Migration notes 5.1

This page explains the changes required to migrate to the stated version of the Atoti Market Risk.

Migrate to 5.1.0

Upgrading from version 5.0.0 - see Atoti Market Risk 5.1.0 Release Notes.

Headline announcement

  • DirectQuery: DirectQuery support has been implemented for the VaR/ES, Sensitivity, and PnL Cubes.

  • Removal of MarketRiskTestApplication: The MarketRiskTestApplication has been removed from the mr-application module as part of a cleanup. To start the application from an IDE, you can now simply run the MarketRiskApplication class, which remains in mr-application/src/main/java/com/activeviam/mr/application/main.

    To support this change, the reference data has been moved from mr-application/src/test/resources/data to mr-application/src/main/resources/data.

    note

    No files in the data directory are included in the mr-application JAR.

  • Upgraded to Atoti Server 6.0.5 and Atoti UI 5.1.x. Atoti Market Risk can now be used with Atoti UI version 5.1 or higher.

  • Migrated bookmarks to Atoti UI 5.1.x: Bookmarks have been upgraded to be compatible with Atoti UI 5.1.x

  • Separated the configuration of Taylor VaR measures from the configuration of PnL explain measures: the Taylor VaR measures can now be removed from the configuration in an easier way.

  • Input files: The SecondOrderLadder field has been removed from the Sensitivities files.

  • Updated bookmark configuration : Set bookmark owners to ROLE_ADMIN and readers to ROLE_USER.

  • Updated user configuration : Removed the ROLE_CS_ROOT role from all users except admin.

  • Hibernate properties change : The content of the hibernate.properties has changed and the unused Hikari properties have been replaced with Tomcat JDBC properties.

Breaking changes

  • The SecondOrderLadder field has been removed from the Sensitivities files. The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders. See Input file formats.

note

To be compatible with old file formats, you can set the configuration.data-load.format property in the application.yaml file to ‘5.0’. In this case the first non-null field is used for the ladder. However, please note that this old sensitivity format is being deprecated.

  • The datastore configuration has been changed to reflect that change in the input data. See Datastores.
  • The Hibernate properties have changed. See hibernate.properties.
  • The unused Hikari properties have been removed. Tomcat JDBC is now used.
  • Bookmarks have been migrated to Atoti UI 5.1.x. See Updated bookmarks.
  • The configuration of the Taylor VaR measures has been separated from the configuration of PnL explain measures. See Separate configuration for Taylor VaR measures.
  • The user configuration has been changed. See Updated user roles.
  • The MarketRiskTestApplication class has been removed from the mr-application module. To start the application from an IDE, you can now simply run the MarketRiskApplication class.

Input file formats

The SecondOrderLadder field has been removed from the sensitivities files:

The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders.

note

To be compatible with old file formats, you can set the configuration.data-load.format property in the application.yaml file to ‘5.0’. In this case the first non-null field is used for the ladder. However, please note that this old sensitivity format is being deprecated.

Configuration files

Files Modified

application.yaml

New properties:

Property Name Value Comment
directquery.enabled false Enable or disable DirectQuery.
directquery.withAdjustments false This property is only taken into account if the property configuration.sign-off.enable is set to true. Specify if columns handling adjustments (SOURCE and INPUT_TYPE) are present in the database used with DirectQuery. If this property is set to false, those columns are not taken from the database.
directquery.database.* DirectQuery database configuration.
configuration.data-load.format 5.1 Changing the value to a lower version enables the old sensitivity file format.

Updated properties:

Property Name Comment New Value Old Value
management.health.elasticsearch.enabled Property default value updated to prevent Actuator from connecting automatically to an Elasticsearch backend false true
hibernate.properties

Hibernate properties in this file have been renamed to prepend content-service.db. to the property name.

The Hikari connection pool properties have been replaced with Tomcat JDBC connection pool properties.

mr.properties

New properties:

Property Name Comment Value
initial-load.business-dates Date filtering: date loaded in memory (filtered out if DirectQuery). Value is empty, which means that no filtering is performed by default.

