☰
Navigation :

Updates since beta

This page explains the changes since 5.4.0-beta, plus any changes required to migrate from 5.4.0-beta to the stated version of Atoti Market Risk.

Changes since 5.4.0-beta

Added

Issue Key Details
MR-1715 Added a post-processor to retrieve data from the SpotMarketData store.
MR-1716 Added a post-processor to retrieve data from the CurveMarketData store.
MR-1717 Added a post-processor to retrieve data from the SurfaceMarketData store.
MR-1718 Added a post-processor to retrieve data from the CubeMarketData store.
MR-1739 Added support for DirectQuery with Databricks.
MR-1740 Added scenario-indexed adjustments for the VaR-ES cube PnL vectors.
MR-1749 Corporate Actions have been migrated to the new Market Data API.

Changed

Issue Key Details
MR-1721 Implemented FX post-processor with new market data API.
MR-1723 Added MeasureCreator for new post-processors in ISensitivityMarketDataMeasures.
MR-1725 Updated FX measures to use the new FX post-processor.
MR-1731 The sensitivities vector data model format has been deprecated.
MR-1732 The default data model for sensitivities changed from vector model to scalar model.
MR-1742 Used fluent API for market data post-processor.
MR-1750 Dividends have been migrated to the new Market Data API for scalar sensitivities.
MR-1772 Updated SQL scripts for DirectQuery with Microsoft SQL Server and Snowflake, to match the schema of the new Market Data API.
MR-1773 Rename INSTRUMENT_MARKET_DATA_STORE to SPOT_MARKET_DATA_STORE, along with all classes that refer to the INSTRUMENT_MARKET_DATA_STORE.
MR-1774 Removed market data cube.
MR-1775 Removed “store” suffix in market data store names.

Removed

Issue Key Details
MR-1726 Removed the debug market data measures.
MR-1774 Removed market data cube.

Fixed

Issue Key Details
MR-1743 Upgraded to Solutions Tools BOM 2.2-AS6.0 to fix bug in DoctorPivot, leading to a failure to retrieve the measures in the application cubes.

Fixed issues introduced in 5.4.0-beta

None.

Migrate to 5.4.0-BETA 2

Upgrading from version 5.4.0-beta, see Atoti Market Risk 5.4 Release Notes.

Atoti Market Risk uses Atoti Server 6.0.12-sb3 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.

For clients licensed to use ActiveMonitor, a skeleton module based on version 6.0.12-sb3 is included with the Atoti Market Risk 5.4.0 release.

Breaking Changes

  • Vectorized sensitivities have been deprecated: scalar sensitivities should be used instead of vectorized sensitivities.
  • The default data model for sensitivities changed from vector model to scalar model.
  • The CorporateAction store has been 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 are 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 have been created.
  • 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.
  • The Market Data Cube has been deleted : Market data measures in the Sensitivities Cube need to be used to display market data instead of the Market Data Cube.
  • The debug market data measures have been removed.
  • The modules mr-market-data-lib and mr-market-data-config have been removed. They were used for the configuration of the Market Data Cube.
  • In the ThetaCopper class, some methods have been renamed. The marketDataPostProcessor and scalarMarketDataPostProcessor methods have been renamed.
  • The com.activeviam.accelerator.common.dates.IMaturityConverter interface has been removed from the module mr-common-lib and has been replaced by the interface com.activeviam.accelerator.common.dates.IMaturityConverter.
  • Some methods have been added to the ISensitivityMarketDataMeasures interface and the following methods have been changed: scalarNativeIntermediateInterpolatedDividend, scalarNativeIntermediateInterpolatedTheta, vectorNativeIntermediateInterpolatedTheta
  • For the market data measure chains configuration: the classes names *CurrentDateMarketDataChain, *NextDateMarketDataChain and *PreviousDateMarketDataChain hae been changed to use the new market data API.
  • The SQL scripts to create and load data for DirectQuery with Microsoft SQL Server and Snowflake have been modified to match the schema of the new Market Data API.

