Changelog

For user-facing changes, refer to the What’s New page. For information on upgrading from previous versions, see the Atoti Market Risk Migration Notes.

5.4.1

2024-10-24

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.17-sb3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• Upgrade to Atoti 6.0.17-sb3 : This picks up the latest bug fixes and optimizations from Atoti.
• Fix security vulnerabilities : The Spring Boot dependencies have been upgraded to version 3.2.10 and Data Connectors has been upgraded to version 4.1.2-AP6.0-sb3 to fix security vulnerabilities.
• Fix Swagger UI : Swagger UI is now accessible and documents the REST endpoints in Atoti Market Risk.
• Fix Logback file configuration : The mr-application/src/main/resources/logback-spring-file.xml configuration has been fixed and writes logs to a local file.
• Configurable parent child depth: You can now configure the maximum depth of parent-child hierarchies.
• Market Data chain changes: Market data chain has been changed: it is now required to add the sensitivity name and risk class levels in the views to display market data.
• Updated dashboards : A number of dashboards have been updated due to market data measure and context value changes. For details, see Updated dashboards.
• Compatibility with Atoti Sign-off 5.3: This version of Atoti Market Risk is compatible with Atoti Sign-off 5.3.
• Adjustment fixes: Cube level adjustments for the Sensitivity and VaR modules can now be executed and the adjusted values can be found in the UI by using the corresponding <measure>_adjusted measures. Deleting adjustments no longer fails when cubes are disabled.
• FX rate on a currency against itself: The contextual FX rate retriever returns 1.0 when the counter currency is the same as the base currency.
• Interpolation bug fix: The interpolation mode is now included in the cache key.

Known issues

None.

Dependency versions

Added

Changed

Fixed

5.4.0

2024-06-03

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.14-sb3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

Market Data API

• Market Data API: The new Market Data API has been significantly updated with new features. It has also been moved to dedicated modules, the market-data-api library module and the market-data-api-spring-boot-starter module for easy auto-configuration. The scalar market data measure chains been migrated to this API, and it should be used for any custom measures. The vectorized chains will not use this API until they are removed.
• CorporateAction store 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 handled in a new store: The SplitRatioMarketData store is used for the handling of stock split rations both for vectorized and scalar sensitivities.
• New input files for Dividends and stock Split Ratios: Those files replace the previous CorporateAction.csv file that is now deprecated.
• 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 MarketData.csv that is now deprecated and is used only for vectorized sensitivities.
• Real time: Market Data API and FX post-processors handle low-frequency real time and the real-time handler could be changed.
• FXRates store removed: Please use the new Market Data API store FxRateMarketData instead.
• The FX rate service uses the Market Data API: The FXRateWrapper, implementation of IFxRates, uses the Market Data API to get the FX rates, see Exchange Rate and Market Data API.
• Market Data Cube removed: Market data measures in the Sensitivities Cube need to be used to display market data instead of the Market Data Cube.
• Modules mr-market-data-lib and mr-market-data-config removed: Those modules were used for the configuration of the Market Data Cube.
• Migration of market data measure chains to new Market Data API: For scalar sensitivities, the market data measures are now defined using the new market data API.
• Migration of FX conversion to the new market data API.: The FX post-processor is now implemented with new market data API.
• Removed Debug measures: The debug market data measures and subsequent classes have been removed from the product.
• New interpolation option added to the Market Data API: The Market Data API now supports applying a volatility-to-variance transformation for surface input data and a variance-to-volatility transformation to the interpolation result, using the InterpolationMode.VOL_TO_VARIANCE interpolation mode.

Upgrades

• Atoti Server: Upgraded to Atoti Server 6.0.14-sb3.
• Spring Boot 3: Upgraded to Spring Boot 3.2.0, which uses Spring Framework 6.
• Hibernate: The application has been upgraded to Hibernate 6.3.1.Final.
• H2: The application has been upgraded to H2 2.2.224.
• Admin UI : The Admin UI has been upgraded to version 5.1.8.

Deprecation of vectorized sensitivities

• Vectorized sensitivities have been deprecated: Scalar sensitivities should be used instead of vectorized sensitivities.
• Default data model for sensitivities changed from vector model to scalar model.
• Scalar sensitivities default: The default data model for sensitivities changed from vector model to scalar model.
• Vector sensitivities deprecated: The vector sensitivities data model is deprecated and planned for removal.

