Migration notes - Atoti Hub

This page explains the changes required to migrate to the stated version of the Atoti Market Risk.

Migrate to 5.1.0

Upgrading from version 5.0.0 - see Atoti Market Risk 5.1.0 Release Notes.

Atoti Market Risk 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.

Headline announcement

DirectQuery: DirectQuery support has been implemented for the VaR/ES, Sensitivity, and PnL Cubes.
Removal of MarketRiskTestApplication: The MarketRiskTestApplication has been removed from the mr-application module as part of a cleanup. To start the application from an IDE, you can now simply run the MarketRiskApplication class, which remains in mr-application/src/main/java/com/activeviam/mr/application/main. To support this change, the reference data has been moved from mr-application/src/test/resources/data to mr-application/src/main/resources/data.

No files in the data directory are included in the mr-application JAR.

Upgraded to Atoti Server 6.0.5 and Atoti UI 5.1.x. Atoti Market Risk can now be used with Atoti UI version 5.1 or higher.
Migrated bookmarks to Atoti UI 5.1.x: Bookmarks have been upgraded to be compatible with Atoti UI 5.1.x
Separated the configuration of Taylor VaR measures from the configuration of PnL explain measures: the Taylor VaR measures can now be removed from the configuration in an easier way.
Input files: The SecondOrderLadder field has been removed from the Sensitivities files.
Updated bookmark configuration : Set bookmark owners to ROLE_ADMIN and readers to ROLE_USER.
Updated user configuration : Removed the ROLE_CS_ROOT role from all users except admin.
Hibernate properties change : The content of the hibernate.properties file has changed and the unused Hikari properties have been replaced with Tomcat JDBC properties.

Breaking changes

The SecondOrderLadder field has been removed from the Sensitivities files. The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders. See Input file formats.

To be compatible with old file formats, you can set the configuration.data-load.format property in the application.yaml file to ‘5.0’. In this case the first non-null field is used for the ladder. However, please note that this old sensitivity format is being deprecated.

The datastore configuration has been changed to reflect that change in the input data. See Datastores.
The Hibernate properties have changed.
The unused Hikari properties have been removed. Tomcat JDBC is now used.
Bookmarks have been migrated to Atoti UI 5.1.x. See Updated bookmarks.
The configuration of the Taylor VaR measures has been separated from the configuration of PnL explain measures. See Separate configuration for Taylor VaR measures.
The user configuration has been changed. See Updated user roles.
The MarketRiskTestApplication class has been removed from the mr-application module. To start the application from an IDE, you can now simply run the MarketRiskApplication class.

Input file formats

The SecondOrderLadder field has been removed from the sensitivities files:

The FirstOrderLadder has been renamed Ladder. It holds first and second order ladders.

Configuration files

Files Modified

application.yaml

New properties:

Property Name	Value	Comment
`directquery.enabled`	`false`	Enable or disable DirectQuery.
`directquery.with-adjustments`	`false`	This property is only taken into account if the property `configuration.sign-off.enable` is set to `true`. Specify if columns handling adjustments (`SOURCE` and `INPUT_TYPE`) are present in the database used with DirectQuery. If this property is set to `false`, those columns are not taken from the database.
`directquery.database.*`		DirectQuery database configuration.
`configuration.data-load.format`	`5.1`	Changing the value to a lower version enables the old sensitivity file format.

Updated properties:

Property Name	Comment	New Value	Old Value
management.health.elasticsearch.enabled	Property default value updated to prevent Actuator from connecting automatically to an Elasticsearch backend	false	true

hibernate.properties

Hibernate properties in this file have been renamed to prepend content-service.db. to the property name. The Hikari connection pool properties have been replaced with Tomcat JDBC connection pool properties.

mr.properties

New properties:

Property Name	Comment	Value
initial-load.business-dates	Date filtering: date loaded in memory (filtered out if DirectQuery). Value is empty, which means that no filtering is performed by default.

