Documentation Index
Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt
Use this file to discover all available pages before exploring further.
This page explains the changes since 5.1.0-beta, plus any changes required to migrate from 5.1.0-beta to the stated version
of .
Changes since 5.1.0-beta
Added
| Issue Key | Details |
|---|
| FRTB-2833 | Added Underlying field to SASensitivities store. |
| FRTB-2781 | DirectQuery data nodes are compatible with in-memory data nodes with sign-off enabled. |
| FRTB-2747 | All REST services are now listed in the versions endpoint. |
| FRTB-2716 | Added directQueryDatesToIncludeFilter bean to customize which dates to include in your DirectQuery data node. |
| FRTB-2567 | Improved support for remote content server. |
Changed
| Issue Key | Details |
|---|
| FRTB-2763 | Tighten security for default configuration of Spring boot actuator and require admin role. |
| FRTB-2740 | Moved DirectQuery code out of preview package. |
| FRTB-2698 | Similar to ACR, calculate “Portfolio Risk Charge” independently for IRT and non-IRT desks. |
| FRTB-2575 | Make SA compatible with summary data. |
| FRTB-1890 | Update default parameter values to match ISDA unit tests. |
Removed
None
Fixed
| Issue Key | Details |
|---|
| FRTB-2835 | For Scenario FX rates, log error and return NaN when missing base FX rate. |
| FRTB-2830 | Improve performance of ETL. |
| FRTB-2820 | Improved memory use. |
| FRTB-2734 | Fixed Exception when invoking drillin REST endpoint. |
Fixed issues introduced in 5.1.0-beta
| Issue Key | Details |
|---|
| FRTB-2844 | Removed unwanted stacktraces at startup. |
| FRTB-2823 | Fixed websockets issue. |
| FRTB-2813 | IMA scaling adjustment now scales base PV. |
Migrate to 5.1.0
Upgrading from version 5.1.0-beta, see 5.1 Release
Notes.
uses 6.0.5 and 5.1.x.
For new features and fixes included in these releases, please see the documentation and Migration Notes, and the release notes for .
For clients licensed to use ActiveMonitor, a skeleton module based on
version 6.0.5 is included with the 5.1.0 release.
Breaking Changes
None
Summary
DirectQuery
- New AsOfDate Filter Configuration Bean: The newly added directQueryDatesToIncludeFilter bean allows for custom configuration of which dates to include in your DirectQuery data node.
- Removed “preview” package: The
preview package has been removed from the frtb-directquery module. All child packages or classes have been moved to the parent frtb package.
- DirectQuery nodes work with in-memory Sign-off enabled nodes: A DirectQuery data node can now be connected to nodes with Sign-off enabled. The
enable-signoff spring profile must be active on all nodes (in-memory and DirectQuery).
Other Changes
- Parameter Adjustments: Updated parameters to match ISDA requirements in all data sets.
- Actuator Endpoint: Tightened security in default configuration for Spring boot actuator and now require admin role.
Configuration files
Files Modified
New properties:
| Property Name | Value | Comment |
|---|
| contentServer.root.user | pivot | The root user of the content server, used by RemoteContentServiceConfig. |
| contentServer.remote.max-connection-time | PT5M | The max time to wait for Remote Content Service (in seconds or duration string), used by RemoteContentServiceConfig. |
| Property Name | Comment |
|---|
| contentServer.context-values.ignore | This property was used for a workaround for performance issues when using a remote content server. The original issue was due to cache for entitlements being set in milliseconds instead of seconds. |
| Property Name | Default Value | Details |
|---|
directquery.clustering.enabled | true | Indicates if clustering by database fields is enabled. |
directquery.clustering.clusteringPerTable | SASensitivities: AsOfDate | Defines the clustering fields per database table. |
directquery.database.snowflake.role | null | The Snowflake user role for Atoti FRTB to use when running queries on the database. |
management.endpoints.web.exposure.exclude | env,beans | Endpoints to exclude from Spring boot actuator |
management.endpoint.env.additional-keys-to-sanitize | activeviam.jwt.key.* | Exclude JWT keys from actuator env endpoint (if enabled) |
| Property Name | New Value | Old Value | Comment |
|---|
management.endpoints.web.exposure.include | health | * | Only expose health endpoint in actuator |
Datastores
Modified stores
| Modification | Store | Field | Type | Description |
|---|
| Added | SaSensitivities | Underlying | String | Added Underlying field, files can remain untouched. |
| Modified | RiskFactorDescription | Underlying | String | Made Underlying a key field. |
| Added | SaSensitivities | TradeKey | String | Added TradeKey field, files can remain untouched. |
| Modified | TradeMapping | TradeID | String | TradeID field renamed to TradeKey. |
Partitioning
The partitioning has been modified as per migration notes.
Databases
Modified Tables
| Modification | Table | Field(s) | Type | Description |
|---|
| Added | SaSensitivities | UNDERLYING | String | Added Underlying field. |
| Added | SaSensitivities | TRADE_KEY | String | Added TradeKey field. |
| Modified | TradeMapping | TRADE_KEY | String | TRADE_ID field renamed to TRADE_KEY. |
Measures
Added
| Cube | Measure | Details |
|---|
| StandardisedApproach | SA | The Portfolio Risk Charge measure evaluated independently for the IRT and non-IRT desks, then summed. |
