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Updates since 5.4 pre-releases

This page explains the changes since 5.4.0-BETA and 5.4.0-BETA 2, and explains any changes required to migrate from these early releases to the stated version of Atoti Market Risk:

Migrate from 5.4.0-BETA to BETA 2
Migrate from 5.4.0-BETA 2 to 5.4.0

Changes since 5.4.0-BETA 2

Changed

Issue Key	Details
BAS-1395	Appropriate datastore fields are now typed as LocalDate instead of String.
BAS-1644	Separated the formulas and configuration properties of PnL Explain and Taylor VaR. For details, see Common module properties.
MR-1815	Changed Market Data API code based on feedback on MR 5.4.0-beta2

Removed

Issue Key	Details
MR-1811	Removed the `FXRates` store.

Fixed

Issue Key	Details
MR-1520	Querying the PnLExplain measure on the Sensitivity Cube is now faster than on previous versions.
MR-1751	Made native currency measures in the sensitivity summary cubes visible and have the correct names.
MR-1780	The continuous query handler of the FX post-processors is now configurable.

Fixed issues introduced in 5.4.0-BETA 2

Issue Key	Details
MR-1776	Properties to configure market data interpolation are available. However, for interpolators using pre- and post-interpolation functions, a custom implementation is needed. An example of such an implementation is provided in the application.
MR-1777	Fixed FX risk computation from FX shifts and FX rates.
MR-1778	The mapping between risk classes and types of market data retrieved is now configurable and is no longer hard-coded.

Migrate to 5.4.0

Upgrading from version 5.4.0-BETA 2, see Atoti Market Risk 5.4 Release Notes.

Atoti Market Risk uses Atoti Server 6.0.18-sb3 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.

Breaking Changes

Default content server startup settings changed to reset its content to the content in mr-application/src/main/resources/mr-bookmarks. No persistence upon restart with new default properties.
The properties beginning mr.sensi.rules.<sensitivity-type>... have been renamed mr.sensi.rules.<sensitivity-type>.pnl-explain. This is to accommodate the new mr.sensi.rules.<sensitivity-type>.taylor-var properties that allow Taylor VaR and PnL Explain calculations to be configured independently.
The ISensiRuleConfigurationService interface has been replaced by the IPnlExplainRuleConfigurationService and ITaylorVarRuleConfigurationService interfaces.
The ISensiRuleConfigurationServicAware interface has been removed.
The method getVaRExplainFormula in IPnLExplainFormulaProvider has been renamed to getPnlExplainFormulaForShift as this method is now only used for PnL Explain calculations.
The constructor for the PnLExplainFormulaProvider class now requires an IPnlExplainRuleConfigurationService instead of an ISensiRuleConfigurationService.
The InputSelector class has been renamed to PnlExplainInputSelector. There is a corresponding TaylorVarInputSelector and they both implement IInputSelector. To autowire these beans you must now use the new qualifiers: SP_QUALIFIER__PNL_EXPLAIN_INPUT_SELECTOR and SP_QUALIFIER__TAYLOR_VAR_INPUT_SELECTOR.
The IInputSelectorAware interface has been replaced by the IPnlExplainInputSelectorAware and ITaylorVarInputSelectorAware interfaces.
The APnlVectorFromRiskSensiPostProcessor post-processor now implements the ITaylorVarFormulaProviderAware interface instead of the IPnLExplainFormulaProviderAware interface.
The market data measures configuration has been changed to fix issues introduced in the MR 5.4.0-BETA 2 release.
The Market Data API code has been changed based on feedback on MR 5.4.0-BETA 2. For details about the design and implementation suggestions, see Market Data API.

