Market Risk Libraries

The Market Risk Libraries are a set of Maven modules containing calculations, services, and cube-related configuration, as follows:

Module Packages Contents
mr-common-lib com.activeviam.mr.common.calculations Postprocessors, measure factories, and calculation implementation details common across models.
com.activeviam.mr.common.constants Constants used across all modules.
com.activeviam.mr.common.services Services common across models.
mr-common-config com.activeviam.mr.common.config Model-agnostic configuration used in the MR application.
com.activeviam.mr.common.cube Cube-related configuration for all cubes.
com.activeviam.mr.common.datastore Datastore-related configuration for all cubes.
com.activeviam.mr.common.measures Measure-related configuration for all cubes.
com.activeviam.mr.common.sources Source-related configuration for all cubes.
mr-sensi-lib com.activeviam.mr.sensi.calculations Postprocessors, measure factories, and calculation implementation details for the Sensitivity model.
com.activeviam.mr.sensi.services Services for the Sensitivity model.
mr-sensi-config com.activeviam.mr.sensi.config Sensitivity-specific configuration used in the MR application.
com.activeviam.mr.sensi.cube Cube-related configuration for the Sensitivity cube.
com.activeviam.mr.sensi.datastore Datastore-related configuration for the Sensitivity cube.
com.activeviam.mr.sensi.measures Measure-related configuration for the Sensitivity cube.
com.activeviam.mr.sensi.sources Source-related configuration for the Sensitivity cube.
mr-market-data-lib com.activeviam.mr.marketdata.calculations Postprocessors, measure factories, and calculation implementation details for Market Data.
mr-market-data-config com.activeviam.mr.marketdata.cube Cube-related configuration for the Market Data cube.
com.activeviam.mr.marketdata.datastore Datastore-related configuration for the Market Data cube.
com.activeviam.mr.marketdata.measures Measure-related configuration for the Market Data cube.
mr-pnl-lib com.activeviam.mr.pnl.calculations Postprocessors, measure factories, and calculation implementation details for the PnL model.
mr-pnl-config com.activeviam.mr.pnl.cube Cube-related configuration for the PnL cube.
com.activeviam.mr.pnl.datastore Datastore-related configuration for the PnL cube.
com.activeviam.mr.pnl.measures Measure-related configuration for the PnL cube.
com.activeviam.mr.pnl.sources Source-related configuration for the PnL cube.
mr-product-control-config com.activeviam.mr.productcontrol.datastore Datastore-related configuration for product control features on the PnL cube.
com.activeviam.mr.productcontrol.measures Measure-related configuration for product control features on the PnL cube.
mr-var-lib com.activeviam.mr.var.calculations Postprocessors, measure factories, and calculation implementation details for the VaR model.
mr-var-config com.activeviam.mr.var.config VaR-specific configuration used in the MR application.
com.activeviam.mr.var.cube Cube-related configuration for the VaR-ES cube.
com.activeviam.mr.var.datastore Datastore-related configuration for the VaR-ES cube.
com.activeviam.mr.var.measures Measure-related configuration for the VaR-ES cube.
com.activeviam.mr.var.sources Source-related configuration for the VaR-ES cube.
mr-combined-lib com.activeviam.mr.combined.calculations Postprocessors for combined calculations across all other cubes.
mr-combined-config com.activeviam.mr.combined.cube Cube-related configuration for the MRCombined cube.

While we don’t expect clients to change the code in the *-lib modules, the source code is part of the distribution. The *-config modules are intended to be customized through custom Spring Beans.