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.

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Migrate to 5.4.2

• Atoti Market Risk uses Atoti Server 6.0.18-sb3 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.

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Headline announcement

• Dependency upgrades : This release includes updates to Atoti Server (6.0.18-sb3) and DaSH (3.3.1-AS6.0). These updates contain a number of bug fixes and improvements. Please see the release notes for these products for further information.
• DirectQuery table validation timeout : The timeout for DirectQuery table validation queries can now be configured with a property.
• Cash market data measures : Market data measures for Cash now correctly return the FX rate instead of using the FX post-processor with dynamic aggregation.
• Missing FX rates : Attempting to retrieve FX rates for missing currencies no longer causes an error or causes queries to fail.

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Missing FX Rates

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Configuration Properties

Properties added

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Migrate to 5.4.1

• Atoti Market Risk uses Atoti Server 6.0.17-sb3 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.

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Headline announcement

• Upgrade to Atoti 6.0.17-sb3 : This picks up the latest bug fixes and optimizations from Atoti.
• Fix Swagger UI : Swagger UI is now accessible and documents the REST endpoints in Atoti Market Risk.
• Fix Logback file configuration : The mr-application/src/main/resources/logback-spring-file.xml configuration has been fixed and writes logs to a local file.
• Configurable parent child depth: You can now configure the maximum depth of parent-child hierarchies.
• Market Data chain changes: Market data chain has been changed: it is now required to add the sensitivity name and risk class levels in the views to display market data.
• Updated dashboards : A number of dashboards have been updated due to market data measure and context value changes. For details, see Updated dashboards.
• Compatibility with Atoti Sign-off 5.3: This version of Atoti Market Risk is compatible with Atoti Sign-off 5.3.
• Adjustment fixes: Cube level adjustments for the Sensitivity and VaR modules can now be executed and the adjusted values can be found in the UI by using the corresponding <measure>_adjusted measures. Deleting adjustments no longer fails when cubes are disabled.

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Configurable parent child depth

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Market Data chain changes

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xxx Current MD / xxx Previous MD

• Correlation Current MD
• Correlation Previous MD
• CrossGamma Current MD
• CrossGamma Current MD 2
• CrossGamma Previous MD
• CrossGamma Previous MD 2
• Delta Current MD
• Delta Previous MD
• Dividend Current
• Dividend Previous
• Gamma Current MD
• Gamma Previous MD
• Vanna Current MD
• Vanna Current MD 2
• Vanna Previous MD
• Vanna Previous MD 2
• Vega Current MD
• Vega Previous MD
• Volga Current MD
• Volga Previous MD

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Hidden measures

• Correlation Current MD Native
• Correlation Previous MD Native
• CrossGamma Current MD 2 Native
• CrossGamma Current MD Native
• CrossGamma Previous MD 2 Native
• CrossGamma Previous MD Native
• Delta Current MD Native
• Delta Previous MD Native
• Dividend Previous Native
• Dividend Current Native
• Gamma Current MD Native
• Gamma Previous MD Native
• Vanna Current MD 2 Native
• Vanna Current MD Native
• Vanna Previous MD 2 Native
• Vanna Previous MD Native
• Vega Current MD Native
• Vega Previous MD Native
• Volga Current MD Native
• Volga Previous MD Native

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Updated dashboards

• Atoti MR & PL/Story-Telling Target Views/Delta and Gamma P&L Explain
• Atoti MR & PL/Story-Telling Target Views/Vega P&L Explain
• MR/03 - PnL Explain/02 - Example for one trade
• MR/03 - PnL Explain/03 - Vega Market data

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Configuration

Configuration properties

Properties added

Properties changed

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Other changes

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Sign-Off 5.3 compatibility

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Migrate to 5.4.0

• Atoti Market Risk uses Atoti Server 6.0.14-sb3 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.

