Migration notes

Documentation Index

Fetch the complete documentation index at: https://docs.activeviam.com/llms.txt

Use this file to discover all available pages before exploring further.

​

Migrate to 5.3.0

• Atoti Market Risk uses Atoti Server 6.0.9 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

• Java 17 upgrade : The Atoti Market Risk is now compatible with, and requires, Java 17. For more details, see Java 17 upgrade
• Spring Security upgrade : We have upgraded Spring Security to version 5.8.7 to resolve vulnerabilities and prepare for the upgrade to Spring Security 6.0 (via Spring Boot 3).
• Atoti Server upgrade : The Atoti Market Risk has been upgraded to Atoti Server 6.0.9.
• Solutions Tools BOM upgrade : The Solutions Tools BOM dependency has been upgraded to 2.0-AS6.0. All included tools are compatible with, and require Java 17.
• Merged unfiltered pre-aggregated sensitivity measures: Unfiltered, pre-aggregated technical sensitivity measures (e.g. Delta.Native.Vector.SUM.Technical, Gamma.Ladder.Native.Vector.SUM.Technical) are no longer split by sensitivity type. Generic replacement measures are provided: Sensitivities.Native.SUM.Technical/Sensitivities.Native.Vector.SUM.Technical, Sensitivities.Ladder.Native.Vector.SUM.Technical.
• Defined stores against the GLOBAL schema: All stores in the application are now defined against the GLOBAL schema. The AScalarDataAwareSchema functionality is now achieved through conditionally adding the correct store given the application run mode.
• Store and reference configuration classes are appropriately named: Store @Configuration classes are now named *StoreConfig and reference @Configuration classes are now named *ReferenceConfig.
• Removed ActiveMonitor module and dependency: The mr-activemonitor module is no longer part of the MR modules, and the associated dependencies have been removed.
• Refactored Sensitivities testing framework: Several improvements to the Sensitivities testing framework have been included, based on feedback.
• Cleaned up dimension configuration: @Configuration classes containing multiple dimension beans have been split up. Common static methods used in multiple similar dimensions are now available in standalone classes.
• Migration to ConfigurationProperties: The majority of MR properties have been migrated to Spring @ConfigurationProperties classes and the properties files have been consolidated.
• Simplified market data API: A preview version of a market data API has been introduced. It covers several features of the current market data API, while reducing complexity. The implementation and configuration classes of the current market data API have been marked as deprecated. For details, see Market Data APIs.

​

Breaking changes

• Upgrades
  • The MR 5.3.0 release is now compatible with, and requires Java 17.
  • The Solutions Tools BOM dependency has been upgraded to 2.0-AS6.0. All included tools are compatible with, and require Java 17.
  • The Spring Security configuration has been upgraded to version 5.8.7, for future compatibility with Spring 6.0. Customizations built on previous versions will need to be migrated.
• ConfigurationProperties
  • Due to the introduction of ConfigurationProperties, the names of almost every property used in Atoti Market Risk have changed.
  • A number of unused properties have been removed from properties files and have not been migrated to ConfigurationProperties.
  • A number of properties have been moved to the application.yaml file from other properties files. We will generally prefer to use the application.yaml file because IDEs tend to offer auto-completion and documentation features for this file.
  • A number of property files that have been removed are no longer imported into the application.
  • Static constants that referred to property names have been removed.
  • The most complex properties have been deconstructed to provide a cleaner interface, so the way those properties are defined has changed.
  • Many classes set fields to property values by using the Spring @Value annotation, directly on the field or on a constructor parameter. For all those properties that are now located in ConfigurationProperties classes, these @Value annotations have been replaced by the relevant ConfigurationProperties class.
  • Significant changes have been made to the measure parameter classes, which aggregate and provide access to property values.
  • The keys used to set properties on a number of post-processors have changed, as have the corresponding constants.
  • The static factory methods for a number of post-processors have changed.
  • Removed autowired Environment attributes from classes where this is no longer required.
  • Removed the ISpringEnvAware interface.
  • Removed the getCalculationMethod method on the CommonPostProcessorUtils class.
  • Removed getReferences/getSuffix/getFolder methods on the ATaylorFactory/AVaRESFactory classes.
  • The getFormulaInput method on the IInputSelector interface now returns a SensitivityInput type instead of a String.
  • The copyFilesToWhatif and the createBranch methods on the FileUploadWhatIfService class, and the createBranch method on the FileUploadWhatIfRestfulService class now expect Paths as input instead of Strings.
• Misc
  • All the dimensions, hierarchies, and level static names are now grouped in the file DimensionConstantsConfig, the dimensions constants are suffixed with _DIMENSION, the hierarchies are suffixed with _HIERARCHY, and the levels with _LEVEL.
  • The SensiAggregatedCubeExport, SensiScalarAggregatedCubeExport and SensiSummaryExport DEE templates have been updated.
  • The Source and InputType columns have been removed from the default Summary Cube input files.
  • The ATenorAwareSchema class has been moved to the mr-common-config module, and its package has been changed accordingly.
  • The improvements to the Sensitivities testing framework have resulted in several changed classes.

