Migration notes 5.3

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

Migrate to 5.3.0

Upgrading from version 5.2.0 - see Atoti Market Risk 5.3 Release Notes.

• Atoti Market Risk uses Atoti Server 6.0.9 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

• Java 17 upgrade : The Atoti Market Risk is now compatible with, and requires, Java 17. For more details, see Java 17 upgrade
• Spring Security upgrade : We have upgraded Spring Security to version 5.8.7 to resolve vulnerabilities and prepare for the upgrade to Spring Security 6.0 (via Spring Boot 3).
• Atoti Server upgrade : The Atoti Market Risk has been upgraded to Atoti Server 6.0.9.
• Solutions Tools BOM upgrade : The Solutions Tools BOM dependency has been upgraded to 2.0-AS6.0. All included tools are compatible with, and require Java 17.
• Merged unfiltered pre-aggregated sensitivity measures: Unfiltered, pre-aggregated technical sensitivity measures (e.g. Delta.Native.Vector.SUM.Technical, Gamma.Ladder.Native.Vector.SUM.Technical) are no longer split by sensitivity type. Generic replacement measures are provided: Sensitivities.Native.SUM.Technical/Sensitivities.Native.Vector.SUM.Technical, Sensitivities.Ladder.Native.Vector.SUM.Technical.
• Defined stores against the GLOBAL schema: All stores in the application are now defined against the GLOBAL schema. The AScalarDataAwareSchema functionality is now achieved through conditionally adding the correct store given the application run mode.
• Store and reference configuration classes are appropriately named: Store @Configuration classes are now named *StoreConfig and reference @Configuration classes are now named *ReferenceConfig.
• Removed ActiveMonitor module and dependency: The mr-activemonitor module is no longer part of the MR modules, and the associated dependencies have been removed.
• Refactored Sensitivities testing framework: Several improvements to the Sensitivities testing framework have been included, based on feedback.
• Cleaned up dimension configuration: @Configuration classes containing multiple dimension beans have been split up. Common static methods used in multiple similar dimensions are now available in standalone classes.
• Migration to ConfigurationProperties: The majority of MR properties have been migrated to Spring @ConfigurationProperties classes and the properties files have been consolidated.
• Simplified market data API: A preview version of a market data API has been introduced. It covers several features of the current market data API, while reducing complexity. The implementation and configuration classes of the current market data API have been marked as deprecated. For details, see Market Data APIs.

Breaking changes

• Upgrades

  • The MR 5.3.0 release is now compatible with, and requires Java 17.
  • The Solutions Tools BOM dependency has been upgraded to 2.0-AS6.0. All included tools are compatible with, and require Java 17.
  • The Spring Security configuration has been upgraded to version 5.8.7, for future compatibility with Spring 6.0. Customizations built on previous versions will need to be migrated.

• ConfigurationProperties

  • Due to the introduction of ConfigurationProperties, the names of almost every property used in Atoti Market Risk have changed.
  • A number of unused properties have been removed from properties files and have not been migrated to ConfigurationProperties.
  • A number of properties have been moved to the application.yaml file from other properties files. We will generally prefer to use the application.yaml file because IDEs tend to offer auto-completion and documentation features for this file.
  • A number of property files that have been removed are no longer imported into the application.
  • Static constants that referred to property names have been removed.
  • The most complex properties have been deconstructed to provide a cleaner interface, so the way those properties are defined has changed.
  • Many classes set fields to property values by using the Spring @Value annotation, directly on the field or on a constructor parameter. For all those properties that are now located in ConfigurationProperties classes, these @Value annotations have been replaced by the relevant ConfigurationProperties class.
  • Significant changes have been made to the measure parameter classes, which aggregate and provide access to property values.
  • The keys used to set properties on a number of post-processors have changed, as have the corresponding constants.
  • The static factory methods for a number of post-processors have changed.
  • Removed autowired Environment attributes from classes where this is no longer required.
  • Removed the ISpringEnvAware interface.
  • Removed the getCalculationMethod method on the CommonPostProcessorUtils class.
  • Removed getReferences/getSuffix/getFolder methods on the ATaylorFactory/AVaRESFactory classes.
  • The getFormulaInput method on the IInputSelector interface now returns a SensitivityInput type instead of a String.
  • The copyFilesToWhatif and the createBranch methods on the FileUploadWhatIfService class, and the createBranch method on the FileUploadWhatIfRestfulService class now expect Paths as input instead of Strings.

