Migration notes 5.2

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

Migrate to 5.2.3

Headline announcement

• Atoti Server version: Upgraded to 6.0.9.
• Common library: Upgraded to 1.13.7-AS6.0 to be compatible with Atoti Server 6.0.9.

Upgrade to Atoti Server 6.0.9

The solution has been upgraded to Atoti Server 6.0.9. No migration steps are required.

Common library upgrade

The common library has been upgraded to 1.13.7-AS6.0 for compatibility with Atoti Server 6.0.9. No migration steps are required.

Migrate to 5.2.2

Headline announcement

• Atoti Server version Upgraded to 6.0.8.
• Common Parent POM : The Common Parent POM has been upgraded to 1.2.0
• Common Dependencies BOM : The Common Dependencies BOM has been upgraded to 1.2.0
• Solutions Tools BOM : The Solutions Tools BOM has been upgraded to 1.3-AS6.0
• Volga Taylor VaR measures: Volga Taylor VaR measures have been added to the Solution.
• Statistical measures for interpolated market shift measures: The minimum, maximum, average, and percentile measures have been added for interpolated market shift measures.
• PnL Explain and Taylor VaR: The ladder computation has been fixed by replacing PnL = PnL(Ladder(shift), sensi) with PnL = Ladder(PnL(shift), shift).
• IPnLExplainFormulaProvider consistency cleanup: The new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProviderto transform market data into a shift. See IPnLExplainFormulaProvider consistency cleanup.
• Removal of ActivePivotRemotingServicesConfig: The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.
• Made ladder-based sensitivity measures optional: Ladder-based sensitivity measures can now be excluded from the configuration. If the configuration classes are excluded, no visible measures will be present in the cube. If the Solution is configured to use ladders as an input to PnL Explain and Taylor VaR calculations, the result will be NaN.

Upgrade to Common Parent POM 1.2.0, Common Dependencies BOM 1.2.0, and Solutions Tools BOM 1.3-AS6.0

The following changes have been made in the main POM file of the project:

• The Solutions Tools BOM has been upgraded to 1.3-AS6.0:
  <solutions-tools-bom.version>1.3-AS6.0</solutions-tools-bom.version>

• The Common Dependencies BOM has been upgraded to 1.2.0:
  <common-dependencies-bom.version>1.2.0</common-dependencies-bom.version>

• The Common Parent POM has been upgraded to 1.2.0:

<parent>
     <groupId>com.activeviam.apps</groupId>
     <artifactId>common-parent-pom</artifactId>
     <version>1.2.0</version>
</parent>

Upgrade to Atoti Server 6.0.8

The following dependency has been added to the main POM file of the project:

<dependency>
    <groupId>org.glassfish.jaxb</groupId>
    <artifactId>jaxb-runtime</artifactId>
    <version>2.3.8</version>
</dependency>

This dependency version has to be present due to a dependency conflict between Atoti Server 6.0.8 and Atoti Data Connectors.

Atoti Server 6.0.8 uses jaxb-runtime version 4.0.2, while Atoti Data Connectors uses a lower version of that dependency. This is required by EHCache, which is not compatible with jaxb-runtime version 4.0.2.

The dependency conflict will be fixed in a future release of Atoti Data Connectors.

Removal of ActivePivotRemotingServicesConfig

• The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.
• The following antMatchers have been removed from the security configuration file SecurityConfig:

  .antMatchers(ID_GENERATOR_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)
  .antMatchers(LONG_POLLING_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)
  .antMatchers(LICENSING_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)
  

Configuration files

Files modified

greek-based-pl-formula-rules.properties

New properties:

Deleted properties:

IPnLExplainFormulaProvider consistency cleanup

A new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProvider, used to transform a couple of market data into a shift. It returns a lambda function (double quoteT, double quoteTMinus1) -> shift. The PnLExplainFormulaProvider implementation has been cleaned up to reduce the cases: the getPnlExplainFormula implementation has been replaced with pnlExplainFormula = (sensitivity, quoteT, quoteTMinus1) -> vaRExplainFormula.applyAsDouble(sensitivity, shiftFormula.applyAsDouble(quoteT, quoteTMinus1))

This bean returns null instead of (...) -> 0.0 when no formula has been found, to avoid printing out an incorrect null PnL.

Beans

Added

The following beans have been added to define parameters related to Volga Taylor VaR:

Those constants are defined in the SpringConstants class of the mr-common-lib module, and the beans are defined in the mr-sensi-config module.

In the following files in the mr-sensi-config module:

• CashShiftViewerChain
• CorrelationShiftViewerChain
• CrossGammaShiftViewerChain
• DeltaShiftViewerChain
• GammaShiftViewerChain
• VannaShiftViewerChain
• VegaShiftViewerChain
• VolgaShiftViewerChain

the following beans have been added to define statistical measures on interpolated market shift measures:

In the mr-sensi-config module, the following classes containing the definition of Volga Taylor VaR measures have been added:

In the mr-sensi-config module, imports of the following configuration files have been added to the VolgaTaylorMeasuresConfig class:

• VolgaTaylorETGContextualChain
• VolgaTaylorETGFixedConfidenceChain
• VolgaTaylorVAEContextualChain
• VolgaTaylorVAEFixedConfidenceChain
• VolgaTaylorWVAEContextualChain
• VolgaTaylorWVAEFixedConfidenceChain
• VolgaTaylorWVARContextualChain
• VolgaTaylorWVARFixedConfidenceChain
• VolgaTaylorESContextualChain
• VolgaTaylorESFixedConfidenceChain
• VolgaTaylorVaRContextualChain
• VolgaTaylorVaRFixedConfidenceChain
• VolgaTaylorChain