Summary

Market Data bookmark removed: The Risk Factor History bookmark under Atoti MR & PL/Story-Telling Target Views has been removed.
Content server reset on start: The default behavior driven by the in-memory database properties in application.yaml has been changed to reset the content server on start with the bookmarks folder (mr-application/src/main/resources/mr-bookmarks).
Market Data API improvements: The Market Data API has been modified based on feedback:
- Retriever factories: Retriever factories have been split into containers holding table retrievers and coordinate translators associated with a name and factories leveraging these containers.
- New interpolation type added: A new interpolation type (InterpolationMode.VOL_TO_VARIANCE) added to support a volatility-to-variance transformation applied to the input data and a variance-to-volatility transformation applied to the results of interpolation.
Scalar sensitivities using the Market Data API: The scalar sensitivity measure chains have been migrated to use the new Market Data API:
- New market data configuration properties: Properties have been added to configure the type of market data and the interpolation for each sensitivity.
- New measures: Native interpolated market data measures are now created based on the market data configuration properties.
Added topic alias AllMarketData: All the market data tables are regrouped under the new topic alias AllMarketData, used for loading the input files.

Input file formats

No changes.

Configuration

Configuration properties

Properties added

A number of properties have been added to the mr-common-config module beginning mr.sensi.rules.<sensitivity-type>.taylor-var. These properties mirror the previous mr.sensi.rules properties, allowing Taylor VaR and PnL Explain calculations to be configured independently. For full details of these properties, please see the mr-common-config properties documentation. The following properties have been added to configure sensitivity calculations with the new Market Data API:

Property	Default value	Description
mr.sensi.market-data.correlation.any.any.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.correlation.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.correlation.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	correlation
mr.sensi.market-data.correlation.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.correlation.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.cross-gamma1.any.any.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.cross-gamma1.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.cross-gamma1.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	spot
mr.sensi.market-data.cross-gamma1.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.cross-gamma1.any.equity.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.cross-gamma1.any.equity.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.cross-gamma1.any.equity.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	eq spot
mr.sensi.market-data.cross-gamma1.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.cross-gamma2.any.any.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.cross-gamma2.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.cross-gamma2.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	spot
mr.sensi.market-data.cross-gamma2.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.cross-gamma2.any.equity.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.cross-gamma2.any.equity.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.cross-gamma2.any.equity.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	eq spot
mr.sensi.market-data.cross-gamma2.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.custom	Custom market data properties for specific sensitivity types, names and risk classes. The first key is the sensitivity type, the second is the sensitivity name, and the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.delta.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.delta.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.delta.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	curve
mr.sensi.market-data.delta.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.delta.any.equity.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.delta.any.equity.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.delta.any.equity.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	eq spot
mr.sensi.market-data.delta.any.fx.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.delta.any.fx.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.delta.any.fx.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	fx spot
mr.sensi.market-data.delta.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.dividend.any.any.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.dividend.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.dividend.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	dividend
mr.sensi.market-data.dividend.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.dividend.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.gamma.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.gamma.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.gamma.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	curve
mr.sensi.market-data.gamma.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.gamma.any.equity.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.gamma.any.equity.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.gamma.any.equity.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	eq spot
mr.sensi.market-data.gamma.any.fx.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.gamma.any.fx.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.gamma.any.fx.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	fx spot
mr.sensi.market-data.gamma.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.vanna1.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.vanna1.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vanna1.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	surface
mr.sensi.market-data.vanna1.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.vanna1.any.girr.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.vanna1.any.girr.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vanna1.any.girr.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	cube
mr.sensi.market-data.vanna1.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.vanna2.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.vanna2.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vanna2.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	curve
mr.sensi.market-data.vanna2.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.vanna2.any.equity.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.vanna2.any.equity.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vanna2.any.equity.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	eq spot
mr.sensi.market-data.vanna2.any.fx.interpolate	Whether to perform interpolation of market data.	false
mr.sensi.market-data.vanna2.any.fx.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vanna2.any.fx.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	fx spot
mr.sensi.market-data.vanna2.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.vega.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.vega.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vega.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	surface
mr.sensi.market-data.vega.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.vega.any.girr.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.vega.any.girr.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.vega.any.girr.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	cube
mr.sensi.market-data.vega.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.
mr.sensi.market-data.volga.any.any.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.volga.any.any.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.volga.any.any.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	surface
mr.sensi.market-data.volga.any.custom	Custom market data properties for specific risk classes. The key is the risk class name and the values are the properties for that risk class.
mr.sensi.market-data.volga.any.girr.interpolate	Whether to perform interpolation of market data.	true
mr.sensi.market-data.volga.any.girr.interpolation-mode	The type of interpolator to use: linear, cubic, spline etc.	linear
mr.sensi.market-data.volga.any.girr.market-data-type	The type of market data. This is used to decide which market data store to retrieve the data from. For example, spot, curve, cube.	cube
mr.sensi.market-data.volga.custom	Custom market data properties for specific sensitivity names and risk classes. The first key is the sensitivity name, the second is the risk class name and the values are the properties for that sensitivity name and risk class.

