Changelog 6.0

6.0.4

2025-09-09

Changed

Issue Key	Details
MR-2203	Migrated to the DirectQuery Local Cache, replacing the preview cache included in Atoti Market Risk 6.0.0
MR-2260	Upgraded to Atoti Server 6.1.11.
MR-2274	GetByKey queries of market shift retrieval API ScalarMarketDataRetrievalService are compiled.
MR-2281	Upgraded to What-if 4.0.4-AS6.1. Upgraded common dependencies bom and common parent pom to 2.4.0.

Fixed

Issue Key	Details
MR-2233	Fixed issue where old property directquery.enabled was still required to be set when running DirectQuery and Sign-Off together.
MR-2242	Resolved issues with cube-level adjustments. Adjustments made on an Instrument Type level are now reflected in the application. Additionally, adjusted values are now correctly associated with OLD in the _Version hierarchy.
MR-2263	Resolved what-if simulation performance issues by upgrading to a version of Atoti What-if that uses a single-phase commit mechanism.
MR-2268	Removed the extensions.json in mr-application/src/main/resources/static/atoti-admin-ui as the atoti-admin-ui-starter module includes extensions.json. This ensures the Measure Lineages tab is present in Atoti Admin UI.
MR-2280	Upgraded to What-If 4.0.3-AS6.1.
MR-2281	Upgraded to What-if 4.0.4-AS6.1. Upgraded common dependencies bom and common parent pom to 2.4.0.

6.0.3

2025-07-01

Added

Issue Key	Details
MR-2058	Implement and test Databricks row-based vectors

Changed

Issue Key	Details
MR-2192	The ITailMeasureCalc.CalcType and IWeightedTailMeasureCalc.CalcType enums have been deprecated and replaced with the TailMeasureCalcType class, which allows you to define new types.
MR-2208	Update to Data Connectors 5.0.7. You may notice some WARN logs that are further described in the Migration Notes
MR-2211	MRDlcDescriptionConfig and MRNamedDescriptionUtil have moved to mr-common-config package. The old instances are deprecated.
MR-2220	Fixed incorrect calculations of relative day-to-day measures.
MR-2221	Upgrade to Atoti 6.1.9.

Deprecated

Issue Key

Details

MR-2179

The property mr.enable.cubes.common and the annotation @ConditionalOnCommonCubeEnabled are now deprecated. The property mr.enable.cubes.combined with a default value of true and the annotation @ConditionalOnCombinedCubeEnabled have been introduced to rename and in the future replace mr.enable.cubes.common and @ConditionalOnCommonCubeEnabled respectively. If you declare both properties, please ensure both are set to true to enable the MRCombinedCube.

Fixed

Issue Key	Details
MR-2109	Atoti Admin UI now supports the Measure Dependencies endpoints provided by Atoti Server. It includes a backwards compatible mode that continues to use the DiagnosticsRedirectController and this is what we are using with Atoti Market Risk 6.0.3. If you want to use new APIs you must remove the doctorPivotApi section of the mr-application/src/main/resources/static/atoti-admin-ui/env.js file.
MR-2201	Taylor VaR post processors now take into account additional levels.
MR-2202	Joining to a vector table no longer creates duplicate join descriptions when running with DirectQuery.
MR-2215	The incompatibility of versions between springdoc-openapi and Spring Boot has been fixed.
MR-2239	VaR LEstimated Booking measure ignores filters configuration.
MR-2246	The measure name of the entry retrieved in the cube level adjustment store was not taken into account in the ACubeLevelAdjustmentPostProcessor class. That has been fixed.
MR-2249	When running the application with only the Sensitivity Summary cube enabled, Correlation, Dividend, and SplitRatio DLC topics are created and can be used for loading data to those stores. Please see the breaking changes section of the Migration Notes for further details.

6.0.2

2025-05-21

Added

Issue Key	Details
MR-2043	Data cubes now have properties to set the node priority. The MRCombinedCube now has a property to allow data overlap.

Fixed

Issue Key	Details
MR-2183	Errors are now correctly handled during the initial data load.
MR-2185	The DTD PnL, LTD PnL, MTD PnL, and YTD PnL measures have returned to the PnL Values folder.
MR-2191	All days are now considered business days within the PnL Explain calculation. This is a behavior change for the application, driven by a change in the default business day calendar. Please see the migration notes for further details.