In the mr-sensi-config module, the import of the following file has been added to the AllTaylorParameters class:

• VolgaTaylorParametersConfig

In the mr-sensi-lib module, the following constants have been added in the file SensiMeasureParameters:

Measures

Added

Miscellaneous

In the mr-application-tests module, the following changes have been made in the file used for integration tests:

• The files present in the folder test-bookmarks/07 - Aggregate Taylor VaR have been updated to reflect the changes in the Taylor VaR measure numbers introduced by the addition of the Taylor VaR measures.
• The files present in the folder test-bookmarks-combined/03 - Taylor VaR have been updated to reflect the changes in the Taylor VaR measure numbers introduced by the addition of the Taylor VaR measures.
• The folder test-bookmarks/08 - Market Shifts Statistics has been renamed to test-bookmarks/09 - Market Shifts Statistics and its content has been changed to add queries for more sensitivity types than just delta.
• The folder test-bookmarks/08 - Volga Taylor VaR has been created to test Volga Taylor VaR measures
• The following files have been created to test the statistical in the market data cube:
  • test-bookmarks/MarketDataCube/shiftStats.query
  • test-bookmarks/MarketDataCube/shiftStats.csv
  • test-bookmarks-combined/MarketDataCube/shiftStats.query
  • test-bookmarks-combined/MarketDataCube/shiftStats.csv

Migrate to 5.2.1

Upgrade to What-If 2.1.1 and Solutions Tools BOM 1.2-AS6.0

The Solutions Tools BOM has been upgraded to 1.2-AS6.0: <solutions-tools-bom.version>1.2-AS6.0</solutions-tools-bom.version>

What-If is no longer included in the BOM, therefore a new version property has been added: <whatif.version>2.1.1-AS6.0</whatif.version>

For details about the changes in What-if 2.1.1-AS6.0, refer to the release notes. Here are the classes impacted by the upgrade to What-If 2.1.1:

The following dependencies have been changed:

The following code has changed in the file DatastoreConfiguratorSetup, method DatastoreConfiguratorProfileSetup.enableSchemas in the module mr-common-lib (the position of one line of the code has been changed): New code:

        private void enableSchemas(List<AScalarDataAwareSchema> schemas, IDatastoreConfigurator configurator,
                Function<IScalarDataAware, String> schemaNameRetriever) {
            schemas.forEach(
                    schema -> {
                        configurator.enableSchema(schemaNameRetriever.apply(schema));
                        schema.setConfigurator(configurator);
                        schema.createReferences();
                        schema.createStores();
                    }
            );
        }

Old code:

        private void enableSchemas(List<AScalarDataAwareSchema> schemas, IDatastoreConfigurator configurator,
                Function<IScalarDataAware, String> schemaNameRetriever) {
            schemas.forEach(
                    schema -> {
                        schema.setConfigurator(configurator);
                        schema.createReferences();
                        schema.createStores();
                        configurator.enableSchema(schemaNameRetriever.apply(schema));
                    }
            );
        }
    }

In the module mr-application-tests, the imports have been changed: the old imports of classes com.activeviam.tools.test.junit5.* has been replaced by imports of classes com.activeviam.solutions.test.regression.* in the following classes:

Common Parent POM and Common Dependencies BOM

The solution now imports third party dependency versions from the Common Dependencies BOM version 1.1.0. The following explicit dependency versions have been removed from the dependency management section of the solution:

The following dependencies have been removed or have had their explicit version declaration removed:

Miscellaneous

• In the mr-application module, the FileUploadAddressSuppliers.queryNodeAddresses bean now injects the interface IActivePivotManager instead of the class ActivePivotManager.

• In the mr-common-config module, the WhatIfConfig class now autowires the interface IActivePivotManager instead of the class ActivePivotManager.

Migrate to 5.2.0

Upgrading from version 5.1.0 - see Atoti Market Risk 5.2.0 Release Notes.

• Atoti Market Risk uses Atoti Server 6.0.5 and Atoti UI 5.1.x. For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server.

Headline announcement

• Improved Sensitivity Cube configuration for testing: store, dimension, and measure configuration classes have been split to allow targeted testing of measure chains.

Configuration classes

Files Added

Datastore configuration

Store definitions, references, and DirectQuery cloned stores are now split into distinct configuration classes. Several configuration classes have been added to collect these individual stores and references into a single import.

Measure configuration

The beans that were in the SensiMeasureParametersBeans class have been split into a number of distinct classes. This helps with importing a minimal configuration for testing. The new classes are:

Dimension configuration

Dimensions previously defined in SensiCubeDimensionsConfig and CommonDimensionsConfig are now split, respectively in their own module. In addition, a DimensionsAdder bean is defined for every single dimension.

Global configuration

A configuration class has been added to collect the sensitivity configuration classes in a single importable configuration.

Files Modified

Datastore configuration

Measures configuration

Dimensions configuration

Files Deleted

Datastore configuration

Measures configuration

The beans that were in the SensiMeasureParametersBeans class have been split into a number of distinct classes. This helps with importing a minimal configuration for testing.

Other changes

Trade Sensitivities store

The constants and classes related to the TradeSensitivities store now match the name.

AMRDataCubeConfigurer

The abstract MR-specific data cube configurer class has been renamed from AMRADataCubeConfigurer to AMRDataCubeConfigurer.

Property defaults

When retrieving properties included in .yaml and .properties files, default values are now used, matching the sample properties.

Any Spring @Value annotations that were not retrieving properties have been removed, with the values being used directly. The following beans have been reduced to a minimal set of parameters in the creation method:

Testing

To support targeted testing of Sensitivity measure chains, the following classes have been added: