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
4.0.0+1
2022-12-02
This is a UI-only release updating the following dependencies:
| Component | Version |
|---|---|
| ActiveUI | 5.0.18 |
| Accelerator-sdk | 5.0.13 |
| mr-sdk | 4.0.0-acc-sdk-5.0.13 |
note
No server-side changes were made. See the MR 4.0.0 release notes below for the latest server-side distribution files.
To download the MR 4.0.0+1 UI-only distribution file, click here.
Known issues
PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
4.0.0
2022-09-30
Download the distribution files here
Or, to download the distribution files individually, click the links below:
- A zip of the UI source code
- A zip of the UI build- build that does not require an installation and can be directly deployed.
- A zip of the source files that can be used to build the module.
- A zip of the Maven repository required to build the project and run the tests.
note
The ActiveViam 5.10.10 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 module.
Summary
- New accelerator architecture: The structure of the MR Accelerator has been updated to enable greater flexibility and ease of use. New modules have been created encapsulating different calculation models, such as VaR, or PnL. These modules can be used as standalone libraries or the Accelerator can still be used as a cohesive customizable project. For an overview of the modules, see Maven modules. For details on the class changes, see Classes.
- Schema selection customization: Individual store selections can be overwritten via Spring beans without needing to rewrite all store selections.
- Accelerator name changed from ‘MRA’ to ‘MR’: The application is now called ‘MR’ (Market Risk) instead of ‘MRA’ (Market Risk Accelerator) to be aligned with the naming convention of the other ActiveViam accelerators.
- MRACombinedCube renamed to MRCombinedCube To be in line with the change if name of the application, the combined cube has been renamed.
- Bookmarks updated to reflect the use of ‘MR’ instead of ‘MRA’: The ‘MRA’ folder and the ‘MRA’ server name have been replaced with ‘MR’ in the bookmarks.
- Accelerator-sdk: Upgrade to 5.0.10.
Known issues
PIVOT-5759 - Attempting to create partitions for reference stores causes a deadlock. You can find a walkthrough of the workaround here.
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 5.10.10 |
| ActiveUI | 5.0.14 |
| Data Connectors | 2.2.3 |
| Java | JDK11 |
| What-if | 1.7.0 |
| accelerator-sdk | 5.0.10 |
| Sign-Off API | 1.5.0 |
| Adjustments Services API | 1.0.0 |
Added
| Issue Key | Details |
|---|---|
| MRA-1331 | Individual store selections can now be replaced via Spring beans, without needing to rewrite all store selections. |
Changed
| Issue Key | Details |
|---|---|
| MRA-1301 | Large parts of the codebase have been moved into modules split along calculation model delimitations, allowing it to be used as either a library or a customizable accelerator. |
| MRA-1350 | Renamed MRACombinedCube to MRCombinedCube |
Removed
| Issue Key | Details |
|---|---|
| MRA-1270 | Removed currency hierarchy from the risk dimension in the following cubes: PnL, PnLSummary, VarES, VarESSummary, as it mirrored the currency hierarchy in the currency dimension. |
3.1.0
2022-08-12
Download the distribution files here
Or, to download the distribution files individually, click the links below:
- A zip of the UI source code
- A zip of the UI build- build that does not require an installation and can be directly deployed.
- A zip of the source files that can be used to build the module.
- A zip of the Maven repository required to build the project and run the tests.
note
The ActiveViam 5.10.10 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 module.
Summary
- Market Data Cube: The Market Data Cube has been added to display the market data, market shift values, and FX rate. Unlike the Sensitivities Cube that needs to have a risk factor associated to a sensitivity, the facts are directly linked to the risk factors.
- Removed Spring profiles : Replaced the custom Spring profiles used to control application modes with properties in the
application.yamlfile. - Moved cube toggling properties : Moved the cube toggling properties from the
mr.propertiesfile to theapplication.yamlfile and renamed them. - Removed DayToDayDifference, PnLStart and PnLEnd context values : Replaced with analysis hierarchies.
- Added Spring extension points for source and measure configurations: Added the option of configuring the CSV sources and also the measure chains through Spring Beans.
