Fixed ladder computation: The ladder formula has been fixed. This changes the result of PnL and VaR computation that uses a sensitivity based on Ladders.
Added Volga Taylor VaR measures: Volga Taylor VaR measures have been added to the Solution.
Added statistical measures for interpolated market shift measures: The minimum, maximum, average, and percentile measures have been added for interpolated market
shift measures.
Made ladder-based sensitivity measures optional: Ladder-based sensitivity measures can now be excluded from the configuration. If the configuration classes are excluded, no visible measures will be present in the cube. If the Solution is configured to use ladders as an input to PnL Explain and Taylor VaR calculations, the result will be NaN.
DirectQuery cube refresh is now available by REST service: It can be done with a post at the URL ‘http://localhost:10010/mr-application/directquery/refresh’.
5.2.1
Summary
Upgraded to Atoti Server 6.0.7.
Bug fixes and improvements.
5.2.0
Summary
Improved Sensitivity Cube configuration for testing: store, dimension, and measure configuration classes have been split to allow targeted testing of measure chains.