Updates since 6.0 pre-releases
This page lists the changes since 6.0.0-M1 and 6.0.0-M2, and explains any changes required to migrate from these early releases to the stated version of Atoti Market Risk:
Changes since 6.0.0-M2
Added
| Issue Key |
Details |
| MR-1993
|
Adds a new caching mechanism to improve the performance of market data retrievals in DirectQuery. |
| MR-2045
|
Base stores and aggregate providers are now partitioned by AsOfDate. Properties have been added to configure the partitioning. |
Fixed
| Issue Key |
Details |
| MR-2039
|
Fixed post-processors failing with horizontal distribution. |
| 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 put in the folders related to fixed confidence levels |
| MR-2083
|
The trailing white space incorrectly added to measure names when an empty string is used for the suffix has been removed |
| 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. |
Fixed issues introduced in 6.0.0-M2
| Issue Key |
Details |
| MR-2078
|
Measures for which the folder configuration was incorrectly removed in version 6.0.0-M1 have been placed back into correct folders, and measures incorrectly made visible are now hidden. |
| MR-2080
|
Fixed bug preventing the creation of What-if configuration due to clashes with other beans of the same generic functional type. |
| MR-2082
|
Removed references of Liquidity Horizon from SummaryVarPublisher and VaR Summary export files following the fields move to the Scenario store. |
Migrate to 6.0.0-BETA
Upgrading from version 6.0.0-M2, see Atoti Market Risk 6.0.0-BETA Release
Notes.
Atoti Market Risk uses Atoti Server 6.1.4 and Atoti UI 5.2.x.
For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server.
Breaking Changes
- Introduced aliases for Suppliers in What-if configuration : What-if configuration beans that were previously Supplier are now provided with specific aliases (
AddressSupplier for Supplier<Set<String>> and AuthenticatorSupplier for Supplier<AAuthenticator>. Custom beans created with the Supplier types will need to be updated to use the new aliases.
Summary
- New DirectQuery Cache : This release includes a new DirectQuery caching mechanism that pulls slices of market data into memory when required to improve the performance of market data retrievals. This is a preview feature, disabled by default. See 6.0 Migration Notes for details.
- Measure folders: Measures related to a fixed confidence level are now placed in the folders related to fixed confidence levels.
- Data node market data: 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.
- Removed Atoti Server patches: Removed the Atoti Server patches added for bugs present in Atoti Server 6.1.2.
- Base stores and aggregate providers are now partitioned by AsOfDate: Added the new String property
mr.partitioning.as-of-date.partition-type to configure the type of partitioning used for the field AsOfDate and the Integer property mr.partitioning.as-of-date.number-of-partitions to configure the number of partitions for the field AsOfDate when modulo partitioning is used. AsOfDate uses value partitioning by default.
Configuration
Configuration properties
Properties added
mr-common-config module:
| Property |
Default value |
Description |
mr.enable.preview.directquery-cache |
false |
Set to true to enable a new DirectQuery cache that is available for preview. This caches slices of standalone tables in memory to improve the performance of getByKeyQueries. The number of slices held at any one time can be configured to optimize memory usage. Currently, this is only available for market data stores. |
directquery.cache.max-slice-count |
|
The maximum number of table slices that will be cached in memory for a DirectQuery application. This is a map of table name (from the internal Atoti schema rather than the database) to number of slices. |
directquery.cache.max-slice-count-default |
5 |
The maximum number of table slices that will be cached in memory for a DirectQuery application. This default is used for any tables not explicitly mentioned in the directquery.cache.max-slice-count property. |
mr.partitioning.as-of-date.partition-type |
value |
Used to configure the type of partitioning used on the field AsOfDate for base stores and aggregate providers. Set this property to modulo if modulo partitioning should be used. |
mr.partitioning.as-of-date.number-of-partitions |
0 |
Used to configure the number of partitions on the field AsOfDate for base stores and aggregate providers when mr.partitioning.as-of-date.partition-type equals modulo. This property is ignored when mr.partitioning.as-of-date.partition-type equals value. |
Properties modified
mr-sensi-config module:
| Property Name |
Comment |
New Value |
Old Value |
mr.sign-off.sensi.sensi-cube-adjustments.adjustable-measures |
Updated the default value to add the PnL Explain measure. |
[Delta, Gamma, Vega, PnL Explain] |
[Delta, Gamma, Vega] |
Measures
Confidence level-specific measures can now be found in the correct folders corresponding to the associated confidence level.
