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Migration notes 3.1.0

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

Migrate to 3.1.0

Upgrading from version 3.0.0 - see Market Risk Accelerator 5.4.1 Release Notes.

The Accelerator is using ActivePivot 5.10.10 and ActiveUI 5.0.14.

For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.

For clients licensed to use ActiveMonitor, a skeleton module based on version 5.10.10 is included with the Market Risk Accelerator 5.4.1 release.

Headline announcement

  • Market Data Cube : The Market Data Cube has been added to display the market data, market shift values, and FX rate. Unlike the Sensitivities Cube that needs to have a risk factor associated to a sensitivity, the facts are directly linked to the risk factors. See the Measures section for a list of the new measures.
  • Removed Spring profiles : Replaced the custom Spring profiles used to control application modes with properties in the application.yaml file.
  • Removed DayToDayDifference, PnLStart and PnLEnd context values : Replaced with analysis hierarchies.
  • Added Spring extension points for source and measure configurations: Added the option of configuring the CSV sources and also the measure chains through Spring Beans.
  • Improved package structure for source and measure configurations: Cleaned up the packages and classes containing the source and measure configurations.
  • Moved cube toggles to application.yaml : The cube toggling properties in the risk.properties file have been moved to the application.yaml file.
  • Addition of Spring Conditions classes for @Configuration and @Bean : Added extensions of Spring Conditions classes for enabling and disabling @Configuration and @Bean instantiation based on application.yaml properties.
  • ISmileConverter : There is now a specific bean used to convert Moneyness pillars into the corresponding distance to the ATM.

Removal of Spring profiles

The six Spring profiles used for controlling application modes have been removed:

  • azure-dataloading
  • local-file-system
  • standard
  • scalar-sensi
  • aggregated
  • enable-signoff

The profiles are now replaced by configuration properties in the application.yaml file.

Addition of Spring Conditions classes

As part of the replacement of the Spring profiles and the migration of the cube toggling properties to the application.yaml file, a set of extensions of the Spring Conditions classes has been created. These extensions can be used in the @Conditional() Spring annotation to control Bean instantiation based on the properties defined in the file. Due to the specifics of the Spring context, the classes are prefixed with either Bean or Configuration to denote where they can be used.

Class Condition
com.activeviam.risk.ref.spring.conditions.beans.BeanAzureData configuration.data-load.source = azure-data-loading
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationAzureData configuration.data-load.source = azure-data-loading
com.activeviam.risk.ref.spring.conditions.beans.BeanDisabledAggregatedData configuration.data-model.aggregated = false
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationDisabledAggregatedData configuration.data-model.aggregated = false
com.activeviam.risk.ref.spring.conditions.beans.BeanDisabledSignoff configuration.sign-off.enable = false
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationDisabledSignoff configuration.sign-off.enable = false
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledAggregatedData configuration.data-model.aggregated = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAggregatedData configuration.data-model.aggregated = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledAnyCube Any of configuration.cubes.enable.var, [...]pnl, [...]sensi, [...]market being true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyCube Any of configuration.cubes.enable.var, [...]pnl, [...]sensi, [...]market being true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyPnLCube Any of configuration.cubes.enable.pnl, [...]pnl-summary being true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnySensitivitiesCube Any of configuration.cubes.enable.sensi, [...]sensi-summary being true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyVaRCube Any of configuration.cubes.enable.var, [...]var-summary being true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledCommonCube configuration.cubes.enable.common = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledCommonCube configuration.cubes.enable.common = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledMarketDataCube configuration.cubes.enable.market = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledMarketDataCube configuration.cubes.enable.market = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledPnLCube configuration.cubes.enable.pnl = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledPnLCube configuration.cubes.enable.pnl = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledPnLSummaryCube configuration.cubes.enable.pnl-summary = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledPnLSummaryCube configuration.cubes.enable.pnl-summary = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSensitivitiesCube configuration.cubes.enable.sensi = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSensitivitiesCube configuration.cubes.enable.sensi = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSensitivitiesSummaryCube configuration.cubes.enable.sensi-summary = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSensitivitiesSummaryCube configuration.cubes.enable.sensi-summary = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSignoff configuration.sign-off.enable = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSignoff configuration.sign-off.enable = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledVaRCube configuration.cubes.enable.var = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledVaRCube configuration.cubes.enable.var = true
com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledVaRSummaryCube configuration.cubes.enable.var-summary = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledVaRSummaryCube configuration.cubes.enable.var-summary = true
com.activeviam.risk.ref.spring.conditions.beans.BeanMissingSource configuration.data-load.source not being either azure-data-loading or local-file-system
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationHasSource configuration.data-load.source being azure-data-loading or local-file-system
com.activeviam.risk.ref.spring.conditions.beans.BeanLocalFileSystem configuration.data-load.source = local-file-system
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationLocalFileSystem configuration.data-load.source = local-file-system
com.activeviam.risk.ref.spring.conditions.beans.BeanScalar configuration.data-model.scalar-sensitivities = true
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationScalar configuration.data-model.scalar-sensitivities = true
com.activeviam.risk.ref.spring.conditions.beans.BeanVectorised configuration.data-model.scalar-sensitivities = false
com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationVectorised configuration.data-model.scalar-sensitivities = false