DirectQuery

• Databricks: Added support for DirectQuery with Databricks.
• PnL explain with DirectQuery: PnL Explain is now working when both DirectQuery and In-Memory sensitivity cubes are used.

General configuration

• Security configuration : Some classes related to security configuration have been moved from the mr-common-config project to the mr-application project.
• Spring Profiles: Profile-based configuration has been replaced with properties (backwards compatible).
• Fluent post-processors : Post-processor metrics are now set up in a Fluent style. The levels and hierarchies use strong types. For more details, see Fluent post-processor setup.
• Specific alias classes for lambda generics: Lambda generics have been replaced with specific alias classes (e.g. MeasurePublisher for Consumer intended for publishing measures).
• Topic Aliases: The topic aliases used by the Data Load Controller (DLC) are now defined for each topic rather than in a single place during DLC initialization.
• Combined cube metrics: The metrics of the combined cube are now defined in the class MRCombinedCubeMeasuresConfig, their definition in pure Copper is also provided but should ne be used.

Catalog and Datastore fields changes

• Catalog name The catalog has been changed from MarketRiskAccelerator to MR.
• New moneyness default value: The default value of the moneyness field in the sensitivities and market data has been changed from ATM to N/A.
• Type change for date fields: The MaturityDate & TradeDate fields of the TradeAttributes store, and the MaturityDates and TenorDates fields of the TradeSensitivities store are now typed as Date instead of String. Code that requires these to be Strings will need updating.

VaR-ES Cube Adjustments

• VaR-ES Cube Adjustments: Added scenario-indexed adjustments for the PnL vectors.

Other

• New abstract tuple publisher: Introduced new abstract tuple publisher (ATableFormatTuplePublisher) for publishers where the file format does not match the table data model.
• Maturity Converter: Returns NaN or null instead of throwing an error.
• UI Activation: An import of react-query is required when using mr-sdk. See UI activation for more details.

Known issues

Dependency versions

Added

Changed

Removed

Fixed

5.3.0

2023-11-08

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.9 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• Java 17 upgrade : The Atoti Market Risk is now compatible with, and requires, Java 17.
• 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).
• Solutions Tools BOM : The Solutions Tools BOM has been upgraded to 2.0-AS6.0
• Removed Sign-Off hierarchies - Fixed a bug that caused the Sign-off Adjustment dimension to be included in summary cubes and Sign-Off fields expected in summary input files and stores, even when Sign-Off was not enabled.
• 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.
• 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. For limit monitoring functionality, see How to integrate Atoti Limits.
• Migration to ConfigurationProperties: The majority of MR properties have been migrated to Spring @ConfigurationProperties classes and the properties files have been consolidated.
• Virtual hierarchies: You can now use the virtual hierarchy feature on Atoti Market Risk directly from the configuration.
• 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.
• New SimpleQuantile implementation: Added a new implementation of IVaRQuantile: SimpleQuantile.

Known issues

Workaround for security configuration issue (MR-1626 )

To fix this issue, place the following code snippet in the file MRSecurityFilterChainsConfig for the beans managementFilterChain, dqRestServiceFilterChain and dqMigrationHelperFilterChain:

    @Bean
    @Order(6)
    public SecurityFilterChain managementFilterChain(HttpSecurity http, JwtAuthenticationConfigurer jwtAuthenticationConfigurer) throws Exception {
        return http
                // Only these URLs must be handled by this HttpSecurity
                .securityMatcher(url("/actuator", WILDCARD))
                .authorizeHttpRequests(
                        auth -> auth.requestMatchers(HttpMethod.OPTIONS, url("/actuator", WILDCARD))
                                .permitAll()
                                .anyRequest()
                                .hasAuthority(ROLE_ADMIN))
                .apply(jwtAuthenticationConfigurer)
                .and()
                .build();
    }