The default implementation of methods in the interface IFixedConfidenceMeasures has been changed accordingly.
Other changes
Supported adjustments definitions
- The Instrument Type level has been added to the
SupportedAdjustmentDTO SupportedAdjustmentsPnLConfig.pnlCubeLevelAdjustment() and SupportedAdjustmentDTO SupportedAdjustmentsSensiConfig.sensiCubeLevelAdjustment().
See the Atoti Market Risk 6.0 Migration notes for details on:
Changes since 6.0.0-M1
Added
| Issue Key |
Details |
| MR-1859
|
Added new trade attributes Trade Source, Trade Status, and Original Notional. |
| MR-2025
|
Added the optional attribute LegId and the hierarchy Legs to the PLCube. Only available when the property mr.pnl.enable.leg-id is set to true. |
| 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. |
Changed
| Issue Key |
Details |
| 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-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-2030
|
Data Connectors 5.0: Created aliases configuration. |
Removed
| Issue Key |
Details |
| MR-1990
|
Removed the attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier from PnL stores, cubes and input files. |
Fixed
| Issue Key |
Details |
| 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. |
Migrate to 6.0.0-M2
Upgrading from version 6.0.0-M1, see Atoti Market Risk 6.0.0-M2 Release
Notes.
Atoti Market Risk uses Atoti Server 6.1.2 and Atoti UI 5.2.x.
For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server.
Breaking Changes
See the Atoti Market Risk 6.0 Migration notes for details on:
- Atoti Market Data dependencies: The way Atoti Market Risk specifies the Atoti Market Data dependency has changed. For the full details, see Migration to Atoti Market Data.
- Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
- Rebuild schedule change: Previously the Atoti schemas would be rebuilt every 30 minutes. This has now changed to once a day, and we have added properties to configure this for your requirements.
- Removed risk factor FX pair fallback logic: Removed logic that would default to using the risk factor as a base currency and the display currency as a counter currency when the risk factor did not contain a currency pair in the
XXX/YYY format.
- Removed Cash sensitivities: Cash sensitivities were dependent on risk factor FX pair fallback logic and have therefore been removed.
- Adjustment Config classes moved: 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.
- Cube-level adjustments: The implementation of cube-level adjustments has been changed: now only add-ons are supported for cube-level adjustments, and the add-ons are aggregated. For details, see Cube-level adjustments.
- Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API.
- Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a
DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server.
- Market data set changes: MarketDataSet is now a field on all base stores ensuring each fact is specifically associated to a set.
- Liquidity Horizon: The parameter has moved to the Scenario table. See VaRTimePeriod context value for the behavior of the field.
- Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube.
Summary
See the Atoti Market Risk 6.0 Migration notes for details on:
- Market data file format configuration clean-up: Market data file formats now default to the Atoti Market Data 1.1.0 market data files, no longer requiring explicit file naming patterns to be declared. Backwards compatibility has been maintained by matching the configured file naming pattern to the deprecated file formats. For details, see Market data API data loading.
- Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
- Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API. For details, see Data Connectors upgrade.
- Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a
DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server. For details, see DispatcherServlet configuration removal.
- Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube. The input files PLCube.csv, PLActuals.csv, PLPCActuals.csv and SummaryPL.csv have been modified accordingly to remove the attributes. RiskFactor was a primary key. Please amend your input files accordingly to avoid primary key collisions.
- Liquidity Horizon: The Liquidity Horizon parameter is now taken into account when computing VaR/Es metrics. To achieve this, the parameter has been moved to the Scenario table.