Updated properties:

Property Name	Comment	New Value	Old Value
spring.profiles.active	Remove Spring profiles related to reporting service that is no longer used.	local-content	default,local-content,reporting-rest,reporting-plugins,contentservice-scheduling,scheduling-plugins
contentServer.bookmarks.default-owners	Updated to conform with intended bookmark permissioning.	ROLE_ADMIN	ROLE_USER
marketDataFilePattern	Value changed to prevent the MarketDataSets.csv files from being incorrectly loaded into the MarketData store	regex:^(?i).MarketData(?<!MarketDataSets)..csv.*$	glob:*MarketData.csv

mr-config.properties

Updated properties:

Property Name	Comment	New Value	Old Value
sparse.vectors.enable.for.sensistores	Value changed to follow the Ladder fields modification.	TradeSensitivities:Values,TradeSensitivities:Ladder	TradeSensitivities:Values,TradeSensitivities:FirstOrderLadder,TradeSensitivities:SecondOrderLadder

tracing.properties

New properties:

Property Name	Comment	Value
spring.zipkin.enabled	Enables sending spans to Zipkin if set to true	false

dee.export.properties

Updated properties:

Property Name	Comment	New Value	Old Value
data.extraction.templates.base.dir.path	Path to data extraction templates	dee-templates	./src/main/resources/dee-templates/

The template “mr-application/src/main/resources/dee-templates/SensiSummaryExport.json” has been updated to remove the SecondOrderLadder field.

protocol-tcp.xml and protocol-udp.xml

The version of JGroups has been added to the JGroups configuration file used for distributed cubes. If that version is not specified a warning is printed out in the logs.

Test file: mr.bookmark.properties

Updated properties:

Property Name	Comment	New Value	Old Value
contentServer.bookmarks.default-owners	Updated to conform with intended bookmark permissioning.	ROLE_ADMIN	ROLE_USER

Datastores

Store	Old name	New name	Comment
TradeSensitivities	FirstOrderLadder	Ladder	The field has been renamed as it now contains both FirstOrderLadder and SecondOrderLadder.
TradeSensitivities	SecondOrderLadder		Removed, the data is now in the Ladder field.

Cube schema

No changes.

Context values

No changes.

Market Data Retrieval service API

The method getRawMarketData of the classes MarketDataRetrievalService and ScalarMarketDataRetrievalService has an additional argument: boolean applyCorporate to avoid looking up the CorporateAction store if corporate actions are not applied. The body of these two methods is modified accordingly.

DirectQuery

A new module has been added to the project: mr-directquery. It contains the code and the configuration needed to handle the loading of data with DirectQuery. See Getting started with DirectQuery.

Configuration Annotations

Some Spring annotations have been defined to make the definition of beans easier. For details, see DirectQuery annotations. The following classes are annotated with @OnInMemoryDatabase:

Class	Description	Comment
WhatIfRestServices	Configuration of What-If REST services.	The What-If feature is only available for in-memory data
ExtendedActivePivotWithDatastoreConfig	Configuration of ActivePivot Manager with in-memory data.	Needed only for in-memory data.
MraParentChildServiceConfig	Configuration of selection listeners for parent-child stores.	Not available with DirectQuery.
CommonLocalCsvSourceConfig	Common configuration for local CSV data load.	Not available with DirectQuery.
PnLLocalCsvSourceConfig	Configuration for local CSV data load for PnL Cube.	Not available with DirectQuery.
SensiLocalCsvSourceConfig	Configuration for local CSV data load for Sensitivity Cube.	Not available with DirectQuery.
VaRLocalCsvSourceConfig	Configuration for local CSV data load for VaR Cube.	Not available with DirectQuery.
PnLSummaryLocalCsvSourceConfig	Configuration for local CSV data load for PnL Summary Cube.	Not available with DirectQuery.
SensiImportLocalCsvSourceConfig	Configuration for local CSV data load for Sensitivity Summary Cube.	Not available with DirectQuery.
VaRSummaryLocalCsvSourceConfig	Configuration for local CSV data load for VaR Summary Cube.	Not available with DirectQuery.
AdjustmentLocalCsvSourceConfig	Configuration for local CSV data load for adjustments digest store.	Not available with DirectQuery.
MarketDataCubeAggregateProviderConfig	Configuration of aggregates provider for market data Cube.	Aggregates provider configuration is present in a different file for DirectQuery. See below.
PnlCubeAggregateProviderConfig	Configuration of aggregates provider for PnL Cube.	Aggregates provider configuration is present in a different file for DirectQuery. See below.
SensiCubeAggregateProviderConfig	Configuration of aggregates provider for Sensitivity Cube.	Aggregates provider configuration is present in a different file for DirectQuery. See below.
VarESCubeAggregateProviderConfig	Configuration of aggregates provider for VaR Cube.	Aggregates provider configuration is present in a different file for DirectQuery. See below.
InMemoryDatastoreExtractionMigratorConfig	Configuration for in-memory migrator used to export data into a Database-ready format, and generate SQL statements to create the Database.	Needed only as a one-off operation to create the database used with DirectQuery.

