The SACubeRRAOExport DEE template now exports the RRAO Category column under the header RRAOCategory instead of OtherResidualRiskType. Downstream consumers that parse the export by header name must be updated from OtherResidualRiskType to RRAOCategory.
This section applies only if your project customizes distributed messaging classes.The IMessageHandlerRegistrar pattern introduced in 6.0.8 has been replaced. The following classes have been removed:
BusinessDayCalendarMessageHandler
FrtbCoreMessageHandlerRegistrar
DatastoreMetadataMessenger
BusinessDayCalendarMessage is now a Java record implementing Request (from com.activeviam.activepivot.dist.impl.avinternal.communication). Its answer is a nested record implementing Answer and ProcessedOutput.Handler registration is done inline using the CommunicationRegistration fluent API instead of the @AtotiExtendedPluginValue annotation.Before (6.0.8):
@AtotiExtendedPluginValue(intf = IMessageHandlerRegistrar.class, key = "FrtbCoreMessageHandlerRegistrar")public class FrtbCoreMessageHandlerRegistrar implements IMessageHandlerRegistrar { @Override public void registerHandlers(IDistributedMessenger messenger, IMultiVersionActivePivot pivot) { IMessageHandlerRepository repository = messenger.getMessageHandlerRepository(); repository.setMessageHandler(BusinessDayCalendarMessage.class, new BusinessDayCalendarMessageHandler()); }}
Eight new unload topic aliases have been added to allow selective, per-cube data unloading via DLC: UnloadSA, UnloadIMA, UnloadIMADRC, UnloadPL, UnloadStressCalibration, UnloadCommon, UnloadParameters, and UnloadAllData. No migration is required; these are purely additive. See Unload Topic Aliases for details.
tracing.enabled property removed — The OpenTelemetryTracingConfig class has been removed. Tracing is now configured entirely through OpenTelemetry Spring Boot auto-configuration.
Exporters disabled by default — OpenTelemetry exporters (traces, metrics, logs) are now set to none by default. Previously, tracing was enabled by default when tracing.enabled=true.
Migration steps:
The tracing.enabled property can be removed from your configuration as it is no longer used.
If you were using tracing.enabled=false to disable tracing: No action needed (tracing is now off by default).
If you were using tracing.enabled=true with -Dotel.java.global-autoconfigure.enabled=true, replace with the new VM flags:
This section applies only if your project customizes distributed messaging classes.The following API changes have been made:
IAuthenticatedBroadcastMessage now takes 1 type parameter instead of 3. Update any class that implements or references this interface.
BusinessDayCalendarMessage has been simplified to AUniqueBroadcastMessage<BusinessDayCalendarMessageAnswer>. Handler logic previously embedded in the message class now lives in BusinessDayCalendarMessageHandler.
DatastoreMetadataMessenger is deprecated for removal. Its third type parameter has changed from IDistributedHierarchyManager to Void.
Custom message handlers should now implement IMessageHandlerRegistrar and register using @AtotiExtendedPluginValue(intf = IMessageHandlerRegistrar.class), rather than embedding logic in the message class itself.
The constants AUTO_CONTRIBUTE_UNKNOWN_MEMBER_ALWAYS and AUTO_CONTRIBUTE_UNKNOWN_MEMBER_PROPERTY have moved from AxisHierarchyBase to IAxisHierarchyDescription. Update any imports or references in your project.Before:
The IFileUploadDataNodeClient interface has been updated in the frtb-starter module, the method createBranchForUIWithoutSimulation has been added to it.
The class FileUploadQueryNodeService has been changed extensively. It needs to be copied as is to your upgraded project.