Properties modified

Property Name	Comment	Value
mr.application.content-server.reset	The default value has changed to `folder` to enable resetting the content server by default.	`folder`

Properties in the mr-common-config module beginning mr.sensi.rules have been renamed to mr.sensi.rules.<sensitivity-type>.pnl-explain. Along with the new mr.sensi.rules.<sensitivity-type>.taylor-var properties, this allows Taylor VaR and PnL Explain calculations to be configured independently. For full details of these properties, please see the mr-common-config properties documentation

Property files

Files Modified

application.yaml

New properties:

Property Name	Value	Description
mr.application.content-server.db.file.name	null	Specifies the name of the file to which content server is persisted.

Datastores

Modified stores

The types of the following store fields have been changed:

Store	Field	Old type	New type	Old default	New default	Note
TradeAttributes	MaturityDate	String	Date	N/A	1970-01-01
TradeAttributes	TradeDate	String	Date	N/A	1970-01-01
TradeSensitivities	MaturityDates	String	Date	N/A	1970-01-01	This change does not apply to the vectorized TradeSensitivities store.
TradeSensitivities	TenorDates	String	Date	N/A	1970-01-01	This change does not apply to the vectorized TradeSensitivities store.

Deleted stores

Name	Type	Module	Affected Class
FXRates Store	Store configuration for FX rates that is not used anymore	mr-common-config	FxRateStoreConfig

Database

Modified tables

The types of the following database table fields have been changed:

Table	Field	Old type	New type	Old default	New default
TRADE_ATTRIBUTES	MATURITY_DATE	String	Date	N/A	1970-01-01
TRADE_ATTRIBUTES	TRADE_DATE	String	Date	N/A	1970-01-01
TRADE_SENSITIVITIES	MATURITY_DATES	String	Date	N/A	1970-01-01
TRADE_SENSITIVITIES	TENOR_DATES	String	Date	N/A	1970-01-01
TRADE_SENSITIVITIES_VECTOR	MATURITY_DATES	String	Date	N/A	1970-01-01
TRADE_SENSITIVITIES_VECTOR	TENOR_DATES	String	Date	N/A	1970-01-01

Deleted tables

FXRATES has been removed and replaced by the new Market Data API store FxRateMarketData.

Cube schema

No changes.

Measures

No changes.

Context values

No changes.

Other changes

PnL Explain and Taylor VaR Formula Split

Changes since 5.4.0-BETA

Added

Issue Key	Details
MR-1715	Added a post-processor to retrieve data from the SpotMarketData store.
MR-1716	Added a post-processor to retrieve data from the CurveMarketData store.
MR-1717	Added a post-processor to retrieve data from the SurfaceMarketData store.
MR-1718	Added a post-processor to retrieve data from the CubeMarketData store.
MR-1739	Added support for DirectQuery with Databricks.
MR-1740	Added scenario-indexed adjustments for the VaR-ES cube PnL vectors.
MR-1749	Corporate Actions have been migrated to the new Market Data API.