The following beans are annotated with @OnInMemoryDatabase:

Class	Bean	Description	Comment
MarketRiskConfig	JMXDatastoreEnabler	Enables JMX Monitoring for the Datastore.	Not available when DirectQuery is used.
InitialDataLoadConfig	initialDataLoad	Triggers initial load of the Data Connectors.	Not available when DirectQuery is used.

The following classes are annotated with @OnDirectQueryDatabase. All these classes are new configuration classes in the application:

Class	Description	Comment
MRDirectQueryConfig	Class that imports the configuration files needed for DirectQuery.
InitialDataDirectQueryConfig	Configuration used to excluded the dates specified in the `initial-load.business-dates` property from the DirectQuery load.	This is done to prevent these as-of-dates from being loaded in a DirectQuery data node and in an in-memory date node in the same cluster.
DQMarketDataCubeAggregateProviderConfig	Configuration of aggregates provider for the Market Data Cube.	By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQPnlCubeAggregateProviderConfig	Configuration of aggregates provider for the PnL Cube.	By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQSensiCubeAggregateProviderConfig	Configuration of aggregates provider for the Sensitivity Cube.	By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.
DQVarESCubeAggregateProviderConfig	Configuration of aggregates provider for the VaR Cube	By default, the Just In Time aggregates provider is configured. This configuration has to be changed depending on the type of queries that you run for your project.

In addition, the following configuration classes have been added:

Class	Description
MrDirectQueryNameMapper	Utilities to convert local Datastore names into a format that is compatible with Snowflake.
SnowflakeSessionConfig	Configuration of the Snowflake session from the Snowflake properties.
ClickHouseSessionConfig	Configuration of the ClickHouse session from the ClickHouse properties (preview only).
MSSQLSessionConfig	Configuration of the MSSQL session from the MSSQL properties (preview only).
DirectQueryActivePivotConfig	Spring configuration of the core ActivePivot Components when DirectQuery is used.

Separate configuration for Taylor VaR measures

Up until version 5.0.0, PnL explain and Taylor VaR measures were configured in the same files, or files that were dependent on one another. In version 5.1.0, the configuration of Sensitivity cube measures has been split into three main categories:

Sensitivities
PnL explain
Taylor VaR

This reorganization involved the following changes, as detailed in this section:

Configuration import changes
New classes created
Files renamed
Changes in package and class extensions
Files deleted and replaced by new files

Configuration import changes

Modules concerned: mr-application and mr-sensi-config

Configuration import changes in module mr-application

In the file MarketRiskConfig, the following imports have been added:

        SensiMeasureParametersBeans.class,
        PnLExplainMeasuresConfig.class,
        SensitivityMeasuresConfig.class,
        SensitivitySummaryCubeMeasuresConfig.class,
        TaylorMeasuresConfig.class,
        SensitivitySignOffMeasuresConfig.class,
        SensitivityCubeWiringConfig.class,

In the MRCombinedCube class, the measures have been grouped together in sub-methods.