    @Bean
    @Order(7)
    public SecurityFilterChain dqRestServiceFilterChain(HttpSecurity http, JwtAuthenticationConfigurer jwtAuthenticationConfigurer) throws Exception {
        return http
                // Only these URLs must be handled by this HttpSecurity
                .securityMatcher(url("/directquery", WILDCARD))
                .authorizeHttpRequests(
                        auth -> auth.requestMatchers(HttpMethod.OPTIONS, url("/directquery", WILDCARD))
                                .permitAll()
                                .anyRequest()
                                .hasAuthority(ROLE_ADMIN))
                .apply(jwtAuthenticationConfigurer)
                .and()
                .build();
    }

    @Bean
    @Order(8)
    public SecurityFilterChain dqMigrationHelperFilterChain(HttpSecurity http, JwtAuthenticationConfigurer jwtAuthenticationConfigurer) throws Exception {
        return http
                // Only these URLs must be handled by this HttpSecurity
                .securityMatcher(url("/migrationHelper", WILDCARD))
                .authorizeHttpRequests(
                        auth -> auth.requestMatchers(HttpMethod.OPTIONS, url("/migrationHelper", WILDCARD))
                                .permitAll()
                                .anyRequest()
                                .hasAuthority(ROLE_ADMIN))
                .apply(jwtAuthenticationConfigurer)
                .and()
                .build();
    }

Dependency versions

Added

Changed

Fixed

5.2.3

2023-11-03

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.9 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• Atoti Server version: Upgraded to 6.0.9. This version solves a bug in the leaf aggregation in version 6.0.8.
• Common library: Upgraded to 1.13.7-AS6.0 to be compatible with Atoti Server 6.0.9.

Dependency versions

Changed

5.2.2

2023-10-25

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.8 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• Atoti Server version Upgraded to 6.0.8.
• Common Parent POM : The Common Parent POM has been upgraded to 1.2.0
• Common Dependencies BOM : The Common Dependencies BOM has been upgraded to 1.2.0
• Solutions Tools BOM : The Solutions Tools BOM has been upgraded to 1.3-AS6.0
• Volga Taylor VaR measures: Volga Taylor VaR measures have been added to the Solution.
• Statistical measures for interpolated market shift measures: The minimum, maximum, average, and percentile measures have been added for interpolated market shift measures.
• PnL Explain and Taylor VaR: The ladder computation has been fixed by replacing PnL = PnL(Ladder(shift), sensi) with PnL = Ladder(PnL(shift), shift).
• IPnLExplainFormulaProvider consistency cleanup: The new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProviderto transform market data into a shift.
• DirectQuery cube refresh: The DirectQuery cube refresh is now available by REST service: use a POST at the URL ‘http://localhost:10010/mr-application/directquery/refresh’.
• Made ladder-based sensitivity measures optional: Ladder-based sensitivity measures can now be excluded from the configuration. If the configuration classes are excluded, no visible measures will be present in the cube. If the Solution is configured to use ladders as an input to PnL Explain and Taylor VaR calculations, the result will be NaN.
• Removal of ActivePivotRemotingServicesConfig import: The optional ActivePivotRemotingServicesConfig remoting configuration import has been removed to mitigate a security vulnerability.

Known issues

Dependency versions

Added

Changed

Removed

Fixed

5.2.1

2023-09-05

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.7 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• Atoti Server version Upgraded to 6.0.7.
• What-If: Upgrade to 2.1.1-AS6.0. For more information, see the What-If Documentation
• Solutions Tools BOM : The Solutions Tools BOM has been upgraded to 1.1-AS6.0, replacing Accelerator Tools BOM 1.0-AP6.0.
• Common Parent POM and Common Dependencies BOM : The solution now imports third party dependency versions from the Common Dependencies BOM version 1.1.0.

Known issues

Dependency versions

Added

Changed

Fixed

5.2.0

2023-06-28

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.5 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

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

Known issues

Dependency versions

Changed

5.1.0

2023-06-13

Download the distribution files here

The distribution files comprise the following zipped artifacts:

• UI source code.
• UI build that does not require an installation and can be directly deployed.
• Source files that can be used to build the module.
• Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.5 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• Offline documentation that can be served by the module.

Summary

• DirectQuery: DirectQuery support has been implemented for the VaR/ES, Sensitivity, and PnL Cubes.

• Removal of MarketRiskTestApplication: The MarketRiskTestApplication has been removed from the mr-application module as part of a cleanup. To start the application from an IDE, you can now simply run the MarketRiskApplication class, which remains in mr-application/src/main/java/com/activeviam/mr/application/main.
  