Summary

Input file formats

Added

New files

File Purpose
Correlation_Market_Data.csv Stores the correlation market data.
Dividend.csv Stores the dividend market data.
FX_Rate_Market_Data.csv Stores the FX rate market data.
SplitRatio.csv Stores the stock split ratio market data.

Modified

The file Instrument_Market_Data.csv has been renamed to Spot_Market_Data.csv

Removed

File Details
FXRates.csv The input file FX_Rate_Market_Data.csv has to be used instead.

Configuration

Configuration properties

Properties added

The following properties have been created in the mr-sensi-config module:

Property Default value Description
mr.sensi.file-patterns.split-ratio “*SplitRatio.csv” Pattern for the Split Ratio input file.
mr.sensi.file-patterns.dividends “*Dividends.csv” Pattern for the Dividend input file.
mr.sensi.file-patterns.correlation-market-data “*Correlation_Market_Data.csv” Pattern for the Correlation market data input file.
Properties modified
Property Name Comment Value
mr.enable.data-model.scalar-sensitivities The default value has changed to true from false. true
mr.sign-off.extractionTemplates.defaultMapping The default value has changed to true from false. true
mr.sign-off.extractionTemplatesScalar.defaultMapping The default value has changed to CubeAdjustmentExport, FXRateExport, FxRateMarketDataExport, "BookParentChildExport from CubeAdjustmentExport, FXRateExport, BookParentChildExport. CubeAdjustmentExport, FXRateExport, FxRateMarketDataExport, "BookParentChildExport
Properties removed

the "mr.enable.cubes.market-data property has been removed.

Property files

No changes.

Datastores

Added store configurations

Store Class Details
CorrelationMarketData CorrelationMarketDataStore Contains Correlation market data.
DividendMarketData DividendMarketDataStore Contains split ratio market data.
FxRateMarketData FxRateMarketDataStore A store that is part of the new Market Data API for FX Rate market data.
SplitRatioMarketData SplitRatioMarketDataStore Contains dividend market data.
  • The CorporateAction store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores DividendMarketData and SplitRatioMarketData should be used instead.
  • The MarketData store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores SpotMarketData, CurveMarketData, SurfaceMarketData, CubeMarketData and CorrelationMarketData should be used instead.
  • The FXRates store has been deprecated. It is not used anymore, and will be removed. The store FxRateMarketData needs to be used instead.

*For details, see New Dividend and Split Ratio stores.

Modified store configurations

Marked for removal

Name Type Module Affected Class
Market Data Store Store configuration for vectors format mr-sensi-config VectorMarketDataStoreConfig
Trade Sensitivities Store Store configuration for vectors format mr-sensi-config VectorTradeSensitivitiesStoreConfig
Sensitivities Aggregated Store Store configuration for vectors format mr-sensi-config VectorSensiAggregatedStoreConfig
Sensitivities Flat Store Store configuration for vectors format mr-sensi-config VectorSensiFlatStoreConfig
FXRates Store Store configuration for FX rates that is not used any more t mr-common-config FxRateStoreConfig

Databases

Added tables

Table Details
CORRELATION_MARKET_DATA Market data related to the correlation between risk factors
CUBE_MARKET_DATA Market data defined along three axes (tenors, moneyness and underlying maturities).
CURVE_MARKET_DATA Market data defined along a tenor axis.
DIVIDEND_MARKET_DATA Market data related to dividends.
FX_RATE_MARKET_DATA FX rates.
SPLIT_RATIO_MARKET_DATA Market data related to stock splits.
SPOT_MARKET_DATA Spot price market data.
SURFACE_MARKET_DATA Market data defined along two axes (tenors and moneyness).

Cube schema

The Market Data Cube has been deleted.