​

Input file formats

• PLCube.csv
• Sensitivity Cube.csv
• VaR ES Cube.csv

​

Datastores

​

Removed

​

Cube schema

​

Removed

​

Measures

​

Added

Merging pre-aggregated sensitivity measures

​

Configuration classes

​

Files added

Dimensions configuration

Store configuration

Application configuration

Changes to configuration classes

Migrated to ConfigurationProperties classes

• each MR property is now prefixed with mr..
• where a property is used in relation to another tool, that tool is included in the prefix, e.g. mr.sign-off.date-hierarchies or mr.whatif.file-upload.
• where a property is solely used in a module or predominantly relates to a module, that is indicated in the prefix, e.g. mr.sensi.agg-cache, or mr.sign-off.sensi.levels.

bucketing:
  sets:
    maturities:
      - DEFAULT
      - REDUCED

bucketing.sets.maturities[0]=DEFAULT
bucketing.sets.maturities[1]=REDUCED

• properties in the greek-based-pl-formula-rules.properties prefixed with formula.rule have been deconstructed. Previously, each of these properties contained a sensitivity type and a risk class in the name, and the value was a comma-separated list of rule components, i.e. formula.rule.<sensi_name>.<risk_class>=<type>,<shift>.... Now, the components have been separated into distinct properties. Default properties have been provided for each of the previously defined rules and custom rules can be provided for a new risk class on an existing sensitivity, or a new sensitivity and risk class. This would appear as follows:

mr:
  sensi:
    rules:
      delta:
        base:
          type: ABSOLUTE
          ...
        custom:
          my-new-risk-class:
            type: RELATIVE
            ...
      custom:
        my-new-sensi:
          mew-new-risk-class:
            type: RELATIVE
            ...

• properties named (maturities|moneyness|tenors).fact.levels.* had values that were maps of sensitivity types to lists of levels, for instance, maturities.fact.levels.labels=Vega::Maturity@Maturities@Risk,Vanna::Maturity@Maturities@Risk,Volga::Maturity@Maturities@Risk. Each sensitivity type that was previously defined is now a separate property and the value is a list of LevelIdentifiers. Lists can also be provided for custom sensitivity types. For example:

mr:
  maturities:
    vanna-fact-levels:
      - Maturity@Maturities@Risk
    custom-fact-levels:
      delta:
        - Maturity@Maturities@Risk

• the sign-off.extraction.templates property contained a similar map of cubes to a list of filenames, for instance, DEFAULT:CubeAdjustmentExport,FXRateExport,BookParentChildExport;VaR-ES Cube:VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport,VaRSummaryExport;VaR-ES Cube|VaR:VaRESCubeMetricVaROnlyExport;Sensitivity Cube:SensiCubeExport,SensiAggCubeExport,SensiCubeMetricExport;PLCube:PLCubeExport,PLAggCubeExport,PnLSummaryExport. This property is now a map type with the cube name as the key and a strongly-typed ExportFilenamesMdxTemplate class as the value. For example:

mr:
  sign-off:
    extraction:
      templates:
        var-es:
          cube-name: VaR-ES Cube
          export-file-names: VaRESCubeExport,VaRESAggCubeExport,VaRESCubeMetricExport,VaRSummaryExport
        pl:
          cube-name: PLCube
          export-file-names: PLCubeExport,PLAggCubeExport,VaRESCubeMetricExport,PnLSummaryExport

• for properties prefixed with formula.input, formula.order, or sensi.type, you could configure custom sensitivity types by appending the type to the property prefix, for example formula.input.my-new-type. These properties have now been grouped under the mr.sensi.types prefix. To add new sensitivity types, you now add custom to the prefix: mr.sensi.types.custom.my-new-type.(input|order|regex).

Unchanged properties

​

ConfigurationProperties classes

​

Java 17 upgrade

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

​

Other changes

​

Spring Security upgrade

Stop Using WebSecurityConfigurerAdapter

Use the new requestMatchers methods

Use the new securityMatchers methods

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

   @Autowired
   protected ApplicationContext context;

   @Autowired
   @Qualifier(BASIC_AUTH_BEAN_NAME)
   protected AuthenticationEntryPoint authenticationEntryPoint;

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

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

​

Hierarchy definitions

​

Export templates

​

ActiveMonitor removal

​

Sensitivity testing improvements

​

Sign-off REST service

​

Market Data APIs

• Classes have been moved from the mr-sensi-config to the mr-common-config module and to a different package:

• The new TestDimensionsFilter class has been created in the mr-common-config test package: it is an implementation of the DimensionsFilter interface.
• The following constants corresponding to fields in the newly added market data stores have been added to the StoreFieldConstants class:

• The following constants corresponding to the names of the newly added market data stores have been added to the StoreConstants class:

• The ATenorAwareSchema class has been changed:
  • It is no longer conditional on the sensitivities cube being enabled (tha annotation @ConditionalOnSensitivityCubeEnabled has been removed).
  • It has been made abstract.
• The following bean has been added in the mr-application module. It can be replaced by defining a new bean, with the relevant @Qualifier and an @Primary annotation.

  Constant	Qualifier	Type	Details
  SP_QUALIFIER__DAILY_SENSI_CONFIG_STORES	“daily-sensi-config-stores”	List	Provides the list of market data topics.

• In the DataLoadControllerFileConfig class, the constants corresponding to the new market data stores have been added to switch statements.
• The configuration and implementation classes for the current Market Data API have been marked as deprecated, to discourage new customizations from using them as a starting point.

​

Integration test changes