Known issues

Issue Key	Details
MR-2109	The new Measure dependencies tab in Atoti Admin UI relies on a new Diagnostics endpoint but expects a different URL. A DiagnosticsRedirectController has been added in mr-application to redirect requests. This should be removed in the next release.
Updated 2025-05-30 MR-2215	The version of Springdoc used in the dependencies is incompatible with Spring Boot 3.4.x. For a workaround, please see here
MR-2249	When running the application with only the Sensitivity Summary cube enabled, Correlation, Dividend, and SplitRatio DLC topics are not created. This is fixed in Atoti Market Risk 6.0.3.

Workaround for MR-2215: Incorrect version of Springdoc

The version of Springdoc used in the dependencies is incompatible with Spring Boot 3.4.x. To use a more recent version of Springdoc, replace the following dependency in the POM file of the mr-application module:

<!-- Springdoc for Swagger UI-->
<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-starter-webmvc-ui</artifactId>
</dependency>

with this one (the change simply consists in adding the 2.8.8 version):

<!-- Springdoc for Swagger UI-->
<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-starter-webmvc-ui</artifactId>
    <version>2.8.8</version>
</dependency>

6.0.1

2025-04-17

Added

Issue Key	Details
MR-2166	FX conversion post-processors can now be configured to use a default FX rate if the actual rate cannot be computed for the FX pair.

Changed

Issue Key	Details
MR-2158	Upgraded to Atoti Server 6.1.6 and upgraded Atoti Data Connectors 5.0.3.
MR-2168	The property mr.partitioning.as-of-date.partition-type can now be set to none to disable partitioning for AsOfDate. The default partitioning for AsOfDate remains as value.

Removed

Issue Key	Details
MR-2170	Removed the securityPluginInjections bean that served as a workaround for a bug with AtotiRegistryInjectionAutoConfiguration (PIVOT-10739).

Fixed

Issue Key	Details
MR-1997	The Theta PnL Explain formula has been fixed to correctly compute the losses due to time decay. The terms are now swapped, with the current day’s value being subtracted from the previous day’s value. Should the previous calculation logic be needed, the sign of the Theta PnL Explain result can be flipped with the property: mr.sensi.rules.theta.pnl-explain.any.price-factor=-1.0
MR-2149	Data loading topics can be overridden in Java using Spring beans. See Configuring sources using Spring Beans and properties for details.
MR-2153	Fixed bug where DynamicTenorsAndMaturitiesPostProcessor did not work correctly when used as underlying of a FilteringPostProcessor.
MR-2155	Lambda calculator is now independent of the CSV source.
MR-2159	The VaRMetricParametersAndNames.addPrefix method is now public.
MR-2160	Deprecated MRDataLoadControllerRestServiceConfig from mr-application as this configuration class is no longer used after upgrading to DLC 5.0. This will be removed in the next major version of Atoti Market Risk.
MR-2165	Fixed OutOfBoundException on the “Weighted ES 97.5 Incremental Booking” measure.

Known issues

Issue Key	Details
MR-2031	Data Connectors 5.0: The JDBC source is not working.
MR-2109	The new Measure dependencies tab in Atoti Admin UI relies on a new Diagnostics endpoint but expects a different URL. A DiagnosticsRedirectController has been added in mr-application to redirect requests. This should be removed in the next release.
PIVOT-11342	Introducing the dependency atoti-server-apm-starter results in BeanPostProcessorChecker warnings. The warnings have been disabled in logback-spring and will be fixed in an upcoming Atoti Server release.
PIVOT-11391	When running Atoti Market Risk with DirectQuery there are warning logs at startup stating that a hierarchy “does not have the same value for the slicing property for all the applications in the cluster”. This is under investigation by the Atoti Server.
MR-2249	When running the application with only the Sensitivity Summary cube enabled, Correlation, Dividend, and SplitRatio DLC topics are not created. This is fixed in Atoti Market Risk 6.0.3.