Configuration import changes in module mr-sensi-config

Class name	Change
SensiCubeConfig	Import of `SensitivityCubeMeasuresConfig` has been removed
SensiSummaryCubeConfig	Import of `SensitivitySummaryCubeMeasuresConfig` has been removed.
SummaryBaseSensitivityChain	The bean with qualifier `@Qualifier(MARKET_DATA_COUNT + ” Summary”)` is moved to the new class `SummaryPnLExplainChain`

New classes created

Modules concerned: mr-sensi-config and mr-sensi-lib

New configuration classes in module mr-sensi-config

Package	Class name	Description
com.activeviam.mr.sensi.measures.chains.complete.aggregate.pnlexplain	AggregatePnLExplainChain	Top-level measures used for PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.aggregate	AggregateTaylorChain	Top-level measures used for Taylor VaR explain.
com.activeviam.mr.sensi.measures.chains.complete.cash	ACashPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for cash PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.cash	ACashTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for cash Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor	CashTaylorChain	Concrete class extending ACashTaylorChain to define measures for cash Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.correlation.pnlexplain	CorrelationPnLExplainChain	Definition of the correlation PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.correlation	ACorrelationPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for correlation PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.correlation	ACorrelationTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for correlation Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.pnlexplain	CrossGammaPnLExplainChain	Definition of the cross gamma PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma	ACrossGammaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for cross gamma PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.crossgamma	ACrossGammaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for cross gamma Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain	DeltaPnLExplainChain	Definition of the delta PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.delta	ADeltaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for delta PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.delta	ADeltaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for delta Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.dividend	ADividendPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for dividend PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.gamma.pnlexplain	GammaPnLExplainChain	Definition of the gamma PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.gamma	AGammaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for gamma PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.gamma	AGammaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for gamma Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.theta	AThetaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for theta PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vanna.pnlexplain	VannaPnLExplainChain	Definition of the vanna PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.vanna	AVannaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for vanna PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vanna	AVannaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for vanna Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.vega.pnlexplain	VegaPnLExplainChain	Definition of the vega PnL explain chain.
com.activeviam.mr.sensi.measures.chains.complete.vega	AVegaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for vega PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.vega	AVegaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for vega Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete.volga	AVolgaPnLExplainChain	Abstract class extending APnLExplainChain to define the measure parameters used for volga PnL explain.
com.activeviam.mr.sensi.measures.chains.complete.volga	AVolgaTaylorChain	Abstract class extending APnLExplainChain to define the measure parameters used for volga Taylor VaR.
com.activeviam.mr.sensi.measures.chains.complete	BasePnLExplainChain	Class extending APnLExplainChain used to define basic PnL explain measures.
com.activeviam.mr.sensi.measures.chains.complete	BaseTaylorChain	Class extending ATaylorChain used to define basic Taylor VaR measures.
com.activeviam.mr.sensi.measures.chains.impl	ANamedPnLExplainChain	Abstract class extending APnLExplainChain used to return the APnLExplainFactory class with names given in the concrete class.
com.activeviam.mr.sensi.measures.chains.impl	APnLExplainChain	Abstract class used to return the factory used for PnL explain measures based on the parameters given in the concrete class.
com.activeviam.mr.sensi.measures.chains.impl	ATaylorChain	Abstract class used to return the factory used for Taylor VaR measures based on the parameters given in the concrete class.
com.activeviam.mr.sensi.measures.chains.summary	SummaryPnLExplainChain	PnL explain chain for summary cubes.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	CashPnLExplainMeasuresConfig	Class importing the configuration classes needed for cash PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	CorrelationPnLExplainMeasuresConfig	Class importing the configuration classes needed for correlation PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	CrossGammaPnLExplainMeasuresConfig	Class importing the configuration classes needed for cross gamma PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	DeltaPnLExplainMeasuresConfig	Class importing the configuration classes needed for delta PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	DividendMeasuresConfig	Class importing the configuration classes needed for dividend PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	GammaPnLExplainMeasuresConfig	Class importing the configuration classes needed for gamma PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	ThetaPnLExplainMeasuresConfig	Class importing the configuration classes needed for theta PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	VannaPnLExplainMeasuresConfig	Class importing the configuration classes needed for vanna PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	VegaPnLExplainMeasuresConfig	Class importing the configuration classes needed for vega PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	VolgaPnLExplainMeasuresConfig	Class importing the configuration classes needed for volga PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.pnlexplain	PnLExplainMeasuresConfig	Class importing the configuration classes needed for all PnL explain measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	CashSensitivityMeasuresConfig	Class importing the configuration classes needed for cash sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	CorrelationSensitivityMeasuresConfig	Class importing the configuration classes needed for correlation sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	CrossGammaSensitivityMeasuresConfig	Class importing the configuration classes needed for cross gamma sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	DeltaSensitivityMeasuresConfig	Class importing the configuration classes needed for delta sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	DividendSensitivityMeasuresConfig	Class importing the configuration classes needed for dividend sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	GammaSensitivityMeasuresConfig	Class importing the configuration classes needed for gamma sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	ThetaSensitivityMeasuresConfig	Class importing the configuration classes needed for theta sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	VannaSensitivityMeasuresConfig	Class importing the configuration classes needed for vanna sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	VegaMSensitivityeasuresConfig	Class importing the configuration classes needed for vega sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	VolgaSensitivityMeasuresConfig	Class importing the configuration classes needed for volga sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.sensitivity	SensitivityMeasuresConfig	Class importing the configuration classes needed for all sensitivity measures.
com.activeviam.mr.sensi.measures.config.complete.signoff	SensitivitySignOffMeasuresConfig	Class defining measures used for cube-level adjustments.
com.activeviam.mr.sensi.measures.config.complete	SensitivityCubeWiringConfig	Class used to collect all the sensitivity measures defined in the project.
com.activeviam.mr.sensi.measures.config.complete.taylor	CashTaylorMeasuresConfig	Class importing the configuration classes needed for cash Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	CorrelationTaylorMeasuresConfig	Class importing the configuration classes needed for correlation Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	CrossGammaTaylorMeasuresConfig	Class importing the configuration classes needed for cross gamma Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	DeltaTaylorMeasuresConfig	Class importing the configuration classes needed for delta Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	DividendTaylorMeasuresConfig	Class importing the configuration classes needed for dividend Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	GammaTaylorMeasuresConfig	Class importing the configuration classes needed for gamma Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	VannaTaylorMeasuresConfig	Class importing the configuration classes needed for vega Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	VegaTaylorMeasuresConfig	Class importing the configuration classes needed for vanna Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	VolgaTaylorMeasuresConfig	Class importing the configuration classes needed for volga Taylor VaR measures.
com.activeviam.mr.sensi.measures.config.complete.taylor	TaylorCalculationConfig	Class importing the classes used to configure the Taylor VaR calculation logic.
com.activeviam.mr.sensi.measures.config.complete.taylor	TaylorMeasuresConfig	Class importing the configuration of all Taylor VaR measures.

