Migration notes from 5.1 pre-releases

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 Atoti FRTB.

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 Atoti FRTB 5.1 Release Notes. Atoti FRTB uses Atoti Server 6.0.5 and Atoti UI 5.1.x. For new features and fixes included in these releases, please see the Atoti UI documentation and Atoti UI Migration Notes, and the release notes for Atoti Server. For clients licensed to use ActiveMonitor, a skeleton module based on version 6.0.5 is included with the Atoti FRTB 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

frtb.properties

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`.

Deleted properties:

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.

application.yaml

New properties:

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)

Updated properties:

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.

​Changes since 5.1.0-beta

​Added

​Changed

​Removed

​Fixed

​Fixed issues introduced in 5.1.0-beta

​Migrate to 5.1.0

​Breaking Changes

​Summary

​DirectQuery

​Other Changes

​Configuration files

​Files Modified

frtb.properties

application.yaml

​Datastores

​Modified stores

​Partitioning

​Databases

​Modified Tables

​Measures

​Added

Changes since 5.1.0-beta

Added

Changed

Removed

Fixed

Fixed issues introduced in 5.1.0-beta

Migrate to 5.1.0

Breaking Changes

Summary

DirectQuery

Other Changes

Configuration files

Files Modified

Datastores

Modified stores

Partitioning

Databases

Modified Tables

Measures

Added