  To support this change, the reference data has been moved from mr-application/src/test/resources/data to mr-application/src/main/resources/data.
  

  note

  No files in the data directory are included in the mr-application JAR.

• Upgraded to Atoti Server 6.0.5 and Atoti UI 5.1.x. Atoti Market Risk can now be used with Atoti UI version 5.1 or higher.

• Simplified combining UIs: Introduction of Atoti UI 5.1 simplifies how to activate and configure UI features in Atoti Market Risk and across combined Atoti Business Solutions. See Configuring the UI for details.

• Updated bookmark configuration: Set bookmark owners to ROLE_ADMIN and readers to ROLE_USER.

• Migrated bookmarks to Atoti UI 5.1.x: Bookmarks have been upgraded to be compatible with Atoti UI 5.1.x

• Separated the configuration of Taylor VaR measures from the configuration of PnL explain measures: the Taylor VaR measures can now be removed from the configuration in an easier way.

• Input files: The SecondOrderLadder field has been removed from the Sensitivities files.

  note

  To be compatible with old file formats, you can set the configuration.data-load.format property in the application.yaml file to ‘5.0’. In this case the first non-null field is used for the ladder. However, please note that this old sensitivity format is being deprecated.

• Updated user configuration : Removed the ROLE_CS_ROOT role from all users except admin.

• Hibernate properties change : The content of the hibernate.properties file has changed and the unused Hikari properties have been replaced with Tomcat JDBC properties.

Known issues

Dependency versions

Added

Changed

Removed

None

Fixed

5.0.0

2023-04-17

Download the distribution files here

Or, to download the distribution files individually, click the links below:

• A zip of the UI source code
• A zip of the UI build- build that does not require an installation and can be directly deployed.
• A zip of the application source files that can be used to build the module. Retrieve the solution sources through dependencies download.
• A zip of the configuration module source files that can be used to add the configuration modules to the build. To include the modules in the build, extract the archive contents into the same directory as the market-risk-5.0.0.zip contents and overwrite the pom.xml file.
• A zip of the Maven repository required to build the project and run the tests.
  

  note

  The Atoti Server 6.0.3 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• A zip of the offline documentation that can be served by the module.

Summary

• Atoti Server version Upgraded to 6.0.3.
• MR-UI: Enhanced the MR-UI to be compatible with versions 4.1.0 and 5.0.0 of the MR server.
• What-If: Upgrade to 2.0.0-AS6.0, which includes a top-to-bottom redesign of the What-If API. For more information, see the Migration notes and the What-If Documentation
• Accelerator-sdk: Upgraded to 5.0.19.
• VAR FX Computation: Change to the way FX conversion is computed for PnL values in the VaR-ES cube.
• Taylor VaR enhancements:
  • You can now use market shift data from a different date to the asOfDate for the calculation of Taylor measures.
  • New measures display minimum, maximum and average values of market shift vectors, and the value at a user-specified percentile of the vector.
• Bookmarks: New sets of bookmarks have been added:
  • How It Works bookmarks show interim steps to help you understand calculations and input data, and find useful measures.
  • Daily Jobs bookmarks illustrate demo stories.
  • Additional Story-Telling Target Views bookmarks to compliment the other two sets.
• Data: The dataset has been updated:
  • Dataset moved 5 years forward (from 2018 to 2023) for AsOfDate, maturities, trade dates, any dates.
  • Full revaluation VaR is aligned with Taylor VaR.
  • Full revaluation PnL is close to PnL Explain.
  • Market data shifts are regenerated so that T-1 vector and T1 vector contain the same values except 1 value.
  • Risk factors are consistent between Taylor VaR and Full revaluation VaR.
  • Taylor VaR market data adjusted.
  • Market data anomaly to support backtesting exception story.
  • Commodity risk factor shocks.
• TradeKey field has been introduced for Summary data.
• Tests moved for a lighter application zip : Application tests have been moved to their own module, and the application is now shipped on its own as a zip file.
• Configuration modules delivered as a separate zip: The configuration module sources have been added as a second zip file, without tests.
• Terminology change in documentation.