Changes in packages and class extensions

As a consequence of the renaming, some classes extend different abstract classes, and some packages were split into separate packages for PnL explain and Taylor VaR. Modules concerned: mr-sensi-config and mr-sensi-lib

Changes in packages and class extensions in module mr-sensi-config

Package	Class name	Description
com.activeviam.mr.sensi.calculations.measures.factory.impl.pnlexplain	APnLExplainFactory	Abstract class combining all PnL Explain measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.pnlexplain	PnLExplainFactory	Concrete class extending APnLExplain and defining common helper methods for the creation of PnL Explain measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity	ASensiFactory	Abstract class combining all Sensitivity measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.sensitivity	SensiFactory	Concrete class extending ASensiFactory and defining common helper methods for the creation of Sensitivity measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl.taylor	ATaylorFactory	Abstract class combining all Taylor measure creation interfaces and providing getters for the required configuration objects.
com.activeviam.mr.sensi.calculations.measures.factory.impl.taylor	TaylorFactory	Concrete class extending ASensiFactory and defining common helper methods for the creation of Sensitivity measures.
com.activeviam.mr.sensi.calculations.measures.factory.impl	ABucketedFactory	Abstract class implementing bucket helper methods.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common	IAggregateMeasures	Interface for aggregated top-level measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common	IBucketedMeasures	Interface for measures that can be bucketed on time pillars.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common	IFilteredMeasures	Interface for filtering the underlying measure.
com.activeviam.mr.sensi.calculations.measures.factory.intf.common	INamedDayToDayMeasures	Interface for day-to-day measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.pnlexplain	IBasePnLExplainMeasures	MeasureCreator objects for the creation of measures not split by sensitivity type.
com.activeviam.mr.sensi.calculations.measures.factory.intf.taylor	IShiftMeasures	MeasureCreator objects for the creation of market shift measures.
com.activeviam.mr.sensi.calculations.measures.factory.intf.taylor	ITaylorVaRMeasures	MeasureCreator objects for the creation of Taylor VaR measures, by sensitivity and aggregated.

Files deleted and replaced by new files

Modules concerned: mr-sensi-config and mr-sensi-lib

In module mr-sensi-config

Package	Class in version 5.1.0	Class in version 5.0.0
com.activeviam.mr.sensi.measures.chains.complete.cash	ACashSensitivityChain	ACashChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.vae	CashTaylorVAEContextualChain	CashPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.etg	CashTaylorETGFixedConfidenceChain	CashPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.vae	CashTaylorVAEFixedConfidenceChain	CashPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.var	CashTaylorVaRContextualChain	CashPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.var	CashTaylorVaRFixedConfidenceChain	CashPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvae	CashTaylorWVAEContextualChain	CashPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvae	CashTaylorWVAEFixedConfidenceChain	CashPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvar	CashTaylorWVARContextualChain	CashPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.cash.taylor.wvar	CashTaylorWVARFixedConfidenceChain	CashPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation	ACorrelationSensitivityChain	ACorrelationChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.es	CorrelationTaylorESContextualChain	CorrelationPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.es	CorrelationTaylorESFixedConfidenceChain	CorrelationPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.etg	CorrelationTaylorETGContextualChain	CorrelationPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.etg	CorrelationTaylorETGFixedConfidenceChain	CorrelationPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.vae	CorrelationTaylorVAEContextualChain	CorrelationPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.vae	CorrelationTaylorVAEFixedConfidenceChain	CorrelationPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.var	CorrelationTaylorVaRContextualChain	CorrelationPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.var	CorrelationTaylorVaRFixedConfidenceChain	CorrelationPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvae	CorrelationTaylorWVAEContextualChain	CorrelationPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvae	CorrelationTaylorWVAEFixedConfidenceChain	CorrelationPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvar	CorrelationTaylorWVARContextualChain	CorrelationPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.correlation.taylor.wvar	CorrelationTaylorWVARFixedConfidenceChain	CorrelationPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma	ACrossGammaSensitivityChain	ACrossGammaChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.es	CrossGammaTaylorESContextualChain	CrossGammaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.es	CrossGammaTaylorESFixedConfidenceChain	CrossGammaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.etg	CrossGammaTaylorETGContextualChain	CrossGammaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.etg	CrossGammaTaylorETGFixedConfidenceChain	CrossGammaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.vae	CrossGammaTaylorVAEContextualChain	CrossGammaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.vae	CrossGammaTaylorVAEFixedConfidenceChain	CrossGammaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.var	CrossGammaTaylorVaRContextualChain	CrossGammaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.var	CrossGammaTaylorVaRFixedConfidenceChain	CrossGammaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvae	CrossGammaTaylorWVAEContextualChain	CrossGammaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvae	CrossGammaTaylorWVAEFixedConfidenceChain	CrossGammaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvar	CrossGammaTaylorWVARContextualChain	CrossGammaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.crossgamma.taylor.wvar	CrossGammaTaylorWVARFixedConfidenceChain	CrossGammaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta	ADeltaSensitivityChain	ADeltaChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain	DeltaCurrentDateMarketDataChain	DeltaCurrentDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain	DeltaNextDateMarketDataChain	DeltaNextDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.pnlexplain	DeltaPreviousDateMarketDataChain	DeltaPreviousDateMarketDataChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity	DeltaDayToDayChain	DeltaDayToDayChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity	DeltaLadderExpansionChain	DeltaLadderExpansionChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity	DeltaNativeCurrencyChain	DeltaNativeCurrencyChain