Removal of PnLStart and PnLEnd context values

The PnLStartIndex and PnLEndIndex context values have been removed and replaced by the analysis hierarchies PnLStartIndex@PnLStartIndex@PnLIndex and PnLEndIndex@PnLEndIndex@PnLIndex.

The PnLEnd(XXX) context value is replaced by the MDX clause WHERE [PnLIndex].[PnLEndIndex].[AllMember].[XXX]. The PnLStart(XXX) context value is replaced by the MDX clause WHERE [PnLIndex].[PnLStartIndex].[AllMember].[XXX].

Removal of DayToDayDifference context values

The DayToDayDifference context value has been removed and replaced by the analysis hierarchy DayToDay@DayToDay@Dates.

The DayToDayDifference(XXX) context value is replaced by the MDX clause WHERE [Dates].[DayToDay].[DayToDay].[XXX].

The new analysis hierarchy contains the values of the standard asOfDate hierarchy plus some extra values that can be set by the property asofdate.dtd.hierarchy.members. The analysis hierarchy contains a list of comma-separated values in the format Label=Slicer where the slicer is an ID and integer count. The default member is the first element in this list.

ID Meaning Sample
DAY Number of open days between business day and today, indicated by the count Yesterday=DAY-1 the previous open day
EOM The end of this month sliced by the count End Of Month=EOM-1 the last open day of the previous month
EOQ The end of this quarter sliced by the count End Of Quarter=EOQ-1 the last open day of the previous quarter
EOY The end of this year sliced by the count End Of Year=EOY-1 the last open day of the previous year

Source extension points

The file-based sources for the VaR, PnL, and Sensitivity cubes are now configurable through Spring beans.

For more information, see Configuring sources using Spring Beans.

Source packaging improvements

The package structure of the source configuration has been cleaned up and simplified.

Migrated classes

Old class New class
com.activeviam.risk.ref.cfg.impl.ACSVSourceConfig com.activeviam.risk.ref.source.config.common.ACSVSourceConfig
com.activeviam.risk.ref.cfg.sensi.impl.IGreekDescription com.activeviam.risk.ref.source.config.sensi.impl.IGreekDescription
com.activeviam.risk.ref.cfg.sensi.impl.ScalarMarketDataTuplePublisher com.activeviam.risk.ref.source.config.sensi.impl.ScalarMarketDataTuplePublisher
com.activeviam.risk.ref.cfg.sensi.impl.ScalarSensiTradeStoreTuplePublisher com.activeviam.risk.ref.source.config.sensi.impl.ScalarSensiTradeStoreTuplePublisher
com.activeviam.risk.ref.cfg.sensi.impl.SensiTradeStoreTuplePublisher com.activeviam.risk.ref.source.config.sensi.impl.SensiTradeStoreTuplePublisher
com.activeviam.risk.ref.cfg.sensi.impl.SensiValueCalculator com.activeviam.risk.ref.source.config.sensi.impl.SensiValueCalculator
com.activeviam.risk.ref.cfg.sensi.impl.TenorIndexCalculator com.activeviam.risk.ref.source.config.sensi.impl.TenorIndexCalculator