Updated properties:

Property Name Comment New Value Old Value
spring.profiles.active Remove Spring profiles related to reporting service that is no longer used. local-content default,local-content,reporting-rest,reporting-plugins,contentservice-scheduling,scheduling-plugins
contentServer.bookmarks.default-owners Updated to conform with intended bookmark permissioning. ROLE_ADMIN ROLE_USER
marketDataFilePattern Value changed to prevent the MarketDataSets.csv files from being incorrectly loaded into the MarketData store regex:^(?i).*MarketData(?<!MarketDataSets).*.csv.*$ glob:**MarketData*.csv
mr-config.properties

Updated properties:

Property Name Comment New Value Old Value
sparse.vectors.enable.for.sensistores Value changed to follow the Ladder fields modification. TradeSensitivities:Values,TradeSensitivities:Ladder TradeSensitivities:Values,TradeSensitivities:FirstOrderLadder,TradeSensitivities:SecondOrderLadder
tracing.properties

New properties:

Property Name Comment Value
spring.zipkin.enabled Enables sending spans to Zipkin if set to true false
dee.export.properties

Updated properties:

Property Name Comment New Value Old Value
data.extraction.templates.base.dir.path Path to data extraction templates dee-templates ./src/main/resources/dee-templates/

The template “mr-application/src/main/resources/dee-templates/SensiSummaryExport.json” has been updated to remove the SecondOrderLadder field.

protocol-tcp.xml and protocol-udp.xml

The version of JGroups has been added to the JGroups configuration file used for distributed cubes. If that version is not specified a warning is printed out in the logs.

Test file: mr.bookmark.properties

Updated properties:

Property Name Comment New Value Old Value
contentServer.bookmarks.default-owners Updated to conform with intended bookmark permissioning. ROLE_ADMIN ROLE_USER

Datastores

Store Old name New name Comment
TradeSensitivities FirstOrderLadder Ladder The field has been renamed as it now contains both FirstOrderLadder and SecondOrderLadder.
TradeSensitivities SecondOrderLadder Removed, the data is now in the Ladder field.

Cube schema

No changes.

Context values

No changes.

Market Data Retrieval service API

The method getRawMarketData of the classes MarketDataRetrievalService and ScalarMarketDataRetrievalService has an additional argument: boolean applyCorporate to avoid looking up the CorporateAction store if corporate actions are not applied.

The body of these two methods is modified accordingly.

DirectQuery

A new module has been added to the project: mr-directquery. It contains the code and the configuration needed to handle the loading of data with DirectQuery. See Getting Started with DirectQuery.

Configuration Annotations

Some Spring annotations have been defined to make the definition of beans easier. For details, see DirectQuery annotations.

The following classes are annotated with @OnInMemoryDatabase:

Class Description Comment
WhatIfRestServices Configuration of What-If REST services. The What-If feature is only available for in-memory data
ExtendedActivePivotWithDatastoreConfig Configuration of ActivePivot Manager with in-memory data. Needed only for in-memory data.
MraParentChildServiceConfig Configuration of selection listeners for parent-child stores. Not available with DirectQuery.
CommonLocalCsvSourceConfig Common configuration for local CSV data load. Not available with DirectQuery.
PnLLocalCsvSourceConfig Configuration for local CSV data load for PnL Cube. Not available with DirectQuery.
SensiLocalCsvSourceConfig Configuration for local CSV data load for Sensitivity Cube. Not available with DirectQuery.
VaRLocalCsvSourceConfig Configuration for local CSV data load for VaR Cube. Not available with DirectQuery.
PnLSummaryLocalCsvSourceConfig Configuration for local CSV data load for PnL Summary Cube. Not available with DirectQuery.
SensiImportLocalCsvSourceConfig Configuration for local CSV data load for Sensitivity Summary Cube. Not available with DirectQuery.
VaRSummaryLocalCsvSourceConfig Configuration for local CSV data load for VaR Summary Cube. Not available with DirectQuery.
AdjustmentLocalCsvSourceConfig Configuration for local CSV data load for adjustments digest store. Not available with DirectQuery.
MarketDataCubeAggregateProviderConfig Configuration of aggregates provider for market data Cube. Aggregates provider configuration is present in a different file for DirectQuery. See below.
PnlCubeAggregateProviderConfig Configuration of aggregates provider for PnL Cube. Aggregates provider configuration is present in a different file for DirectQuery. See below.
SensiCubeAggregateProviderConfig Configuration of aggregates provider for Sensitivity Cube. Aggregates provider configuration is present in a different file for DirectQuery. See below.
VarESCubeAggregateProviderConfig Configuration of aggregates provider for VaR Cube. Aggregates provider configuration is present in a different file for DirectQuery. See below.
InMemoryDatastoreExtractionMigratorConfig Configuration for in-memory migrator used to export data into a Database-ready format, and generate SQL statements to create the Database. Needed only as a one-off operation to create the database used with DirectQuery.