Measures

Added

Cube Measure Details
Sensitivity Cube Split Ratio 2 Current Split of the secondary underlying instrument as of current date
Sensitivity Cube Split Ratio 2 Previous Split of the secondary underlying instrument as of previous date

Removed

The following debug market data measures found in the mr-sensi-config module were removed:

Measure removed File location
Current Market Data Native Intermediate Int Debug CorrelationCurrentDateMarketDataChain.java, DeltaCurrentDateMarketDataChain.java, GammaCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java, VegaCurrentDateMarketDataChain.java, VolgaCurrentDateMarketDataChain.java
Current Market Data 2 Native Intermediate Int Debug CorrelationCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java
Current Market Data Native Intermediate Filtered Int Debug CorrelationCurrentDateMarketDataChain.java, DeltaCurrentDateMarketDataChain.java, GammaCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java, VegaCurrentDateMarketDataChain.java, VolgaCurrentDateMarketDataChain.java
Current Market Data 2 Native Intermediate Filtered Int Debug CorrelationCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java
Current Market Data Native Expand Intermediate Int Debug CorrelationCurrentDateMarketDataChain.java, DeltaCurrentDateMarketDataChain.java, GammaCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java, VegaCurrentDateMarketDataChain.java, VolgaCurrentDateMarketDataChain.java
Current Market Data 2 Native Expand Intermediate Int Debug CorrelationCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java
Current Market Native Debug CorrelationCurrentDateMarketDataChain.java, DeltaCurrentDateMarketDataChain.java, GammaCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java, VegaCurrentDateMarketDataChain.java, VolgaCurrentDateMarketDataChain.java
Current Market Native 2 Debug CorrelationCurrentDateMarketDataChain.java, VannaCurrentDateMarketDataChain.java
Previous Market Native Debug CorrelationPreviousDateMarketDataChain.java, DeltaPreviousDateMarketDataChain.java, GammaPreviousDateMarketDataChain.java, VannaPreviousDateMarketDataChain.java, VegaPreviousDateMarketDataChain.java, VolgaPreviousDateMarketDataChain.java
Previous Market Native 2 Debug CorrelationPreviousDateMarketDataChain.java, VannaPreviousDateMarketDataChain.java

For additional changes related to this, see Removal of debug market data measures.

Context values

Removed

Name Details
EnableMDStringDebug The context value was removed as part of removing the Debug measures.

Modules removed

The modules mr-market-data-lib and mr-market-data-config have been removed. They were used for the configuration of the Market Data Cube.

Other changes

Maven dependencies

The following test dependency has been added to the mr-sensi-lib module:

    <dependency>
        <groupId>com.activeviam.apps</groupId>
        <artifactId>market-data-api</artifactId>
        <version>${project.version}</version>
        <type>test-jar</type>
        <scope>test</scope>
    </dependency>

IMaturityConverterAware class

The com.activeviam.accelerator.common.dates.IMaturityConverter interface has been removed from the module mr-common-lib and has been replaced by the interface com.activeviam.accelerator.common.dates.IMaturityConverter.

Theta: methods renamed

In the class ThetaCopper, the following methods have been renamed:

New method name Old method name
vectorTimeToMaturity marketDataPostProcessor
scalarTimeToMaturity scalarMarketDataPostProcessor

Market Data retriever names

The market data retriever names have been renamed as follows in the *MarketDataRetrievalConfig configuration classes:

Configuration class New value of constant RETRIEVER_NAME Old value of constant RETRIEVER_NAME
SpotMarketDataRetrievalConfig (previously InstrumentMarketDataRetrievalConfig) SPOT_MARKET_DATA_RETRIEVER DEFAULT_DATE_SHIFTING_INSTRUMENT_RETRIEVER
SpotMarketDataRetrievalConfig CURVE_MARKET_DATA_RETRIEVER DEFAULT_DATE_SHIFTING_CURVE_RETRIEVER
SpotMarketDataRetrievalConfig SURFACE_MARKET_DATA_RETRIEVER DEFAULT_DATE_SHIFTING_SURFACE_RETRIEVER
SpotMarketDataRetrievalConfig CUBE_MARKET_DATA_RETRIEVER DEFAULT_DATE_SHIFTING_CUBE_RETRIEVER