Migration notes - Atoti Hub

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

Migrate to 5.2.3

Headline announcement

Atoti Server version: Upgraded to 6.0.9.
Common library: Upgraded to 1.13.7-AS6.0 to be compatible with Atoti Server 6.0.9.

Upgrade to Atoti Server 6.0.9

The solution has been upgraded to Atoti Server 6.0.9. No migration steps are required.

Common library upgrade

The common library has been upgraded to 1.13.7-AS6.0 for compatibility with Atoti Server 6.0.9. No migration steps are required.

Migrate to 5.2.2

Headline announcement

Atoti Server version Upgraded to 6.0.8.
Common Parent POM : The Common Parent POM has been upgraded to 1.2.0
Common Dependencies BOM : The Common Dependencies BOM has been upgraded to 1.2.0
Solutions Tools BOM : The Solutions Tools BOM has been upgraded to 1.3-AS6.0
Volga Taylor VaR measures: Volga Taylor VaR measures have been added to the Solution.
Statistical measures for interpolated market shift measures: The minimum, maximum, average, and percentile measures have been added for interpolated market shift measures.
PnL Explain and Taylor VaR: The ladder computation has been fixed by replacing PnL = PnL(Ladder(shift), sensi) with PnL = Ladder(PnL(shift), shift).
IPnLExplainFormulaProvider consistency cleanup: The new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProviderto transform market data into a shift. See IPnLExplainFormulaProvider consistency cleanup.
Removal of ActivePivotRemotingServicesConfig: The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.
Made ladder-based sensitivity measures optional: Ladder-based sensitivity measures can now be excluded from the configuration. If the configuration classes are excluded, no visible measures will be present in the cube. If the Solution is configured to use ladders as an input to PnL Explain and Taylor VaR calculations, the result will be NaN.

Upgrade to Common Parent POM 1.2.0, Common Dependencies BOM 1.2.0, and Solutions Tools BOM 1.3-AS6.0

The following changes have been made in the main POM file of the project:

The Solutions Tools BOM has been upgraded to 1.3-AS6.0: <solutions-tools-bom.version>1.3-AS6.0</solutions-tools-bom.version>
The Common Dependencies BOM has been upgraded to 1.2.0: <common-dependencies-bom.version>1.2.0</common-dependencies-bom.version>
The Common Parent POM has been upgraded to 1.2.0:

<parent>
     <groupId>com.activeviam.apps</groupId>
     <artifactId>common-parent-pom</artifactId>
     <version>1.2.0</version>
</parent>

Upgrade to Atoti Server 6.0.8

The following dependency has been added to the main POM file of the project:

<dependency>
    <groupId>org.glassfish.jaxb</groupId>
    <artifactId>jaxb-runtime</artifactId>
    <version>2.3.8</version>
</dependency>

This dependency version has to be present due to a dependency conflict between Atoti Server 6.0.8 and Atoti Data Connectors. Atoti Server 6.0.8 uses jaxb-runtime version 4.0.2, while Atoti Data Connectors uses a lower version of that dependency. This is required by EHCache, which is not compatible with jaxb-runtime version 4.0.2. The dependency conflict will be fixed in a future release of Atoti Data Connectors.

Removal of ActivePivotRemotingServicesConfig

The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.
The following antMatchers have been removed from the security configuration file SecurityConfig:

.antMatchers(ID_GENERATOR_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)
.antMatchers(LONG_POLLING_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)
.antMatchers(LICENSING_REMOTING_SERVICE + "/**").hasAnyAuthority(ROLE_USER, ROLE_TECH)

Configuration files

Files modified

greek-based-pl-formula-rules.properties

New properties:

Property Name	Comment	Value
formula.input.delta.*	Order type for the sensitivity ladder associated with the sensitivity and class name.	LADDER-FIRST
formula.input.gamma.*	Order type for the sensitivity ladder associated with the sensitivity and class name. Ladders only make sense on 1rst order sensitivities, so ladder is disabled for gamma.	SENSI-ONLY
formula.input.vanna.*	Order type for the sensitivity ladder associated with the sensitivity and class name.	SENSI-ONLY
formula.input.vega.*	Order type for the sensitivity ladder associated with the sensitivity and class name. Vega can have Ladder as it is a 1rst order sensitivity.	LADDER-FIRST
formula.input.volga.*	Order type for the sensitivity ladder associated with the sensitivity and class name.	SENSI-ONLY
formula.type.delta.*	Specifies the ladder formula to apply.	DeltaShift
formula.type.vega.*	Specifies the ladder formula to apply.	DeltaShift

Deleted properties:

Property Name	Comment
formula.order.delta	The ladder is taking the sensi order, scale, and kind from the `formula.rule..` property.
formula.order.gamma	The ladder is taking the sensi order, scale, and kind from the `formula.rule..` property.
formula.input.delta	The risk class has been added to the property name, so append `.*`.
formula.input.gamma	The risk class has been added to the property name, so append `.*`.
formula.input.vega	The risk class has been added to the property name, so append `.*`.
formula.input.vanna	The risk class has been added to the property name, so append `.*`.
formula.input.volga	The risk class has been added to the property name, so append `.*`.