The following beans are annotated with @OnInMemoryDatabase:

Class Bean Description Comment
MarketRiskConfig JMXDatastoreEnabler Enables JMX Monitoring for the Datastore. Not available when DirectQuery is used.
InitialDataLoadConfig initialDataLoad Triggers initial load of the Data Connectors. Not available when DirectQuery is used.

The following classes are annotated with @OnDirectQueryDatabase. All these classes are new configuration classes in the application:

Class Description Comment
MRDirectQueryConfig Class that imports the configuration files needed for DirectQuery.
InitialDataDirectQueryConfig Configuration used to excluded the dates specified in the initial-load.business-dates property from the DirectQuery load. This is done to prevent these as-of-dates from being loaded in a DirectQuery data node and in an in-memory date node in the same cluster.
DQMarketDataCubeAggregateProviderConfig Configuration of aggregates provider for the Market Data Cube. By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQPnlCubeAggregateProviderConfig Configuration of aggregates provider for the PnL Cube. By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQSensiCubeAggregateProviderConfig Configuration of aggregates provider for the Sensitivity Cube. By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQVarESCubeAggregateProviderConfig Configuration of aggregates provider for the VaR Cube By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.

In addition, the following configuration classes have been added:

Class Description
MrDirectQueryNameMapper Utilities to convert local Datastore names into a format that is compatible with Snowflake.
SnowflakeSessionConfig Configuration of the Snowflake session from the Snowflake properties.
ClickHouseSessionConfig Configuration of the ClickHouse session from the ClickHouse properties (preview only).
MSSQLSessionConfig Configuration of the MSSQL session from the MSSQL properties (preview only).
DirectQueryActivePivotConfig Spring configuration of the core ActivePivot Components when DirectQuery is used.

Separate configuration for Taylor VaR measures

Up until version 5.0.0, PnL explain and Taylor VaR measures were configured in the same files, or files that were dependent on one another.

In version 5.1.0, the configuration of Sensitivity cube measures has been split into three main categories:

  • Sensitivities
  • PnL explain
  • Taylor VaR

This reorganization involved the following changes, as detailed in this section:

Configuration import changes

Modules concerned: mr-application and mr-sensi-config

Configuration import changes in module mr-application
  • In the file MarketRiskConfig, the following imports have been added:
        SensiMeasureParametersBeans.class,
        PnLExplainMeasuresConfig.class,
        SensitivityMeasuresConfig.class,
        SensitivitySummaryCubeMeasuresConfig.class,
        TaylorMeasuresConfig.class,
        SensitivitySignOffMeasuresConfig.class,
        SensitivityCubeWiringConfig.class,
  • In the MRCombinedCube class, the measures have been grouped together in sub-methods.
Configuration import changes in module mr-sensi-config
Class name Change
SensiCubeConfig Import of SensitivityCubeMeasuresConfig has been removed
SensiSummaryCubeConfig Import of SensitivitySummaryCubeMeasuresConfig has been removed.
SummaryBaseSensitivityChain The bean with qualifier @Qualifier(MARKET_DATA_COUNT + " Summary") is moved to the new class SummaryPnLExplainChain

