Migration notes 3.1.0
This page explains the changes required to migrate to the stated version of the Market Risk Accelerator.
Migrate to 3.1.0
Upgrading from version 3.0.0 - see Market Risk Accelerator 5.4.0-beta-2 Release Notes.
The Accelerator is using ActivePivot 5.10.10 and ActiveUI 5.0.14.
For new features and fixes included in these releases, please see the ActiveUI documentation and ActiveUI Migration Notes, and the release notes for ActivePivot.
For clients licensed to use ActiveMonitor, a skeleton module based on version 5.10.10 is included with the Market Risk Accelerator 5.4.0-beta-2 release.
Headline announcement
- 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. See the Measures section for a list of the new measures.
- Removed Spring profiles : Replaced the custom Spring profiles used to control application modes with properties in the
application.yamlfile. - 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.
- Moved cube toggles to application.yaml : The cube toggling properties in the
risk.propertiesfile have been moved to theapplication.yamlfile. - Addition of Spring Conditions classes for @Configuration and @Bean : Added extensions of Spring Conditions classes for enabling and disabling @Configuration and @Bean instantiation based on
application.yamlproperties. - ISmileConverter : There is now a specific bean used to convert Moneyness pillars into the corresponding distance to the ATM.
Removal of Spring profiles
The six Spring profiles used for controlling application modes have been removed:
- azure-dataloading
- local-file-system
- standard
- scalar-sensi
- aggregated
- enable-signoff
The profiles are now replaced by configuration properties in the application.yaml file.
Addition of Spring Conditions classes
As part of the replacement of the Spring profiles and the migration of the cube toggling properties to the application.yaml file, a set of extensions of the Spring Conditions classes has been created.
These extensions can be used in the @Conditional() Spring annotation to control Bean instantiation based on the properties defined in the file. Due to the specifics of the Spring context, the classes are prefixed with either Bean or Configuration to denote where they can be used.
| Class | Condition |
|---|---|
| com.activeviam.risk.ref.spring.conditions.beans.BeanAzureData | configuration.data-load.source = azure-data-loading |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationAzureData | configuration.data-load.source = azure-data-loading |
| com.activeviam.risk.ref.spring.conditions.beans.BeanDisabledAggregatedData | configuration.data-model.aggregated = false |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationDisabledAggregatedData | configuration.data-model.aggregated = false |
| com.activeviam.risk.ref.spring.conditions.beans.BeanDisabledSignoff | configuration.sign-off.enable = false |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationDisabledSignoff | configuration.sign-off.enable = false |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledAggregatedData | configuration.data-model.aggregated = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAggregatedData | configuration.data-model.aggregated = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledAnyCube | Any of configuration.cubes.enable.var, [...]pnl, [...]sensi, [...]market being true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyCube | Any of configuration.cubes.enable.var, [...]pnl, [...]sensi, [...]market being true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyPnLCube | Any of configuration.cubes.enable.pnl, [...]pnl-summary being true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnySensitivitiesCube | Any of configuration.cubes.enable.sensi, [...]sensi-summary being true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledAnyVaRCube | Any of configuration.cubes.enable.var, [...]var-summary being true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledCommonCube | configuration.cubes.enable.common = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledCommonCube | configuration.cubes.enable.common = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledMarketDataCube | configuration.cubes.enable.market = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledMarketDataCube | configuration.cubes.enable.market = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledPnLCube | configuration.cubes.enable.pnl = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledPnLCube | configuration.cubes.enable.pnl = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledPnLSummaryCube | configuration.cubes.enable.pnl-summary = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledPnLSummaryCube | configuration.cubes.enable.pnl-summary = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSensitivitiesCube | configuration.cubes.enable.sensi = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSensitivitiesCube | configuration.cubes.enable.sensi = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSensitivitiesSummaryCube | configuration.cubes.enable.sensi-summary = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSensitivitiesSummaryCube | configuration.cubes.enable.sensi-summary = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledSignoff | configuration.sign-off.enable = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledSignoff | configuration.sign-off.enable = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledVaRCube | configuration.cubes.enable.var = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledVaRCube | configuration.cubes.enable.var = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanEnabledVaRSummaryCube | configuration.cubes.enable.var-summary = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationEnabledVaRSummaryCube | configuration.cubes.enable.var-summary = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanMissingSource | configuration.data-load.source not being either azure-data-loading or local-file-system |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationHasSource | configuration.data-load.source being azure-data-loading or local-file-system |
| com.activeviam.risk.ref.spring.conditions.beans.BeanLocalFileSystem | configuration.data-load.source = local-file-system |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationLocalFileSystem | configuration.data-load.source = local-file-system |
| com.activeviam.risk.ref.spring.conditions.beans.BeanScalar | configuration.data-model.scalar-sensitivities = true |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationScalar | configuration.data-model.scalar-sensitivities = true |
| com.activeviam.risk.ref.spring.conditions.beans.BeanVectorised | configuration.data-model.scalar-sensitivities = false |
| com.activeviam.risk.ref.spring.conditions.configuration.ConfigurationVectorised | configuration.data-model.scalar-sensitivities = false |
Removal of PnLStart and PnLEnd context values
The PnLStartIndex and PnLEndIndex context values have been removed and replaced by the analysis
hierarchies PnLStartIndex@PnLStartIndex@PnLIndex and PnLEndIndex@PnLEndIndex@PnLIndex.
The PnLEnd(XXX) context value is replaced by the MDX clause WHERE [PnLIndex].[PnLEndIndex].[AllMember].[XXX].
The PnLStart(XXX) context value is replaced by the MDX clause WHERE [PnLIndex].[PnLStartIndex].[AllMember].[XXX].
Removal of DayToDayDifference context values
The DayToDayDifference context value has been removed and replaced by the analysis hierarchy DayToDay@DayToDay@Dates.
The DayToDayDifference(XXX) context value is replaced by the MDX clause WHERE [Dates].[DayToDay].[DayToDay].[XXX].
The new analysis hierarchy contains the values of the standard asOfDate hierarchy plus some extra values that can be set by the
property asofdate.dtd.hierarchy.members.
The analysis hierarchy contains a list of comma-separated values in the format Label=Slicer where the slicer is an ID and integer count. The default
member is the first element in this list.
| ID | Meaning | Sample |
|---|---|---|
| DAY | Number of open days between business day and today, indicated by the count | Yesterday=DAY-1 the previous open day |
| EOM | The end of this month sliced by the count | End Of Month=EOM-1 the last open day of the previous month |
| EOQ | The end of this quarter sliced by the count | End Of Quarter=EOQ-1 the last open day of the previous quarter |
| EOY | The end of this year sliced by the count | End Of Year=EOY-1 the last open day of the previous year |
Source extension points
The file-based sources for the VaR, PnL, and Sensitivity cubes are now configurable through Spring beans.
For more information, see Configuring sources using Spring Beans.
Source packaging improvements
The package structure of the source configuration has been cleaned up and simplified.