Known issues

Dependency versions

Added

Changed

Removed

4.1.0

2022-12-13

Download the distribution files here

Or, to download the distribution files individually, click the links below:

• A zip of the UI source code
• A zip of the UI build- build that does not require an installation and can be directly deployed.
• A zip of the source files that can be used to build the module.
• A zip of the Maven repository required to build the project and run the tests.
  

  note

  The ActiveViam 5.10.12 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• A zip of the offline documentation that can be served by the module.

Summary

• Implementation of additional Taylor measures : Many of the VaR and similar measures that are available in the VaR-ES cube are now available in the Sensitivities Cube. These measures are derived from PnL vectors created with a Taylor expansion of sensitivities and market data.
  • For each combination of sensitivity - Cash, Correlation, CrossGamma, Delta, Gamma, Vanna, Vega, and Aggregate - and measure type - Expected Shortfall (ES), Expected Tail Gain (ETG), Value at Earnings (VaE), Value at Risk (VaR), Weighted Value at Earnings (WVaE), Weighted Value at Risk (WVaR) - the following measures are available:
    • Basic measure
    • Measure from the previous day
    • Day-to-day difference of the measure
    • Day-to-day difference of the measure expressed as a percentage
    • LEstimated version of the measure
  • For each of these measures, there is a version for which the confidence is controlled with a context value. There are also versions that use a fixed confidence. These fixed confidences are set by the confidence.levels application property.
  • The Sensitivies Cube now also has a Tail VaR measure (VaR with 100% confidence) and a Tail VaE measure (VaE with 100% confidence).
• Removal of IGreekDescription interface: Removed IGreekDescription interface and replaced it with source- and hierarchy-specific configuration.

Known issues

PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Dependency versions

Added

Changed

Fixed

4.0.0+1

2022-12-02

This is a UI-only release updating the following dependencies:

To download the MR 4.0.0+1 UI-only distribution file, click here.

Known issues

PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

4.0.0

2022-09-30

Download the distribution files here

Or, to download the distribution files individually, click the links below:

• A zip of the UI source code
• A zip of the UI build- build that does not require an installation and can be directly deployed.
• A zip of the source files that can be used to build the module.
• A zip of the Maven repository required to build the project and run the tests.
  

  note

  The ActiveViam 5.10.10 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• A zip of the offline documentation that can be served by the module.

Summary

• New accelerator architecture: The structure of the MR Accelerator has been updated to enable greater flexibility and ease of use. New modules have been created encapsulating different calculation models, such as VaR, or PnL. These modules can be used as standalone libraries or the Accelerator can still be used as a cohesive customizable project. For an overview of the modules, see Maven modules. For details on the class changes, see Classes.
• Schema selection customization: Individual store selections can be overwritten via Spring beans without needing to rewrite all store selections.
• Accelerator name changed from ‘MRA’ to ‘MR’: The application is now called ‘MR’ (Market Risk) instead of ‘MRA’ (Market Risk Accelerator) to be aligned with the naming convention of the other ActiveViam accelerators.
• MRACombinedCube renamed to MRCombinedCube To be in line with the change if name of the application, the combined cube has been renamed.
• Bookmarks updated to reflect the use of ‘MR’ instead of ‘MRA’: The ‘MRA’ folder and the ‘MRA’ server name have been replaced with ‘MR’ in the bookmarks.
• Accelerator-sdk: Upgrade to 5.0.10.

Known issues

PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Dependency versions

Added

Changed

Removed

3.1.0

2022-08-12

Download the distribution files here

Or, to download the distribution files individually, click the links below:

• A zip of the UI source code
• A zip of the UI build- build that does not require an installation and can be directly deployed.
• A zip of the source files that can be used to build the module.
• A zip of the Maven repository required to build the project and run the tests.
  

  note

  The ActiveViam 5.10.10 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.

• A zip of the offline documentation that can be served by the module.

Summary

• 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.
• Removed Spring profiles : Replaced the custom Spring profiles used to control application modes with properties in the application.yaml file.
• Moved cube toggling properties : Moved the cube toggling properties from the mr.properties file to the application.yaml file and renamed them.
• 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.
• Added 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.
• Handle multiple hierarchies and level depths higher than 1 for sign-off scopes : Until version 3.1.0, the scope of a Sign-off task could only be defined for the first level of one hierarchy. Now the scope definition can contain multiple hierarchies, and within each hierarchy, a level at a depth that can be higher than 1.

  note

  The hierarchies and levels that can be used in the scopes of the Sign-off task must be part of the ones defined in configuration properties.

