Added feature to enable/disable Sign-Off REST services. This prevents the Sign-Off server from sending successful REST requests before the end of the initial load.
When computing FX risk, the risk factor will no longer be considered half of a currency pair if it cannot be parsed as a full XXX/YYY pair. Cash sensitivities have been removed.
SupportedAdjustment and AdjustmentExecution config classes have moved from mr-pnl/sensi/var-config modules to mr-application to make it easier to disable specific adjustments.
The LiquidityHorizon field has been moved from the TradePnL table to the Scenarios table. This way the Liquidity Horizon parameter is taken into account when computing VaR/Es metrics.
Atoti Market Data dependencies have the provided scope within Atoti Market Risk libraries. This allows projects to use their own compatible version of Atoti Market Data.
Taylor measures have moved from the folders Value at Risk/Earnings to Value At Risk/Earnings to match measures from the VaR-ES cube and ensure a consistent folder structure in the MR Combined Cube.
Atoti Market Data dependencies: The way Atoti Market Risk specifies the Atoti Market Data dependency has changed. For the full details, see Migration to Atoti Market Data.
Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
Rebuild schedule change: Previously the Atoti schemas would be rebuilt every 30 minutes. This has now changed to once a day, and we have added properties to configure this for your requirements.
Removed risk factor FX pair fallback logic: Removed logic that would default to using the risk factor as a base currency and the display currency as a counter currency when the risk factor did not contain a currency pair in the XXX/YYY format.
Removed Cash sensitivities: Cash sensitivities were dependent on risk factor FX pair fallback logic and have therefore been removed.
Adjustment Config classes moved: SupportedAdjustment and AdjustmentExecution config classes have moved from mr-pnl/sensi/var-config modules to mr-application to make it easier to disable specific adjustments.
Cube-level adjustments: The implementation of cube-level adjustments has been changed: now only add-ons are supported for cube-level adjustments, and the add-ons are aggregated. For details, see Cube-level adjustments.
Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API.
Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server.
Market data set changes: MarketDataSet is now a field on all base stores ensuring each fact is specifically associated to a set.
Liquidity Horizon: The parameter has moved to the Scenario table. See VaRTimePeriod context value for the behavior of the field.
Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube.
Market data file format configuration clean-up: Market data file formats now default to the Atoti Market Data 1.1.0 market data files, no longer requiring explicit file naming patterns to be declared. Backwards compatibility has been maintained by matching the configured file naming pattern to the deprecated file formats. For details, see Market data API data loading.
Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API. For details, see Data Connectors upgrade.
Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server. For details, see DispatcherServlet configuration removal.
Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube. The input files PLCube.csv, PLActuals.csv, PLPCActuals.csv and SummaryPL.csv have been modified accordingly to remove the attributes. RiskFactor was a primary key. Please amend your input files accordingly to avoid primary key collisions.
Liquidity Horizon: The Liquidity Horizon parameter is now taken into account when computing VaR/Es metrics. To achieve this, the parameter has been moved to the Scenario table.
The value of this field is now equal to the value of the adjustment source field in the base store, and not to the adjustment execution ID, like before.
When true, this adds the hierarchy Legs with the level LegId to the Booking dimension. LegId is an optional field, which can be added to the PLActuals.csv and PLPCActuals.csv input files.
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading.
glob:**Spot_Market_Data*.csv
None.
mr.common.file-patterns.curve-market-data
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading.
glob:**Curve_Market_Data*.csv
None.
mr.common.file-patterns.fx-rate-market-data
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to glob:**FXRates*.csv enables backwards-compatible data loading.
glob:**FX_Rate_Market_Data*.csv
None.
mr.common.file-patterns.surface-market-data
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading.
glob:**Surface_Market_Data*.csv
None.
mr.common.file-patterns.cube-market-data
Added a default value to this pattern, matching the value previously defined in application.yaml. Setting the pattern to regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$ enables backwards-compatible data loading.
glob:**Cube_Market_Data*.csv
None.
mr.data-load.format
Updated the default value to the the current release.
6.0
5.1
Market data properties (e.g. mr.sensi.market-data.vega.any.custom.interest-rate-risk.market-data-type=cube) have been updated to reject incorrect (or unsupported) configuration:
market-data-type
interpolate
interpolation-mode
Details
Spot
Hardcoded to false.
None.
Single value spot prices cannot be interpolated.
FX Spot
Hardcoded to false.
None.
Single value FX rates cannot be interpolated.
Split Ratio
N/A.
N/A.
No properties are available for the Split Ratio measures.
Cube
Hardcoded to false.
None.
Mathematically possible, but unsupported by our API.
Correlation
Hardcoded to false.
None.
A correlation value cannot be interpolated.
Dividend
Hardcoded to false.
None.
Dividend amounts cannot be interpolated.
Theta
N/A.
N/A.
As a function of the time to maturity, Theta cannot be interpolated.
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.
mr.sensi.types.cash
All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.
Properties files
Files added
File Name
Details
application-databricks.yaml
This file provides a default set of properties to run in DirectQuery mode using Databricks. This profile allows you to specify environment-specific properties, such as password or database, with environment variables. You can also edit the file with your specific property values.
Files modified
File Name
Details
application.yaml
DirectQuery properties have been removed from this properties file. These properties are now exclusively in the property file for the specific database: application-databricks/mssql/snowflake.yaml.
application-mssql.yaml
Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields.
application-snowflake.yaml
Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields.
Leg Ids under a single Trade Id to enable sending in trades that will have multiple legs under a single Trade Id. This is an optional field available when the property mr.pnl.enable.leg-id is set to true.
This optional attribute was added to enable sending in trades that will have multiple legs under a single TradeId. Only available when the property mr.pnl.enable.leg-id is set to true.
All
TradeAttributes
TradeSources
TradeSource
TradeSource
Added to identify the source system the trade was executed in.
All
TradeAttributes
TradeStatuses
TradeStatus
TradeStatus
Added to analyse and break down the dtd pnl differences to find the components due to new trades, amended trades and cancelled trades.
The notional at trade date in the native currency.
Modified
All measures in the Value at Risk folder have moved to the Value At Risk folder, and those in Value at Earnings have moved to Value At Earnings.
Market data
Sensitivity- and risk-class-agnostic market data measures have been added, replacing the previously visible FX-converted and Native measures.
For sensitivities that used a single type of market data (for example, CrossGamma only uses Spot market data), the PnL Explain chains have been updated to use those market data types directly.
When a sensitivity uses multiple types of market data depending on risk class, such as Delta with Spot for equities and Curve for GIRR, the top level market data measures have been
updated to behave as a location-based switcher between the available market data types.
For details about the market data measures made available in Market Risk 6.0.0, the Market Data section covers the types of market data available
in the Sensitivity Cube as well as which market data types are used for each sensitivity. A complete list of measures is also available.
Removed
Cube
Measure
Details
Sensitivity Cube
Cash measures
All Cash measures have been removed without a replacement.