Migrated classes
| Old class | New class |
|---|---|
| com.activeviam.risk.ref.cfg.impl.ACSVSourceConfig | com.activeviam.risk.ref.source.config.common.ACSVSourceConfig |
| com.activeviam.risk.ref.cfg.sensi.impl.IGreekDescription | com.activeviam.risk.ref.source.config.sensi.impl.IGreekDescription |
| com.activeviam.risk.ref.cfg.sensi.impl.ScalarMarketDataTuplePublisher | com.activeviam.risk.ref.source.config.sensi.impl.ScalarMarketDataTuplePublisher |
| com.activeviam.risk.ref.cfg.sensi.impl.ScalarSensiTradeStoreTuplePublisher | com.activeviam.risk.ref.source.config.sensi.impl.ScalarSensiTradeStoreTuplePublisher |
| com.activeviam.risk.ref.cfg.sensi.impl.SensiTradeStoreTuplePublisher | com.activeviam.risk.ref.source.config.sensi.impl.SensiTradeStoreTuplePublisher |
| com.activeviam.risk.ref.cfg.sensi.impl.SensiValueCalculator | com.activeviam.risk.ref.source.config.sensi.impl.SensiValueCalculator |
| com.activeviam.risk.ref.cfg.sensi.impl.TenorIndexCalculator | com.activeviam.risk.ref.source.config.sensi.impl.TenorIndexCalculator |
Migrated packages
| Old package | New package | Included classes |
|---|---|---|
| com.activeviam.risk.ref.cfg.adjustments.aggregated.source | com.activeviam.risk.ref.source.config.common | AdjustmentAzureCsvSourceConfig AdjustmentCsvSourceConfig AdjustmentLocalCsvSourceConfig AdjustmentSourceConfiguration |
| com.activeviam.risk.ref.cfg.common.impl.source | com.activeviam.risk.ref.source.config.common | CommonAzureCsvSourceConfig CommonCsvSourceConfig CommonLocalCsvSourceConfig CommonSourceConfiguration |
| com.activeviam.risk.ref.cfg.pnl.impl.source | com.activeviam.risk.ref.source.config.pnl.complete | PnLAzureCsvSourceConfig PnLCsvSourceConfig PnLLocalCsvSourceConfig PnLSourceConfiguration |
| com.activeviam.risk.ref.cfg.pnl.summary.impl.source | com.activeviam.risk.ref.source.config.pnl.summary | PnLSummaryAzureCsvSourceConfig PnLSummaryCsvSourceConfig PnLSummaryLocalCsvSourceConfig PnLSummarySourceConfiguration |
| com.activeviam.risk.ref.cfg.sensi.impl.source | com.activeviam.risk.ref.source.config.sensi.complete | AScalarSensiCsvSourceConfig ASensiCsvSourceConfig AStdSensiCsvSourceConfig ScalarSensiAzureCsvSourceConfig ScalarSensiLocalCsvSourceConfig SensiAzureCsvSourceConfig SensiLocalCsvSourceConfig SensiSourceConfiguration SensiSourcePatternsConfig |
| com.activeviam.risk.ref.cfg.sensi.summary.impl.source | com.activeviam.risk.ref.source.config.sensi.summary | ASensiImportCsvSourceConfig SensiImportAzureCsvSourceConfig SensiImportLocalCsvSourceConfig SensiSummarySourceConfiguration |
| com.activeviam.risk.ref.cfg.var.impl.source | com.activeviam.risk.ref.source.config.var.complete | VaRAzureCsvSourceConfig VaRCsvSourceConfig VaRLocalCsvSourceConfig VarSourceConfiguration |
| com.activeviam.risk.ref.cfg.var.summary.impl.source | com.activeviam.risk.ref.source.config.var.summary | VaRSummaryAzureCsvSourceConfig VaRSummaryCsvSourceConfig VaRSummaryLocalCsvSourceConfig VarSummarySourceConfiguration |
Configuration of measures
The measure chains for the VaR, PnL, Sensitivity and Market Data cubes are now configurable through Spring beans.
For more information, see Configuring measures using Spring Beans.
Measure configuration packaging improvements
The Sensitivity cube inheritance hierarchy defining the measures has been replaced by a simplified structure, consistent with the other cubes.
For a detailed description of the concept and methods of customization, see Configuring measures using Spring Beans.