Changed

Issue Key	Details
MR-1721	Implemented FX post-processor with new market data API.
MR-1723	Added `MeasureCreator` for new post-processors in `ISensitivityMarketDataMeasures`.
MR-1725	Updated FX measures to use the new FX post-processor.
MR-1731	The sensitivities vector data model format has been deprecated.
MR-1732	The default data model for sensitivities changed from vector model to scalar model.
MR-1742	Used fluent API for market data post-processor.
MR-1750	Dividends have been migrated to the new Market Data API for scalar sensitivities.
MR-1772	Updated SQL scripts for DirectQuery with Microsoft SQL Server and Snowflake, to match the schema of the new Market Data API.
MR-1773	Rename `INSTRUMENT_MARKET_DATA_STORE` to `SPOT_MARKET_DATA_STORE`, along with all classes that refer to the `INSTRUMENT_MARKET_DATA_STORE`.
MR-1775	Removed “store” suffix in market data store names.

Removed

Issue Key	Details
MR-1726	Removed the debug market data measures.
MR-1774	Removed market data cube.

Fixed

Issue Key	Details
MR-1743	Upgraded to Solutions Tools BOM 2.2-AS6.0 to fix bug in DoctorPivot, leading to a failure to retrieve the measures in the application cubes.

Fixed issues introduced in 5.4.0-BETA

None.

Migrate to 5.4.0-BETA 2

Upgrading from version 5.4.0-beta, see Atoti Market Risk 5.4 Release Notes.

Atoti Market Risk uses Atoti Server 6.0.12-sb3 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.

Breaking Changes

Vectorized sensitivities have been deprecated: scalar sensitivities should be used instead of vectorized sensitivities.
The default data model for sensitivities changed from vector model to scalar model.
The CorporateAction store has been removed for scalar sensitivities, and deprecated for vectorized sensitivities: it is still used to handle dividends for vectorized sensitivities, but is not used anymore for scalar sensitivities.
Stock splits are handled in a new store: the SplitRatioMarketData store is used for the handling of stock split ratios both for vectorized and scalar sensitivities.
New input files for Dividends and stock Split Ratios have been created.
New Market Data input files: spot, curve, surface, cube, and correlation market data files have been created to replace the previous market data input file.
The Market Data Cube has been deleted : Market data measures in the Sensitivities Cube need to be used to display market data instead of the Market Data Cube.
The debug market data measures have been removed.
The modules mr-market-data-lib and mr-market-data-config have been removed. They were used for the configuration of the Market Data Cube.
In the ThetaCopper class, some methods have been renamed. The marketDataPostProcessor and scalarMarketDataPostProcessor methods have been renamed.
The com.activeviam.accelerator.common.dates.IMaturityConverter interface has been removed from the module mr-common-lib and has been replaced by the interface com.activeviam.accelerator.common.dates.IMaturityConverter.
Some methods have been added to the ISensitivityMarketDataMeasures interface and the following methods have been changed: scalarNativeIntermediateInterpolatedDividend, scalarNativeIntermediateInterpolatedTheta, vectorNativeIntermediateInterpolatedTheta
For the market data measure chains configuration: the classes names *CurrentDateMarketDataChain, *NextDateMarketDataChain and *PreviousDateMarketDataChain hae been changed to use the new market data API.
The SQL scripts to create and load data for DirectQuery with Microsoft SQL Server and Snowflake have been modified to match the schema of the new Market Data API.

Summary

Input file formats

Added

New files

File	Purpose
Correlation_Market_Data.csv	Stores the correlation market data.
Dividend.csv	Stores the dividend market data.
FX_Rate_Market_Data.csv	Stores the FX rate market data.
SplitRatio.csv	Stores the stock split ratio market data.

Modified

The file Instrument_Market_Data.csv has been renamed to Spot_Market_Data.csv

Removed

File	Details
`FXRates.csv`	The input file `FX_Rate_Market_Data.csv` has to be used instead.