Migrated packages

Old package New package Included classes
com.activeviam.risk.ref.cfg.adjustments.aggregated.source com.activeviam.risk.ref.source.config.common AdjustmentAzureCsvSourceConfig
AdjustmentCsvSourceConfig
AdjustmentLocalCsvSourceConfig
AdjustmentSourceConfiguration
com.activeviam.risk.ref.cfg.common.impl.source com.activeviam.risk.ref.source.config.common CommonAzureCsvSourceConfig
CommonCsvSourceConfig
CommonLocalCsvSourceConfig
CommonSourceConfiguration
com.activeviam.risk.ref.cfg.pnl.impl.source com.activeviam.risk.ref.source.config.pnl.complete PnLAzureCsvSourceConfig
PnLCsvSourceConfig
PnLLocalCsvSourceConfig
PnLSourceConfiguration
com.activeviam.risk.ref.cfg.pnl.summary.impl.source com.activeviam.risk.ref.source.config.pnl.summary PnLSummaryAzureCsvSourceConfig
PnLSummaryCsvSourceConfig
PnLSummaryLocalCsvSourceConfig
PnLSummarySourceConfiguration
com.activeviam.risk.ref.cfg.sensi.impl.source com.activeviam.risk.ref.source.config.sensi.complete AScalarSensiCsvSourceConfig
ASensiCsvSourceConfig
AStdSensiCsvSourceConfig
ScalarSensiAzureCsvSourceConfig
ScalarSensiLocalCsvSourceConfig
SensiAzureCsvSourceConfig
SensiLocalCsvSourceConfig
SensiSourceConfiguration
SensiSourcePatternsConfig
com.activeviam.risk.ref.cfg.sensi.summary.impl.source com.activeviam.risk.ref.source.config.sensi.summary ASensiImportCsvSourceConfig
SensiImportAzureCsvSourceConfig
SensiImportLocalCsvSourceConfig
SensiSummarySourceConfiguration
com.activeviam.risk.ref.cfg.var.impl.source com.activeviam.risk.ref.source.config.var.complete VaRAzureCsvSourceConfig
VaRCsvSourceConfig
VaRLocalCsvSourceConfig
VarSourceConfiguration
com.activeviam.risk.ref.cfg.var.summary.impl.source com.activeviam.risk.ref.source.config.var.summary VaRSummaryAzureCsvSourceConfig
VaRSummaryCsvSourceConfig
VaRSummaryLocalCsvSourceConfig
VarSummarySourceConfiguration

Configuration of measures

The measure chains for the VaR, PnL, Sensitivity and Market Data cubes are now configurable through Spring beans.

For more information, see Configuring measures using Spring Beans.

Measure configuration packaging improvements

The Sensitivity cube inheritance hierarchy defining the measures has been replaced by a simplified structure, consistent with the other cubes.

For a detailed description of the concept and methods of customization, see Configuring measures using Spring Beans.

Removed packages

Removed package Contents
com.activeviam.risk.starter.cfg.pivot.builders.sensi Inheritance hierarchy defining measure building logic based on concrete implementation classes for each sensitivity type.
com.activeviam.risk.starter.cfg.pivot.builders.var Measure building logic based on concrete implementation classes for each metric type.

Removed classes

Removed class Contents
com.activeviam.risk.starter.cfg.pivot.impl.DayToDayMetric Logic for the creation of Copper measures for day-to-day differences for a given measure.
com.activeviam.risk.starter.cfg.pivot.impl.IncrementalMeasureConfig Helper methods for the creation of incremental VaR and ES measures.
com.activeviam.risk.starter.cfg.pivot.impl.MarketDataCubeMeasuresConfig Configuration class containing the measure configuration for the Market Data cube.
com.activeviam.risk.starter.cfg.pivot.impl.PnlCubeMeasuresConfig Configuration class containing the measure configuration for the PL cube.
com.activeviam.risk.starter.cfg.pivot.impl.PnlSummaryCubeMeasuresConfig Configuration class containing the measure configuration for the PL Summary cube.
com.activeviam.risk.starter.cfg.pivot.impl.SensiCubeMeasuresConfig Configuration class containing the measure configuration for the Sensitivity cube, leveraging the inheritance hierarchy.
com.activeviam.risk.starter.cfg.pivot.impl.SensiSummaryCubeMeasuresConfig Configuration class containing the measure configuration for the Sensitivity Summary cube, leveraging the inheritance hierarchy.
com.activeviam.risk.starter.cfg.pivot.impl.VarESCubeMeasuresConfig Configuration class containing the measure configuration for the VaR-ES cube, leveraging the metric-specific measure builders.
com.activeviam.risk.starter.cfg.pivot.impl.VarESSummaryCubeMeasuresConfig Configuration class containing the measure configuration for the VaR-ES Summary cube, leveraging the metric-specific measure builders.