Removed packages
| Removed package | Contents |
|---|---|
| com.activeviam.risk.starter.cfg.pivot.builders.sensi | Inheritance hierarchy defining measure building logic based on concrete implementation classes for each sensitivity type. |
| com.activeviam.risk.starter.cfg.pivot.builders.var | Measure building logic based on concrete implementation classes for each metric type. |
Removed classes
| Removed class | Contents |
|---|---|
| com.activeviam.risk.starter.cfg.pivot.impl.DayToDayMetric | Logic for the creation of Copper measures for day-to-day differences for a given measure. |
| com.activeviam.risk.starter.cfg.pivot.impl.IncrementalMeasureConfig | Helper methods for the creation of incremental VaR and ES measures. |
| com.activeviam.risk.starter.cfg.pivot.impl.MarketDataCubeMeasuresConfig | Configuration class containing the measure configuration for the Market Data cube. |
| com.activeviam.risk.starter.cfg.pivot.impl.PnlCubeMeasuresConfig | Configuration class containing the measure configuration for the PL cube. |
| com.activeviam.risk.starter.cfg.pivot.impl.PnlSummaryCubeMeasuresConfig | Configuration class containing the measure configuration for the PL Summary cube. |
| com.activeviam.risk.starter.cfg.pivot.impl.SensiCubeMeasuresConfig | Configuration class containing the measure configuration for the Sensitivity cube, leveraging the inheritance hierarchy. |
| com.activeviam.risk.starter.cfg.pivot.impl.SensiSummaryCubeMeasuresConfig | Configuration class containing the measure configuration for the Sensitivity Summary cube, leveraging the inheritance hierarchy. |
| com.activeviam.risk.starter.cfg.pivot.impl.VarESCubeMeasuresConfig | Configuration class containing the measure configuration for the VaR-ES cube, leveraging the metric-specific measure builders. |
| com.activeviam.risk.starter.cfg.pivot.impl.VarESSummaryCubeMeasuresConfig | Configuration class containing the measure configuration for the VaR-ES Summary cube, leveraging the metric-specific measure builders. |
Added packages
| Added package | Contents |
|---|---|
| com.activeviam.risk.ref.measures.chains | Configuration classes containing the definition of measure chains, as Spring beans, further split by cube and subset of functionality (e.g. sensitivity types, metrics). Helpers for the creation of measure chains. |
| com.activeviam.risk.ref.measures.factory | Factory classes and interfaces containing the logic for the creation of measures, further split by cube. |
| com.activeviam.risk.ref.measures.parameters | Objects used in the construction ([...]Parameters), naming and qualifying ([...]Names) of measures and their beans, further split by cube. |
| com.activeviam.risk.ref.measures.spring | Classes containing the Spring mechanism for the definition and replacement of measure beans. Annotation classes specific to each cube. |
| com.activeviam.risk.starter.cfg.pivot.measures.config | Configuration classes aggregating the chain classes by cube and subset of functionality (e.g. sensitivity types, metrics). |
Input file formats
Added
None
Modified
None
Removed
None
Configuration files
Files Added
None
Files Modified
risk-config.properties
New properties:
| Property Name | Comment | Value |
|---|---|---|
| daytoday.hierarchy | The new day-to-day slicing analysis hierarchy | DayToDay@Dates |
| start.index.level | The new pnl start index analysis hierarchy | PnLStartIndex@PnLStartIndex@PnLIndex |
| end.index.level | The new pnl end index analysis hierarchy | PnLEndIndex@PnLEndIndex@PnLIndex |
Updated properties:
None
Deleted properties:
| Property Name | Comment |
|---|---|
| asofdate.hierarchy | We now infer this value from the asofdate.level property |
risk.properties
New properties:
| Property Name | Comment | Value |
|---|---|---|
| asofdate.dtd.hierarchy.members | List of specific members used to perform day-to-day operations in addition to the asOfDates | Yesterday=DAY-1,Day-2=DAY-2,Tomorrow=DAY+1,End Of Month=EOM-1,End Of Quarter=EOQ-1,End Of Year=EOY-1 |
Updated properties:
None
Deleted properties:
| Property Name | Comment |
|---|---|
| enable.var.cube | Moved to application.yaml and renamed. |
| enable.var.summary.cube | Moved to application.yaml and renamed. |
| enable.sensi.cube | Moved to application.yaml and renamed. |
| enable.sensi.summary.cube | Moved to application.yaml and renamed. |
| enable.pnl.cube | Moved to application.yaml and renamed. |
| enable.pnl.summary.cube | Moved to application.yaml and renamed. |
| enable.common.cube | Moved to application.yaml and renamed. |
| enable.market.cube | Moved to application.yaml and renamed. |
signoff.properties
Updated properties:
| Property Name | Comment | New Value | Old Value |