- Improved package structure for source and measure configurations: Cleaned up the packages and classes containing the source and measure configurations.
- Added Spring Conditions classes for @Configuration and @Bean : Added extensions of Spring Conditions classes for enabling and disabling @Configuration and @Bean instantiation based on
application.yamlproperties. - Handle multiple hierarchies and level depths higher than 1 for sign-off scopes : Until version 3.1.0, the scope of a Sign-off task could only be defined for the first level of one hierarchy. Now the scope definition can contain multiple hierarchies, and within each hierarchy, a level at a depth that can be higher than 1.
note
The hierarchies and levels that can be used in the scopes of the Sign-off task must be part of the ones defined in configuration properties. See details in signoff.properties.
- Possibility to define Sign-off DEE export templates by cube-measure pairs: On top of being defined by cube names, DEE templates used for Sign-off export can now be defined by cube name and measures.
- Upgraded to ActivePivot 5.10.10 and ActiveUI 5.0.14
- File Upload: Create or append a WhatIf scenario by uploading CSV files into the cube. For more information, see File Upload.
- Limit monitoring : Support has been added for Limits Module integration.
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.
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 5.10.10 |
| ActiveUI | 5.0.14 |
| Data Connectors | 2.2.3 |
| Java | JDK11 |
| What-if | 1.7.0 |
| accelerator-sdk | 5.0.9 |
| Sign-Off API | 1.5.0 |
| Adjustments Services API | 1.0.0 |
Added
| Issue Key | Details |
|---|---|
| MRA-642 | Migrate PnLStart and PnLEnd from context value to analysis hierarchy. |
| MRA-1224 | Customizable date location shift post-processor |
| MRA-1236 | Created MarketData cube. |
| MRA-1240 | Intermediate PnL metrics for Taylor VaR. |
| MRA-1261 | File upload widget in UI and associated code in MRA back-end. |
Changed
| Issue Key | Details |
|---|---|
| GENACL-706 | Level depths higher than 1 in a given hierarchy in the Sign-off scope definition are now supported. |
| MRA-1166 | Replaced Spring profiles with properties. |
| MRA-1235 | Context Values setup is now customizable. |
| MRA-1243 | First phase of the Accelerator redesign. Added Spring extension points for sources and measures and cleaned up the package structure of the modules. |
| MRA-1259 | Taylor VaR API changes for normalization. |
| MRA-1272 | Created a specific IF to compute Moneyness in % from ATM. |
Removed
None
Fixed
None
3.0.0
2022-02-09
note
For the full changelog of updates to version 3.0, see the Market Risk Accelerator 3.0 documentation.
To access the distribution folder, click here.
Or, to download the distribution files individually, click the links below:
- A zip of the UI source code
- A zip of the UI build- build that does not require an installation and can be directly deployed.
- A zip of the source files that can be used to build the module.
- A zip of the Maven repository required to build the project and run the tests. The ActiveViam 5.10.6 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 module.
Summary
- Summary Cubes : Cube import spring profile is replaced by a set of summary cubes that can be started along with the standard cubes.
- Level path on tenor value adjustment input : Added a level path to the vectorised sensitivity tenor value adjustment input.
- JUnit 5: All tests use JUnit5 and tests with the same Spring setup are grouped in test suites for faster spin-up.
- Harrell-Davis VaR/VaR-ES cube : Harrell-Davis VaR is available on VaR-ES cube with incremental and L estimators.
- DEE Template Orders : Added data extraction template orders to DEETemplateOrders directory
- Upgrade to Sign-off API 1.5.0 : Upgraded the Sign-off API to version 1.5.0.
- New dependency - adjustments-services module : The MRA has a dependency on the new module adjustments-services which contains the DTOs and services for handling supported types of what-if operations and a DTO for sending the what-if operation request.
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.
- Update 2022-06-07: We’ve identified a bug in the Frequent Value Compression ActivePivot feature (new since AP 5.10). MRA 3.0.0 depends on ActivePivot
5.10.6 and is therefore impacted. We strongly recommend disabling Frequent Value Compression by setting the following property when launching
ActivePivot:
-Dactiveviam.chunk.compression.enabledFrequentValue=0.The next maintenance release of MRA will include an upgrade to ActivePivot, which resolves this issue.