Added packages

Added package Contents
com.activeviam.risk.ref.measures.chains Configuration classes containing the definition of measure chains, as Spring beans, further split by cube and subset of functionality (e.g. sensitivity types, metrics). Helpers for the creation of measure chains.
com.activeviam.risk.ref.measures.factory Factory classes and interfaces containing the logic for the creation of measures, further split by cube.
com.activeviam.risk.ref.measures.parameters Objects used in the construction ([...]Parameters), naming and qualifying ([...]Names) of measures and their beans, further split by cube.
com.activeviam.risk.ref.measures.spring Classes containing the Spring mechanism for the definition and replacement of measure beans. Annotation classes specific to each cube.
com.activeviam.risk.starter.cfg.pivot.measures.config Configuration classes aggregating the chain classes by cube and subset of functionality (e.g. sensitivity types, metrics).

Input file formats

Added

None

Modified

None

Removed

None

Configuration files

Files Added

None

Files Modified

risk-config.properties

New properties:

Property Name Comment Value
daytoday.hierarchy The new day-to-day slicing analysis hierarchy DayToDay@Dates
start.index.level The new pnl start index analysis hierarchy PnLStartIndex@PnLStartIndex@PnLIndex
end.index.level The new pnl end index analysis hierarchy PnLEndIndex@PnLEndIndex@PnLIndex

Updated properties:

None

Deleted properties:

Property Name Comment
asofdate.hierarchy We now infer this value from the asofdate.level property
risk.properties

New properties:

Property Name Comment Value
asofdate.dtd.hierarchy.members List of specific members used to perform day-to-day operations in addition to the asOfDates Yesterday=DAY-1,Day-2=DAY-2,Tomorrow=DAY+1,End Of Month=EOM-1,End Of Quarter=EOQ-1,End Of Year=EOY-1

Updated properties:

None

Deleted properties:

Property Name Comment
enable.var.cube Moved to application.yaml and renamed.
enable.var.summary.cube Moved to application.yaml and renamed.
enable.sensi.cube Moved to application.yaml and renamed.
enable.sensi.summary.cube Moved to application.yaml and renamed.
enable.pnl.cube Moved to application.yaml and renamed.
enable.pnl.summary.cube Moved to application.yaml and renamed.
enable.common.cube Moved to application.yaml and renamed.
enable.market.cube Moved to application.yaml and renamed.
signoff.properties

Updated properties:

Property Name Comment New Value Old Value
sign-off.extraction.templates DEE templates used for Sign-off export can now be defined for cube-measure pairs. DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport
sign-off.extraction.templates.scalar Same as above DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiScalarCubeExport,SensiScalarAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;Sensitivity Cube:SensiScalarCubeExport,SensiScalarAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport
sign-off.adjustments.cube.hierarchiesToExclude.VaR-ES\u0020Cube The hierarchies that are not part of the cube-level adjustment location in the VaR-ES Cube Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk,DayToDay@Dates Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk
sign-off.adjustments.cube.hierarchiesToExclude.Sensitivity\u0020Cube The hierarchies that are not part of the cube-level adjustment location in the Sensitivity Cube Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,DynamicMaturities@DynamicBucketing,DynamicMoneyness@DynamicBucketing,DynamicTenors@DynamicBucketing,DayToDay@Dates Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,DynamicMaturities@DynamicBucketing,DynamicMoneyness@DynamicBucketing,DynamicTenors@DynamicBucketing
sign-off.adjustments.cube.hierarchiesToExclude.PLCube The hierarchies that are not part of the cube-level adjustment location in the PnL Cube Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL,DayToDay@Dates Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL
application.yaml

New properties:

Property Name Comment Value
configuration: Subsection for the application start-up modes.
    sign-off: Sign-off configuration.
        enable: Toggle for including sign-off configuration and services in the running application. false
    data-model: Data model configuration.
        scalar-sensitivities: Toggle for scalar sensitivities. The default false value loads sensitivities as vectors. false
        aggregated: Toggle for importing aggregated data into the application. false
    data-load: Data loading configuration.
        source: The type of source to be used. Options are local-file-system and azure-data-loading. local-file-system
 cubes: Subsection for ActivePivot cubes.
  enable: Subsection for enabling and disabling individual cubes.
   var: Enable (true) or disable (false) the Var-ES cube. true
   var-summary: Enable (true) or disable (false) the Var-ES Summary cube. true
   pnl: Enable (true) or disable (false) the PnL cube. true
   pnl-summary: Enable (true) or disable (false) the PnL Summary cube. true
   sensi: Enable (true) or disable (false) the Sensi cube. true
   sensi-summary: Enable (true) or disable (false) the Sensi Summary cube. true
   market: Enable (true) or disable (false) the Market Data Cube. true
   common: Enable (true) or disable (false) the MRACombinedCube. true

Files Deleted

None

Datastores

Added stores

None

Modified stores

None

Deleted stores

None

Cube schema

Added

Cube Dimension Hierarchy Levels Datastore fields Details
Market Data srcCurrency Currencies [ALL, srcCurrency] Filled by IFxRates::getAvailableCurrencies Source currency for FX Rate and Market Data.
Market Data Risk Maturities Secondary [ALL, Maturity2, Maturity Date2] MarketData: MaturityLabels, MaturityDates Used for underlying comparison between maturities.
Market Data Risk Maturities [ALL, Maturity, Maturity Date] MarketData: MaturityLabels, MaturityDates Used to display maturity of a market data.
Market Data Risk Moneyness Secondary [ALL, Moneyness2] MarketData: MoneynessLabels Used for underlying comparison for moneyness.
Market Data Risk Tenors Secondary [ALL, Tenor2, Tenor Date2] MarketData: TenorLabels, TenorDates Used for underlying comparison between tenors.
Market Data Risk Tenors [ALL, Tenor, Tenor Date] MarketData: TenorLabels, TenorDates Used to display the tenor of a market data.
Market Data Sensitivity Kind Sensitivity Kind [ALL, Sensitivity Kind] Computed from the regexp in property file starting with: sensi.type. This provides the type of sensitivity (if any) that uses market data.