Modified
| Modification |
File |
Field |
Optional |
Description |
| Added field |
PLActuals.csv |
LegId |
Yes |
Leg Ids under a single Trade Id to enable sending in trades with multiple legs. Only available when the property mr.pnl.enable.leg-id is set to true |
| Added field |
PLPCActuals.csv |
LegId |
Yes |
Leg Ids under a single Trade Id to enable sending in trades with multiple legs. Only available when the property mr.pnl.enable.leg-id is set to true. |
| Added field |
TradeAttributes.csv |
TradeSource |
No |
Identifier of the source system the trade was executed in. |
| Added field |
TradeAttributes.csv |
TradeStatus |
No |
Status representing the step in the trade lifecycle. |
| Added field |
TradeAttributes.csv |
OriginalNotional |
No |
Represents the notional at trade date. |
| Added field |
VaR-ES Cube.csv |
TradeSource |
No |
Identifier of the source system the trade was executed in. |
| Added field |
VaR-ES Cube.csv |
TradeStatus |
No |
Status representing the step in the trade lifecycle. |
| Added field |
Sensitivity Cube.csv |
TradeSource |
No |
Identifier of the source system the trade was executed in. |
| Added field |
Sensitivity Cube.csv |
TradeStatus |
No |
Status representing the step in the trade lifecycle. |
| Added field |
PLCube.csv |
TradeSource |
No |
Identifier of the source system the trade was executed in. |
| Added field |
PLCube.csv |
TradeStatus |
No |
Status representing the step in the trade lifecycle. |
| Added field |
Scenarios.csv |
Liquidity Horizon |
Yes |
The liquidity horizon corresponding to the depicted scenario. It has been moved from the main VaR-ES store. |
| Removed field |
SummaryVaR.csv |
Liquidity Horizon |
Yes |
The liquidity horizon has moved to the Scenarios file. |
| Removed field |
TradePnL.csv |
Liquidity Horizon |
Yes |
The liquidity horizon has moved to the Scenarios file. |
| Removed field |
VaR-ESCube.csv |
Liquidity Horizon |
Yes |
The liquidity horizon has moved to the Scenarios file. |
| Removed field |
cubeAdjustments.csv |
Digest |
|
The location digest is no longer used for cube-level adjustments. |
| Changed meaning of field |
cubeAdjustments.csv |
Id |
No |
The value of this field is now equal to the value of the adjustment source field in the base store, and not to the adjustment execution ID, like before. |
| Removed field |
PLActuals.csv |
RiskFactor |
No |
This field is no longer required. |
| Removed field |
PLActuals.csv |
RiskClass |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
RiskFactor |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
RiskFactorType |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
RiskFactorCcy |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
CurveType |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
Qualifier |
No |
This field is no longer required. |
| Removed field |
PLCube.csv |
RiskClass |
No |
This field is no longer required. |
| Removed field |
PLPCActuals.csv |
RiskFactorId |
No |
This field is no longer required. |
| Removed field |
PLPCActuals.csv |
RiskClass |
No |
This field is no longer required. |
| Removed field |
Summary PL.csv |
RiskFactor |
No |
This field is no longer required. |
| Removed field |
Summary PL.csv |
RiskClass |
No |
This field is no longer required. |
Configuration
Configuration properties
Properties added
mr-application module:
| Property |
Default value |
Description |
mr.application.rebuild.initial-delay |
1440 |
The delay (in minutes) between the application start up and the first rebuild of the Atoti schemas. |
mr.application.rebuild.interval |
1440 |
After the first rebuild of the Atoti schemas (determined by the initial-delay), this is the interval (in minutes) between ensuing rebuilds. |
mr-common-config module:
| Property |
Default value |
Description |
mr.cubes.levels.liquidity-horizon-level |
Liquidity Horizon@Liquidity Horizons@Risk |
The level that contains the liquidity horizon related to the current scenario. |
mr-pnl-config module:
| Property |
Default value |
Description |
mr.pnl.enable.leg-id |
false |
When true, this adds the hierarchy Legs with the level LegId to the Booking dimension. LegId is an optional field, which can be added to the PLActuals.csv and PLPCActuals.csv input files. |
Properties modified