• Misc

  • All the dimensions, hierarchies, and level static names are now grouped in the file DimensionConstantsConfig, the dimensions constants are suffixed with _DIMENSION, the hierarchies are suffixed with _HIERARCHY, and the levels with _LEVEL.
  • The SensiAggregatedCubeExport, SensiScalarAggregatedCubeExport and SensiSummaryExport DEE templates have been updated.
  • The Source and InputType columns have been removed from the default Summary Cube input files.
  • The ATenorAwareSchema class has been moved to the mr-common-config module, and its package has been changed accordingly.
  • The improvements to the Sensitivities testing framework have resulted in several changed classes.

Input file formats

The Source and InputType columns have been removed from the default Summary Cube input files (below). These columns are required for Sign-Off enabled applications and you should continue to include them if you have Sign-Off enabled. However, by default, Sign-Off is disabled, so they have been removed from the default reference files in src/main/resources/data. In this same directory you will still find the old files, which you can use instead. These are named in the format Sensitivity Signoff Cube....

• PLCube.csv
• Sensitivity Cube.csv
• VaR ES Cube.csv

Datastores

Removed

The following fields have been removed from the stores, but only where Sign-Off is disabled (configuration.sign-off.enabled=false). These fields are only required for Sign-Off. In a Sign-Off enabled application they are still present.

Cube schema

Removed

The following hierarchy has been removed from the Summary Cubes, but only where Sign-Off is disabled (configuration.sign-off.enabled=false). This hierarchy is only required for Sign-Off. In a Sign-Off enabled application, it is still present.

Measures

Added

Merging pre-aggregated sensitivity measures

Removed

Merging pre-aggregated sensitivity measures

Configuration classes

Files added

Dimensions configuration

Application configuration

Files Modified

Dimensions configuration

CSV configuration

In the interface ISourceConfiguration:

• the constant DEFAULT_CSV_SEPARATOR has been removed, as the default separator for CSV sources is now defined in the CSVProperties ConfigurationProperties class.
• the method ``CSVProperties getCsvProperties()` has been added.
• the signature of the method defineTopic changed: the parameter Environment env has been removed.

As a consequence, in the default implementation of the method defineTopic in the interfaces ILocalCsvSourceConfig and ILocalCsvSourceConfig, the getCsvProperties() method is used instead of the logic used with the Environment env parameter.

In the abstract class ACSVSourceConfig:

• the attribute representing the Spring environment has been removed.
• the attribute IDatastoreConfig datastoreConfig is no longer autowired.
• the following constants have been removed:
  • DEFAULT_CSV_PARSER_THREADS
  • DEFAULT_CSV_BUFFER_SIZE
  • DEFAULT_CSV_LINES_TO_SKIP
    They have been replaced by default values for the attributes of the CSVProperties ConfigurationProperties class.
• a new attribute representing the CSVProperties ConfigurationProperties has been added, with the corresponding getter method.

As a consequence, the implementation of the abstract class ACSVSourceConfig now inject the following attributes in their constructors:

• IDatastoreConfig datastoreConfig
• CSVProperties csvProperties Here is the list of those implementations:

Measures configuration

Merging pre-aggregated sensitivity measures

Store configuration

All store and reference @Configuration classes are now appropriately named.