IPnLExplainFormulaProvider consistency cleanup

A new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProvider, used to transform a couple of market data into a shift. It returns a lambda function (double quoteT, double quoteTMinus1) -> shift. The PnLExplainFormulaProvider implementation has been cleaned up to reduce the cases: the getPnlExplainFormula implementation has been replaced with

pnlExplainFormula = (sensitivity, quoteT, quoteTMinus1) -> vaRExplainFormula.applyAsDouble(sensitivity, shiftFormula.applyAsDouble(quoteT, quoteTMinus1))

This bean returns null instead of (...) -> 0.0 when no formula has been found, to avoid printing out an incorrect null PnL.

Beans

Added

The following beans have been added to define parameters related to Volga Taylor VaR:

Constant	Qualifier	Type	Details
SP_QUALIFIER__VOLGA_TAYLOR_VAR_PARAMETERS	“Volga Taylor VAR Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor VAR measures.
SP_QUALIFIER__VOLGA_TAYLOR_ES_PARAMETERS	“Volga Taylor ES Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor ES measures.
SP_QUALIFIER__VOLGA_TAYLOR_ETG_PARAMETERS	“Volga Taylor ETG Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor ETG measures.
SP_QUALIFIER__VOLGA_TAYLOR_VAE_PARAMETERS	“Volga Taylor VAE Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor VAE measures.
SP_QUALIFIER__VOLGA_TAYLOR_WVAE_PARAMETERS	“Volga Taylor WVAE Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor WVAE measures.
SP_QUALIFIER__VOLGA_TAYLOR_WVAR_PARAMETERS	“Volga Taylor WVAR Parameters”	`VaRMetricParametersAndNames`	Parameters and constants used for Volga Taylor WVAR measures.

Those constants are defined in the SpringConstants class of the mr-common-lib module, and the beans are defined in the mr-sensi-config module. In the following files in the mr-sensi-config module:

CashShiftViewerChain
CorrelationShiftViewerChain
CrossGammaShiftViewerChain
DeltaShiftViewerChain
GammaShiftViewerChain
VannaShiftViewerChain
VegaShiftViewerChain
VolgaShiftViewerChain

the following beans have been added to define statistical measures on interpolated market shift measures:

Constant	Qualifier	Type	Details
SENSI + SHIFT_VECTOR_INTERPOLATED_MIN	SENSI + “Shift Vector Interpolated Minimum”	`CopperMeasure`	Measure computing the minimum of the Market Shift vector used by the sensitivity, interpolated, not normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_MAX	SENSI + “Shift Vector Interpolated Maximum”	`CopperMeasure`	Measure computing the maximum of the Market Shift vector used by the sensitivity, interpolated, not normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_AVG	SENSI + “Shift Vector Interpolated Average”	`CopperMeasure`	Measure computing the average of the Market Shift vector used by the sensitivity, interpolated, not normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_PERCENTILE	SENSI + “Shift Vector Interpolated Percentile”	`CopperMeasure`	Measure computing the percentile of the Market Shift vector used by the sensitivity, interpolated, not normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_NORMALIZED_MIN	SENSI + “Shift Vector Interpolated Normalized Minimum”	`CopperMeasure`	Measure computing the maximum of the Market Shift vector used by the sensitivity, interpolated, normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_NORMALIZED_MAX	SENSI + “Shift Vector Interpolated Normalized Maximum”	`CopperMeasure`	Measure computing the minimum of the Market Shift vector used by the sensitivity, interpolated, normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_NORMALIZED_AVG	SENSI + “Shift Vector Interpolated Normalized Average”	`CopperMeasure`	Measure computing the average of the Market Shift vector used by the sensitivity, interpolated, normalized.
SENSI + SHIFT_VECTOR_INTERPOLATED_NORMALIZED_PERCENTILE	SENSI + “Shift Vector Interpolated Normalized Percentile”	`CopperMeasure`	Measure computing the percentile of the Market Shift vector used by the sensitivity, interpolated, normalized.

In the mr-sensi-config module, the following classes containing the definition of Volga Taylor VaR measures have been added:

Package	File Name	Details
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.es	VolgaTaylorESContextualChain	Definition of the Volga Taylor ES measures using the ESConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.es	VolgaTaylorESFixedConfidenceChain	Definition of the Volga Taylor ES measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.etg	VolgaTaylorETGContextualChain	Definition of the Volga Taylor ETG measures using the ETGConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.etg	VolgaTaylorETGFixedConfidenceChain	Definition of the Volga Taylor ETG measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.vae	VolgaTaylorVAEContextualChain	Definition of the Volga Taylor VAE measures using the VAEConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.vae	VolgaTaylorVAEFixedConfidenceChain	Definition of the Volga Taylor VAE measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.var	VolgaTaylorVARContextualChain	Definition of the Volga Taylor VAR measures using the VARConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.var	VolgaTaylorVARFixedConfidenceChain	Definition of the Volga Taylor VAR measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.wvae	VolgaTaylorWVAEContextualChain	Definition of the Volga Taylor Weighted VAE measures using the VAEConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.wvae	VolgaTaylorWVAEFixedConfidenceChain	Definition of the Volga Taylor Weighted VAE measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.wvar	VolgaTaylorWVARContextualChain	Definition of the Volga Taylor Weighted VAR measures using the VAEConfidenceLevel context value for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor.wvar	VolgaTaylorWVARFixedConfidenceChain	Definition of the Volga Taylor Weighted VAR measures using fixed values for the percentile.
com.activeviam.mr.sensi.measures.chains.complete.volga.taylor	VolgaTaylorChain	Definition of the PnL vector measures used for Volga Taylor VaR and of the Volga Taylor Tail VaE and Volga Taylor Tail VaR measures.
com.activeviam.mr.sensi.measures.config.parameters.taylor	VolgaTaylorParametersConfig	Definition of the parameters used for Volga Taylor VaR measure definitions.

In the mr-sensi-config module, imports of the following configuration files have been added to the VolgaTaylorMeasuresConfig class:

VolgaTaylorETGContextualChain
VolgaTaylorETGFixedConfidenceChain
VolgaTaylorVAEContextualChain
VolgaTaylorVAEFixedConfidenceChain
VolgaTaylorWVAEContextualChain
VolgaTaylorWVAEFixedConfidenceChain
VolgaTaylorWVARContextualChain
VolgaTaylorWVARFixedConfidenceChain
VolgaTaylorESContextualChain
VolgaTaylorESFixedConfidenceChain
VolgaTaylorVaRContextualChain
VolgaTaylorVaRFixedConfidenceChain
VolgaTaylorChain

In the mr-sensi-config module, the import of the following file has been added to the AllTaylorParameters class:

VolgaTaylorParametersConfig

In the mr-sensi-lib module, the following constants have been added in the file SensiMeasureParameters:

Constant	Value	Details
SHIFT_VECTOR_INTERPOLATED_MIN	“Shift Vector Interpolated Minimum”	Suffix of the measure computing the minimum of the Market Shift vector used by a sensitivity, interpolated, not normalized.
SHIFT_VECTOR_INTERPOLATED_MAX	“Shift Vector Interpolated Maximum”	Suffix of the measure computing the maximum of the Market Shift vector used by a sensitivity, interpolated, not normalized.
SHIFT_VECTOR_INTERPOLATED_AVG	“Shift Vector Interpolated Average”	Suffix of the measure computing the average of the Market Shift vector used by a sensitivity, interpolated, not normalized.
SHIFT_VECTOR_INTERPOLATED_PERCENTILE	“Shift Vector Interpolated Percentile”	Suffix of the measure computing the percentile of the Market Shift vector used by a sensitivity, interpolated, not normalized.
SHIFT_VECTOR_INTERPOLATED_NORMALIZED_MIN	“Shift Vector Interpolated Normalized Minimum”	Suffix of the measure computing the minimum of the Market Shift vector used by a sensitivity, interpolated, normalized.
SHIFT_VECTOR_INTERPOLATED_NORMALIZED_MAX	“Shift Vector Interpolated Normalized Maximum”	Suffix of the measure computing the maximum of the Market Shift vector used by a sensitivity, interpolated, normalized.
SHIFT_VECTOR_INTERPOLATED_NORMALIZED_AVG	“Shift Vector Interpolated Normalized Average”	Suffix of the measure computing the average of the Market Shift vector used by a sensitivity, interpolated, normalized.
SHIFT_VECTOR_INTERPOLATED_NORMALIZED_PERCENTILE	“Shift Vector Interpolated Normalized Percentile”	Suffix of the measure computing the percentile of the Market Shift vector used by a sensitivity, interpolated, normalized.