mr-common-config module:
| Property Name |
Comment |
New Value |
Old Value |
mr.common.file-patterns.spot-market-data |
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading. |
glob:**Spot_Market_Data*.csv |
None. |
mr.common.file-patterns.curve-market-data |
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading. |
glob:**Curve_Market_Data*.csv |
None. |
mr.common.file-patterns.fx-rate-market-data |
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to glob:**FXRates*.csv enables backwards-compatible data loading. |
glob:**FX_Rate_Market_Data*.csv |
None. |
mr.common.file-patterns.surface-market-data |
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading. |
glob:**Surface_Market_Data*.csv |
None. |
mr.common.file-patterns.cube-market-data |
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading. |
glob:**Cube_Market_Data*.csv |
None. |
mr.data-load.format |
Updated the default value to the the current release. |
6.0 |
5.1 |
Market data properties (e.g. mr.sensi.market-data.vega.any.custom.interest-rate-risk.market-data-type=cube) have been updated to reject incorrect (or unsupported) configuration:
market-data-type |
interpolate |
interpolation-mode |
Details |
Spot |
Hardcoded to false. |
None. |
Single value spot prices cannot be interpolated. |
FX Spot |
Hardcoded to false. |
None. |
Single value FX rates cannot be interpolated. |
Split Ratio |
N/A. |
N/A. |
No properties are available for the Split Ratio measures. |
Cube |
Hardcoded to false. |
None. |
Mathematically possible, but unsupported by our API. |
Correlation |
Hardcoded to false. |
None. |
A correlation value cannot be interpolated. |
Dividend |
Hardcoded to false. |
None. |
Dividend amounts cannot be interpolated. |
Theta |
N/A. |
N/A. |
As a function of the time to maturity, Theta cannot be interpolated. |
mr-pnl-config module:
| Property Name |
Comment |
New Value |
Old Value |
mr.sign-off.pnl.pnl-cube-adjustments.hierarchies-to-exclude |
Default value changed. |
Date@Dates,Sign-off Status@Sign-off,DayToDay@Dates |
Date@Dates,Sign-off Status@Sign-off,Types@PnL,DayToDay@Dates |
mr-sensi-config module:
| Property Name |
Comment |
New Value |
Old Value |
mr.sensi.file-patterns.market-data |
Updated the default pattern to correctly pick up MarketData.csv but not MarketDataSets.csv. |
regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ |
regex:^(?i).*MarketData(?<!MarketDataSets).*.csv.*$ |
mr-var-config module:
| Property Name |
Comment |
New Value |
Old Value |
mr.sign-off.var.var-cube-adjustments.hierarchies-to-exclude |
Default value changed. |
Date@Dates,Quantiles@Quantiles,RoundingMethods@Rounding,Sign-off Status@Sign-off,MarketShiftDate@Dates,displayCurrency@Currencies,DayToDay@Dates |
Date@Dates,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk,MarketShiftDate@Dates,displayCurrency@Currencies,DayToDay@Dates |
Properties removed
mr-common-config
| Property Name |
Comment |
mr.sensi.rules.cash |
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk. |
mr.sensi.market-data.cash |
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk. |
mr.data-load.csv.buffer-size |
Replaced by the Data Connectors API property dlc.csv.local.sources.[Source Name].source-properties.buffer-size. |
mr.data-load.csv.dataset |
Replaced by the Data Connectors API property dlc.csv.local.sources.[Source Name].root-base-dir. |
mr.data-load.csv.lines-to-skip |
Replaced by the Data Connectors API properties associated to the topic with the class CsvParserDescription. |
mr.data-load.csv.parser-threads |
Replaced by the Data Connectors API property dlc.csv.local.sources.[Source Name].source-properties.parser-threads. |
mr.data-load.csv.separator |
Replaced by the Data Connectors API properties associated to the topic with the class CsvParserDescription. |
mr.data-load.csv.synchronous-mode |
Replaced by the Data Connectors API property dlc.csv.local.sources.[Source Name].source-properties.synchronous-mode. |
mr.data-load.source |
The setup relies on the Data Connectors configuration. |
mr-sensi-config
| Property Name |
Comment |
mr.sensi.file-patterns.cash |
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk. |
mr.sensi.types.cash |
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk. |
Properties files