Application configuration

Changes to configuration classes

Added beans

The following beans have been added in the mr-common-config module. They can be replaced by defining a new bean, with the relevant @Qualifier and an @Primary annotation.

The MaturityConverterConfig class no longer implements the interface IMaturityConverterConfig, that was unused.

Modified beans

The following qualifiers have been added to existing beans. Those beans can be replaced by defining a new bean, with the relevant @Qualifier and an @Primary annotation.

Changes to conditional interfaces

The @ConditionalOnLocalData will now match if the corresponding mr.data-load.source property is not set.

Files removed

Store configuration

Dimensions configuration

Properties

With this release, the vast majority of MR properties have been migrated to Spring ConfigurationProperties classes. This ensures that each property has a single source of truth for default values, and allows us to inject properties throughout the codebase in a type-safe, reusable manner. Furthermore, developers gain useful auto-completion - including descriptions, default, and available values - when updating property values in the application.yaml or application.properties file.

• Removed properties files
• Removed properties
• Moved to application.yaml
• Migrated to ConfigurationProperties classes
  Also see this spreadsheet for an overview of all the MR properties now contained in ConfigurationProperties classes.

Changes to properties files

Removed properties files

Properties that are defined in ConfigurationProperties classes no longer need to be present in .properties or .yaml files, and so we have been able to remove a number of property files:

• greek-based-pl-formula-rules.properties
• hibernate.properties
• mr-config.properties
• mr.properties
• signoff.export.properties
• signoff-properties

Properties in these files will no longer be imported into the application.

Changes to properties

Removed properties

A number of properties have been removed as they were no longer used:

Modified properties

Moved to application.yaml

A number of properties have been moved to the application.yaml file:

Migrated to ConfigurationProperties classes

The majority of the remaining properties have been migrated to ConfigurationProperties classes and removed from the properties files.

ConfigurationProperties enforce hierarchical naming for properties that are grouped in the same class. As a result, most of the properties in MR have been renamed. We have taken this opportunity to apply a few semantic rules to property names:

• each MR property is now prefixed with mr..
• where a property is used in relation to another tool, that tool is included in the prefix, e.g. mr.sign-off.date-hierarchies or mr.whatif.file-upload.
• where a property is solely used in a module or predominantly relates to a module, that is indicated in the prefix, e.g. mr.sensi.agg-cache, or mr.sign-off.sensi.levels.

In some cases there is a one-to-one mapping between an old property name and a new property name, and you simply have to swap the old for the new in your properties/yaml files. For example bucketing.days.month is now mr.bucketing.days.month.

In other cases, we have deconstructed the more complex properties to provide a cleaner interface.

In simple cases we have taken properties where the value is a string containing a comma-separated list and converted it to a property of type list. For example, you may have previously used mr.bucketing.sets.maturities=DEFAULT,REDUCED, whereas you would now use:

in yaml format:

bucketing:
  sets:
    maturities:
      - DEFAULT
      - REDUCED

in properties format:

bucketing.sets.maturities[0]=DEFAULT
bucketing.sets.maturities[1]=REDUCED

This provides type safety and allows you to focus on providing the appropriate values rather than ensuring the correct format is used.

In more complex cases the properties have been deconstructed further:

• properties in the greek-based-pl-formula-rules.properties prefixed with formula.rule have been deconstructed. Previously, each of these properties contained a sensitivity type and a risk class in the name, and the value was a comma-separated list of rule components, i.e. formula.rule.<sensi_name>.<risk_class>=<type>,<shift>....
  Now, the components have been separated into distinct properties. Default properties have been provided for each of the previously defined rules and custom rules can be provided for a new risk class on an existing sensitivity, or a new sensitivity and risk class. This would appear as follows:

mr:
  sensi:
    rules:
      delta:
        base:
          type: ABSOLUTE
          ...
        custom:
          my-new-risk-class:
            type: RELATIVE
            ...
      custom:
        my-new-sensi:
          mew-new-risk-class:
            type: RELATIVE
            ...