In the class FileUploadQueryNodeRestController, the method resetDataNodeFiles does not throw an exception in its signature any more:
@PostMapping(value = "/upload/{branch}")@DependsOn(value = { "dataLoadController" })public boolean createBranchForUI( @PathVariable("branch") String branch, @RequestParam("files") String[] files) { if (files == null || files.length == 0) { return false; } try { Map<String, FileUploadPayload> dataNodeFiles = getDataNodeFiles(); var branchCreated = fileUploadQueryNodeService.createBranchForUI(branch, files, dataNodeFiles); if (branchCreated) { Authentication authentication = SecurityContextHolder.getContext().getAuthentication(); String userName = authentication.getName(); IDatabaseSimulationDefinition definition = new FileUploadSimulationDefinition(files); var permissions = new BranchPermissions(Set.of(userName), IBranchPermissions.ALL_USERS_ALLOWED); branchPermissionsManager.setBranchPermissions(branch, permissions); workflow.execute(new DatabaseSimulation(FILE_UPLOAD_WHATIF_NAME, definition, userName, branch)); } return branchCreated; } catch (Exception e) { throw new FRTBServiceException( HttpStatus.INTERNAL_SERVER_ERROR, "Unable to copy the files from stage folder to what-if folder.", "Ensure that the files being requested are available to copy via the retrieveStagedFile endpoint", e ); }}
6.0.6:
@PostMapping(value = "/upload/{branch}") @DependsOn(value = { "dataLoadController" }) public boolean createBranchForUI( @PathVariable("branch") String branch, @RequestParam("files") String[] files ) { if (files == null || files.length == 0) { return false; } try { Map<String, FileUploadPayload> dataNodeFiles = getDataNodeFiles(); Authentication authentication = SecurityContextHolder.getContext().getAuthentication(); String userName = authentication.getName(); IDatabaseSimulationDefinition definition = new FileUploadSimulationDefinition(files); var sim = new DatabaseSimulation(FILE_UPLOAD_WHATIF_NAME, definition, userName, branch); var status = workflow.execute(sim).getStatus(); if (!status.equals(DatabaseSimulationStatus.COMPLETED)) { switch (status) { case FAILED -> throw new ActiveViamSimulationException(sim); case UNAUTHORISED -> throw new ActiveViamUnauthorizedException(); case UNKNOWN -> throw new ActiveViamUnknownSimulationException(sim.getSimulationId()); default -> { return false; } } } else { return fileUploadQueryNodeService.createBranchForUI(branch, files, dataNodeFiles).equals(DatabaseSimulationStatus.COMPLETED); } } catch (Exception e) { switch (e) { case ActiveViamSimulationException activeViamSimulationException -> throw activeViamSimulationException; case ActiveViamUnauthorizedException activeViamUnauthorizedException -> throw activeViamUnauthorizedException; case ActiveViamUnknownSimulationException activeViamUnknownSimulationException -> throw activeViamUnknownSimulationException; default -> throw new FRTBServiceException( HttpStatus.INTERNAL_SERVER_ERROR, "Unable to execute file-upload what-if simulation. Please check the logs for more information.", "Ensure that the files being requested are available to copy via the retrieveStagedFile endpoint", e ); } } }
In the class FileUploadPayload, the Lombok @EqualsAndHashCode annotation has been added, the topics attribute is now a set instead of a list,
and the visibility of the topics and filePathSeparator attributes has been changed:
6.0.5:
@Data@NoArgsConstructorpublic class FileUploadPayload implements Serializable {public String filePathSeparator;public List<FileUploadTopic> topics;private static final long serialVersionUID = 4349458336474922225L; /** * Constructor * * @param topics A List of {@link FileUploadTopic}s. */ public FileUploadPayload(List<FileUploadTopic> topics) { this.topics = topics; this.filePathSeparator = File.separator; }
6.0.6:
@Data@NoArgsConstructor@EqualsAndHashCodepublic class FileUploadPayload implements Serializable {private String filePathSeparator;private Set<FileUploadTopic> topics; private static final long serialVersionUID = 4349458336474922225L; /** * Constructor * * @param topics A Set of {@link FileUploadTopic}s. */ public FileUploadPayload(Set<FileUploadTopic> topics) { this.topics = topics; this.filePathSeparator = File.separator; }
The class FileUploadRestServiceController has been changed extensively. It needs to be copied as is to your upgraded project.