Measures

Added

Cube	Measure	Details
Market Data	Shift Vector Interpolated Minimum	Minimum of the Market Shift vector, interpolated, not normalized
Market Data	Shift Vector Interpolated Maximum	Maximum of the Market Shift vector, interpolated, not normalized
Market Data	Shift Vector Interpolated Average	Average of the Market Shift vector, interpolated, not normalized
Market Data	Shift Vector Interpolated Percentile	Percentile of the Market Shift vector, interpolated, not normalized
Market Data	Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector, interpolated, normalized
Market Data	Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector, interpolated, normalized
Market Data	Shift Vector Interpolated Normalized Average	Average of the Market Shift vector, interpolated, normalized
Market Data	Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector, interpolated, normalized
Sensi	Correlation Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensi	Correlation Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensi	Correlation Shift Vector Interpolated Average	Average of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensi	Correlation Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Correlation sensitivity, interpolated, not normalized
Sensi	Correlation Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensi	Correlation Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensi	Correlation Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensi	Correlation Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Correlation sensitivity, interpolated, normalized
Sensi	CrossGamma Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensi	CrossGamma Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensi	CrossGamma Shift Vector Interpolated Average	Average of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensi	CrossGamma Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the CrossGamma sensitivity, interpolated, not normalized
Sensi	CrossGamma Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensi	CrossGamma Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensi	CrossGamma Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensi	CrossGamma Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the CrossGamma sensitivity, interpolated, normalized
Sensi	Delta Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensi	Delta Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensi	Delta Shift Vector Interpolated Average	Average of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensi	Delta Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Delta sensitivity, interpolated, not normalized
Sensi	Delta Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensi	Delta Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensi	Delta Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensi	Delta Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Delta sensitivity, interpolated, normalized
Sensi	Gamma Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensi	Gamma Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensi	Gamma Shift Vector Interpolated Average	Average of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensi	Gamma Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Gamma sensitivity, interpolated, not normalized
Sensi	Gamma Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensi	Gamma Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensi	Gamma Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensi	Gamma Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Gamma sensitivity, interpolated, normalized
Sensi	Vanna Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensi	Vanna Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensi	Vanna Shift Vector Interpolated Average	Average of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensi	Vanna Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Vanna sensitivity, interpolated, not normalized
Sensi	Vanna Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensi	Vanna Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensi	Vanna Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensi	Vanna Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Vanna sensitivity, interpolated, normalized
Sensi	Vega Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensi	Vega Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensi	Vega Shift Vector Interpolated Average	Average of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensi	Vega Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Vega sensitivity, interpolated, not normalized
Sensi	Vega Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensi	Vega Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensi	Vega Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensi	Vega Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Vega sensitivity, interpolated, normalized
Sensi	Volga Shift Vector Interpolated Minimum	Minimum of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized
Sensi	Volga Shift Vector Interpolated Maximum	Maximum of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized
Sensi	Volga Shift Vector Interpolated Average	Average of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized
Sensi	Volga Shift Vector Interpolated Percentile	Percentile of the Market Shift vector used by the Volga sensitivity, interpolated, not normalized
Sensi	Volga Shift Vector Interpolated Normalized Minimum	Minimum of the Market Shift vector used by the Volga sensitivity, interpolated, normalized
Sensi	Volga Shift Vector Interpolated Normalized Maximum	Maximum of the Market Shift vector used by the Volga sensitivity, interpolated, normalized
Sensi	Volga Shift Vector Interpolated Normalized Average	Average of the Market Shift vector used by the Volga sensitivity, interpolated, normalized
Sensi	Volga Shift Vector Interpolated Normalized Percentile	Percentile of the Market Shift vector used by the Volga sensitivity, interpolated, normalized
Sensi	List of Volga Taylor ES measures	See the list of all Volga Taylor ES measures in the link.
Sensi	List of Volga Taylor ETG measures	See the list of all Volga Taylor ETG measures in the link.
Sensi	List of Volga Taylor VaE measures	See the list of all Volga Taylor VaE measures in the link.
Sensi	List of Volga Taylor VaR measures	See the list of all Volga Taylor VaR measures in the link.

Miscellaneous

In the mr-application-tests module, the following changes have been made in the file used for integration tests:

The files present in the folder test-bookmarks/07 - Aggregate Taylor VaR have been updated to reflect the changes in the Taylor VaR measure numbers introduced by the addition of the Taylor VaR measures.
The files present in the folder test-bookmarks-combined/03 - Taylor VaR have been updated to reflect the changes in the Taylor VaR measure numbers introduced by the addition of the Taylor VaR measures.
The folder test-bookmarks/08 - Market Shifts Statistics has been renamed to test-bookmarks/09 - Market Shifts Statistics and its content has been changed to add queries for more sensitivity types than just delta.
The folder test-bookmarks/08 - Volga Taylor VaR has been created to test Volga Taylor VaR measures
The following files have been created to test the statistical in the market data cube:
- test-bookmarks/MarketDataCube/shiftStats.query
- test-bookmarks/MarketDataCube/shiftStats.csv
- test-bookmarks-combined/MarketDataCube/shiftStats.query
- test-bookmarks-combined/MarketDataCube/shiftStats.csv

Migrate to 5.2.1

Upgrade to What-If 2.1.1 and Solutions Tools BOM 1.2-AS6.0

The Solutions Tools BOM has been upgraded to 1.2-AS6.0: <solutions-tools-bom.version>1.2-AS6.0</solutions-tools-bom.version> What-If is no longer included in the BOM, therefore a new version property has been added: <whatif.version>2.1.1-AS6.0</whatif.version> For details about the changes in What-if 2.1.1-AS6.0, refer to the release notes. Here are the classes impacted by the upgrade to What-If 2.1.1:

Module	Class	Comment
mr-sensi-config	SensiRollOverSimulationDefinition	In the method `generateDatabaseActions` the constant `IEpoch.MASTER_BRANCH_NAME` is used intead of `DatabaseSimulationsUtils.MASTER_BRANCH` which has been deleted.
mr-sensi-config	ASensiVectorSubstitutionRestService	In the method `getPreviousAsOfDates` the constant `IEpoch.MASTER_BRANCH_NAME` is used intead of `DatabaseSimulationsUtils.MASTER_BRANCH` which has been deleted.
mr-var-config	PnLRollOverSimulationDefinition	In the method `generateDatabaseActions` the constant `IEpoch.MASTER_BRANCH_NAME` is used intead of `DatabaseSimulationsUtils.MASTER_BRANCH` which has been deleted.
mr-var-config	APnLRollOverRestService	In the method `getPreviousAsOfDates` the constant `IEpoch.MASTER_BRANCH_NAME` is used intead of `DatabaseSimulationsUtils.MASTER_BRANCH` which has been deleted.
mr-var-config	APnLScenarioIndexedArithmeticSimulationRestService	In the method `getIndicesToScale` the constant `IEpoch.MASTER_BRANCH_NAME` is used intead of `DatabaseSimulationsUtils.MASTER_BRANCH` which has been deleted.

The following dependencies have been changed:

Old Dependency	New Dependency	Old Group	Old Version	New Group	New Version
solutions-tools-bom		com.activeviam.tools	1.1.0-AS6.0	com.activeviam.apps	1.2.0-AS6.0
whatif		com.activeviam.tools	2.0.1-AS6.0	com.activeviam.apps	2.1.0-AS6.0
doctorpivot-api		com.activeviam.tools	3.0.0-AS6.0	com.activeviam.apps	3.1.0-AS6.0
doctorpivot-web-app		com.activeviam.tools	3.0.0-AS6.0	com.activeviam.apps	3.1.0-AS6.0
bookmark-tool		com.activeviam.tools	3.0.0-AS6.0	com.activeviam.apps	3.1.0-AS6.0
datastore-helper		com.activeviam.tools	3.0.0-AS6.0	com.activeviam.apps	3.1.0-AS6.0
activepivot-test-harness	atoti-server-regression-testing	com.activeviam.tools	2.2.0-AS6.0	com.activeviam.apps	1.0.0-AS6.0

The following code has changed in the file DatastoreConfiguratorSetup, method DatastoreConfiguratorProfileSetup.enableSchemas in the module mr-common-lib (the position of one line of the code has been changed): New code:

        private void enableSchemas(List<AScalarDataAwareSchema> schemas, IDatastoreConfigurator configurator,
                Function<IScalarDataAware, String> schemaNameRetriever) {
            schemas.forEach(
                    schema -> {
                        configurator.enableSchema(schemaNameRetriever.apply(schema));
                        schema.setConfigurator(configurator);
                        schema.createReferences();
                        schema.createStores();
                    }
            );
        }

Old code:

        private void enableSchemas(List<AScalarDataAwareSchema> schemas, IDatastoreConfigurator configurator,
                Function<IScalarDataAware, String> schemaNameRetriever) {
            schemas.forEach(
                    schema -> {
                        schema.setConfigurator(configurator);
                        schema.createReferences();
                        schema.createStores();
                        configurator.enableSchema(schemaNameRetriever.apply(schema));
                    }
            );
        }
    }

In the module mr-application-tests, the imports have been changed: the old imports of classes com.activeviam.tools.test.junit5.* has been replaced by imports of classes com.activeviam.solutions.test.regression.* in the following classes:

Class Name
ReferenceRegressionSnowflakeTestIT
ReferenceRegressionTestIT
ReferenceRegressionTestITCombined
ReferenceRegressionTestITCombinedScalar
ReferenceRegressionTestITProductControl
ReferenceRegressionTestITScalar

Common Parent POM and Common Dependencies BOM

The solution now imports third party dependency versions from the Common Dependencies BOM version 1.1.0. The following explicit dependency versions have been removed from the dependency management section of the solution:

Dependency	Removed version	Imported version
velocity-engine-core	2.2	2.3
velocity-tools-generic	3.0	3.1
jacoco-maven-plugin	0.8.9	0.8.10
junit-bom	5.8.1	5.8.2

The following dependencies have been removed or have had their explicit version declaration removed:

Dependency	Status
tomcat-jdbc	Removed
maven-compiler-plugin	Removed explicit version
maven-source-plugin	Removed explicit version
lifecycle-mapping	Removed explicit version
maven-enforcer-plugin	Removed explicit version

Miscellaneous

In the mr-application module, the FileUploadAddressSuppliers.queryNodeAddresses bean now injects the interface IActivePivotManager instead of the class ActivePivotManager.
In the mr-common-config module, the WhatIfConfig class now autowires the interface IActivePivotManager instead of the class ActivePivotManager.

Migrate to 5.2.0

Upgrading from version 5.1.0 - see Atoti Market Risk 5.2.0 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

Improved Sensitivity Cube configuration for testing: store, dimension, and measure configuration classes have been split to allow targeted testing of measure chains.

Configuration classes

Files Added

Datastore configuration

Store definitions, references, and DirectQuery cloned stores are now split into distinct configuration classes. Several configuration classes have been added to collect these individual stores and references into a single import.