Files added
| File Name |
Details |
application-databricks.yaml |
This file provides a default set of properties to run in DirectQuery mode using Databricks. This profile allows you to specify environment-specific properties, such as password or database, with environment variables. You can also edit the file with your specific property values. |
Files modified
| File Name |
Details |
application.yaml |
DirectQuery properties have been removed from this properties file. These properties are now exclusively in the property file for the specific database: application-databricks/mssql/snowflake.yaml. |
application-mssql.yaml |
Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields. |
application-snowflake.yaml |
Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields. |
Datastores
Modified stores
| Modification |
Store |
Field |
Type |
Description |
| Added field |
PnL |
LegId |
String |
Leg Ids under a single Trade Id to enable sending in trades that will have multiple legs under a single Trade Id. This is an optional field available when the property mr.pnl.enable.leg-id is set to true. |
| Added field |
Trade Attributes |
TradeSource |
String |
The identifier of the source system the trade was executed in. |
| Added field |
Trade Attributes |
TradeStatus |
String |
The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE. |
| Added field |
Trade Attributes |
OriginalNotional |
Double |
The notional at trade date. |
| Added field |
BaseStore |
TradeSource |
String |
The identifier of the source system the trade was executed in. |
| Added field |
BaseStore |
TradeStatus |
String |
The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE. |
| Added field |
SensiBaseStore |
TradeSource |
String |
The identifier of the source system the trade was executed in. |
| Added field |
SensiBaseStore |
TradeStatus |
String |
The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE. |
| Added field |
PnLBaseStore |
TradeSource |
String |
The identifier of the source system the trade was executed in. |
| Added field |
PnLBaseStore |
TradeStatus |
String |
The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE. |
| Added field |
Scenarios |
LiquidityHorizon |
Integer |
The Liquidity Horizon in days. This field is optional. |
| Removed field |
Trade PNL |
LiquidityHorizon |
Integer |
The field has been moved to the Scenarios store. |
| Changed field name |
DynamicMoneyness |
TenorLabels -> TenorLabel |
String |
The label corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on. |
| Renamed store |
CubeLevelAdjustments |
SignOffDigestStore -> CubeLevelAdjustments |
|
|
| Removed field |
CubeLevelAdjustments |
Digest |
String |
The location digest is no longer used for cube-level adjustments. |
| Changed field name |
CubeLevelAdjustments |
MandateId -> TaskId |
String |
The name of the task for which the adjustment was created. |
| Removed field |
PnL |
RiskFactor |
String |
This field is no longer required. |
| Removed field |
PnL |
RiskClass |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
RiskFactor |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
RiskFactorType |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
RiskFactorCcy |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
CurveType |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
Qualifier |
String |
This field is no longer required. |
| Removed field |
PnLBaseStore |
RiskClass |
String |
This field is no longer required. |
Database
Modified tables
| Modification |
Table |
Field |
Type |
Description |
| Added field |
TRADE_ATTRIBUTES |
TRADE_SOURCE |
String |
Identifier of the source system the trade was executed in. |
| Added field |
TRADE_ATTRIBUTES |
TRADE_STATUS |
String |
Status representing the step in the trade lifecycle. |
| Added field |
TRADE_ATTRIBUTES |
ORIGINAL_NOTIONAL |
Double |
Represents the notional at trade date. |
| Added field |
SCENARIOS |
LIQUIDITY_HORIZON |
Integer |
The Liquidity Horizon in days. This field is optional. |
| Removed field |
TRADEPNLS |
LIQUIDITY_HORIZON |
Integer |
The field has been moved to the SCENARIOS table. |
| Removed field |
TRADEPNLS_VECTOR |
LIQUIDITY_HORIZON |
Integer |
The field has been moved to the SCENARIOS table. |
| Renamed table |
CUBE_LEVEL_ADJUSTMENTS |