New classes created

Modules concerned: mr-sensi-config and mr-sensi-lib

New configuration classes in module mr-sensi-config
Package Class name Description
com.activeviam.mr.sensi.measures.chains.complete.aggregate.pnlexplain AggregatePnLExplainChain Top-level measures used for PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.aggregate AggregateTaylorChain Top-level measures used for Taylor VaR explain.
com.activeviam.mr.sensi.measures.chains.complete.cash ACashPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for cash PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.cash ACashTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for cash Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor CashTaylorChain Concrete class extending ACashTaylorChain to define measures for cash Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.correlation.pnlexplain CorrelationPnLExplainChain Definition of the correlation PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.correlation ACorrelationPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for correlation PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.correlation ACorrelationTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for correlation Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.pnlexplain CrossGammaPnLExplainChain Definition of the cross gamma PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma ACrossGammaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for cross gamma PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma ACrossGammaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for cross gamma Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain DeltaPnLExplainChain Definition of the delta PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.delta ADeltaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for delta PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.delta ADeltaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for delta Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.dividend ADividendPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for dividend PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.gamma.pnlexplain GammaPnLExplainChain Definition of the gamma PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.gamma AGammaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for gamma PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.gamma AGammaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for gamma Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.theta AThetaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for theta PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vanna.pnlexplain VannaPnLExplainChain Definition of the vanna PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.vanna AVannaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for vanna PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vanna AVannaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for vanna Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.vega.pnlexplain VegaPnLExplainChain Definition of the vega PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.vega AVegaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for vega PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vega AVegaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for vega Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.volga AVolgaPnLExplainChain Abstract class extending APnLExplainChain to define the measure parameters used for volga PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.volga AVolgaTaylorChain Abstract class extending APnLExplainChain to define the measure parameters used for volga Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete BasePnLExplainChain Class extending APnLExplainChain used to define basic PnL explain measures.
com.activeviam.mr.sensi.measures.chains.complete BaseTaylorChain Class extending ATaylorChain used to define basic Taylor VaR measures.
com.activeviam.mr.sensi.measures.chains.impl ANamedPnLExplainChain Abstract class extending APnLExplainChain used to return the APnLExplainFactory class with names given in the concrete class.
com.activeviam.mr.sensi.measures.chains.impl APnLExplainChain Abstract class used to return the factory used for PnL explain measures based on the parameters given in the concrete class.
com.activeviam.mr.sensi.measures.chains.impl ATaylorChain Abstract class used to return the factory used for Taylor VaR measures based on the parameters given in the concrete class.
com.activeviam.mr.sensi.measures.chains.summary SummaryPnLExplainChain PnL explain chain for summary cubes.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain CashPnLExplainMeasuresConfig Class importing the configuration classes needed for cash PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain CorrelationPnLExplainMeasuresConfig Class importing the configuration classes needed for correlation PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain CrossGammaPnLExplainMeasuresConfig Class importing the configuration classes needed for cross gamma PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain DeltaPnLExplainMeasuresConfig Class importing the configuration classes needed for delta PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain DividendMeasuresConfig Class importing the configuration classes needed for dividend PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain GammaPnLExplainMeasuresConfig Class importing the configuration classes needed for gamma PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain ThetaPnLExplainMeasuresConfig Class importing the configuration classes needed for theta PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain VannaPnLExplainMeasuresConfig Class importing the configuration classes needed for vanna PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain VegaPnLExplainMeasuresConfig Class importing