Class	Package	Contents
`ACommonScalarDataAwareSchema`	`com.activeviam.mr.common.datastore.description`	Extension of `AScalarDataAwareSchema` returning the `SCHEMA` and `SCALAR_SCHEMA` constants for the common stores.
`DatastoreConstants`	`com.activeviam.mr.common.datastore.description`	Constants class containing the store date field format and the default number of partitions based on the number of logical cores.
`DQCommonStoreConfig`	`com.activeviam.mr.common.datastore.description`	The common stores to be cloned in a DirectQuery setup.
`DQStandardStoreConfig`	`com.activeviam.mr.common.datastore.description`	The standard stores to be cloned in a DirectQuery setup.
`SchemaConstants`	`com.activeviam.mr.common.datastore.description`	The `SCHEMA` and `SCALAR_SCHEMA` constants for the common stores.
`AllStandardReferences`	`com.activeviam.mr.common.datastore.description.refences`	Collects all standard store reference configuration classes for a simple import.
`CounterpartyToCountry`	`com.activeviam.mr.common.datastore.description.refences`	The reference between the Counterparty and Country stores.
`TradeAttributesToBookHierarchy`	`com.activeviam.mr.common.datastore.description.refences`	The reference between the TradeAttributes and BookHierarchy stores.
`TradeAttributesToCounterparty`	`com.activeviam.mr.common.datastore.description.refences`	The reference between the TradeAttributes and Counterparty stores.
`TradeAttributesToCounterpartyHierarchy`	`com.activeviam.mr.common.datastore.description.refences`	The reference between the TradeAttributes and CounterpartyHierarchy stores.
`TradeAttributesToLegalEntityHierarchy`	`com.activeviam.mr.common.datastore.description.refences`	The reference between the TradeAttributes and LegalEntityHierarchy stores.
`AllCommonStores`	`com.activeviam.mr.common.datastore.description.stores`	Collects all common store configuration classes for a simple import.
`AllStandardStores`	`com.activeviam.mr.common.datastore.description.stores`	Collects all standard store configuration classes for a simple import.
`BookHierarchy`	`com.activeviam.mr.common.datastore.description.stores`	The BookHierarchy store.
`BookParentChild`	`com.activeviam.mr.common.datastore.description.stores`	The BookParentChild store.
`Counterparty`	`com.activeviam.mr.common.datastore.description.stores`	The Counterparty store.
`CounterpartyHierarchy`	`com.activeviam.mr.common.datastore.description.stores`	The CounterpartyHierarchy store.
`CounterpartyParentChild`	`com.activeviam.mr.common.datastore.description.stores`	The CounterpartyParentChild store.
`Country`	`com.activeviam.mr.common.datastore.description.stores`	The Country store.
`FxRate`	`com.activeviam.mr.common.datastore.description.stores`	The FxRate store.
`LegalEntityHierarchy`	`com.activeviam.mr.common.datastore.description.stores`	The LegalEntityHierarchy store.
`LegalEntityParentChild`	`com.activeviam.mr.common.datastore.description.stores`	The LegalEntityParentChild store.
`MarketDataSet`	`com.activeviam.mr.common.datastore.description.stores`	The MarketDataSet store.
`MarketShift`	`com.activeviam.mr.common.datastore.description.stores`	The MarketShift store.
`Quantiles`	`com.activeviam.mr.common.datastore.description.stores`	The Quantiles store.
`RiskFactorsCatalogue`	`com.activeviam.mr.common.datastore.description.stores`	The RiskFactorsCatalogue store.
`Rounding`	`com.activeviam.mr.common.datastore.description.stores`	The Rounding store.
`Scenarios`	`com.activeviam.mr.common.datastore.description.stores`	The Scenarios store.
`TradeAttributes`	`com.activeviam.mr.common.datastore.description.stores`	The TradeAttributes store.
`ASensiScalarDataAwareSchema`	`com.activeviam.mr.sensi.datastore.description.complete`	Extension of `AScalarDataAwareSchema` returning the `SCHEMA` and `SCALAR_SCHEMA` constants for the scalar Sensitivity stores.
`ATenorAwareSchema`	`com.activeviam.mr.sensi.datastore.description.complete`	Extension of `ASensiScalarDataAwareSchema` containing `@Value` wired default values for the tenor, maturity, and moneyness.
`DQSensiStoreConfig`	`com.activeviam.mr.sensi.datastore.description.complete`	The Sensitivity stores to be cloned in a DirectQuery setup.
`AllSensiReferences`	`com.activeviam.mr.sensi.datastore.description.complete.references`	Collects all Sensitivity store reference configuration classes for a simple import.
`TradeSensitivitiesToRiskFactorsCatalogue`	`com.activeviam.mr.sensi.datastore.description.complete.references`	The reference between the TradeSensitivities and RiskFactorsCatalogue stores.
`TradeSensitivitiesToTradeAttributes`	`com.activeviam.mr.sensi.datastore.description.complete.references`	The reference between the TradeSensitivities and TradeAttributes stores.
`AllSensiStores`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	Collects all Sensitivity store configuration classes for a simple import.
`CorporateAction`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The CorporateAction store.
`DynamicTenors`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The DynamicTenors store.
`MarketData`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The MarketData store for the scalar sensitivities data model.
`SensiLadders`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The SensiLadders store.
`Tenors`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The Tenors store.
`TradeSensitivities`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The TradeSensitivities store for the scalar sensitivities data model.
`VectorMarketData`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The MarketData store for the vectorized sensitivities data model.
`VectorTradeSensitivities`	`com.activeviam.mr.sensi.datastore.description.complete.stores`	The TradeSensitivities vectorized sensitivities data model.