• properties named (maturities|moneyness|tenors).fact.levels.* had values that were maps of sensitivity types to lists of levels, for instance, maturities.fact.levels.labels=Vega::Maturity@Maturities@Risk,Vanna::Maturity@Maturities@Risk,Volga::Maturity@Maturities@Risk. Each sensitivity type that was previously defined is now a separate property and the value is a list of LevelIdentifiers. Lists can also be provided for custom sensitivity types. For example:

mr:
  maturities:
    vanna-fact-levels:
      - Maturity@Maturities@Risk
    custom-fact-levels:
      delta:
        - Maturity@Maturities@Risk

• the sign-off.extraction.templates property contained a similar map of cubes to a list of filenames, for instance, DEFAULT:CubeAdjustmentExport,FXRateExport,BookParentChildExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport,VaRSummaryExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport,PnLSummaryExport. This property is now a map type with the cube name as the key and a strongly-typed ExportFilenamesMdxTemplate class as the value. For example:

mr:
  sign-off:
    extraction:
      templates:
        var-es:
          cube-name: VaR-ES Cube
          export-file-names: VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport,VaRSummaryExport
        pl:
          cube-name: PLCube
          export-file-names: PLCubeExport,PLAggCubeExport,VaRESCubeMetricExport,PnLSummaryExport

• for properties prefixed with formula.input, formula.order, or sensi.type, you could configure custom sensitivity types by appending the type to the property prefix, for example formula.input.my-new-type. These properties have now been grouped under the mr.sensi.types prefix. To add new sensitivity types, you now add custom to the prefix: mr.sensi.types.custom.my-new-type.(input|order|regex).

This spreadsheet provides an overview of all the MR properties now contained in ConfigurationProperties classes, along with the type of the property, a description, the default value, and the old property(s) that it replaces.

Unchanged properties

Atoti Market Risk includes configuration for Atoti Data Connectors and Atoti Sign-Off. Neither of these have been migrated to ConfigurationProperties and so properties for these continue to be externalized in properties files (dee.export.properties, azureCredentials.properties and application.yaml). Where these properties are accessed in the code, the Spring @Value annotation is used.

ConfigurationProperties classes

A number of new ConfigurationProperties classes have been created. These are all public, however, they are final and all fields are immutable. Where the class implements an interface, we would suggest using this in your application. The classes are structured to provide the best API for setting properties. For example, by using inner classes for nested properties. The interfaces abstract this implementation to provide simplified access for properties, often in a way that is consistent with the previous format of the property.

Changes to impacted classes

The move to ConfigurationProperties has impacted a number of areas of the codebase. These additional changes are indicated here:

• Removal of static constants
• MeasureParameter classes
• Class constructors
• Post-processors
• Removal of autowired Environment fields
• Aware interfaces
• Formatter properties
• Sensitivity rule and type properties
• Metric properties
• What-If properties
• Sign-Off properties
• FXProperties
• BucketingDayProperties

Removal of static constants

A number of static constants existed to refer to property names. These have now been removed. The removed constants are as follows:

Changes to MeasureParameter classes

The measure parameter classes and interfaces are largely constructed with property values and return property values from their method calls. As a result, they have changed significantly with the move to ConfigurationProperties. These changes are as follows:

Changes to class constructors

Many classes set fields to property values by using the Spring @Value annotation, directly on the field or on a constructor parameter. For all those properties that are now contained within ConfigurationProperties classes, these @Value annotations have been replaced by the relevant ConfigurationProperties class. In accordance with Spring best practice, we have preferred constructor injection to autowiring at field level. Therefore, the constructors for many classes have changed (some substantially) whilst other classes now have a constructor where previously they did not. Every constructor change is not listed exhaustively here but the affected classes are as follows:

• ACopperPostProcessor
• ACopperWPostProcessor
• ATenorAwareSchema
• CashSourceParameters
• CopperESPostProcessors
• CopperETGPostProcessor
• CopperShiftPercentilePostProcessor
• CopperVaEPostProcessor
• CopperVaRPostProcessors
• CopperWEsPostProcessor
• CopperWEtgPostProcessors
• CopperWVaEPostProcessors
• CopperWVaRPostProcessor
• CorrelationSourceParameters
• CrossGammaSourceParameters
• CubeLevelAdjustedMeasuresBuilder
• DateWithMarketShiftDateDimensionConfig
• DeltaSourceParameters
• DQMarketDataCubeAggregateProviderConfig
• DQPnlCubeAggregateProviderConfig
• DQSensiCubeAggregateProviderConfig
• DQVarESCubeAggregateProviderConfig
• FileUploadWhatIfService
• GammaSourceParameters
• InitialDataDirectQueryConfig
• InputSelector
• InterpolationConfiguration
• LocalContentServiceConfig
• MarketDataCubeAggregateProviderConfig
• MarketDataCubeDimensionsConfig
• MarketDataStoreConfig
• MarketShiftStoreConfig
• MaturityConverterConfig
• MRCombinedCube
• MRCombinedCubeAggregateProviderConfig
• MRCombinedCubeAlias
• PnlCubeAggregateProviderConfig
• PnlCubeMeasuresConfig
• PnLExplainFormulaProvider
• PnLlCubeConfig
• PnLSignOffAnalysisConfig
• PnlSummaryCubeConfig
• RemoteContentServiceConfig
• RiskPostProcessorInjector
• ScalarSensiCsvSourceParametersProviderConfig
• SensiCubeAggregateProviderConfig
• SensiCubeConfig
• SensiCubeContextValueConfig
• SensiCubeDimensionsConfig
• SensiHierarchyUtilsConfig
• SensiSignOffAnalysisConfig
• SensiSummaryCubeConfig
• SensiSummaryCubeDimensionsConfig
• SensitivitySignOffMeasuresConfig
• SignOffTaskConfig
• StaticResourcesHandler
• StdSensiCsvSourceParametersProviderConfig
• ThetaSourceParameters
• TradeSensitivitiesStoreConfig
• VannaSourceParameters
• VarESCubeAggregateProviderConfig
• VarESCubeConfig
• VarESCubeContextValueConfig
• VarESCubeDimensionsConfig
• VarESCubeMeasuresConfig
• VarESSummaryCubeConfig
• VarESSummaryCubeDimensionsConfig
• VarSignOffAnalysisConfig
• VectorMarketDataStoreConfig
• VegaSourceParameters
• VolgaSourceParameters

Changes to post-processors

The keys used to set properties on a number of post-processors have changed, as have the corresponding constants. These are as follows:

Additionally, the static factory methods for a number of post-processors have changed. Where previously they required the Environment to be passed as a parameter, they now require one or more configuration class. These are as follows:

Removal of autowired Environment fields

The Spring Environment class has been removed as an autowired field from a number of classes, these are:

• FileUploadWhatIfSubmitter
• ASecurityConfig
• StaticResourcesHandler
• FileUploadAddressSuppliers

Changes to Aware interfaces

The ISpringEnvAware interface has been removed as no post-processors now retrieve properties directly from the Environment. The IPnlDistributionAware interface has been added to allow the PnLDistributionPostProcessor to retrieve configuration. The IReferenceLevelsAware interface has been added to allow reference levels to be set for relevant postprocessors.

Changes to formatter properties

The String getDoubleFormatter() method on the IStatisticalMeasures interface has been replaced by the IFormatterService getFormatters() method.

The ILadderExpansionMeasures.getIdentityMeasure and the INativeCurrencyMeasures.getIdentityMeasure methods now expects an IFormatterService parameter in place of a String format.