|---|---|---|---|
| sign-off.extraction.templates | DEE templates used for Sign-off export can now be defined for cube-measure pairs. | DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport | DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport |
| sign-off.extraction.templates.scalar | Same as above | DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiScalarCubeExport,SensiScalarAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport | DEFAULT:CubeAdjustmentExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport;Sensitivity Cube:SensiScalarCubeExport,SensiScalarAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport |
| sign-off.adjustments.cube.hierarchiesToExclude.VaR-ES\u0020Cube | The hierarchies that are not part of the cube-level adjustment location in the VaR-ES Cube | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk,DayToDay@Dates | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk |
| sign-off.adjustments.cube.hierarchiesToExclude.Sensitivity\u0020Cube | The hierarchies that are not part of the cube-level adjustment location in the Sensitivity Cube | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,DynamicMaturities@DynamicBucketing,DynamicMoneyness@DynamicBucketing,DynamicTenors@DynamicBucketing,DayToDay@Dates | Date@Dates,MarketDataSets@MarketData,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,DynamicMaturities@DynamicBucketing,DynamicMoneyness@DynamicBucketing,DynamicTenors@DynamicBucketing |
| sign-off.adjustments.cube.hierarchiesToExclude.PLCube | The hierarchies that are not part of the cube-level adjustment location in the PnL Cube | Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL,DayToDay@Dates | Date@Dates,MarketDataSets@MarketData,Sign-off Status@Sign-off,Types@PnL |
application.yaml
New properties:
| Property Name | Comment | Value | |
|---|---|---|---|
| configuration: | Subsection for the application start-up modes. | ||
| sign-off: | Sign-off configuration. | ||
| enable: | Toggle for including sign-off configuration and services in the running application. | false | |
| data-model: | Data model configuration. | ||
| scalar-sensitivities: | Toggle for scalar sensitivities. The default false value loads sensitivities as vectors. |
false | |
| aggregated: | Toggle for importing aggregated data into the application. | false | |
| data-load: | Data loading configuration. | ||
| source: | The type of source to be used. Options are local-file-system and azure-data-loading. |
local-file-system | |
| cubes: | Subsection for ActivePivot cubes. | ||
| enable: | Subsection for enabling and disabling individual cubes. | ||
| var: | Enable (true) or disable (false) the Var-ES cube. |
true | |
| var-summary: | Enable (true) or disable (false) the Var-ES Summary cube. |
true | |
| pnl: | Enable (true) or disable (false) the PnL cube. |
true | |
| pnl-summary: | Enable (true) or disable (false) the PnL Summary cube. |
true | |
| sensi: | Enable (true) or disable (false) the Sensi cube. |
true | |
| sensi-summary: | Enable (true) or disable (false) the Sensi Summary cube. |
true | |
| market: | Enable (true) or disable (false) the Market Data Cube. |
true | |
| common: | Enable (true) or disable (false) the MRACombinedCube. |
true |
Files Deleted
None
Datastores
Added stores
None
Modified stores
None
Deleted stores
None
Cube schema
Added
| Cube | Dimension | Hierarchy | Levels | Datastore fields | Details |
|---|---|---|---|---|---|
| Market Data | srcCurrency | Currencies | [ALL, srcCurrency] | Filled by IFxRates::getAvailableCurrencies |
Source currency for FX Rate and Market Data. |
| Market Data | Risk | Maturities Secondary | [ALL, Maturity2, Maturity Date2] | MarketData: MaturityLabels, MaturityDates | Used for underlying comparison between maturities. |
| Market Data | Risk | Maturities | [ALL, Maturity, Maturity Date] | MarketData: MaturityLabels, MaturityDates | Used to display maturity of a market data. |
| Market Data | Risk | Moneyness Secondary | [ALL, Moneyness2] | MarketData: MoneynessLabels | Used for underlying comparison for moneyness. |
| Market Data | Risk | Tenors Secondary | [ALL, Tenor2, Tenor Date2] | MarketData: TenorLabels, TenorDates | Used for underlying comparison between tenors. |
| Market Data | Risk | Tenors | [ALL, Tenor, Tenor Date] | MarketData: TenorLabels, TenorDates | Used to display the tenor of a market data. |
| Market Data | Sensitivity Kind | Sensitivity Kind | [ALL, Sensitivity Kind] | Computed from the regexp in property file starting with: sensi.type. |
This provides the type of sensitivity (if any) that uses market data. |
Modified
None
Removed
None
Measures
Added
| Cube | Measure | Details |
|---|---|---|