• Possibility to define Sign-off DEE export templates by cube-measure pairs: On top of being defined by cube names, DEE templates used for Sign-off export can now be defined by cube name and measures.
• Upgraded to ActivePivot 5.10.10 and ActiveUI 5.0.14
• File Upload: Create or append a WhatIf scenario by uploading CSV files into the cube. For more information, see File Upload.
• Limit monitoring : Support has been added for Limits Module integration.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Dependency versions

Added

Changed

Removed

None

Fixed

None

3.0.0

2022-02-09

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

• A zip of the UI source code
• A zip of the UI build- build that does not require an installation and can be directly deployed.
• A zip of the source files that can be used to build the module.
• A zip of the Maven repository required to build the project and run the tests. The ActiveViam 5.10.6 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
• A zip of the offline documentation that can be served by the module.

Summary

• Summary Cubes : Cube import spring profile is replaced by a set of summary cubes that can be started along with the standard cubes.
• Level path on tenor value adjustment input : Added a level path to the vectorised sensitivity tenor value adjustment input.
• JUnit 5: All tests use JUnit5 and tests with the same Spring setup are grouped in test suites for faster spin-up.
• Harrell-Davis VaR/VaR-ES cube : Harrell-Davis VaR is available on VaR-ES cube with incremental and L estimators.
• DEE Template Orders : Added data extraction template orders to DEETemplateOrders directory
• Upgrade to Sign-off API 1.5.0 : Upgraded the Sign-off API to version 1.5.0.
• New dependency - adjustments-services module : The MRA has a dependency on the new module adjustments-services which contains the DTOs and services for handling supported types of what-if operations and a DTO for sending the what-if operation request.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.
• Update 2022-06-07: We’ve identified a bug in the Frequent Value Compression ActivePivot feature (new since AP 5.10). MRA 3.0.0 depends on ActivePivot 5.10.6 and is therefore impacted. We strongly recommend disabling Frequent Value Compression by setting the following property when launching ActivePivot: -Dactiveviam.chunk.compression.enabledFrequentValue=0. The next maintenance release of MRA will include an upgrade to ActivePivot, which resolves this issue.

Dependency versions

Test suites

Two tests suites have been created : ScalarProfileTestSuite and StandardProfileTestSuiteto avoid the spin-up delay at the start of each test.

To prevent test run duplication, the tests that are part of a test suite are renamed as *SubTest. They are excluded from the surefire perimeter and instead included in *TestSuite.java.

A suite selects its own subtest by using the JUnit5 tagging feature (@Tag) and the *SubTest class name pattern.

The subtests can still be executed in a standalone mode.

DEETemplateOrders

Data extraction can now be performed with templates that describe the query, the extracted fields and the output file format. These templates are also used as the backbone for the sign-off data export phase which uses the templates after programmatically enriching them.

The DEETemplateOrder folder contains:

• A set of templates specifically designed for the export of data intended to be re-imported into the summary cubes.
• Sample templates you can use to build your own for direct extraction or sign-off.

For details, see Using DEE Template Orders

Added

Changed

Removed

None

Fixed

2.1.0

2021-08-13

To access the distribution folder, click here.

Or, to download the distribution files individually, click the links below:

• A zip of the ui - we recommend building with a frozen lockfile. Both a lockfile for npm and yarn can be found in the lockfiles folder.
• A zip of the source files that can be used to build the reference implementation (including sample queries).
• A zip of the Maven repository required to build the project and run the tests. The ActiveViam 5.9.6 Maven repository files have been removed from this zip, so you’ll need to download them separately. Click here to locate them.
• A zip of the offline documentation that can be served by the Accelerator.