Changes to sensitivity rule and type properties

The getCalculationMethod methods have been removed from the CommonPostProcessorUtils classes. This functionality is now provided by the ISensiRuleConfigurationService interface and the corresponding SensiRuleProperties` class.

The getFormulaInput method on the IInputSelector interface now returns a SensitivityInput type, in place of a String. This is intended to provide type-safety.

The ABSOLUTE, RELATIVE, FX_RELATIVE & DHS constants on the PnLExplainFormulaProvider class have been removed. The SensiRuleType class should be used instead for type-safety. There are a number of static constant singletons on this class, each representing one of the previous constants.

The SENSI_ONLY, LADDER_ONLY, LADDER_FIRST constants on the SensitivitiesConstants class have been removed. The SensiInput enum should be used instead for type-safety.

Changes to metric properties

The abstract measure factory classes - ATaylorFactory/AVaRFactory - previously provided methods which returned metric configuration from properties: getReferences/getSuffix/getFolder. This configuration is now encapsulated in the IMetricsService interface and the corresponding MetricsProperties class. Therefore, these methods have been removed. You can instead retrieve the IMetricsService from the corresponding get method on the ATaylorChain/AVaRESChain abstract chain classes. All provided measure chains have been updated to use the new service.

Changes to What-If properties

The following method signatures have changed to improve type-safety:

• FileUploadWhatIfService.copyFilesToWhatif - now expects a Path[] instead of a String[]
• FileUploadWhatIfService.createBranch - now expects a Path instead of a String
• FileUploadWhatIfRestfulService.createBranch - now expects a Path[] instead of a String[]

Changes to Sign-Off properties

Changes to FXProperties

In the configuration classes in which the old properties were used, the FXProperties ConfigurationProperties class is now used instead. In the following classes or beans, the FXProperties class is injected in the constructor:

Also, the CurrenciesDimensionConfig does not use autowiring anymore for the attribute sensiCurrencyHierarchies, but constructor injection for the bean CurrencyDimensionConfig.currencyDimension.

In the following, class, the FXProperties class is autowired:

Changes to BucketingDayProperties

Java 17 upgrade

The Solution is now built and intended to be run within a Java 17 JVM. Some functionality in the full application and in the regressions tests requires deep reflection access to Java packages. To enable access, please use the following JVM parameters, either through the command line or maven surefire/failsafe configuration.

--add-opens=java.base/java.util.concurrent=ALL-UNNAMED
--add-opens=java.base/java.nio=ALL-UNNAMED

Other changes

Spring Security upgrade

We have upgraded to Spring Security 5.8.7. To do so, we override the version of Spring Security in Spring Boot by importing the common-dependencies-bom version 1.2.0 into the parent pom file. The common-dependencies-bom overrides the Spring Security version using Spring’s migration guide.

You will eventually need to migrate your own custom security configuration(s) in preparation for Spring Security 6.0. We have upgraded our out-of-the-box security configurations to help in this migration.

The default security users and roles have not changed, only the way we implement the security. We have done so by making the following changes:

Stop Using WebSecurityConfigurerAdapter

We have replaced instances of WebSecurityConfigurerAdapter with SecurityFilterChain beans.

Use the new requestMatchers methods

In Authorize Http Requests, we have replaced invocations of http.authorizeHttpRequests((authz) -> authz.antMatchers(...)) with http.authorizeHttpRequests((authz) -> authz.requestMatchers(...)).

Use the new securityMatchers methods

We have replaced invocations of http.antMatchers(...) with http.securityMatchers(...).