In the class FileUploadTopic, the Lombok @EqualsAndHashCode annotation has been added, the files attribute is now a set instead of a list,
and the visibility of the files and name attributes has been changed:
6.0.5:
@Data@NoArgsConstructorpublic class FileUploadTopic implements Serializable { public String name; public List<String> files; private static final long serialVersionUID = 4349474967374902823L; /** * Constructor * * @param name Topic Name. * @param files List of file paths. */ public FileUploadTopic(String name, List<String> files) { this.name = name; this.files = files; }
6.0.6:
@Data@NoArgsConstructor@EqualsAndHashCodepublic class FileUploadTopic implements Serializable { private String name; private Set<String> files; private static final long serialVersionUID = 4349474967374902823L; /** * Constructor * * @param name Topic Name. * @param files Set of file paths. */ public FileUploadTopic(String name, Set<String> files) { this.name = name; this.files = files; }
In the CommonDimensionsConfig class, hard-coded strings have been replaced by constants:
Crypto 2a Support: Added configuration, cube dimensions, measures, and starter module components to support Group 2a cryptoassets.
SBM Correlation Scenarios: Introduced a new cube dimension allowing user-defined correlation scenarios for enhanced control over SBM risk calculations.
If set to false, the stress scenarios are ignored, and we use the same correlation constants for the ‘high’, ‘medium’ and ‘low’ scenarios. If set to true, the correlations for the ‘high’, ‘medium’ and ‘low’ scenarios are calculated in alignment with [MAR21.6].
frtb.crypto-2a.exchange-stored
false
Enables the addition of the optional Crypto2aExchange field in the UnderlyingDescription store.
CubesDimensionsConfigThe Crypto2aConfigurationProperties crypto2aProp configuration properties are now used in the standardisedApproachCubeDimensions bean,
and the new Correlation Scenario dimension has been added to that bean.Before:
Atoti What-If upgrade: Atoti What-If has been upgraded to 4.1.1-AS6.1. To migrate any custom What-If configuration, see the
migration guides for this release.
Virtual hierarchies can be set with the property frtb.configuration.virtual-hierarchies.
The new Curvature CVR measure will be disabled by default in 6.0.x versions of . To enable it, set the property frtb.curvature-cvr.enabled=true in the application.yaml file.
Cube distribution can now handle data overlap. This means it is possible to have several data cubes with duplicated data. you need to set frtb.distribution.enable-data-duplication=true.
HistoricalDatesProvider no longer queries the base stores for the list of historical dates. This is achieved by using the database statistics to gather the set of unique dates. The HistoricalDatesProvider can be reverted to the previous behavior of executing distinct datastore queries by setting the property frtb.historical-dates-provider.is-using-approximate-members=false.
The zero risk-weight can now be specified per obligor and jurisdiction, defaulting to 0%.
Cube distribution by field: Distribution of data cubes across nodes by defining clustering fields is deprecated, it should be done with distribution levels.
If true (default), the HistoricalDatesProvider will use the database statistics to gather the unique set of dates from the stores. If false, it will revert to the previous behavior of executing distinct datastore queries.
This measure uses the underlying Curvature CVR Up or Curvature CVR Down measure depending on the “direction” of the Risk Position Scenario at the Bucket level. A new intermediate measure Curvature Bucket Scenario evaluates the Risk Position Scenario measure at the Book level. This measure has been added for the following risk classes within sa-sbm: - Commodity - CSR non-Sec - CSR Sec CTP - CSR Sec non-CTP - Equity - FX - GIRR
Measure Configuration: The text replacement template for measure configuration now uses the pattern #{_name_} instead of ${_name_}. See Startup Properties.
frtb-application module: Some of the content of the frtb-starter module has been moved to the new frtb-application module.
DLC 5.0 Upgrade: With the new version of the DLC, the configuration of the ETL has been simplified.
What-if endpoints: The (undocumented) what-if REST endpoints used by the Switch Desk Model and Switch Book Desk what-if simulations have changed.
DoctorPivot endpoint: DoctorPivot is now embedded within the AdminUI. See Relocation of DoctorPivot for more.
Upgraded to JDK 21 : Upgraded from JDK 17 to JDK 21 to utilize the latest features.
Removed ActiveMonitor : The Active-Monitor module and related features have been removed.
frtb-application module: The frtb-application module replaces the frtb-starter module. All customizations should now be done in the
frtb-application module, or in a new module based on the frtb-application module.