the configuration classes needed for vega PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain VolgaPnLExplainMeasuresConfig Class importing the configuration classes needed for volga PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain PnLExplainMeasuresConfig Class importing the configuration classes needed for all PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity CashSensitivityMeasuresConfig Class importing the configuration classes needed for cash sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity CorrelationSensitivityMeasuresConfig Class importing the configuration classes needed for correlation sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity CrossGammaSensitivityMeasuresConfig Class importing the configuration classes needed for cross gamma sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity DeltaSensitivityMeasuresConfig Class importing the configuration classes needed for delta sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity DividendSensitivityMeasuresConfig Class importing the configuration classes needed for dividend sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity GammaSensitivityMeasuresConfig Class importing the configuration classes needed for gamma sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity ThetaSensitivityMeasuresConfig Class importing the configuration classes needed for theta sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity VannaSensitivityMeasuresConfig Class importing the configuration classes needed for vanna sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity VegaMSensitivityeasuresConfig Class importing the configuration classes needed for vega sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity VolgaSensitivityMeasuresConfig Class importing the configuration classes needed for volga sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity SensitivityMeasuresConfig Class importing the configuration classes needed for all sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.signoff SensitivitySignOffMeasuresConfig Class defining measures used for cube-level adjustments.
com.activeviam.mr.sensi.measures.config.complete SensitivityCubeWiringConfig Class used to collect all the sensitivity measures defined in the project.
com.activeviam.mr.sensi.measures.config.complete.taylor CashTaylorMeasuresConfig Class importing the configuration classes needed for cash Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor CorrelationTaylorMeasuresConfig Class importing the configuration classes needed for correlation Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor CrossGammaTaylorMeasuresConfig Class importing the configuration classes needed for cross gamma Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor DeltaTaylorMeasuresConfig Class importing the configuration classes needed for delta Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor DividendTaylorMeasuresConfig Class importing the configuration classes needed for dividend Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor GammaTaylorMeasuresConfig Class importing the configuration classes needed for gamma Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor VannaTaylorMeasuresConfig Class importing the configuration classes needed for vega Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor VegaTaylorMeasuresConfig Class importing the configuration classes needed for vanna Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor VolgaTaylorMeasuresConfig Class importing the configuration classes needed for volga Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor TaylorCalculationConfig Class importing the classes used to configure the Taylor VaR calculation logic.
com.activeviam.mr.sensi.measures.config.complete.taylor TaylorMeasuresConfig Class importing the configuration of all Taylor VaR measures.
New classes in module mr-sensi-lib
Package Class name Description
com.activeviam.mr.sensi.calculations.measures.factory.impl.pnlexplain APnLExplainFactory Abstract class combining all PnL Explain measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.pnlexplain PnLExplainFactory Concrete class extending APnLExplain and defining common helper methods for the creation of PnL Explain measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity ASensiFactory Abstract class combining all Sensitivity measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity SensiFactory Concrete class extending ASensiFactory and defining common helper methods for the creation of Sensitivity measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl.taylor ATaylorFactory Abstract class combining all Taylor measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.taylor TaylorFactory Concrete class extending ASensiFactory and defining common helper methods for the creation of Sensitivity measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl ABucketedFactory Abstract class implementing bucket helper methods.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common IAggregateMeasures Interface for aggregated top-level measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common IBucketedMeasures Interface for measures that can be bucketed on time pillars.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common IFilteredMeasures Interface for filtering the underlying measure.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common INamedDayToDayMeasures Interface for day-to-day measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.pnlexplain IBasePnLExplainMeasures MeasureCreator objects for the creation of measures not split by sensitivity type.
com.activeviam.mr.sensi.calculations.measures.factory.intf.taylor IShiftMeasures MeasureCreator objects for the creation of market shift measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.taylor ITaylorVaRMeasures MeasureCreator objects for the creation of Taylor VaR measures, by sensitivity and aggregated.