| Market Data | Current MD | Market data. |
| Market Data | Current MD Interpolated | Market data with interpolation. |
| Market Data | Current MD Abs | Market data expressed in an absolute unit (like a currency). |
| Market Data | Current MD Abs Interpolated | Market data expressed in an absolute unit (like a currency) with interpolation. |
| Market Data | Current MD Rel | Market data expressed in a relative unit, like a percentage. |
| Market Data | Current MD Rel Interpolated | Market data expressed in a relative unit, like a percentage, interpolated. |
| Market Data | Current MD Native | Market data without any FX conversion. |
| Market Data | Current MD Abs Native | Market data expressed in an absolute unit (like a currency) without any FX conversion. |
| Market Data | Current MD Abs Interpolated Native | Market data expressed in an absolute unit (like a currency) with interpolation, without any FX conversion. |
| Market Data | Current MD Interpolated Native | Market data with interpolation without any FX conversion. |
| Market Data | Current MD Rel Native | Market data expressed in a relative unit, like a percentage, without any FX conversion. |
| Market Data | Current MD Rel Interpolated Native | Market data expressed in a relative unit like %, interpolated, without any FX conversion. |
| Market Data | FX Rate | FX Rate from source to target currency. |
| Market Data | FX Shift | FX Shift vector applied to the exchange rate to mimic the historical FX rate for VaR currency conversion. |
| Market Data | FX Shift StdDev | The standard deviation of the FX Shift vector applied to the exchange rate. |
| Market Data | Shift Correl | Correlation between two shift vectors. |
| Market Data | Shift Vector | Market Shift vector, not interpolated, not normalized. |
| Market Data | Shift Vector StdDev | Standard deviation of the Market Shift vector, not interpolated, not normalized. |
| Market Data | Shift Vector Interpolated | Market Shift vector, interpolated, not normalized. |
| Market Data | Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector, interpolated, not normalized. |
| Market Data | Shift Vector Normalized | Market Shift vector, not interpolated, normalized to fit the sensitivity. |
| Market Data | Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector, not interpolated, normalized. |
| Sensitivity | Correlation Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Sensitivity | Correlation Shift Vector Interpolated Normalized | Market Shift vector used by the Correlation sensitivity, interpolated, normalized |
| Sensitivity | Correlation Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Sensitivity | Correlation Shift Vector Interpolated | Market Shift vector used by the Correlation sensitivity, interpolated, not normalized |
| Sensitivity | Correlation Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Sensitivity | Correlation Shift Vector Normalized | Market Shift vector used by the Correlation sensitivity, not interpolated, normalized |
| Sensitivity | Correlation Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Sensitivity | Correlation Shift Vector | Market Shift vector used by the Correlation sensitivity, not interpolated, not normalized |
| Sensitivity | CrossGamma Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| Sensitivity | CrossGamma Shift Vector Interpolated Normalized | Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized |
| Sensitivity | CrossGamma Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| Sensitivity | CrossGamma Shift Vector Interpolated | Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized |
| Sensitivity | CrossGamma Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| Sensitivity | CrossGamma Shift Vector Normalized | Market Shift vector used by the CrossGamma sensitivity, not interpolated, normalized |
| Sensitivity | CrossGamma Shift Vector StdDev | Standard deviation of the Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| Sensitivity | CrossGamma Shift Vector | Market Shift vector used by the CrossGamma sensitivity, not interpolated, not normalized |
| Sensitivity | Delta Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Sensitivity | Delta Shift Vector Interpolated Normalized | Market Shift vector used by the Delta sensitivity, interpolated, normalized |
| Sensitivity | Delta Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Sensitivity | Delta Shift Vector Interpolated | Market Shift vector used by the Delta sensitivity, interpolated, not normalized |
| Sensitivity | Delta Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Sensitivity | Delta Shift Vector Normalized | Market Shift vector used by the Delta sensitivity, not interpolated, normalized |