Sign-Off Service Availability: The Sign-Off REST service now throws ServiceUnavailableExceptions until the initial data loading phase has been completed.
The Sign-Off REST service now provides a GET /enabled endpoint to check if the service is currently enabled.
Simplified OpenTelemetry Configuration: We now rely on OpenTelemetry’s GlobalOpenTelemetry to configure the export of logs and metrics.
OpenRewrite recipes As an experimental feature, we have added OpenRewrite recipes that you can use to automate some of the migration steps.
We have included these OpenRewrite recipes as an experimental feature and would welcome your feedback on their usefulness in your migration.
We can then evaluate the feature for potential inclusion in future releases.
Please report any issues you have through the normal Jira channels.
To help with upgrades, we have created a set of OpenRewrite recipes that can be used to automatically
perform some of the migration steps from 5.3 to 6.0.The recipes included in this release are:
Recipe Name
Description
com.activeviam.frtb.Migrate_6_0
Runs all 6.0 migration recipes.
com.activeviam.frtb.FileUpload_6_0
Updates the properties for the file-upload what-if. This includes:Renames csvSource.subdirectory.dataset.whatif to file-upload.csv-source-subdirectory, Adds file-upload.staging-directory as the combination of input.data.root.dir.path (or csv-source.dataset) and csvSource.subdirectory.dataset.stage by referencing the old properties.
com.activeviam.frtb.DQAutoVectorizer_6_0
Deletes the old, unused activeviam.directquery.enableAutoVectorizer property.
com.activeviam.frtb.DataDirectories_6_0
Updates the properties configuring the data directories. This includes:Standardizes the case of csv-source., Adds csv-source.dataset-historical=${csv-source.dataset}/historical., Adds csv-source.dataset-configuration=${csv-source.dataset}/configuration.
The sample data located at /frtb-starter/src/test/resources/ has been moved out of the frtb-starter module to the /sample-data/ folder located at the root of the project.The tests included in the frtb-starter module have been moved into the new frtb-application-tests module.
The previous OpenTelemetry configuration has been replaced with a simple OpenTelemetry bean.To enable the autoconfiguration of this bean, set -Dotel.java.global-autoconfigure.enabled=true on the command line.
The field “Translation Risk Currency” has been added to support loading translation risk for different reporting currencies.
It is now possible to load different translation risks for different reporting currencies.This field is only used if FXComplexTrade=Y (otherwise the translation risk is calculated automatically).
If this field is empty, the sensitivity is not treated as translation risk but instead treated normally.
If this field is set, then the sensitivity will be interpreted as translation risk for that currency.
It will be filtered and only used if the translation risk currency is the same as the reporting currency.
The propertyparameter-set.root has been added to specify the root parameter set in the configuration and input files.It is expected that input files are generated for the parameter set specified in this property.Additionally, the configuration files containing parameters will need to be adapted to the new root parameter set.
Previously, when no parameter set was specified in the configuration it was assumed to be “BCBS”.
Now, these parameters will default to the specified root parameter set.
Parameter configuration will need to be modified for the new root parameter set.
For example, for the bucket used for CSR non-Sec covered bonds we have in FRTBParameters.csv:
Name
Value
Date
ParameterSet
sa.csr-nonsec.bucket.covered-bonds
8
2016-01-01
sa.csr-nonsec.bucket.covered-bonds
10
2016-01-01
CRR2
If you want to set CRR2 as the root parameter set, the above two lines can change to become:
Name
Value
Date
ParameterSet
sa.csr-nonsec.bucket.covered-bonds
8
2016-01-01
BCBS
sa.csr-nonsec.bucket.covered-bonds
10
2016-01-01
So that the value in the CRR2 parameter set is still “10”, and the value for the BCBS parameter set is still “8”.
When multiple sensitivities with the same key fields are loaded, they are now summed.
Previously this was only done when processing a chunk within a file, now it is done across the whole transaction.The following configuration has been added to application.yaml and will sum sensitivities and PVs for the SASensitivities store,
making sure that the currency and a few other fields are the same.
