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Datastore Helper implementation within MR

This page provides implementation details about the usage of the Datastore Helper 3.3.1-AS6.0 library within Atoti Market Risk, focusing on the wiring between different datastore definitions and customizations. For documentation of the library itself, see the Datastore Helper Documentation.

Implementations of the AConfigurableSchema class

All the MR libraries datastores are provided as extensions of the AConfigurableSchema and ATenorAwareSchema classes. These classes are exposed as individual beans or annotated as @Configuration, then collected and applied to the IDatastoreConfigurator object in the DatastoreConfiguratorSetup class.

The full list of store definitions is as follows:

Class Datastore contents Exposed as
CubeMarketDataStore Cube market data. A bean in the CubeMarketDataRetrievalConfig class.
CurveMarketDataStore Curve market data. A bean in the CurveMarketDataRetrievalConfig class.
FxRateMarketDataStore FX rates. A bean in the FxRateMarketDataRetrievalConfig class.
SpotMarketDataStore Spot market data. A bean in the SpotMarketDataRetrievalConfig class.
SurfaceMarketDataStore Surface market data. A bean in the SurfaceMarketDataRetrievalConfig class.
BookHierarchyStoreConfig A multi-level book hierarchy. @Configuration class wired directly.
BookParentChildStoreConfig A parent-child book hierarchy. @Configuration class wired directly.
CounterpartyHierarchyStoreConfig A multi-level counterparty hierarchy. @Configuration class wired directly.
CounterpartyParentChildStoreConfig A parent-child counterparty hierarchy. @Configuration class wired directly.
CounterpartyStoreConfig Counterparty information. @Configuration class wired directly.
CountryStoreConfig Country information. @Configuration class wired directly.
LegalEntityHierarchyStoreConfig A multi-level legal entity hierarchy. @Configuration class wired directly.
LegalEntityParentChildStoreConfig A parent-child legal entity hierarchy. @Configuration class wired directly.
MarketDataSetStoreConfig Market data set information. @Configuration class wired directly.
MarketShiftStoreConfig Market shifts. @Configuration class wired directly.
QuantilesStoreConfig The quantile method analysis hierarchy. @Configuration class wired directly.
RiskFactorsCatalogueStoreConfig Risk factors information. @Configuration class wired directly.
RoundingStoreConfig The rounding method analysis hierarchy. @Configuration class wired directly.
ScenariosStoreConfig Scenarios per set. @Configuration class wired directly.
TradeAttributesStoreConfig Trade attributes. @Configuration class wired directly.
CounterpartyToCountryReferenceConfig References between the Counterparty and Country stores. @Configuration class wired directly.
TradeAttributesToBookHierarchyReferenceConfig References between the Trade Attributes and Book Hierarchy stores. @Configuration class wired directly.
TradeAttributesToCounterpartyHierarchyReferenceConfig References between the Trade Attributes and Counterparty Hierarchy stores. @Configuration class wired directly.
TradeAttributesToCounterpartyReferenceConfig References between the Trade Attributes and Counterparty stores. @Configuration class wired directly.
TradeAttributesToLegalEntityHierarchyReferenceConfig References between the Trade Attributes and Legal Entity Hierarchy stores. @Configuration class wired directly.
PnLStoreConfig Standard PnL store. @Configuration class wired directly.
PnLAggregatedStoreConfig Denormalized store for PnL aggregated imports. @Configuration class wired directly.
CorporateActionStoreConfig Split ratio and dividend data for the vectorized sensitivities. @Configuration class wired directly.
CorrelationMarketDataStore Correlation market data. A bean in the CorrelationMarketDataRetrievalConfig class.
DividendMarketDataStore Dividend market data. A bean in the CorrelationMarketDataRetrievalConfig class.
DynamicTenorsStoreConfig Dynamic tenors for rebucketing. @Configuration class wired directly.
MarketDataStoreConfig Market data for the scalar sensitivities. @Configuration class wired directly.
SensiLaddersStoreConfig Sensitivity ladders. @Configuration class wired directly.
SplitRatioMarketDataStore Split ratios for equity instruments. A bean in the CorporateActionMarketDataRetrievalConfig class.
TenorsStoreConfig Tenor definitions for the vectorized sensitivities. @Configuration class wired directly.
TradeSensitivitiesStoreConfig Standard scalar sensitivity data. @Configuration class wired directly.
VectorMarketDataStoreConfig Market data for the vectorized sensitivities. @Configuration class wired directly.
VectorTradeSensitivitiesStoreConfig Standard vectorized sensitivity data. @Configuration class wired directly.
SensiAggregatedStoreConfig Denormalized store for scalar sensitivity aggregated imports. @Configuration class wired directly.
SensiFlatStoreConfig Denormalized store for scalar sensitivity store-level imports. @Configuration class wired directly.
VectorSensiAggregatedStoreConfig Denormalized store for vectorized sensitivity aggregated imports. @Configuration class wired directly.
VectorSensiFlatStoreConfig Denormalized store for vectorized sensitivity store-level imports. @Configuration class wired directly.
TradeSensitivitiesToRiskFactorsCatalogueReferenceConfig References between the Trade Sensitivities and Risk Factors Catalogue stores. @Configuration class wired directly.
TradeSensitivitiesToTradeAttributesReferenceConfig References between the Trade Sensitivities and Trade Attributes stores. @Configuration class wired directly.
VaRStoreConfig Standard VaR data. @Configuration class wired directly.
VaRAggregatedStoreConfig Denormalized store for VaR aggregated imports. @Configuration class wired directly.
VaRFlatStoreConfig Denormalized store for VaR store-level imports. @Configuration class wired directly.