Summary

• Sign-off/Analysis Hierarchy : The sign-off analysis hierarchy has been redesigned for clarity, see Sign-Off Analysis Hierarchy
• Sign-off/Adjustment : The adjustments are integrated within the sign-off workflow.
• Sign-off/Rollback : The sign-off rollback reverts to the live state of the cube without adjustments.
• Sign-off/Cube-level adjustment : It’s now possible to modify a single cell value in a cube.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Dependency versions

Added

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Fixed

2.0.0

2021-05-17

Summary

• Usage of the common library : The common features used by all Accelerators are located in the ‘com.activeviam.apps/shared*.jar’ library. Several classes have been moved to this library. As a consequence a lot of imports have changed from ‘com.activeviam.risk’ to ‘com.activeviam.accelerator.common’.
• Upgrade to AP5.9 : The Accelerator now uses Active Pivot 5.9.x, which also means that only Java 11 is supported.
• Adjustments 2.0 : Integration of the interfaces allowing the interaction with the sign-off module.
• Datastore Helper 2.0 : The Datastore Helper tool for defining and customizing the datastore schema has been upgraded to version 2.0.
• JUnit 5 : Most of the tests now use JUnit 5.
• Data Connectors : The DEE feature is now integrated into an import/export toolbox library called “Data Connectors” prefixed with ‘com.activeviam.io’.
• Corporate Actions : The dividends, coupons, stock splits or merge are now taken in account for PnL calculations.
• Correlation : The correlation metric is handled. Its market data name is ‘RiskFactor 1/RiskFactor 2’.
• Cross-Gamma : The cross-gamma metric is handled; it is the gamma between two risk factors, without bucketing.
• Spring configuration : The Spring configuration templates for cube and datastore definition are in common with FRTB.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Added

Changed

Removed

None

Fixed

None

Security

None

1.10.0

2021-01-29

Summary

• Bug fix in export feature: In cube and aggregated exports, cube measures were not put in the output columns. This has been fixed.
• Parent/child data load: The system now waits for parent-child processing to complete before loading main stores.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Added

Removed

Fixed

1.9.1

2020-12-11

Summary

• Minor bug fixes
• Configuration of sparse vectors: Sparse vectors can be used on any double[] vector and activated below a defined threshold.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Added

Changed

None

Removed

None

Fixed

Security

None

1.9.0

2020-11-06

Summary

• Sign-off: the sign-off is handled by an external application, only the export services stay under the responsibility of MRA.
• DEE: the common Accelerator export tool is embedded in MRA.
• Market Data Retrieval Service: the Market Data computation and retrieval is handled by a specific spring bean that is customizable at will by the user.
• Cash metric: a new metric that computes the risk linked to a foreign currency position.
• Theta metric: a new metric that takes the time decay on the PnL into account.
• Incremental metrics: Incremental metrics has been reviewed and is customizable from the property file, with new reference metric introduced.

Known issues

• Updated 2022-09-12: PIVOT-579 - Attempting to create partitions for reference stores causes a deadlock.

Added

Changed

Removed

Fixed

Security

None

1.8.0

2020-07-08

Known issues

None

Added

Changed

Removed

None

Fixed

None

Security

None

1.7.0

2020-05-14

Known issues

None

Added

Changed

Removed

Fixed

Security

None

1.6.1

2020-03-24

Known issues

ActivePivot incompatible with latest OpenJDK

ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15). This is due to a breaking change in OpenJDK (JDK-8211919).

Added

None

Changed

Removed

None

Fixed

Security

None

1.6.0

2020-02-24

Known issues

Calculation error for weighted measures

There is a calculation error for the weighted measures when the PnL data are present from oldest to newest in the input vectors (MRA-783)

Best scenario measure is incorrectly implemented

The best scenario measure in incorrectly implemented(MRA-785)

ActivePivot incompatible with latest OpenJDK

ActivePivot 5.8.7 (and all earlier versions) are incompatible with the latest version of OpenJDK 11 (Version 11.0.6, released 2020-01-15). This is due to a breaking change in OpenJDK (JDK-8211919).

Added

Changed

Removed

None

Fixed

Security

None

1.5.1

2019-11-06

Known issues

None

Added

Changed

Removed

None

Fixed

Security

None

1.5.0

Known issues

None

Added

Changed

Removed

Fixed

Security

None

1.4.0

Known issues

None

Added

Changed

Removed

None

Fixed

Security

None

1.3.0

2019-07-30

Known issues

None

Added

Changed

Removed

Fixed

Security

None