Files renamed

Classes renamed in module mr-sensi-config
Package Class in version 5.1.0 Class in version 5.0.0
com.activeviam.mr.sensi.measures.chains.complete.cash ACashSensitivityChain ACashChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.vae CashTaylorVAEContextualChain CashPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.etg CashTaylorETGFixedConfidenceChain CashPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.vae CashTaylorVAEFixedConfidenceChain CashPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.var CashTaylorVaRContextualChain CashPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.var CashTaylorVaRFixedConfidenceChain CashPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvae CashTaylorWVAEContextualChain CashPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvae CashTaylorWVAEFixedConfidenceChain CashPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvar CashTaylorWVARContextualChain CashPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvar CashTaylorWVARFixedConfidenceChain CashPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation ACorrelationSensitivityChain ACorrelationChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.es CorrelationTaylorESContextualChain CorrelationPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.es CorrelationTaylorESFixedConfidenceChain CorrelationPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.etg CorrelationTaylorETGContextualChain CorrelationPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.etg CorrelationTaylorETGFixedConfidenceChain CorrelationPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.vae CorrelationTaylorVAEContextualChain CorrelationPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.vae CorrelationTaylorVAEFixedConfidenceChain CorrelationPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.var CorrelationTaylorVaRContextualChain CorrelationPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.var CorrelationTaylorVaRFixedConfidenceChain CorrelationPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvae CorrelationTaylorWVAEContextualChain CorrelationPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvae CorrelationTaylorWVAEFixedConfidenceChain CorrelationPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvar CorrelationTaylorWVARContextualChain CorrelationPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvar CorrelationTaylorWVARFixedConfidenceChain CorrelationPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma ACrossGammaSensitivityChain ACrossGammaChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.es CrossGammaTaylorESContextualChain CrossGammaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.es CrossGammaTaylorESFixedConfidenceChain CrossGammaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.etg CrossGammaTaylorETGContextualChain CrossGammaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.etg CrossGammaTaylorETGFixedConfidenceChain CrossGammaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.vae CrossGammaTaylorVAEContextualChain CrossGammaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.vae CrossGammaTaylorVAEFixedConfidenceChain CrossGammaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.var CrossGammaTaylorVaRContextualChain CrossGammaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.var CrossGammaTaylorVaRFixedConfidenceChain CrossGammaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvae CrossGammaTaylorWVAEContextualChain CrossGammaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvae CrossGammaTaylorWVAEFixedConfidenceChain CrossGammaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvar CrossGammaTaylorWVARContextualChain CrossGammaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvar CrossGammaTaylorWVARFixedConfidenceChain CrossGammaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta ADeltaSensitivityChain ADeltaChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain DeltaCurrentDateMarketDataChain DeltaCurrentDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain DeltaNextDateMarketDataChain DeltaNextDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain DeltaPreviousDateMarketDataChain DeltaPreviousDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity DeltaDayToDayChain DeltaDayToDayChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity DeltaLadderExpansionChain DeltaLadderExpansionChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity DeltaNativeCurrencyChain DeltaNativeCurrencyChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity DeltaSensitivityChain DeltaSensitivityChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor DeltaShiftViewerChain DeltaShiftViewerChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor DeltaTaylorChain DeltaPnLExplainTaylorCommonChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.es DeltaTaylorESContextualChain DeltaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.es DeltaTaylorESFixedConfidenceChain DeltaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.etg DeltaTaylorETGContextualChain DeltaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.etg DeltaTaylorETGFixedConfidenceChain DeltaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.vae DeltaTaylorVAEContextualChain DeltaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.vae DeltaTaylorVAEFixedConfidenceChain DeltaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.var DeltaTaylorVaRContextualChain DeltaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.var DeltaTaylorVaRFixedConfidenceChain DeltaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvae DeltaTaylorWVAEContextualChain DeltaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvae DeltaTaylorWVAEFixedConfidenceChain DeltaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvar DeltaTaylorWVARContextualChain DeltaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvar DeltaTaylorWVARFixedConfidenceChain DeltaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.dividend ADividendSensitivityChain ADividendChain
com.activeviam.mr.sensi.measures.chains.complete.gamma AGammaSensitivityChain AGammaChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor GammaTaylorChain GammaPnLExplainTaylorCommonChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.es GammaTaylorESContextualChain GammaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.es GammaTaylorESFixedConfidenceChain GammaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.etg GammaTaylorETGContextualChain GammaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.etg GammaTaylorETGFixedConfidenceChain GammaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.vae GammaTaylorVAEContextualChain GammaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.vae GammaTaylorVAEFixedConfidenceChain GammaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.var GammaTaylorVaRContextualChain GammaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.var GammaTaylorVaRFixedConfidenceChain GammaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvae GammaTaylorWVAEContextualChain GammaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvae GammaTaylorWVAEFixedConfidenceChain GammaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvar GammaTaylorWVARContextualChain GammaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvar GammaTaylorWVARFixedConfidenceChain GammaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.theta AThetaSensitivityChain AThetaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna AVannaSensitivityChain AVannaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.es VannaTaylorESContextualChain VannaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.es VannaTaylorESFixedConfidenceChain VannaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.etg VannaTaylorETGContextualChain VannaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.etg VannaTaylorETGFixedConfidenceChain VannaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.vae VannaTaylorVAEContextualChain VannaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.vae VannaTaylorVAEFixedConfidenceChain VannaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.var VannaTaylorVaRContextualChain VannaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.var VannaTaylorVaRFixedConfidenceChain VannaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvae VannaTaylorWVAEContextualChain VannaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvae VannaTaylorWVAEFixedConfidenceChain VannaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvar VannaTaylorWVARContextualChain VannaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvar VannaTaylorWVARFixedConfidenceChain VannaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega AVegaSensitivityChain VegaChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.es VegaTaylorESContextualChain VegaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.es VegaTaylorESFixedConfidenceChain VegaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.etg VegaTaylorETGContextualChain VegaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.etg VegaTaylorETGFixedConfidenceChain VegaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.vae VegaTaylorVAEContextualChain VegaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.vae VegaTaylorVAEFixedConfidenceChain VegaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.var VegaTaylorVaRContextualChain VegaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.var VegaTaylorVaRFixedConfidenceChain VegaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvae VegaTaylorWVAEContextualChain VegaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvae VegaTaylorWVAEFixedConfidenceChain VegaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvar VegaTaylorWVARContextualChain VegaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvar VegaTaylorWVARFixedConfidenceChain VegaPnLExplainTaylorWVARFixedConfidenceChain

Changes in packages and class extensions

As a consequence of the renaming, some classes extend different abstract classes, and some packages were split into separate packages for PnL explain and Taylor VaR.