Configuration

Configuration properties

Properties added

The following properties have been created in the mr-sensi-config module:

Property	Default value	Description
mr.sensi.file-patterns.split-ratio	“*SplitRatio.csv”	Pattern for the Split Ratio input file.
mr.sensi.file-patterns.dividends	“*Dividends.csv”	Pattern for the Dividend input file.
mr.sensi.file-patterns.correlation-market-data	“*Correlation_Market_Data.csv”	Pattern for the Correlation market data input file.

Properties modified

Property Name	Comment	Value
mr.enable.data-model.scalar-sensitivities	The default value has changed to `true` from `false`.	`true`
mr.sign-off.extractionTemplates.defaultMapping	The default value has changed to `true` from `false`.	`true`
mr.sign-off.extractionTemplatesScalar.defaultMapping	The default value has changed to `CubeAdjustmentExport, FXRateExport, FxRateMarketDataExport, "BookParentChildExport` from `CubeAdjustmentExport, FXRateExport, BookParentChildExport`.	`CubeAdjustmentExport, FXRateExport, FxRateMarketDataExport, "BookParentChildExport`

Properties removed

the "mr.enable.cubes.market-data property has been removed.

Property files

No changes.

Datastores

Added store configurations

Store	Class	Details
CorrelationMarketData	CorrelationMarketDataStore	Contains Correlation market data.
DividendMarketData	DividendMarketDataStore	Contains split ratio market data.
FxRateMarketData	FxRateMarketDataStore	A store that is part of the new Market Data API for FX Rate market data.
SplitRatioMarketData	SplitRatioMarketDataStore	Contains dividend market data.

The CorporateAction store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores DividendMarketData and SplitRatioMarketData should be used instead.
The MarketData store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores SpotMarketData, CurveMarketData, SurfaceMarketData, CubeMarketData and CorrelationMarketData should be used instead.
The FXRates store has been deprecated. It is not used anymore, and will be removed. The store FxRateMarketData needs to be used instead.

*For details, see New Dividend and Split Ratio stores.

Modified store configurations

The InstrumentMarketData store has been renamed to SpotMarketData.
The CurveMarketDataStore store has been renamed to CurveMarketData.
The SurfaceMarketDataStore store has been renamed to SurfaceMarketData.
The CubeMarketDataStore store has been renamed to CubeMarketData.

Marked for removal

Name	Type	Module	Affected Class
Market Data Store	Store configuration for vectors format	mr-sensi-config	VectorMarketDataStoreConfig
Trade Sensitivities Store	Store configuration for vectors format	mr-sensi-config	VectorTradeSensitivitiesStoreConfig
Sensitivities Aggregated Store	Store configuration for vectors format	mr-sensi-config	VectorSensiAggregatedStoreConfig
Sensitivities Flat Store	Store configuration for vectors format	mr-sensi-config	VectorSensiFlatStoreConfig
FXRates Store	Store configuration for FX rates that is not used any more t	mr-common-config	FxRateStoreConfig

Database

Added tables

Table	Details
CORRELATION_MARKET_DATA	Market data related to the correlation between risk factors
CUBE_MARKET_DATA	Market data defined along three axes (tenors, moneyness and underlying maturities).
CURVE_MARKET_DATA	Market data defined along a tenor axis.
DIVIDEND_MARKET_DATA	Market data related to dividends.
FX_RATE_MARKET_DATA	FX rates.
SPLIT_RATIO_MARKET_DATA	Market data related to stock splits.
SPOT_MARKET_DATA	Spot price market data.
SURFACE_MARKET_DATA	Market data defined along two axes (tenors and moneyness).

Cube schema

The Market Data Cube has been deleted.

