Migration notes from beta

Documentation Index

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Changes since 5.3.0-beta

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Added

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Changed

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Removed

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Fixed

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Migrate to 5.3.0

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Summary

• Java 17 upgrade : The Atoti Market Risk is now compatible with, and requires Java 17.
• 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.
• 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.

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Breaking Changes

• 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.
• A new getShiftFromMDFormula function has been added to the IPnLExplainFormulaProvider.
• The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.

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Properties

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Properties Added

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Beans

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Added

• CashShiftViewerChain
• CorrelationShiftViewerChain
• CrossGammaShiftViewerChain
• DeltaShiftViewerChain
• GammaShiftViewerChain
• VannaShiftViewerChain
• VegaShiftViewerChain
• VolgaShiftViewerChain

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

• VolgaTaylorParametersConfig

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Measures

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Added

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Other changes

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Java 17 upgrade

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

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Spring Security upgrade

Stop Using WebSecurityConfigurerAdapter

Use the new requestMatchers methods

Use the new securityMatchers methods

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

   @Autowired
   protected ApplicationContext context;

   @Autowired
   @Qualifier(BASIC_AUTH_BEAN_NAME)
   protected AuthenticationEntryPoint authenticationEntryPoint;

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

@Bean
@Order(1)
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();
        }

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IPnLExplainFormulaProvider consistency cleanup

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Removal of ActivePivotRemotingServicesConfig

• The import of ActivePivotRemotingServicesConfig has been removed from the configuration class MarketRiskConfig.
• The following antMatchers have been rmoved 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)

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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