SIGN_OFF_DIGEST_STORE -> CUBE_LEVEL_ADJUSTMENTS |
|
|
| Removed field |
CUBE_LEVEL_ADJUSTMENTS |
DIGEST |
String |
The location digest is no longer used for cube-level adjustments. |
| Changed field name |
CUBE_LEVEL_ADJUSTMENTS |
MANDATE_ID -> TASK_ID |
String |
The name of the task for which the adjustment was created. |
| Removed field |
PNL |
RISK_FACTOR |
String |
This field is no longer required. Please note this field was a primary key. Data must be modified accordingly to avoid primary key collisions. |
| Removed field |
PNL |
RISK_CLASS |
String |
This field is no longer required. |
Cube schema
Added
| Cube |
Dimension |
Hierarchy |
Levels |
Datastore fields |
Details |
| PL Cube |
Booking |
Legs |
LegId |
LegId |
This optional attribute was added to enable sending in trades that will have multiple legs under a single TradeId. Only available when the property mr.pnl.enable.leg-id is set to true. |
| All |
TradeAttributes |
TradeSources |
TradeSource |
TradeSource |
Added to identify the source system the trade was executed in. |
| All |
TradeAttributes |
TradeStatuses |
TradeStatus |
TradeStatus |
Added to analyse and break down the dtd pnl differences to find the components due to new trades, amended trades and cancelled trades. |
Modified
Removed
| Cube |
Dimension |
Hierarchy |
Levels |
| PLCube |
Risk |
RiskFactors |
[ALL, RiskFactor] |
| PLCube |
Risk |
RiskFactorTypes |
[ALL, RiskFactorType] |
| PLCube |
Risk |
RiskFactorCurrencies |
[ALL, RiskFactorCcy] |
| PLCube |
Risk |
CurveTypes |
[ALL, CurveType] |
| PLCube |
Risk |
Qualifiers |
[ALL, Qualifier] |
| PLCube |
Risk |
RiskClasses |
[ALL, RiskClass] |
| PL Summary Cube |
Risk |
RiskFactors |
[ALL, RiskFactor] |
| PL Summary Cube |
Risk |
RiskFactorTypes |
[ALL, RiskFactorType] |
| PL Summary Cube |
Risk |
RiskFactorCurrencies |
[ALL, RiskFactorCcy] |
| PL Summary Cube |
Risk |
CurveTypes |
[ALL, CurveType] |
| PL Summary Cube |
Risk |
Qualifiers |
[ALL, Qualifier] |
| PL Summary Cube |
Risk |
RiskClasses |
[ALL, RiskClass] |
Measures
Added
| Cube |
Measure |
Details |
| VaR-ES Cube |
Original Notional |
The notional at trade date. If the trade is amended or partially terminated, the changed value will be sent to Notional. |
| VaR-ES Cube |
Original Notional Native |
The notional at trade date in the native currency. |
Modified
All measures in the Value at Risk folder have moved to the Value At Risk folder, and those in Value at Earnings have moved to Value At Earnings.
Market data
Sensitivity- and risk-class-agnostic market data measures have been added, replacing the previously visible FX-converted and Native measures.
For sensitivities that used a single type of market data (for example, CrossGamma only uses Spot market data), the PnL Explain chains have been updated to use those market data types directly.
When a sensitivity uses multiple types of market data depending on risk class, such as Delta with Spot for equities and Curve for GIRR, the top level market data measures have been
updated to behave as a location-based switcher between the available market data types.
For details about the market data measures made available in Market Risk 6.0.0, the Market Data section covers the types of market data available
in the Sensitivity Cube as well as which market data types are used for each sensitivity. A complete list of measures is also available.
Removed
| Cube |
Measure |
Details |
| Sensitivity Cube |
Cash measures |
All Cash measures have been removed without a replacement. |
Context values
Added
| Name |
Details |
| VaRTimePeriod |
The VaR time period context value works in conjunction with the Liquidity Horizon field. |
Updated dashboards
- The following dashboards have been updated to remove any usage of Cash-related measures:
Atoti MR & PL/How It Works/Computing Greek-Based PLAtoti MR & PL/How It Works/How Taylor VaR is computedAtoti MR & PL/How It Works/Taylor VaR using previous MDAtoti MR & PL/Story-Telling Target Views/Backtesting Risk Factor ViewAtoti MR & PL/Story-Telling Target Views/Investigate Tail for TaylorAtoti MR & PL/Story-Telling Target Views/Taylor VaR Risk Factor ViewMR/03 - PnL Explain/01 - PnL explain break-down
Other changes
See the Atoti Market Risk 6.0 Migration notes for details on: