Migration notes 5.2

Documentation Index

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Migrate to 5.2.2

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Breaking changes

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Summary

• Bug fixes

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Migrate to 5.2.1

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Breaking changes

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Summary

• version: Upgraded to 6.0.13

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Migrate to 5.2.0

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Breaking Changes

• DRC non-Sec risk-weights configuration : A “bucket” column has been added to the Default_Risk_Weights configuration file. This column must be added to existing files, but it may be empty.
• Variable name changes in Topic Config : Changes to variable names and references for the topic configs.
• Java 17: Java 17 is now required to run and additional JVM options are needed.
• “Category” Hierarchies removed: For SBM Equity and CSR, the technical “Category” hierarchies are no longer needed and have been removed.
• “DRC Seniority Ranking” level removed: This technical level is no longer needed and has been removed.
• Security Configuration upgraded: The security configuration has been upgraded to Spring Security 5.8 and no longer uses deprecated classes.
• CSR Correlation configuration: The CSR gamma correlations are now fully defined by bucket pairs, instead of just the “sector” component.
• Equity Correlation configuration: The Equity gamma correlations are now defined by bucket pairs in a new file.
• DirectQuery Database: The SASensitivities table is now used for the RRAO Notional, instead of the SATradeDescription table.

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Summary

• Upgraded Spring Security to version 5.8.7 to resolve vulnerabilities and prepare for the upgrade to Spring Security 6.0 (via Spring Boot 3).
• Added “bucket” column to the Default_Risk_Weights configuration file.
• Updated configuration files to include support for US-NPR parameter set.
• Changed variable names and references for the topic configs.
• In the Stress Calibration cube:
  • Replaced PnL vector with PV vector and base PV.
  • Added scenario FX rates.
• Added file formats for loading SA summary data.
• Move to Java 17.
• Schema clean-up.
• Variable name changes in topic configs.
• Reference configuration data for non-BCBS Parameter sets have been separated into their own folders. Additionally, file names for separated data have suffixes denoting parameter set.

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DirectQuery Database Schema

• SENIORITY_DESCRIPTION
• CSRBUCKET_DESC
• EQUITY_BUCKET_DESC

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Configuration Files

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RRAO File

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”Category” Hierarchies Removed

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Spring Security Upgrade

Stop Using WebSecurityConfigurerAdapter

Use the new requestMatchers methods

Use the new securityMatchers methods

@Configuration
@Order(1)
public static abstract class AJwtSecurityConfigurer extends WebSecurityConfigurerAdapter {

  @Autowired
  protected ApplicationContext context;

  @Autowired
  @Qualifier(BASIC_AUTH_BEAN_NAME)
  protected AuthenticationEntryPoint authenticationEntryPoint;

  @Override
  protected void configure(HttpSecurity http) throws Exception {
	  http
            .antMatcher(JwtRestServiceConfig.REST_API_URL_PREFIX + "/**")
            // As of Spring Security 4.0, CSRF protection is enabled by default.
            .csrf().disable()
            // Configure CORS
            .cors().and()
            .authorizeRequests()
            .antMatchers("/**").hasAnyAuthority(ROLE_USER)
            .and()
            .httpBasic().authenticationEntryPoint(authenticationEntryPoint);
  }
}

@Bean
@Order(1)
protected SecurityFilterChain jwtSecurityFilterChain(HttpSecurity http, ApplicationContext applicationContext) throws Exception {
final AuthenticationEntryPoint basicAuthenticationEntryPoint = applicationContext.getBean(BASIC_AUTH_BEAN_NAME, AuthenticationEntryPoint.class);
        return http
                // As of Spring Security 4.0, CSRF protection is enabled by default.
                .csrf(AbstractHttpConfigurer::disable)
                // Configure CORS
                .cors().and()
                .securityMatcher(url(JwtRestServiceConfig.REST_API_URL_PREFIX, WILDCARD))
                .authorizeHttpRequests(auth -> auth.requestMatchers(HttpMethod.OPTIONS, url(WILDCARD))
                    .permitAll()
                    .anyRequest()
                    .permitAll()
                )
                .httpBasic(basic -> basic.authenticationEntryPoint(basicAuthenticationEntryPoint))
                .build();
        }

Removed imports of ActivePivotRemotingServicesConfig

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Variable name changes in topic configs

• Removed redundant static variables in source configs, which were duplicates of existing static store name variables.
• Made use of store name variables from datastore configs in source configs, DLC, tuple publishers, and column calculators, where appropriate.
• Prefixed all topic variables with “TOPIC_”.
• Suffixed all store name variables with “_STORE_NAME”.

Source config changes

AConfigurationSourceConfig

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Modified

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Configuration files

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Files Added

DRC Seniority Description.csv

Equity Bucket Correlations

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Files Modified

Default_Risk_Weights

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Datastores

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Added stores

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Modified stores

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Databases

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Deleted tables

• CSRBUCKET_DESC
• EQUITY_BUCKET_DESC
• SENIORITY_DESCRIPTION

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Cube schema

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Removed

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Other changes

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Java 17 JVM Options

--add-opens java.base/java.util.concurrent=ALL-UNNAMED