Modules concerned: mr-sensi-config and mr-sensi-lib

Changes in packages and class extensions in module mr-sensi-config
Package in version 5.1.0 Package in version 5.0.0 Class extended in version 5.1.0 Class extended in version 5.0.0
com.activeviam.mr.sensi.measures.chains.complete.aggregate.taylor Same ATaylorChain ASensitivityChain
com.activeviam.mr.sensi.measures.chains.complete.cash.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.cash ACashPnLExplainChain ACashChain
com.activeviam.mr.sensi.measures.chains.complete.cash.sensitivity com.activeviam.mr.sensi.measures.chains.complete.cash ACashSensitivityChain ACashChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor Same ACashTaylorChain ACashChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.correlation ATaylorChain ACorrelationChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.sensitivity com.activeviam.mr.sensi.measures.chains.complete.correlation ACorrelationPnLExplainChain ACorrelationChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor Same ACorrelationTaylorChain ACorrelationChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.crossgamma ACrossGammaPnLExplainChain ACrossGammaChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.sensitivity com.activeviam.mr.sensi.measures.chains.complete.crossgamma ACrossGammaSensitivityChain ACrossGammaChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor Same ACrossGammaTaylorChain ACrossGammaChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.delta ADeltaPnLExplainChain ADeltaChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity com.activeviam.mr.sensi.measures.chains.complete.delta ADeltaSensitivityChain ADeltaChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor Same ADeltaTaylorChain ADeltaChain
com.activeviam.mr.sensi.measures.chains.complete.dividend.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.dividend ADividendPnLExplainChain ADividendChain
com.activeviam.mr.sensi.measures.chains.complete.dividend.sensitivity com.activeviam.mr.sensi.measures.chains.complete.dividend ADividendSensitivityChain ADividendChain
com.activeviam.mr.sensi.measures.chains.complete.dividend.taylor Same ADeltaTaylorChain ADividendChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.dividend AGammaPnLExplainChain AGammaChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.sensitivity com.activeviam.mr.sensi.measures.chains.complete.dividend AGammaSensitivityChain AGammaChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor Same AGammaTaylorChain AGammaChain
com.activeviam.mr.sensi.measures.chains.complete.theta.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.theta AThetaPnLExplainChain AThetaChain
com.activeviam.mr.sensi.measures.chains.complete.theta.sensitivity com.activeviam.mr.sensi.measures.chains.complete.theta AThetaSensitivityChain AThetaChain
com.activeviam.mr.sensi.measures.chains.complete.theta.taylor Same AThetaTaylorChain AThetaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.vanna AVannaPnLExplainChain AVannaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.sensitivity com.activeviam.mr.sensi.measures.chains.complete.vanna AVannaSensitivityChain AVannaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor Same AVannaTaylorChain AVannaChain
com.activeviam.mr.sensi.measures.chains.complete.vega.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.vega AVegaPnLExplainChain AVegaChain
com.activeviam.mr.sensi.measures.chains.complete.vega.sensitivity com.activeviam.mr.sensi.measures.chains.complete.vega AVegaSensitivityChain AVegaChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor Same AVegaTaylorChain AVegaChain
com.activeviam.mr.sensi.measures.chains.complete.volga.pnlexplain com.activeviam.mr.sensi.measures.chains.complete.volga AVolgaPnLExplainChain AVolgaChain
com.activeviam.mr.sensi.measures.chains.complete.volga.sensitivity com.activeviam.mr.sensi.measures.chains.complete.volga AVolgaSensitivityChain AVolgaChain
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor Same AVolgaTaylorChain AVolgaChain

Market Data Retrieval service API

The method getRawMarketData of the classes MarketDataRetrievalService and ScalarMarketDataRetrievalService has an additional argument: boolean applyCorporate to avoid looking up the CorporateAction store if corporate actions are not applied. The body of these two methods is modified accordingly.