6.0.0

2025-03-31

Added

Issue Key	Details
MR-1763	Upgraded to Atoti Server 6.1.5.
MR-1859	Added new trade attributes Trade Source, Trade Status, and Original Notional.
MR-1956	The Atoti Limits auto-configuration dependency has been added to the mr-application pom.xml to make it easier for projects using the two products together. To include the dependency, run Maven with the limits profile, i.e. mvn <command> -P limits.
MR-1944	The maximum depth of parent-child hierarchies is now configurable.
MR-1993	Adds a new caching mechanism to improve the performance of market data retrievals in DirectQuery.
MR-2025	Added the optional attribute LegId and the hierarchy Legs to the PLCube.
MR-2045	Base stores and aggregate providers are now partitioned by AsOfDate. Properties have been added to configure the partitioning.
MR-2051	Added feature to enable/disable Sign-Off REST services. This prevents the Sign-Off server from sending successful REST requests before the end of the initial load.
MR-2101	The Scenario Set default filter is now configurable.

Changed

Issue Key	Details
BAS-1974	Changed the behavior of market data measures to reduce the number of retrievals and directly access the Market Data API.
MR-1766	Sensitivity input files in reference data now use scalar format and this is referred to in the documentation.
MR-1834	SensiMeasureParameters constructor has been refactored to remove the boolean isVector field.
MR-1845	The MarketDataSets hierarchy is now based on a MarketDataSet field on all base stores and the external MarketDataSets store has been removed.
MR-1848	The new Market Data API is now an external module called Atoti Market Data.
MR-1861	Schema rebuilds now occur once a day, as opposed to every 30 minutes. This is now configurable with new properties (mr.application.rebuild...).
MR-1946	Data Connectors 5.0: Designed simplified source configuration.
MR-1953	The APM dependency atoti-server-apm-starter has been added to mr-application/pom.xml and replaces the dependency apm in market-risk\pom.xml.
MR-1961	Upgraded to the latest version of Atoti Market Data. FX rates and conversion have been migrated to the Atoti Market Data APIs.
MR-1973	When computing FX risk, the risk factor will no longer be considered half of a currency pair if it cannot be parsed as a full XXX/YYY pair. Cash sensitivities have been removed.
MR-1981	Data Connectors 5.0: Decoupled source configuration from CSV source.
MR-1982	SupportedAdjustment and AdjustmentExecution config classes have moved from mr-pnl/sensi/var-config modules to mr-application to make it easier to disable specific adjustments.
MR-1989	The LiquidityHorizon field has been moved from the TradePnL table to the Scenarios table. This way the Liquidity Horizon parameter is taken into account when computing VaR/Es metrics.
MR-1992	Atoti Market Data dependencies have the provided scope within Atoti Market Risk libraries. This allows projects to use their own compatible version of Atoti Market Data.
MR-2001	Improved the configuration of market data file formats with sensible defaults and explicit backwards compatibility options.
MR-2008	Changed the logic for cube-level adjustments.
MR-2018	Data Connectors 5.0: Removed service classes no longer needed.
MR-2019	Data Connectors 5.0: Created channel beans.
MR-2020	Data Connectors 5.0: Fixed column calculators.
MR-2021	Data Connectors 5.0: Fixed tuple publishers.
MR-2023	Data Connectors 5.0: Checked Initial Load sequence.
MR-2028	Upgraded to the latest version of What-if.
MR-2050	Updates to supported adjustments to improve UI interactions.
MR-2059	Upgraded Sign-Off API and Adjustments Services versions, to provide compatibility with Sign-Off 6.0.
MR-2086	Scenario Index is now used as a measure instead of a hierarchy.
MR-2087	During the initial data load (within the InitialDataLoadConfig class), market data is now loaded for all available dates, without taking the DLC scope into account. This allows date-shifted market data measures to be queried in a horizontal distribution context.
MR-2092	The functionality previously provided by Doctor Pivot is now available through Atoti Admin UI in the Measure dependencies tab. The Doctor Pivot app no longer exists.
MR-2089	Removed *_adjusted measures for cube-level adjustments and modified configuration of initial measures if sign-off features are enabled.
MR-2099	Dashboards have been migrated to use Atoti UI’s Investigation feature instead of the story-telling feature, which has been decommissioned.