As an example of the previous changes, the configuration for accessing the endpoint which exposes the JWT token changed from:

@Configuration
@Order(1)
public static abstract class AJwtSecurityConfigurer extends WebSecurityConfigurerAdapter {

   @Autowired
   protected ApplicationContext context;

   @Autowired
   @Qualifier(BASIC_AUTH_BEAN_NAME)
   protected AuthenticationEntryPoint authenticationEntryPoint;

   @Override
   protected void configure(HttpSecurity http) throws Exception {
      http
              .antMatcher(JwtRestServiceConfig.REST_API_URL_PREFIX + "/**")
              // As of Spring Security 4.0, CSRF protection is enabled by default.
              .csrf().disable()
              // Configure CORS
              .cors().and()
              .authorizeRequests()
              .antMatchers("/**").hasAnyAuthority(ROLE_USER)
              .and()
              .httpBasic().authenticationEntryPoint(authenticationEntryPoint);
   }
}

to

@Bean
@Order(1)
public SecurityFilterChain jwtSecurityFilterChain(HttpSecurity http,ApplicationContext applicationContext){
final AuthenticationEntryPoint basicAuthenticationEntryPoint = applicationContext.getBean(BASIC_AUTH_BEAN_NAME,AuthenticationEntryPoint.class);
        return http
            // As of Spring Security 4.0, CSRF protection is enabled by default.
            .csrf(AbstractHttpConfigurer::disable)
            // Configure CORS
            .cors().and()
            .securityMatcher(url(JwtRestServiceConfig.REST_API_URL_PREFIX,WILDCARD))
            .authorizeHttpRequests(
                auth->auth.requestMatchers(HttpMethod.OPTIONS,url(WILDCARD))
                .permitAll()
                .anyRequest()
                .hasAnyAuthority(ROLE_USER))
            .httpBasic(basic->basic.authenticationEntryPoint(basicAuthenticationEntryPoint))
            .build();
        }

Hierarchy definitions

All the dimensions, hierarchies, and level static names are now grouped in the file DimensionConstantsConfig, the dimensions are suffixed with _DIMENSION, the hierarchies are suffixed with _HIERARCHY, and the levels with _LEVEL.

Export templates

The SensiAggregatedCubeExport, SensiScalarAggregatedCubeExport and SensiSummaryExport DEE templates have been updated to use Sensitivities.Native.SUM.Technical, Sensitivities.Native.Vector.SUM.Technical, and Sensitivities.Ladder.Native.Vector.SUM.Technical as appropriate.

ActiveMonitor removal

Sensitivity testing improvements

The SensiMeasureTestConfig class is no longer an abstract base class for tests. A SensitivityMeasureTestBase class is provided as a replacement, with more Atoti Server components exposed as Spring Beans.

For usage details, see Testing.

Sign-off REST service

In the class SignOffRestService, the initiate(…) method has been updated following changes in the common library API.

Market Data APIs

Some code changes have been made for the new Market Data API:

• Classes have been moved from the mr-sensi-config to the mr-common-config module and to a different package:

• The new TestDimensionsFilter class has been created in the mr-common-config test package: it is an implementation of the DimensionsFilter interface.

• The following constants corresponding to fields in the newly added market data stores have been added to the StoreFieldConstants class:

• The following constants corresponding to the names of the newly added market data stores have been added to the StoreConstants class:

• The ATenorAwareSchema class has been changed:

  • It is no longer conditional on the sensitivities cube being enabled (tha annotation @ConditionalOnSensitivityCubeEnabled has been removed).
  • It has been made abstract.

• The following bean has been added in the mr-application module. It can be replaced by defining a new bean, with the relevant @Qualifier and an @Primary annotation.

The constant SP_QUALIFIER__DAILY_SENSI_CONFIG_STORES has been added to the SpringConstants class.

• In the DataLoadControllerFileConfig class, the constants corresponding to the new market data stores have been added to switch statements.

• The configuration and implementation classes for the current Market Data API have been marked as deprecated, to discourage new customizations from using them as a starting point.

Integration test changes

In the mr-application-tests module, several files have been changed in the folder src/test/resources/legacy-test-data that contains input data used for integration tests to fix errors and inconsistencies in the test input data. The changes impact some of the expected results in the folders test-bookmarks and test-bookmarks-combined.