Several additional classes are provided to allow groups of stores and references to be imported together:

Class Details Imported classes
AllMarketDataRetrievalConfig Sets up market data retrieval, including stores. CubeMarketDataRetrievalConfig, CurveMarketDataRetrievalConfig, FxRateMarketDataRetrievalConfig, SpotMarketDataRetrievalConfig, SurfaceMarketDataRetrievalConfig.
AllMarketDataConfig Sets up the market data API, including retrieval. AllMarketDataRetrievalConfig, AllMarketDataInterpolationConfig.
AllCommonStoresConfig Stores used in multiple cubes. MarketShiftStoreConfig, QuantilesStoreConfig, RoundingStoreConfig.
AllStandardStoresConfig Stores used regardless of cube. BookHierarchyStoreConfig, BookParentChildStoreConfig, CounterpartyHierarchyStoreConfig, CounterpartyParentChildStoreConfig, CounterpartyStoreConfig, LegalEntityHierarchyStoreConfig, LegalEntityParentChildStoreConfig, MarketDataSetStoreConfig, RiskFactorsCatalogueStoreConfig, ScenariosStoreConfig, TradeAttributesStoreConfig.
AllStandardReferencesConfig References used regardless of cube. CounterpartyToCountryReferenceConfig, TradeAttributesToBookHierarchyReferenceConfig, TradeAttributesToCounterpartyReferenceConfig, TradeAttributesToCounterpartyHierarchyReferenceConfig, TradeAttributesToLegalEntityHierarchyReferenceConfig.
AllSensiStoresConfig Stores used for the sensitivity cube. CorporateActionStoreConfig, DynamicTenorsStoreConfig, MarketDataStoreConfig, SensiLaddersStoreConfig, TenorsStoreConfig, VectorTradeSensitivitiesStoreConfig, VectorMarketDataStoreConfig, TradeSensitivitiesStoreConfig.
AllSensiReferencesConfig References used for the sensitivity cube. TradeSensitivitiesToRiskFactorsCatalogueReferenceConfig, TradeSensitivitiesToTradeAttributesReferenceConfig.

The DatastoreConfiguratorSetup class

All Spring beans are collected in the DatastoreConfiguratorSetup class. The@Configuration classes are expected to be made conditional on application properties and thus result in the correct set of datastores for each run mode.

Customizations should be created as DatastoreConfiguratorConsumer beans, which are then collected by the class constructor:

        public DatastoreConfiguratorSetup(
            List<IConfigurableSchema> schemas,
            @Autowired(required = false) List<DatastoreConfiguratorConsumer> customisations) {
        this.schemas = schemas;
        this.customisations = customisations;
    }

Customizations classes

Atoti Market Risk contains two customization classes that instantiate DatastoreConfiguratorConsumer beans.

Class Usage
DatastoreCustomisations Empty class intended to provide a place to define simple customizations.
ProductControlDatastoreCustomisations Operates on the PnL base store. Makes the Type field a key field and adds Monthly, Yearly and Lifetime value fields.