Classes moved to a different package in the module mr-sensi-lib
Class name Package in version 5.1.0 Package in version 5.0.0
ISensitivityMarketDataMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.pnlexplain com.activeviam.mr.sensi.calculations.measures.factory.intf
IBaseMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf
IDayToDayMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf
ILadderExpansionMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf
INativeCurrencyMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf
ISensitivityMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf
ISplitMeasures com.activeviam.mr.sensi.calculations.measures.factory.intf.sensitivity com.activeviam.mr.sensi.calculations.measures.factory.intf

Files deleted and replaced by new files

Modules concerned: mr-sensi-config and mr-sensi-lib

In module mr-sensi-config
Deleted Class Replaced by
CashMeasuresConfig CashSensitivityMeasuresConfig, CashPnLExplainMeasuresConfig and CashTaylorMeasuresConfig
CorrelationMeasuresConfig CorrelationSensitivityMeasuresConfig, CorrelationPnLExplainMeasuresConfig and CorrelationTaylorMeasuresConfig
CrossGammaMeasuresConfig CrossGammaSensitivityMeasuresConfig, CrossGammaPnLExplainMeasuresConfig and CrossGammaTaylorMeasuresConfig
DeltaMeasuresConfig DeltaSensitivityMeasuresConfig, DeltaPnLExplainMeasuresConfig and DeltaTaylorMeasuresConfig
DividendMeasuresConfig DividendSensitivityMeasuresConfig and DividendPnLExplainMeasuresConfig
GammaMeasuresConfig GammaSensitivityMeasuresConfig, GammaPnLExplainMeasuresConfig and GammaTaylorMeasuresConfig
SensitivityCubeMeasuresConfig SensitivityCubeWiringConfig
TaylorMeasuresConfig (in package com.activeviam.mr.sensi.measures.config.complete) com.activeviam.mr.sensi.measures.config.complete.taylor.TaylorMeasuresConfig
ThetaMeasuresConfig ThetaSensitivityMeasuresConfig and ThetaPnLExplainMeasuresConfig
VannaMeasuresConfig VannaSensitivityMeasuresConfig, VannaPnLExplainMeasuresConfig and VannaTaylorMeasuresConfig
VegaMeasuresConfig CrossGammaSensitivityMeasuresConfig, CrossGammaPnLExplainMeasuresConfig and CrossGammaTaylorMeasuresConfig
VolgaMeasuresConfig VolgaSensitivityMeasuresConfig, VolgaPnLExplainMeasuresConfig and VolgaTaylorMeasuresConfig
AggregateSensitivityChain AggregatePnLExplainChain and AggregateTaylorChain
CashPnLExplainTaylorCommonChain CashTaylorChain and CashPnLExplainChain
CorrelationPnLExplainTaylorCommonChain CorrelationTaylorChain and CorrelationPnLExplainChain
CrossGammaPnLExplainTaylorCommonChain CrossGammaTaylorChain and CrossGammaPnLExplainChain
DeltaPnLExplainTaylorCommonChain DeltaPnLExplainChain and DeltaTaylorChain
GammaPnLExplainTaylorCommonChain GammaPnLExplainChain and GammaTaylorChain
ThetaPnLExplainTaylorVaRChain ThetaPnLExplainChain
VannaPnLExplainTaylorCommonChain VannaTaylorChain and VannaPnLExplainChain
VegaPnLExplainTaylorCommonChain VegaTaylorChain and VegaPnLExplainChain
In module mr-sensi-lib
Deleted Class Replaced by
ASensiFactory (in package com.activeviam.mr.sensi.calculations.measures.factory.impl) ATaylorFactory and APnLExplainFactory and com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity.ASensiFactory
SensiFactory (in package com.activeviam.mr.sensi.calculations.measures.factory.impl) TaylorFactory and PnLExplainFactory and com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity.SensiFactory
IPnLExplainTaylorVaRMeasures IPnLExplainMeasures and ITaylorVaRMeasures

What-if Configuration

The instance of IDatabaseSimulationsSecurityManager is injected in the arguments of the bean DatabaseSimulationsWorkflow instead of being invoked in the bean creation code.

Updated bookmarks

The bookmark permissions have been updated to better conform to our intended usage. All shipped bookmarks are now owned by ROLE_ADMIN, with no changes being permitted by any other users. ROLE_USER is the reader role, allowing all bookmarks to be viewed by any user. The bookmarks have also been upgraded to Atoti UI 5.1. See more details about the upgrade from Atoti UI 5.0 to Atoti 5.1 here: Migrate from Atoti UI 5.0 to 5.1

Updated user roles

All users except admin have had the ROLE_CS_ROOT role removed, as it bypasses all restrictions. Any permissions (default or specific) are now respected.

PropertySourcesPlaceholderConfigurer Bean

Two distinct PropertySourcesPlaceholderConfigurer beans were defined in the MarketRiskConfig class, which is not allowed by Spring Boot. Only one PropertySourcesPlaceholderConfigurer bean is now defined in the MarketRiskConfig class.