Migration notes 5.1

This page explains the changes required to migrate to the stated version of the Atoti Market Risk.

Migrate to 5.1.0

Upgrading from version 5.0.0 - see Atoti Market Risk 5.1.0 Release Notes.

• Atoti Market Risk uses Atoti Server 6.0.5 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.

Headline announcement

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

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

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

  note

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

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

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

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

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

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

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

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

Breaking changes

• The SecondOrderLadder field has been removed from the Sensitivities files. The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders. See Input file formats.

• The datastore configuration has been changed to reflect that change in the input data. See Datastores.
• The Hibernate properties have changed.
• The unused Hikari properties have been removed. Tomcat JDBC is now used.
• Bookmarks have been migrated to Atoti UI 5.1.x. See Updated bookmarks.
• The configuration of the Taylor VaR measures has been separated from the configuration of PnL explain measures. See Separate configuration for Taylor VaR measures.
• The user configuration has been changed. See Updated user roles.
• The MarketRiskTestApplication class has been removed from the mr-application module. To start the application from an IDE, you can now simply run the MarketRiskApplication class.

Input file formats

The SecondOrderLadder field has been removed from the sensitivities files:

• Sensitivities.csv
• CrossSensitivities.csv
• SummarySensitivity.csv

The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders.

Configuration files

Files Modified

application.yaml

New properties:

Updated properties:

hibernate.properties

Hibernate properties in this file have been renamed to prepend content-service.db. to the property name.

The Hikari connection pool properties have been replaced with Tomcat JDBC connection pool properties.

mr.properties

New properties:

Updated properties:

mr-config.properties

Updated properties:

tracing.properties

New properties:

dee.export.properties

Updated properties:

The template “mr-application/src/main/resources/dee-templates/SensiSummaryExport.json” has been updated to remove the SecondOrderLadder field.

protocol-tcp.xml and protocol-udp.xml

The version of JGroups has been added to the JGroups configuration file used for distributed cubes. If that version is not specified a warning is printed out in the logs.

Test file: mr.bookmark.properties

Updated properties:

Datastores

Cube schema

No changes.

Context values

No changes.

Market Data Retrieval service API

The method getRawMarketData of the classes MarketDataRetrievalService and ScalarMarketDataRetrievalService has an additional argument: boolean applyCorporate to avoid looking up the CorporateAction store if corporate actions are not applied.

The body of these two methods is modified accordingly.

DirectQuery

A new module has been added to the project: mr-directquery. It contains the code and the configuration needed to handle the loading of data with DirectQuery. See Getting Started with DirectQuery.

Configuration Annotations

Some Spring annotations have been defined to make the definition of beans easier. For details, see DirectQuery annotations.

The following classes are annotated with @OnInMemoryDatabase:

The following beans are annotated with @OnInMemoryDatabase:

The following classes are annotated with @OnDirectQueryDatabase. All these classes are new configuration classes in the application:

In addition, the following configuration classes have been added:

Separate configuration for Taylor VaR measures

Up until version 5.0.0, PnL explain and Taylor VaR measures were configured in the same files, or files that were dependent on one another.

In version 5.1.0, the configuration of Sensitivity cube measures has been split into three main categories:

• Sensitivities
• PnL explain
• Taylor VaR

This reorganization involved the following changes, as detailed in this section:

• Configuration import changes
• New classes created
• Files renamed
• Changes in package and class extensions
• Files deleted and replaced by new files

Configuration import changes

Modules concerned: mr-application and mr-sensi-config

Configuration import changes in module mr-application

• In the file MarketRiskConfig, the following imports have been added:

        SensiMeasureParametersBeans.class,
        PnLExplainMeasuresConfig.class,
        SensitivityMeasuresConfig.class,
        SensitivitySummaryCubeMeasuresConfig.class,
        TaylorMeasuresConfig.class,
        SensitivitySignOffMeasuresConfig.class,
        SensitivityCubeWiringConfig.class,

• In the MRCombinedCube class, the measures have been grouped together in sub-methods.

Configuration import changes in module mr-sensi-config

New classes created

Modules concerned: mr-sensi-config and mr-sensi-lib

New configuration classes in module mr-sensi-config

New classes in module mr-sensi-lib

Files renamed

Classes renamed in module mr-sensi-config

Changes in packages and class extensions

As a consequence of the renaming, some classes extend different abstract classes, and some packages were split into separate packages for PnL explain and Taylor VaR.

Modules concerned: mr-sensi-config and mr-sensi-lib

Changes in packages and class extensions in module mr-sensi-config

Market Data Retrieval service API

The method getRawMarketData of the classes MarketDataRetrievalService and ScalarMarketDataRetrievalService has an additional argument: boolean applyCorporate to avoid looking up the CorporateAction store if corporate actions are not applied. The body of these two methods is modified accordingly.

Classes moved to a different package in the module mr-sensi-lib

Files deleted and replaced by new files

Modules concerned: mr-sensi-config and mr-sensi-lib

In module mr-sensi-config

In module mr-sensi-lib

What-if Configuration

The instance of IDatabaseSimulationsSecurityManager is injected in the arguments of the bean DatabaseSimulationsWorkflow instead of being invoked in the bean creation code.

Updated bookmarks

The bookmark permissions have been updated to better conform to our intended usage. All shipped bookmarks are now owned by ROLE_ADMIN, with no changes being permitted by any other users. ROLE_USER is the reader role, allowing all bookmarks to be viewed by any user. The bookmarks have also been upgraded to Atoti UI 5.1. See more details about the upgrade from Atoti UI 5.0 to Atoti 5.1 here: Migrate from Atoti UI 5.0 to 5.1

Updated user roles

All users except admin have had the ROLE_CS_ROOT role removed, as it bypasses all restrictions. Any permissions (default or specific) are now respected.

PropertySourcesPlaceholderConfigurer Bean

Two distinct PropertySourcesPlaceholderConfigurer beans were defined in the MarketRiskConfig class, which is not allowed by Spring Boot. Only one PropertySourcesPlaceholderConfigurer bean is now defined in the MarketRiskConfig class.