Removed

Issue Key	Details
MR-1832	The code related to the deprecated vector sensitivities data model has been removed.
MR-1866	Removed duplicated STORE_DATE_FIELD_FORMAT.
MR-1990	Removed the attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier from PnL stores, cubes and input files.
MR-2140	Removed the jwt.properties and reporting.properties files. The properties from jwt.properties are now in the main application.yaml file.

Fixed

Issue Key	Details
BAS-1890	The sign-off status, as shown in the Sign-off hierarchy now moves to EXPORT_SUCCEEDED rather than retaining an APPROVING status even after the export has occurred. note This fix requires Atoti Sign-off 5.3.
BAS-1923	The mr-application/src/main/resources/logback-spring-file.xml configuration has been fixed and writes logs to a local file.
BAS-1954	Swagger UI is now accessible at .../swagger-ui/index.html and documents the REST endpoints in Atoti Market Risk.
BAS-1980	Deleting adjustments no longer fails when cubes are disabled. Additionally, adjustment deletion requests without an execution ID are moved to a DELETED state.
MR-1702	Atoti Market Risk source jars no longer include Lombok annotations, but instead have been ‘delomboked’. This resolves issues, such as viewing sources in an IDE and placing breakpoints for debugging.
MR-1747	Reverted to CLASSIC nested jar support to resolve a bug introduced in Spring Boot 3.2 whereby executable jars may not run in paths containing spaces.
MR-1957	Fixed performance issues when running distributed what-if simulations by changing the default persistence mechanism to a Hibernate database-backed one.
MR-2024	Data Connectors 5.0: The What-If file upload service FileUploadWhatIfRestfulService is now correctly handled by Data Connectors.
MR-2034	Fixed what-if authentication issues in distributed clusters by changing the default authenticator to one using the IJwtService.
MR-2039	Fixed post-processors failing with horizontal distribution.
MR-2047	Taylor measures have moved from the folders Value at Risk/Earnings to Value At Risk/Earnings to match measures from the VaR-ES cube and ensure a consistent folder structure in the MR Combined Cube.
MR-2048	Differential measures didn’t work with non-fact VaR.
MR-2049	Liquidity Horizon: VaR was missing on the non-fact locations, such as multi-jurisdiction FX leg.
MR-2077	Risk class measures are now correctly created when the mr.risk.risk-class-members property is used.
MR-2079	Measures related to a fixed confidence level are now placed in the folders related to fixed confidence levels.
MR-2082	Removed references of Liquidity Horizon from SummaryVarPublisher and VaR Summary export files following the fields move to the Scenario store.
MR-2083	The trailing white space incorrectly added to measure names when an empty string is used for the suffix has been removed
MR-2110	Removed final modifier on methods in VaRMetricParametersAndNames allowing extensions of the class to change the naming for any measure.
MR-2123	Added runtime dependency required by DEE.
MR-2125	Resolved startup failures that occur when setting dlc.enabled=false. Specifically, the InitialDataLoadConfig now requires this property set to true.
MR-2139	Rewrote filtering of DrillUpBasedOnUnderlying to correctly process slicing hierarchies.
MR-2147	For Correlation sensitivities, PnL Explain formula configuration was taken into account instead of Taylor VaR.

Known issues

Issue Key	Details
MR-2031	Data Connectors 5.0: The JDBC source is not working.
MR-2109	The new Measure dependencies tab in Atoti Admin UI relies on a new Diagnostics endpoint but expects a different URL. A DiagnosticsRedirectController has been added in mr-application to redirect requests. This should be removed in the next release.
PIVOT-11342	Introducing the dependency atoti-server-apm-starter results in BeanPostProcessorChecker warnings. The warnings have been disabled in logback-spring and will be fixed in an upcoming Atoti Server release.
PIVOT-11391	When running Atoti Market Risk with DirectQuery there are warning logs at startup stating that a hierarchy “does not have the same value for the slicing property for all the applications in the cluster”. This is under investigation by the Atoti Server.
UIACL-1153	What-If widgets are currently not working as expected.
UIACL-1154	Integer inputs are not currently supported in what-if operations and adjustments.
MR-2249	When running the application with only the Sensitivity Summary cube enabled, Correlation, Dividend, and SplitRatio DLC topics are not created. This is fixed in Atoti Market Risk 6.0.3.