Measures

Added

Cube	Measure	Details
Sensitivity Cube	Split Ratio 2 Current	Split of the secondary underlying instrument as of current date
Sensitivity Cube	Split Ratio 2 Previous	Split of the secondary underlying instrument as of previous date

Removed

The following debug market data measures found in the mr-sensi-config module were removed:

Measure removed	File location
Current Market Data Native Intermediate Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `DeltaCurrentDateMarketDataChain.java`, `GammaCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`, `VegaCurrentDateMarketDataChain.java`, `VolgaCurrentDateMarketDataChain.java`
Current Market Data 2 Native Intermediate Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`
Current Market Data Native Intermediate Filtered Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `DeltaCurrentDateMarketDataChain.java`, `GammaCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`, `VegaCurrentDateMarketDataChain.java`, `VolgaCurrentDateMarketDataChain.java`
Current Market Data 2 Native Intermediate Filtered Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`
Current Market Data Native Expand Intermediate Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `DeltaCurrentDateMarketDataChain.java`, `GammaCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`, `VegaCurrentDateMarketDataChain.java`, `VolgaCurrentDateMarketDataChain.java`
Current Market Data 2 Native Expand Intermediate Int Debug	`CorrelationCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`
Current Market Native Debug	`CorrelationCurrentDateMarketDataChain.java`, `DeltaCurrentDateMarketDataChain.java`, `GammaCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`, `VegaCurrentDateMarketDataChain.java`, `VolgaCurrentDateMarketDataChain.java`
Current Market Native 2 Debug	`CorrelationCurrentDateMarketDataChain.java`, `VannaCurrentDateMarketDataChain.java`
Previous Market Native Debug	`CorrelationPreviousDateMarketDataChain.java`, `DeltaPreviousDateMarketDataChain.java`, `GammaPreviousDateMarketDataChain.java`, `VannaPreviousDateMarketDataChain.java`, `VegaPreviousDateMarketDataChain.java`, `VolgaPreviousDateMarketDataChain.java`
Previous Market Native 2 Debug	`CorrelationPreviousDateMarketDataChain.java`, `VannaPreviousDateMarketDataChain.java`

For additional changes related to this, see Removal of debug market data measures.

Context values

Removed

Name	Details
EnableMDStringDebug	The context value was removed as part of removing the Debug measures.

Modules removed

The modules mr-market-data-lib and mr-market-data-config have been removed. They were used for the configuration of the Market Data Cube.

Other changes

Maven dependencies

The following test dependency has been added to the mr-sensi-lib module:

    <dependency>
        <groupId>com.activeviam.apps</groupId>
        <artifactId>market-data-api</artifactId>
        <version>${project.version}</version>
        <type>test-jar</type>
        <scope>test</scope>
    </dependency>

IMaturityConverterAware class

The com.activeviam.accelerator.common.dates.IMaturityConverter interface has been removed from the module mr-common-lib and has been replaced by the interface com.activeviam.accelerator.common.dates.IMaturityConverter.

Theta: methods renamed

In the class ThetaCopper, the following methods have been renamed:

New method name	Old method name
vectorTimeToMaturity	marketDataPostProcessor
scalarTimeToMaturity	scalarMarketDataPostProcessor

Market Data retriever names

The market data retriever names have been renamed as follows in the *MarketDataRetrievalConfig configuration classes:

Configuration class	New value of constant `RETRIEVER_NAME`	Old value of constant `RETRIEVER_NAME`
SpotMarketDataRetrievalConfig (previously InstrumentMarketDataRetrievalConfig)	SPOT_MARKET_DATA_RETRIEVER	DEFAULT_DATE_SHIFTING_INSTRUMENT_RETRIEVER
SpotMarketDataRetrievalConfig	CURVE_MARKET_DATA_RETRIEVER	DEFAULT_DATE_SHIFTING_CURVE_RETRIEVER
SpotMarketDataRetrievalConfig	SURFACE_MARKET_DATA_RETRIEVER	DEFAULT_DATE_SHIFTING_SURFACE_RETRIEVER
SpotMarketDataRetrievalConfig	CUBE_MARKET_DATA_RETRIEVER	DEFAULT_DATE_SHIFTING_CUBE_RETRIEVER