| Sensitivity | Delta Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Sensitivity | Delta Shift Vector | Market Shift vector used by the Delta sensitivity, not interpolated, not normalized |
| Sensitivity | Gamma Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Sensitivity | Gamma Shift Vector Interpolated Normalized | Market Shift vector used by the Gamma sensitivity, interpolated, normalized |
| Sensitivity | Gamma Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Sensitivity | Gamma Shift Vector Interpolated | Market Shift vector used by the Gamma sensitivity, interpolated, not normalized |
| Sensitivity | Gamma Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Sensitivity | Gamma Shift Vector Normalized | Market Shift vector used by the Gamma sensitivity, not interpolated, normalized |
| Sensitivity | Gamma Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Sensitivity | Gamma Shift Vector | Market Shift vector used by the Gamma sensitivity, not interpolated, not normalized |
| Sensitivity | Vanna Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Sensitivity | Vanna Shift Vector Interpolated Normalized | Market Shift vector used by the Vanna sensitivity, interpolated, normalized |
| Sensitivity | Vanna Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Sensitivity | Vanna Shift Vector Interpolated | Market Shift vector used by the Vanna sensitivity, interpolated, not normalized |
| Sensitivity | Vanna Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Sensitivity | Vanna Shift Vector Normalized | Market Shift vector used by the Vanna sensitivity, not interpolated, normalized |
| Sensitivity | Vanna Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Sensitivity | Vanna Shift Vector | Market Shift vector used by the Vanna sensitivity, not interpolated, not normalized |
| Sensitivity | Vega Shift Vector Interpolated Normalized StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Sensitivity | Vega Shift Vector Interpolated Normalized | Market Shift vector used by the Vega sensitivity, interpolated, normalized |
| Sensitivity | Vega Shift Vector Interpolated StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Sensitivity | Vega Shift Vector Interpolated | Market Shift vector used by the Vega sensitivity, interpolated, not normalized |
| Sensitivity | Vega Shift Vector Normalized StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Sensitivity | Vega Shift Vector Normalized | Market Shift vector used by the Vega sensitivity, not interpolated, normalized |
| Sensitivity | Vega Shift Vector StdDev | Standard deviation of the Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Sensitivity | Vega Shift Vector | Market Shift vector used by the Vega sensitivity, not interpolated, not normalized |
| Sensitivity | TaylorVectorExpand | PnL Vector for the Taylor VaR, expanded into individual constituents |
| Sensitivity | Correlation TaylorVectorExpand | “PnL Vector generated by the Correlation sensitivity for the Taylor VaR, expanded into individual constituents |
| Sensitivity | CrossGamma TaylorVectorExpand | “PnL Vector generated by the CrossGamma sensitivity for the Taylor VaR, expanded into individual constituents |
| Sensitivity | Delta TaylorVectorExpand | “PnL Vector generated by the Delta sensitivity for the Taylor VaR, expanded into individual constituents |
| Sensitivity | Gamma TaylorVectorExpand | “PnL Vector generated by the Gamma sensitivity for the Taylor VaR, expanded into individual constituents |
| Sensitivity | Vanna TaylorVectorExpand | “PnL Vector generated by the Vanna sensitivity for the Taylor VaR, expanded into individual constituents |
| Sensitivity | Vega TaylorVectorExpand | “PnL Vector generated by the Vega sensitivity for the Taylor VaR, expanded into individual constituents |
Modified
None
Removed
None
Context values
Added
None
Modified
None
Removed
| Name | Details |
|---|---|
| PnLStart and PnLEnd | Replaced by the analysis hierarchies PnLStartIndex@PnLStartIndex@PnLIndex and PnLEndIndex@PnLEndIndex@PnLIndex. See summary for details. |
| DayToDayDifference | Replaced by the analysis hierarchy DayToDay@DayToDay@Dates. See summary for details. |
Other changes
Sign-off service
The classes SignOffRestService and SignOffServiceConfig have been modified to support level depths in the definition of the Sign-off scope.
New sign-off DEE template
The DEE template VaRESCubeMetricVaROnlyExport.json has been added.
Updated and fixed JAXB mapping configuration
The file risk-jaxb-mapping.xml has been fixed and updated with the correct JAXB mappings needed to serialize context values in SOAP requests if flat context
values are not used. For more information, see risk-jaxb-mapping.xml.