Measure configuration

The beans that were in the SensiMeasureParametersBeans class have been split into a number of distinct classes. This helps with importing a minimal configuration for testing. The new classes are:

Class	Package	Contents
`BaseParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the base sensitivity chains.
`CashParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the cash sensitivity chains.
`CorrelationParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the correlation sensitivity chains.
`CrossGammaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the cross gamma sensitivity chains.
`DeltaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the delta sensitivity chains.
`DividendParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the dividend sensitivity chains.
`GammaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the gamma sensitivity chains.
`ThetaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the theta sensitivity chains.
`VannaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the vanna sensitivity chains.
`VegaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the vega sensitivity chains.
`VolgaParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Parameters used to configure measures in the volga sensitivity chains.
`AllSensiParameters`	`com.activeviam.mr.sensi.measures.config.parameters.sensitivity`	Imports configuration in all the above classes.
`CashTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the cash taylor chains.
`CorrelationTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the correlation taylor chains.
`CrossGammaTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the cross gamma taylor chains.
`DeltaTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the delta taylor chains.
`GammaTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the gamma taylor chains.
`VannaTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the vanna taylor chains.
`VegaTaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Parameters used to configure measures in the vega taylor chains.
`TaylorParametersConfig`	`com.activeviam.mr.sensi.measures.config.parameters.taylor`	Imports configuration in all the above taylor classes.

Dimension configuration

Dimensions previously defined in SensiCubeDimensionsConfig and CommonDimensionsConfig are now split, respectively in their own module. In addition, a DimensionsAdder bean is defined for every single dimension.

CommonDimensionsConfig has not been modified nor removed but is now irrelevant for the sensitivity dimension definitions.

Class	Package	Contents
`BookingDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Booking Dimension configuration
`BookingWoTradeDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Booking Wo Trade Dimension configuration
`CounterPartyDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Counterparty Dimension configuration
`CurrencyDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Currency Dimension configuration
`DimensionConstantsConfig`	`com.activeviam.mr.common.cube.dimensions`	The Dimension Constants configuration
`InstrumentsDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Instruments Dimension configuration
`TradeAttributesDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Trade Attributes Dimension configuration
`EpochDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Epoch Dimension configuration
`MarketDataDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Market Data Dimension configuration
`MarketDataDimensionLightConfig`	`com.activeviam.mr.common.cube.dimensions`	The Market Data Dimension Light configuration
`PnLStartStopStaticDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The PnL Start Stop Static Dimension configuration
`PnLStartStopDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The PnL Start Stop Dimension configuration
`RoundingsDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Roundings Dimension configuration
`OrganisationDimensionConfig`	`com.activeviam.mr.common.cube.dimensions`	The Organisation Dimension configuration
`DateDimension`	`com.activeviam.mr.common.cube.dimensions`	The Date Dimension structure
`DateDimensionWithMarketShiftDate`	`com.activeviam.mr.common.cube.dimensions`	The Date Dimension with Market Shift Date structure
`CurrenciesDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Currencies Dimension configuration
`DateDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Date Dimension configuration
`DimensionUtils`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Dimension configuration
`DynamicBucketingDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Dynamic Bucketing Dimension configuration
`RiskDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Risk Dimension configuration
`SensitivitiesDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Sensitivities Dimension configuration
`VectorRiskDimensionConfig`	`com.activeviam.mr.sensi.cube.complete.dimensions`	The Vector Risk Dimension configuration

Global configuration

A configuration class has been added to collect the sensitivity configuration classes in a single importable configuration.

Class	Package	Details
`SensiCompleteConfig`	`com.activeviam.mr.sensi.config.complete`	Imports all configuration classes related to the Sensitivity Cube.

Measures configuration

The beans that were in the SensiMeasureParametersBeans class have been split into a number of distinct classes. This helps with importing a minimal configuration for testing.

Class	Package	Details
`SensiMeasureParametersBeans`	`com.activeviam.mr.sensi.measures.config`	Parameters used to configure all sensitivity and taylor measures.

Other changes

Trade Sensitivities store

The constants and classes related to the TradeSensitivities store now match the name.

Old constant	New constant
SENSI_TRADE_STORE_NAME	TRADE_SENSITIVITIES_STORE_NAME

AMRDataCubeConfigurer

The abstract MR-specific data cube configurer class has been renamed from AMRADataCubeConfigurer to AMRDataCubeConfigurer.

