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Datastore Helper implementation within MR

This page provides implementation details about the usage of the Datastore Helper 3.4.0-AS6.1 library within Atoti Market Risk, focusing on the wiring between different datastore definitions and customizations. For documentation of the library itself, see the Datastore Helper Documentation.

Implementations of the AConfigurableSchema class

All the MR libraries datastores are provided as extensions of the AConfigurableSchema and ATenorAwareSchema classes. These classes are exposed as individual beans or annotated as @Configuration, then collected and applied to the IDatastoreConfigurator object in the DatastoreConfiguratorSetup class.

The full list of store definitions is as follows:

Class	Datastore contents	Exposed as
`CubeMarketDataStore`	Cube market data.	A bean in the `CubeMarketDataRetrievalConfig` class.
`CurveMarketDataStore`	Curve market data.	A bean in the `CurveMarketDataRetrievalConfig` class.
`FxRateMarketDataStore`	FX rates.	A bean in the `FxRateMarketDataRetrievalConfig` class.
`SpotMarketDataStore`	Spot market data.	A bean in the `SpotMarketDataRetrievalConfig` class.
`SurfaceMarketDataStore`	Surface market data.	A bean in the `SurfaceMarketDataRetrievalConfig` class.
`BookHierarchyStoreConfig`	A multi-level book hierarchy.	`@Configuration` class wired directly.
`BookParentChildStoreConfig`	A parent-child book hierarchy.	`@Configuration` class wired directly.
`CounterpartyHierarchyStoreConfig`	A multi-level counterparty hierarchy.	`@Configuration` class wired directly.
`CounterpartyParentChildStoreConfig`	A parent-child counterparty hierarchy.	`@Configuration` class wired directly.
`CounterpartyStoreConfig`	Counterparty information.	`@Configuration` class wired directly.
`CountryStoreConfig`	Country information.	`@Configuration` class wired directly.
`LegalEntityHierarchyStoreConfig`	A multi-level legal entity hierarchy.	`@Configuration` class wired directly.
`LegalEntityParentChildStoreConfig`	A parent-child legal entity hierarchy.	`@Configuration` class wired directly.
`MarketShiftStoreConfig`	Market shifts.	`@Configuration` class wired directly.
`RiskFactorsCatalogueStoreConfig`	Risk factors information.	`@Configuration` class wired directly.
`ScenariosStoreConfig`	Scenarios per set.	`@Configuration` class wired directly.
`TradeAttributesStoreConfig`	Trade attributes.	`@Configuration` class wired directly.
`CounterpartyToCountryReferenceConfig`	References between the Counterparty and Country stores.	`@Configuration` class wired directly.
`TradeAttributesToBookHierarchyReferenceConfig`	References between the Trade Attributes and Book Hierarchy stores.	`@Configuration` class wired directly.
`TradeAttributesToCounterpartyHierarchyReferenceConfig`	References between the Trade Attributes and Counterparty Hierarchy stores.	`@Configuration` class wired directly.
`TradeAttributesToCounterpartyReferenceConfig`	References between the Trade Attributes and Counterparty stores.	`@Configuration` class wired directly.
`TradeAttributesToLegalEntityHierarchyReferenceConfig`	References between the Trade Attributes and Legal Entity Hierarchy stores.	`@Configuration` class wired directly.
`PnLStoreConfig`	Standard PnL store.	`@Configuration` class wired directly.
`PnLAggregatedStoreConfig`	Denormalized store for PnL aggregated imports.	`@Configuration` class wired directly.
`CorrelationMarketDataStore`	Correlation market data.	A bean in the `CorrelationMarketDataRetrievalConfig` class.
`DividendMarketDataStore`	Dividend market data.	A bean in the `CorrelationMarketDataRetrievalConfig` class.
`DynamicTenorsStoreConfig`	Dynamic tenors for rebucketing.	`@Configuration` class wired directly.
`SensiLaddersStoreConfig`	Sensitivity ladders.	`@Configuration` class wired directly.
`SplitRatioMarketDataStore`	Split ratios for equity instruments.	A bean in the `CorporateActionMarketDataRetrievalConfig` class.
`TradeSensitivitiesStoreConfig`	Standard sensitivity data.	`@Configuration` class wired directly.
`SensiAggregatedStoreConfig`	Denormalized store for sensitivity aggregated imports.	`@Configuration` class wired directly.
`SensiFlatStoreConfig`	Denormalized store for sensitivity store-level imports.	`@Configuration` class wired directly.
`TradeSensitivitiesToRiskFactorsCatalogueReferenceConfig`	References between the Trade Sensitivities and Risk Factors Catalogue stores.	`@Configuration` class wired directly.
`TradeSensitivitiesToTradeAttributesReferenceConfig`	References between the Trade Sensitivities and Trade Attributes stores.	`@Configuration` class wired directly.
`VaRStoreConfig`	Standard VaR data.	`@Configuration` class wired directly.
`VaRAggregatedStoreConfig`	Denormalized store for VaR aggregated imports.	`@Configuration` class wired directly.
`VaRFlatStoreConfig`	Denormalized store for VaR store-level imports.	`@Configuration` class wired directly.

Several additional classes are provided to allow groups of stores and references to be imported together:

Class	Details	Imported classes
`AllCommonStoresConfig`	Stores used in multiple cubes.	`MarketShiftStoreConfig`.
`AllStandardStoresConfig`	Stores used regardless of cube.	`BookHierarchyStoreConfig`, `BookParentChildStoreConfig`, `CounterpartyHierarchyStoreConfig`, `CounterpartyParentChildStoreConfig`, `CounterpartyStoreConfig`, `LegalEntityHierarchyStoreConfig`, `LegalEntityParentChildStoreConfig`, `MarketDataSetStoreConfig`, `RiskFactorsCatalogueStoreConfig`, `ScenariosStoreConfig`, `TradeAttributesStoreConfig`.
`AllStandardReferencesConfig`	References used regardless of cube.	`CounterpartyToCountryReferenceConfig`, `TradeAttributesToBookHierarchyReferenceConfig`, `TradeAttributesToCounterpartyReferenceConfig`, `TradeAttributesToCounterpartyHierarchyReferenceConfig`, `TradeAttributesToLegalEntityHierarchyReferenceConfig`.
`AllSensiStoresConfig`	Stores used for the sensitivity cube.	`DynamicTenorsStoreConfig`, `SensiLaddersStoreConfig`, `TradeSensitivitiesStoreConfig`.
`AllSensiReferencesConfig`	References used for the sensitivity cube.	`TradeSensitivitiesToRiskFactorsCatalogueReferenceConfig`, `TradeSensitivitiesToTradeAttributesReferenceConfig`.

The DatastoreConfiguratorSetup class

All Spring beans are collected in the DatastoreConfiguratorSetup class. The@Configuration classes are expected to be made conditional on application properties and thus result in the correct set of datastores for each run mode.

Customizations should be created as DatastoreConfiguratorConsumer beans, which are then collected by the class constructor:

        public DatastoreConfiguratorSetup(
            List<IConfigurableSchema> schemas,
            @Autowired(required = false) List<DatastoreConfiguratorConsumer> customisations) {
        this.schemas = schemas;
        this.customisations = customisations;
    }

Customizations classes

Atoti Market Risk contains two customization classes that instantiate DatastoreConfiguratorConsumer beans.

Class	Usage
DatastoreCustomisations	Empty class intended to provide a place to define simple customizations.
ProductControlDatastoreCustomisations	Operates on the PnL base store. Makes the `Type` field a key field and adds `Monthly`, `Yearly` and `Lifetime` value fields.