Dependency versions
| Component | Version |
|---|---|
| ActivePivot | 5.10.6 |
| ActiveUI | 5.0.7 |
| Data Connectors | 2.2.2 |
| Java | JDK11 |
| What-if | 1.7.0 |
| accelerator-sdk | 4.1.1 |
| Sign-Off API | 1.5.0 |
| Adjustments Services API | 1.0.0 |
Test suites
Two tests suites have been created : ScalarProfileTestSuite and StandardProfileTestSuiteto avoid the spin-up delay at the start of each test.
To prevent test run duplication, the tests that are part of a test suite are renamed as *SubTest. They are excluded from the surefire perimeter and instead included in *TestSuite.java.
A suite selects its own subtest by using the JUnit5 tagging feature (@Tag) and the *SubTest class name pattern.
The subtests can still be executed in a standalone mode.
| Scalar profile | Standard profile | |
|---|---|---|
| Suite | ScalarProfileTestSuite | StandardProfileTestSuite |
| Expected Spring profile | SP_PROFILE__SCALAR_SENSI | SP_PROFILE__STANDARD |
| Filtering Tag | Scalar | Standard |
DEETemplateOrders
Data extraction can now be performed with templates that describe the query, the extracted fields and the output file format. These templates are also used as the backbone for the sign-off data export phase which uses the templates after programmatically enriching them.
The DEETemplateOrder folder contains:
- A set of templates specifically designed for the export of data intended to be re-imported into the summary cubes.
- Sample templates you can use to build your own for direct extraction or sign-off.
For details, see Using DEE Template Orders
Added
| Issue Key | Details |
|---|---|
| MRA-1091 | Create Harrell-Davis VaR |
Changed
| Component | Version |
|---|---|
| MRA-1182 | Doubles are now used for the level comparator for buckets instead of integers to define the number of dates per time period (year, month, week) |
| MRA-1184 | The configuration of measures used for dynamic bucketing for scalar sensitivities has been fixed |
| MRA-1175 | Added a level path to the vectorised sensitivity tenor value adjustment input, in order to support automatic retrieval of the tenor from the UI. |
Removed
None
Fixed
| Issue Key | Details |
|---|---|
| MRA-806 | Real-time updates in MarketData.csv file are not taken into account |
| MRA-1152 | Add continuous query handler for cube-level adjustments post-processor |
| MRA-1165 | Cube-level adjustment post-processor contains unused properties |
| MRA-1175 | Investigate definition of fact-level adjustments for sensitivities in vector profile |
| MRA-1176 | Reference Regression tool to JUnit5 |
| MRA-1180 | Upgrade to AP5.10 |
| MRA-1182 | Level comparator for buckets uses integers instead of doubles |
| MRA-1183 | Handle swallowed exceptions during adjustment execution |
| MRA-1189 | Change Spring configuration to start summary cube in the same profile as other cubes |
| MRA-1191 | Move ReferenceCurrency to analysis hierarchy |
| MRA-1201 | Migration bookmarks UI4 to UI5 |
| MRA-1209 | Use DEE export on Sign-Off |
| MRA-1210 | Add dependency to new module adjustments-services 1.0.0 and use DTOs from that module for supported what-if operations and what-if execution requests. |
| GENACL-479 | Design integration of sign-off analysis hierarchy into common library / signoff-ext |
| GENACL-606 | Add AUI connection to backend across multiple domains |
| GENACL-641 | Implement DTOs for what-if operations |
2.1.0
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 |
2.0.0
2021-05-17
Download the distribution files here
Summary
note
MRA 2.0.0 uses ActivePivot 5.9, which requires Java 11. We therefore no longer support Java 8. Projects running on Java 8 must upgrade to Java 11.
- 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 set up 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
1.7.0
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” behavior. |
| 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 behavior 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
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
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 |
|---|---|
| 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 mr-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
1.5.0
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 mr-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 mr-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-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