Property defaults

When retrieving properties included in .yaml and .properties files, default values are now used, matching the sample properties. Any Spring @Value annotations that were not retrieving properties have been removed, with the values being used directly. The following beans have been reduced to a minimal set of parameters in the creation method:

Bean	Method parameters
SP_QUALIFIER__CASH_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__CASH_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__CASH_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__CASH_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__CASH_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__CASH_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__CORRELATION_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__CORRELATION_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__CORRELATION_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__CORRELATION_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__CORRELATION_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__CORRELATION_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__CROSSGAMMA_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__CROSSGAMMA_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__CROSSGAMMA_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__CROSSGAMMA_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__CROSSGAMMA_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__CROSSGAMMA_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__DELTA_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__DELTA_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__DELTA_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__DELTA_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__DELTA_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__DELTA_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__GAMMA_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__GAMMA_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__GAMMA_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__GAMMA_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__GAMMA_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__GAMMA_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__VANNA_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__VANNA_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__VANNA_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__VANNA_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__VANNA_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__VANNA_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor
SP_QUALIFIER__VEGA_TAYLOR_ES_PARAMETERS	CopperESPostProcessors
SP_QUALIFIER__VEGA_TAYLOR_ETG_PARAMETERS	CopperETGPostProcessor
SP_QUALIFIER__VEGA_TAYLOR_VAE_PARAMETERS	CopperVaEPostProcessor
SP_QUALIFIER__VEGA_TAYLOR_VAR_PARAMETERS	CopperVaRPostProcessors
SP_QUALIFIER__VEGA_TAYLOR_WVAE_PARAMETERS	CopperWVaEPostProcessors
SP_QUALIFIER__VEGA_TAYLOR_WVAR_PARAMETERS	CopperWVaRPostProcessor

Testing

To support targeted testing of Sensitivity measure chains, the following classes have been added:

Class	Package	Details
DimensionsFilter	`com.activeviam.mr.common.cube.util`	Interface alias for a function taking a pivot instance description, a datastore configurator and a selection description, and returning a modified pivot instance description. Used in `AMRDataCubeConfigurer` to filter the dimensions in the Cube description before building the Cube.
SensiMeasureTestConfig	`com.activeviam.mr.sensi.measures`	Abstract class intended to be extended for a measure test. Enables the Sensitivity Cube and imports configuration for any non-replaceable beans and beans that can be replaced via qualified `@Primary` custom beans. Postprocessor injections are handled in a `@BeforeEach` method, a Cube tested object is created and an abstract `data()` method is provided.
SensiMeasureTestDimensionsConfig	`com.activeviam.mr.sensi.measures`	Dimension configuration class that collects common and sensitivity-specific dimension beans and defines a `DimensionFilter` that removed level, hierarchies, or dimensions that do not have matches in the schema selection, or in the case of analysis hierarchies, in the store configuration.
DeltaPnLExplainScalarPostProcessorTest	`com.activeviam.mr.sensi.measures.calculations`	Extension of `SensiMeasureTestConfig` provided as an example of importing the stores, dimensions and measure chains for Delta PnL Explain, using the `data()` method to feed in relevant data and querying the resulting Cube in tests.

Documentation Index

​Migrate to 5.2.3

​Headline announcement

​Upgrade to Atoti Server 6.0.9

​Common library upgrade

​Migrate to 5.2.2

​Headline announcement

​Upgrade to Common Parent POM 1.2.0, Common Dependencies BOM 1.2.0, and Solutions Tools BOM 1.3-AS6.0

​Upgrade to Atoti Server 6.0.8

​Removal of ActivePivotRemotingServicesConfig

​Configuration files

​Files modified

greek-based-pl-formula-rules.properties

​IPnLExplainFormulaProvider consistency cleanup

​Beans

​Added

​Measures

​Added

​Miscellaneous

​Migrate to 5.2.1

​Upgrade to What-If 2.1.1 and Solutions Tools BOM 1.2-AS6.0

​Common Parent POM and Common Dependencies BOM

​Miscellaneous

​Migrate to 5.2.0

​Headline announcement

​Configuration classes

​Files Added

Datastore configuration

Measure configuration

Dimension configuration

Global configuration

Measures configuration

​Other changes

​Trade Sensitivities store

​AMRDataCubeConfigurer

​Property defaults

​Testing

Migrate to 5.2.3

Headline announcement

Upgrade to Atoti Server 6.0.9

Common library upgrade

Migrate to 5.2.2

Headline announcement

Upgrade to Common Parent POM 1.2.0, Common Dependencies BOM 1.2.0, and Solutions Tools BOM 1.3-AS6.0

Upgrade to Atoti Server 6.0.8

Removal of ActivePivotRemotingServicesConfig

Configuration files

Files modified

IPnLExplainFormulaProvider consistency cleanup

Beans

Added

Measures

Added

Miscellaneous

Migrate to 5.2.1

Upgrade to What-If 2.1.1 and Solutions Tools BOM 1.2-AS6.0

Common Parent POM and Common Dependencies BOM

Miscellaneous

Migrate to 5.2.0

Headline announcement

Configuration classes

Files Added

Other changes

Trade Sensitivities store

AMRDataCubeConfigurer

Property defaults

Testing