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For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Atoti Market Risk Migration Notes.

5.0.0

2023-04-17

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Summary

  • Atoti Server version Upgraded to 6.0.3.
  • MR-UI: Enhanced the MR-UI to be compatible with versions 4.1.0 and 5.0.0 of the MR server.
  • What-If: Upgrade to 2.0.0-AS6.0, which includes a top-to-bottom redesign of the What-If API. For more information, see the Migration notes and the What-If Documentation
  • Accelerator-sdk: Upgraded to 5.0.19.
  • VAR FX Computation: Change to the way FX conversion is computed for PnL values in the VaR-ES cube.
  • Taylor VaR enhancements:
    • You can now use market shift data from a different date to the asOfDate for the calculation of Taylor measures.
    • New measures display minimum, maximum and average values of market shift vectors, and the value at a user-specified percentile of the vector.
  • Bookmarks: New sets of bookmarks have been added:
    • How It Works bookmarks show interim steps to help you understand calculations and input data, and find useful measures.
    • Daily Jobs bookmarks illustrate demo stories.
    • Additional Story-Telling Target Views bookmarks to compliment the other two sets.
  • Data: The dataset has been updated:
    • Dataset moved 5 years forward (from 2018 to 2023) for AsOfDate, maturities, trade dates, any dates.
    • Full revaluation VaR is aligned with Taylor VaR.
    • Full revaluation PnL is close to PnL Explain.
    • Market data shifts are regenerated so that T-1 vector and T1 vector contain the same values except 1 value.
    • Risk factors are consistent between Taylor VaR and Full revaluation VaR.
    • Taylor VaR market data adjusted.
    • Market data anomaly to support backtesting exception story.
    • Commodity risk factor shocks.
  • TradeKey field has been introduced for Summary data.
  • Tests moved for a lighter application zip : Application tests have been moved to their own module, and the application is now shipped on its own as a zip file.
  • Configuration modules delivered as a separate zip: The configuration module sources have been added as a second zip file, without tests.
  • Terminology change in documentation.

Known issues

Issue Key Details
PIVOT-7078 The pre-aggregation of IVectors is slower than on previous versions. This might partially be related to PIVOT-6769, as the execution of distinct queries requires more memory resources than previously.
PIVOT-6796 Executing distinct queries is slow on stores with a large number of entries.
The distinct query retrieves all distinct values for a field or a field combination from a record list. The execution of these queries is slower in Atoti Server 6.0 than in previous versions. This can impact the application loading time and the execution time of queries that require a distinct query, like PnL Explain calculations.

Dependency versions

Component Version
Accelerator-sdk 5.0.19
Adjustments Services API 2.2.0
Atoti Server 6.0.3
Atoti UI 5.0.22
Data Connectors 4.0.1-AP6.0
Java JDK11
Sign-Off API 2.1.0
What-If 2.0.0-AS6.0

Added

Issue Key Details
UIACL-209 Added compatibility with version 5.0.0 of the Market Risk server.
MRA-1406 For Taylor measures, you can now use market shift data from a different date to the asOfDate. This is specified by the MarketShiftDate hierarchy.
MRA-1407 New measures are available in the Sensi, Sensi Summary, and Market Data cubes that provide statistical insight into market shift vectors. A full list of these measures is available in the migration notes

Changed

Issue Key Details
MRA-1359 Introduced the TradeKey field for summary data.
MRA-1390 Changed the way FX conversion is computed for PnL values in the VaR-ES cube. For the details of the calculation, see FX Effect on VaR.
MRA-1391 Upgraded to Atoti Server 6.0.3.
MRA-1423 Cached SensitivityType in the InputSelector class
MRA-1428 Tests of the mr-application module have been moved to the new mr-application-tests module.
MRA-1429 Distribution now consist of a zip of the application itself and the sources as jars.
MRA-1437 Migrated What-If implementations to 2.0.
MRA-1450 Removed dependencies to Atoti Limits.

Removed

Issue Key Details
MRA-1450 Removed dependencies to Atoti Limits.

4.1.0

2022-12-13

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Summary

  • Implementation of additional Taylor measures : Many of the VaR and similar measures that are available in the VaR-ES cube are now available in the Sensitivities Cube. These measures are derived from PnL vectors created with a Taylor expansion of sensitivities and market data.
    • For each combination of sensitivity - Cash, Correlation, CrossGamma, Delta, Gamma, Vanna, Vega, and Aggregate - and measure type - Expected Shortfall (ES), Expected Tail Gain (ETG), Value at Earnings (VaE), Value at Risk (VaR), Weighted Value at Earnings (WVaE), Weighted Value at Risk (WVaR) - the following measures are available:
      • Basic measure
      • Measure from the previous day
      • Day-to-day difference of the measure
      • Day-to-day difference of the measure expressed as a percentage
      • LEstimated version of the measure
    • For each of these measures, there is a version for which the confidence is controlled with a context value. There are also versions that use a fixed confidence. These fixed confidences are set by the confidence.levels application property.
    • The Sensitivies Cube now also has a Tail VaR measure (VaR with 100% confidence) and a Tail VaE measure (VaE with 100% confidence).
  • Removal of IGreekDescription interface: Removed IGreekDescription interface and replaced it with source- and hierarchy-specific configuration.

Known issues

PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Dependency versions

Component Version
ActivePivot 5.10.12
ActiveUI 5.0.18
Data Connectors 2.2.3
Java JDK11
What-if 1.7.0
accelerator-sdk 5.0.14
Sign-Off API 1.5.0
Adjustments Services API 1.0.0

Added

Issue Key Details
MRA-1364 Many VaR and similar measures are now available in the Sensitivities cube, dervied from sensitivities data.

Changed

Issue Key Details
MRA-1338 Removed IGreekDescription interface and replaced it with source- and hierarchy-specific configuration.
MRA-1339 Moved a number of Spring configuration classes to the mr-common-config module. The beans created by these modules can be replaced with relevant @Qualifier beans. See the migration notes for details on the classes and beans.

Fixed

Issue Key Details
MRA-1386 Fixed broken widget in the MR/01 - VaR-ES/03 - VaR Explain Dashboard bookmark, by migrating from a removed context value to the DayToDay analysis hierarchy.

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-579 - Attempting to create partitions for reference stores causes a deadlock.

4.0.0

2022-09-30

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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-579 - Attempting to create partitions for reference stores causes a deadlock.

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

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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.yaml file.
  • Moved cube toggling properties : Moved the cube toggling properties from the mr.properties file to the application.yaml file 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.yaml properties.
  • 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-579 - Attempting to create partitions for reference stores causes a deadlock.

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 Atoti Market Risk 3.0 documentation.

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

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-579 - Attempting to create partitions for reference stores causes a deadlock.
  • 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-579 - Attempting to create partitions for reference stores causes a deadlock.
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

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-579 - Attempting to create partitions for reference stores causes a deadlock.

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

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-579 - Attempting to create partitions for reference stores causes a deadlock.
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

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-579 - Attempting to create partitions for reference stores causes a deadlock.
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

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-579 - Attempting to create partitions for reference stores causes a deadlock.
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

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.

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

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

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

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

1.5.1

2019-11-06

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.
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

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

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://activeviam.atlassian.net/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

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