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Headline announcement

• Market Data API: The new Market Data API has been significantly updated with new features. It has also been moved to dedicated modules, the market-data-api library module and the market-data-api-spring-boot-starter module for easy auto-configuration. The changes include:
  • Improved design: The design of the Market Data API has been refined to better reflect real-life usage and remove unintended complexity. For details about the design and implementation suggestions, see Market Data API.
  • MarketDataDateShift enum: Changed the MarketDataDateShift enum value TODAY to CURRENT_DAY to clarify its meaning.
  • Interpolators: New interpolators are now accessible from the IInterpolationService:
    • InterpolationMode.LINEAR on two axes lets you perform linear interpolation on a 2D surface of values.
    • InterpolationMode.VOL_TO_VARIANCE on two axes lets you perform linear interpolation on a 2D surface of values, with a volatility-to-variance transformation applied to the input data and a variance-to-volatility transformation applied to the results of interpolation.
    • InterpolationMode.LINEAR on three axes lets you perform linear interpolation on a 3D cube of values.
  • Changed new Market Data API data model: The MarketDataSet and ID fields in the new Market Data API data model have been swapped around.
  • Migrated scalar measures: The scalar sensitivities market data measures have been migrated to the new Market Data API.
  • Support for Corporate Actions: Corporate actions (splits and dividends) are now supported using the new Market Data API.

• Atoti Server: Upgraded to Atoti Server 6.0.14-sb3.
• Spring Boot 3: Upgraded to Spring Boot 3.2.0, which uses Spring Framework 6.
• Hibernate: The application has been upgraded to Hibernate 6.3.1.Final.
• H2: The application has been upgraded to H2 2.2.224.
• Security configuration: Some classes related to security configuration have been moved from the mr-common-config project to the mr-application project.
• Spring Profiles: Profile-based configuration has been replaced with properties (backwards compatible). For details, see Profile-based configuration.
• Fluent post-processors: Post-processor metrics are now set up in a Fluent style. The levels and hierarchies use strong types. For more details, see Fluent post-processor setup.
• Specific alias classes for lambda generics: Lambda generics have been replaced with specific alias classes (e.g. MeasurePublisher for Consumer intended for publishing measures).
• Topic Aliases: The topic aliases used by the Data Load Controller (DLC) are now defined for each topic rather than in a single place during DLC initialization.
• New moneyness default value: The default value of the moneyness field in the sensitivities and market data has been changed from ATM to N/A.
• Catalog name: The catalog has been changed from MarketRiskAccelerator to MR.
• Combined cube metrics: The metrics of the combined cube are now defined in the class MRCombinedCubeMeasuresConfig, their definition in pure Copper is also provided but should not be used. For details, see The MRCombinedCube metrics.
• Property cleanup: The unused property SENSITIVITY_TYPE has been removed in the DynamicTenorsAndMaturitiesPostProcessor class.
• Added a new abstract tuple publisher: Introduced new abstract tuple publisher (ATableFormatTuplePublisher) for publishers where the file format does not match the table data model. For details, see New abstract tuple publisher.
• Admin UI: The Admin UI has been upgraded to version 5.1.5. For details, see Upgrade to Admin UI 5.1.5.
• PnL Explain with DirectQuery: PnL Explain is now working across the transition between DirectQuery and in-memory sensitivity cubes. For details, see PnL Explain with DirectQuery.
• UI Activation: An import of react-query is required when using mr-sdk. See UI activation for more details.
• Databricks: Added support for DirectQuery with Databricks.
• Removed Debug measures: The debug market data measures and subsequent classes have been removed from the product.
• Scalar sensitivities default: The default data model for sensitivities changed from vector model to scalar model.
• Vector sensitivities deprecated: The vector sensitivities data model is deprecated and planned for removal. If you need to switch from vectorized to scalar sensitivities, see Customizing Atoti Market Risk to use store-backed maturity conversion with scalar sensitivities.
• Market Data bookmark removed: The Risk Factor History bookmark under Atoti MR & PL/Story-Telling Target Views has been removed.
• Content server reset on start: The default behavior driven by the in-memory database properties in application.yaml has been changed to reset the content server on start with the bookmarks folder (mr-application/src/main/resources/mr-bookmarks).
• Added topic alias AllMarketData: All the market data tables are regrouped under the new topic alias AllMarketData, used for loading the input files.

