Cube | MarketDataSet@MarketDataSets@MarketData | The market data set level, used by the cube-level adjustment to handle the FX rate in the Sensitivity Cube |
| sign-off.adjustments.cube.marketDataSetLevel.PLCube | MarketDataSet@MarketDataSets@MarketData | The market data set level, used by the cube-level adjustment to handle the FX rate in the PL Cube |
| sign-off.adjustments.cube.signOffFeedLevel.VaR-ES\u0020Cube | Feed@Sign-off Status@Sign-off | The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the Var-Es Cube |
| sign-off.adjustments.cube.signOffFeedLevel.Sensitivity\u0020Cube | Feed@Sign-off Status@Sign-off | The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the Sensitivity Cube |
| sign-off.adjustments.cube.signOffFeedLevel.PLCube | Feed@Sign-off Status@Sign-off | The path of the first level of the sign-off analysis hierarchy. It contains the first two members defined by sign-off.level.members. This is used to set up the hierarchy in the PL Cube |
| sign-off.adjustments.cube.signOffStatusLevel.VaR-ES\u0020Cube | Status@Sign-off Status@Sign-off | The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the Var-Es Cube |
| sign-off.adjustments.cube.signOffStatusLevel.Sensitivity\u0020Cube | Status@Sign-off Status@Sign-off | The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube |
| sign-off.adjustments.cube.signOffStatusLevel.PLCube | Status@Sign-off Status@Sign-off | The path of the second level of the sign-off analysis hierarchy. It will contains the last member defined by sign-off.level.members, and other status coming from the sign-off. This is used to set up the hierarchy in the PL Cube |
| sign-off.adjustments.cube.signOffTaskLevel.VaR-ES\u0020Cube | Task@Sign-off Status@Sign-off | The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the Var-Es Cube |
| sign-off.adjustments.cube.signOffTaskLevel.Sensitivity\u0020Cube | Task@Sign-off Status@Sign-off | The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the Sensitivity Cube |
| sign-off.adjustments.cube.signOffTaskLevel.PLCube | Task@Sign-off Status@Sign-off | The path of the third level of the sign-off analysis hierarchy. It will contains the task IDs coming from the sign-off. This is used to set up the hierarchy in the PL Cube |
| sign-off.adjustments.cube.signOffAdjustmentSourceLevel.VaR-ES\u0020Cube | Source@Adjustment@Sign-off | The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the VaR-Es Cube |
| sign-off.adjustments.cube.signOffAdjustmentSourceLevel.Sensitivity\u0020Cube | Source@Adjustment@Sign-off | The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the Sensitivity Cube |
| sign-off.adjustments.cube.signOffAdjustmentSourceLevel.PLCube | Source@Adjustment@Sign-off | The path of the first level of the adjustment hierarchy. This is used to set up the hierarchy in the PL Cube |
Datastores
Added stores
| Store | Details |
|---|---|
| SignOffDigestStore | Contains the definition of cube-level adjustments. |
Cube schema
Added
| Cube | Dimension | Hierarchy | Levels | Datastore fields | Details |
|---|---|---|---|---|---|
| VaR-ES Cube | Sign-off | Sign-off Status | Feed, Status, Task | Analysis hierarchy | Used to handle the status of the sign-off tasks |
| VaR-ES Cube | Sign-off | Adjustment | Source, Input type | Source, Input type | Used to distinguish between unadjusted and adjusted facts |
| Sensitivity Cube | Sign-off | Sign-off Status | Feed, Status, Task | Analysis hierarchy | Used to handle the status of the sign-off tasks |
| Sensitivity Cube | Sign-off | Adjustment | Source, Input type | Source, Input type | Used to distinguish between unadjusted and adjusted facts |
| PLCube | Sign-off | Sign-off Status | Feed, Status, Task | Analysis hierarchy | Used to handle the status of the sign-off tasks |
| PLCube | Sign-off | Adjustment | Source, Input type | Source, Input type | Used to distinguish between unadjusted and adjusted facts |
Measures
Added
| Cube | Measure | Details |
|---|---|---|
| Sensitivity Cube | \Taylor HD VaR> | Harrell-Davis Taylor VaR, the Harrell-Davis quantile estimator applied on the Taylor VaR |