com.activeviam.mr.sensi.measures.chains.complete.delta.sensitivity	DeltaSensitivityChain	DeltaSensitivityChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor	DeltaShiftViewerChain	DeltaShiftViewerChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor	DeltaTaylorChain	DeltaPnLExplainTaylorCommonChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.es	DeltaTaylorESContextualChain	DeltaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.es	DeltaTaylorESFixedConfidenceChain	DeltaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.etg	DeltaTaylorETGContextualChain	DeltaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.etg	DeltaTaylorETGFixedConfidenceChain	DeltaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.vae	DeltaTaylorVAEContextualChain	DeltaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.vae	DeltaTaylorVAEFixedConfidenceChain	DeltaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.var	DeltaTaylorVaRContextualChain	DeltaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.var	DeltaTaylorVaRFixedConfidenceChain	DeltaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvae	DeltaTaylorWVAEContextualChain	DeltaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvae	DeltaTaylorWVAEFixedConfidenceChain	DeltaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvar	DeltaTaylorWVARContextualChain	DeltaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.delta.taylor.wvar	DeltaTaylorWVARFixedConfidenceChain	DeltaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.dividend	ADividendSensitivityChain	ADividendChain
com.activeviam.mr.sensi.measures.chains.complete.gamma	AGammaSensitivityChain	AGammaChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor	GammaTaylorChain	GammaPnLExplainTaylorCommonChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.es	GammaTaylorESContextualChain	GammaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.es	GammaTaylorESFixedConfidenceChain	GammaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.etg	GammaTaylorETGContextualChain	GammaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.etg	GammaTaylorETGFixedConfidenceChain	GammaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.vae	GammaTaylorVAEContextualChain	GammaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.vae	GammaTaylorVAEFixedConfidenceChain	GammaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.var	GammaTaylorVaRContextualChain	GammaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.var	GammaTaylorVaRFixedConfidenceChain	GammaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvae	GammaTaylorWVAEContextualChain	GammaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvae	GammaTaylorWVAEFixedConfidenceChain	GammaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvar	GammaTaylorWVARContextualChain	GammaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.gamma.taylor.wvar	GammaTaylorWVARFixedConfidenceChain	GammaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.theta	AThetaSensitivityChain	AThetaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna	AVannaSensitivityChain	AVannaChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.es	VannaTaylorESContextualChain	VannaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.es	VannaTaylorESFixedConfidenceChain	VannaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.etg	VannaTaylorETGContextualChain	VannaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.etg	VannaTaylorETGFixedConfidenceChain	VannaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.vae	VannaTaylorVAEContextualChain	VannaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.vae	VannaTaylorVAEFixedConfidenceChain	VannaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.var	VannaTaylorVaRContextualChain	VannaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.var	VannaTaylorVaRFixedConfidenceChain	VannaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvae	VannaTaylorWVAEContextualChain	VannaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvae	VannaTaylorWVAEFixedConfidenceChain	VannaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvar	VannaTaylorWVARContextualChain	VannaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vanna.taylor.wvar	VannaTaylorWVARFixedConfidenceChain	VannaPnLExplainTaylorWVARFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega	AVegaSensitivityChain	VegaChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.es	VegaTaylorESContextualChain	VegaPnLExplainTaylorESContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.es	VegaTaylorESFixedConfidenceChain	VegaPnLExplainTaylorESFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.etg	VegaTaylorETGContextualChain	VegaPnLExplainTaylorETGContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.etg	VegaTaylorETGFixedConfidenceChain	VegaPnLExplainTaylorETGFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.vae	VegaTaylorVAEContextualChain	VegaPnLExplainTaylorVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.vae	VegaTaylorVAEFixedConfidenceChain	VegaPnLExplainTaylorVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.var	VegaTaylorVaRContextualChain	VegaPnLExplainTaylorVaRContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.var	VegaTaylorVaRFixedConfidenceChain	VegaPnLExplainTaylorVaRFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvae	VegaTaylorWVAEContextualChain	VegaPnLExplainTaylorWVAEContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvae	VegaTaylorWVAEFixedConfidenceChain	VegaPnLExplainTaylorWVAEFixedConfidenceChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvar	VegaTaylorWVARContextualChain	VegaPnLExplainTaylorWVARContextualChain
com.activeviam.mr.sensi.measures.chains.complete.vega.taylor.wvar	VegaTaylorWVARFixedConfidenceChain	VegaPnLExplainTaylorWVARFixedConfidenceChain