Provides an example Spring Boot Application for Atoti FRTB. * Contains simple configurations required to run Atoti FRTB.* Is intended to be used as a reference for clients to build their own applications as this module is not production-ready. * Provides various Spring profiles outlining the properties required to run the application in different environments. For example, the profile dist-query-node activates the application-dist-query-node.yaml configuration file which defines the properties required to run the application as a distributed query node. tipTo help ease upgrade efforts, move all customizations into your new module.
The upgrade to DLC 5.0 has brought some significant changes to the ETL configuration.
For non-FRTB specific DLC migration,
please see the DLC 5.0 Migration Guide.DLC configurations for have now been organized into FrtbDlcConfig.
Before the DLC redesign, ChannelParameters were being used to encapsulate DLC configurations into beans.
Now, configurations that were previously found as ChannelParameters beans can be found as Topic Descriptions in the following classes:
Old Class
New Class
AConfigurationSourceConfig
ConfigurationSourceDescription
ASourceConfig
SourceDescription
ASensiSourceConfig
SensiSourceDescription
Column calculators are now configured as DLC CustomFieldDescription beans and have been organized into CustomFieldDescriptionConfig.
The DLC implicitly adds CSVColumnParser column calculators based on the store being targeted,
so those have been removed from the topic configurations.
The new DLC also lets you configure parser overrides.
In they can be found in ColumnParserOverridesDescriptionConfig.Tuple publishers are now configured as DLC TargetDescription beans and have been organized into TargetDescriptionsConfig.
The file frtb-config.properties is now loaded into the Spring Boot environment, so the properties in this file can be overridden on the command line.The file measures-config.json is now also loaded into the Spring Boot environment. The json file is converted to properties with the prefix “measures”.The text replacement template in these files now uses the pattern #{_name_} instead of ${_name_}.
The ${_name_} pattern can still be used for Spring Boot’s property placeholders.
Property Name
Comment
Value
Default Definition in File
dlc.enabled
Enables or disables the Data Load Controller.
true or false
application.yaml
file-upload.staging-directory
The staging directory for the File Upload.
${csv-source.dataset}/stage
application.properties
file-upload.csv-source-subdirectory
The sub-directory of files on which the What-If is executed.
true or false
application.properties
csv-source.dataset-historical
Path to the directory containing historical files to load.
${csv-source.dataset}/historical
application.properties
csv-source.dataset-configuration
Path to the directory containing the configuration files to load.
sample-data/configuration
application.properties
parameter-set.root
Root parameter set.
Defaults to “BCBS”
datastore-sum-duplicates._store-name_.matching
List of names of fields that must match when summing duplicates for the store store-name. If missing, all fields are matched; if empty, no fields are matched.
datastore-sum-duplicates._store-name_.summing
List of names of fields that should be summed when there are duplicates for the store store-name.
now provides Spring Boot Starters to aid in application development. These starters will auto-configure some basic and required beans
for the application to run. has been updated to use these starters. The following changes have been made:
Change
Description
Removal of JMXEnabler Beans
The JMXEnabler beans have been removed from as the ‘s Starters provide these beans automatically for us.
The historical dates used for the Lookback hierarchy measures are now configurable via a IHistoricalDatesProvider bean. By default, a
HistoricalDatesProvider (configured in HistoricalDatesProviderConfig) will be created that provides all AsOfDates available in all base stores.
The implementation of the Sign-Off REST service now has a Boolean to enable state flag.
Out of the box, the Sign-Off REST services are disabled until the initial load is completed.
This prevents the Sign-Off server from sending requests on those services before the end of the initial load.
The status of the Sign-Off service can be retrieved through a GET request at /enabled. exceptions are now used instead of the previously used Javax exceptions.Error messages and constants have been fixed. Their prefix and/or content was previously incorrect.In particular, the constant ERROR_MESSAGE has been
replaced by the constant ERROR_MESSAGE_NO_VALID_DTO_PROVIDED. The exception message prefix has been changed from "[EXPORT]" to "[SIGN-OFF]" in the
error message constants.
DoctorPivot has been moved from the endpoint /frtb-starter/doctorpivot to now being embedded within the AdminUI’s Measures dependencies tab which is located
at: /frtb-starter/admin/ui/index.html#/measures-dependencies.