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Breaking changes

• A number of classes named ...Helper(s) have been renamed to ...Utils for naming consistency with similar classes.
• All Utils and Constants classes, as well as other classes containing only static variables and/or methods, now have a private constructor.
• com.activeviam.mr.common.calculations.adjustments.constants.AdjustmentsConstants has been removed and the two constants from this class added to com.activeviam.mr.common.constants.AdjustmentsConstants.
• ASecurityConfig.PIVOT_USER_ROLES has changed from String[] to List<String>.
• The METRIC variable on a number of measure chain classes is now a static constant in place of a final instance variable.
• Fields on two What-If classes are now final, with corresponding getter/setter methods available.
• The lambda generic classes have been replaced by specific classes.
• Some classes related to security configuration have been moved from the mr-common-config project to the mr-application project.
• In the mr-common-config project, the class UnsecuredDatabaseServiceConfig has been renamed to WhatIfAwareUnsecuredDatabaseServiceConfig.
• The issue described in the ticket MR-1626 (trying to log in with a user that does not have admin rights throws a 403 HTTP error) has been fixed in the class MRSecurityFilterChainsConfig.
• The NoOpPostProcessor is defined in the Common Library, the package is now com.activeviam.accelerator.common.postprocessor.impl.
• The tuple publishers that target multiple stores, or stores with a data model distinct from the input file format now extend ATableFormatTuplePublisher.
• The unused property SENSITIVITY_TYPE has been removed in the DynamicTenorsAndMaturitiesPostProcessor class.
• The topic aliases used by the Data Load Controller (DLC) are now defined for each topic rather than in a single place during DLC initialization. The ChannelParametersHolder::addTopic now has a 4th parameter that holds the list of all topic aliases to which the topic belongs. The function DataLoadControllerConfig::registerTopicAliases computes the aliases based on this extension and shouldn’t be modified anymore. For details, see Step 3 in Data loading and unloading.
• Replaced the Atoti Market Risk ReferenceLevelLocationShift post-processor with the Common Library ReferenceLevelLocationShiftLight. Any usage of the post-processor will have to be replaced, as will any usage of the mr.metrics.rlshift.post-processor property referring to the old plugin key. The default value of the property has been changed to ReferenceLevelLocationShiftLight.
• The application has been upgraded to Hibernate 6.3.1.Final and H2 2.2.224. As a consequence, the content of the content server database has changed. See Migration of the content server database.
• The catalog name has been renamed from “MarketRiskAccelerator” to “MR”.
• The new configuration class ApplicationJwtConfig has been added to handle the configuration used for JWT authentication.
• The constant VALUE_CCY in StoreFieldConstants has been removed and replaced by the constant CCY.
• The MRCombinedCube metrics are now configured by beans with the qualifier SP_QUALIFIER__COMMON_MEASURE_BUILDERS and SP_QUALIFIER__COMMON_MEASURES.
• The interface IAsyncTask has been replaced by IRefreshTaskthat is more specific and used to perform refresh action upon DirectQuery refresh request.
• Vectorized sensitivities have been deprecated: scalar sensitivities should be used instead of vectorized sensitivities.
• The default data model for sensitivities changed from vector model to scalar model.
• The CorporateAction store has been removed for scalar sensitivities, and deprecated for vectorized sensitivities: it is still used to handle dividends for vectorized sensitivities, but is not used anymore for scalar sensitivities.
• Stock splits are handled in a new store: the SplitRatioMarketData store is used for the handling of stock split ratios both for vectorized and scalar sensitivities.
• New input files for Dividends and stock Split Ratios have been created.
• New Market Data input files: spot, curve, surface, cube, and correlation market data files have been created to replace the previous market data input file.
• The Market Data Cube has been deleted : Market data measures in the Sensitivities Cube need to be used to display market data instead of the Market Data Cube.