What-if Configuration

The instance of IDatabaseSimulationsSecurityManager is injected in the arguments of the bean DatabaseSimulationsWorkflow instead of being invoked in the bean creation code.

Updated bookmarks

The bookmark permissions have been updated to better conform to our intended usage. All shipped bookmarks are now owned by ROLE_ADMIN, with no changes being permitted by any other users. ROLE_USER is the reader role, allowing all bookmarks to be viewed by any user. The bookmarks have also been upgraded to Atoti UI 5.1. See more details about the upgrade from Atoti UI 5.0 to Atoti 5.1 here: Migrate from Atoti UI 5.0 to 5.1

Updated user roles

All users except admin have had the ROLE_CS_ROOT role removed, as it bypasses all restrictions. Any permissions (default or specific) are now respected.

PropertySourcesPlaceholderConfigurer Bean

Two distinct PropertySourcesPlaceholderConfigurer beans were defined in the MarketRiskConfig class, which is not allowed by Spring Boot. Only one PropertySourcesPlaceholderConfigurer bean is now defined in the MarketRiskConfig class.

Documentation Index

​Migrate to 5.1.0

​Headline announcement

​Breaking changes

​Input file formats

​Configuration files

​Files Modified

application.yaml

hibernate.properties

mr.properties

mr-config.properties

tracing.properties

dee.export.properties

protocol-tcp.xml and protocol-udp.xml

Test file: mr.bookmark.properties

​Datastores

​Cube schema

​Context values

​Market Data Retrieval service API

​DirectQuery

​Configuration Annotations

​Separate configuration for Taylor VaR measures

​Configuration import changes

Configuration import changes in module mr-application

Configuration import changes in module mr-sensi-config

​New classes created

New configuration classes in module mr-sensi-config

​Changes in packages and class extensions

Changes in packages and class extensions in module mr-sensi-config

​Files deleted and replaced by new files

In module mr-sensi-config

​What-if Configuration

​Updated bookmarks

​Updated user roles

​PropertySourcesPlaceholderConfigurer Bean

Migrate to 5.1.0

Headline announcement

Breaking changes

Input file formats

Configuration files

Files Modified

Datastores

Cube schema

Context values

Market Data Retrieval service API

DirectQuery

Configuration Annotations

Separate configuration for Taylor VaR measures

Configuration import changes

New classes created

Changes in packages and class extensions

Files deleted and replaced by new files

What-if Configuration

Updated bookmarks

Updated user roles

PropertySourcesPlaceholderConfigurer Bean