Modified

None

Removed

None

Measures

Added

Cube Measure Details
Market Data Current MD Market data.
Market Data Current MD Interpolated Market data with interpolation.
Market Data Current MD Abs Market data expressed in an absolute unit (like a currency).
Market Data Current MD Abs Interpolated Market data expressed in an absolute unit (like a currency) with interpolation.
Market Data Current MD Rel Market data expressed in a relative unit, like a percentage.
Market Data Current MD Rel Interpolated Market data expressed in a relative unit, like a percentage, interpolated.
Market Data Current MD Native Market data without any FX conversion.
Market Data Current MD Abs Native Market data expressed in an absolute unit (like a currency) without any FX conversion.
Market Data Current MD Abs Interpolated Native Market data expressed in an absolute unit (like a currency) with interpolation, without any FX conversion.
Market Data Current MD Interpolated Native Market data with interpolation without any FX conversion.
Market Data Current MD Rel Native Market data expressed in a relative unit, like a percentage, without any FX conversion.
Market Data Current MD Rel Interpolated Native Market data expressed in a relative unit like %, interpolated, without any FX conversion.
Market Data FX Rate FX Rate from source to target currency.
Market Data FX Shift FX Shift vector applied to the exchange rate to mimic the historical FX rate for VaR currency conversion.
Market Data FX Shift StdDev The standard deviation of the FX Shift vector applied to the exchange rate.
Market Data Shift Correl Correlation between two shift vectors.
Market Data Shift Vector Market Shift vector, not interpolated, not normalized.
Market Data Shift Vector StdDev Standard deviation of the Market Shift vector, not interpolated, not normalized.
Market Data Shift Vector Interpolated Market Shift vector, interpolated, not normalized.
Market Data Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector, interpolated, not normalized.
Market Data Shift Vector Normalized Market Shift vector, not interpolated, normalized to fit the sensitivity.
Market Data Shift Vector Normalized StdDev Standard deviation of the Market Shift vector, not interpolated, normalized.
Sensitivity Correlation Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensitivity Correlation Shift Vector Interpolated Normalized Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensitivity Correlation Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensitivity Correlation Shift Vector Interpolated Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensitivity Correlation Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized
Sensitivity Correlation Shift Vector Normalized Market Shift vector used by the Correlation sensitivity, not interpolated, normalized
Sensitivity Correlation Shift Vector StdDev Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized
Sensitivity Correlation Shift Vector Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized
Sensitivity CrossGamma Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensitivity CrossGamma Shift Vector Interpolated Normalized Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensitivity CrossGamma Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensitivity CrossGamma Shift Vector Interpolated Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensitivity CrossGamma Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized
Sensitivity CrossGamma Shift Vector Normalized Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized
Sensitivity CrossGamma Shift Vector StdDev Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized
Sensitivity CrossGamma Shift Vector Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized
Sensitivity Delta Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensitivity Delta Shift Vector Interpolated Normalized Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensitivity Delta Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensitivity Delta Shift Vector Interpolated Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensitivity Delta Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized
Sensitivity Delta Shift Vector Normalized Market Shift vector used by the Delta sensitivity, not interpolated, normalized
Sensitivity Delta Shift Vector StdDev Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized
Sensitivity Delta Shift Vector Market Shift vector used by the Delta sensitivity, not interpolated, not normalized
Sensitivity Gamma Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensitivity Gamma Shift Vector Interpolated Normalized Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensitivity Gamma Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensitivity Gamma Shift Vector Interpolated Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensitivity Gamma Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized
Sensitivity Gamma Shift Vector Normalized Market Shift vector used by the Gamma sensitivity, not interpolated, normalized
Sensitivity Gamma Shift Vector StdDev Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized
Sensitivity Gamma Shift Vector Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized
Sensitivity Vanna Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensitivity Vanna Shift Vector Interpolated Normalized Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensitivity Vanna Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensitivity Vanna Shift Vector Interpolated Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensitivity Vanna Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized
Sensitivity Vanna Shift Vector Normalized Market Shift vector used by the Vanna sensitivity, not interpolated, normalized
Sensitivity Vanna Shift Vector StdDev Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized
Sensitivity Vanna Shift Vector Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized
Sensitivity Vega Shift Vector Interpolated Normalized StdDev Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensitivity Vega Shift Vector Interpolated Normalized Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensitivity Vega Shift Vector Interpolated StdDev Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensitivity Vega Shift Vector Interpolated Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensitivity Vega Shift Vector Normalized StdDev Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized
Sensitivity Vega Shift Vector Normalized Market Shift vector used by the Vega sensitivity, not interpolated, normalized
Sensitivity Vega Shift Vector StdDev Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized
Sensitivity Vega Shift Vector Market Shift vector used by the Vega sensitivity, not interpolated, not normalized
Sensitivity TaylorVectorExpand PnL Vector for the Taylor VaR, expanded into individual constituents
Sensitivity Correlation TaylorVectorExpand “PnL Vector generated by the Correlation sensitivity for the Taylor VaR, expanded into individual constituents
Sensitivity CrossGamma TaylorVectorExpand “PnL Vector generated by the CrossGamma sensitivity for the Taylor VaR, expanded into individual constituents
Sensitivity Delta TaylorVectorExpand “PnL Vector generated by the Delta sensitivity for the Taylor VaR, expanded into individual constituents
Sensitivity Gamma TaylorVectorExpand “PnL Vector generated by the Gamma sensitivity for the Taylor VaR, expanded into individual constituents
Sensitivity Vanna TaylorVectorExpand “PnL Vector generated by the Vanna sensitivity for the Taylor VaR, expanded into individual constituents
Sensitivity Vega TaylorVectorExpand “PnL Vector generated by the Vega sensitivity for the Taylor VaR, expanded into individual constituents

Modified

None

Removed

None

Context values

Added

None

Modified

None

Removed

Name Details
PnLStart and PnLEnd Replaced by the analysis hierarchies PnLStartIndex@PnLStartIndex@PnLIndex and PnLEndIndex@PnLEndIndex@PnLIndex. See summary for details.
DayToDayDifference Replaced by the analysis hierarchy DayToDay@DayToDay@Dates. See summary for details.

Other changes

Sign-off service

The classes SignOffRestService and SignOffServiceConfig have been modified to support level depths in the definition of the Sign-off scope.

New sign-off DEE template

The DEE template VaRESCubeMetricVaROnlyExport.json has been added.

Updated and fixed JAXB mapping configuration

The file risk-jaxb-mapping.xml has been fixed and updated with the correct JAXB mappings needed to serialize context values in SOAP requests if flat context values are not used. For more information, see risk-jaxb-mapping.xml.