• The debug market data measures have been removed.
• The modules mr-market-data-lib and mr-market-data-config have been removed. They were used for the configuration of the Market Data Cube.
• In the ThetaCopper class, some methods have been renamed. The marketDataPostProcessor and scalarMarketDataPostProcessor methods have been renamed.
• The com.activeviam.accelerator.common.dates.IMaturityConverter interface has been removed from the module mr-common-lib and has been replaced by the interface com.activeviam.accelerator.common.dates.IMaturityConverter.
• Some methods have been added to the ISensitivityMarketDataMeasures interface and the following methods have been changed:
  • scalarNativeIntermediateInterpolatedDividend
  • scalarNativeIntermediateInterpolatedTheta
  • vectorNativeIntermediateInterpolatedTheta
• For the market data measure chains configuration: the class names *CurrentDateMarketDataChain, *NextDateMarketDataChain and *PreviousDateMarketDataChain have been changed to use the new Market Data API.
• The SQL scripts to create and load data for DirectQuery with Microsoft SQL Server and Snowflake have been modified to match the schema of the new Market Data API.
• Default content server startup settings changed to reset its content to the content in mr-application/src/main/resources/mr-bookmarks. No persistence upon restart with new default properties.
• The MaturityDate & TradeDate fields of the TradeAttributes store, and the MaturityDates and TenorDates fields of the TradeSensitivities store are now typed as Date instead of String. Code that requires these to be Strings will need updating.
• The constructor of the MraSimpleTenorConverter class in the mr-common-lib module has changed. In addition to a String-typed default for tenors and maturities, this class now also requires a Date-typed default. This change is due to the type change of the fields mentioned above.
• The properties beginning mr.sensi.rules.<sensitivity-type>... have been renamed mr.sensi.rules.<sensitivity-type>.pnl-explain. This is to accommodate the new mr.sensi.rules.<sensitivity-type>.taylor-var properties that allow Taylor VaR and PnL Explain calculations to be configured independently.
• The ISensiRuleConfigurationService interface has been replaced by the IPnlExplainRuleConfigurationService and ITaylorVarRuleConfigurationService interfaces.
• The ISensiRuleConfigurationServicAware interface has been removed.
• The method getVaRExplainFormula in IPnLExplainFormulaProvider has been renamed to getPnlExplainFormulaForShift as this method is now only used for PnL Explain calculations.
• The constructor for the PnLExplainFormulaProvider class now requires an IPnlExplainRuleConfigurationService instead of an ISensiRuleConfigurationService.
• The InputSelector class has been renamed to PnlExplainInputSelector. There is a corresponding TaylorVarInputSelector and they both implement IInputSelector. To autowire these beans you must now use the new qualifiers: SP_QUALIFIER__PNL_EXPLAIN_INPUT_SELECTOR and SP_QUALIFIER__TAYLOR_VAR_INPUT_SELECTOR.
• The IInputSelectorAware interface has been replaced by the IPnlExplainInputSelectorAware and ITaylorVarInputSelectorAware interfaces.
• The APnlVectorFromRiskSensiPostProcessor post-processor now implements the ITaylorVarFormulaProviderAware interface instead of the IPnLExplainFormulaProviderAware interface.
• Tenor Converter / Maturity Converter: When a parsing error occurs, a null value (for object based return functions) or a NaN value (for double return functions) is returned.

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Tenor Converter / Maturity Converter

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Profile-based configuration

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The MRCombinedCube metrics

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PnL Explain with DirectQuery

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Condition changes

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New Sources

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New qualifiers

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Configuration classes

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Files Modified

• Application configuration
• Measures configuration
• What-If configuration
• Security configuration
• Market Data configuration
• Interpolation configuration
• Preview Market Data property removal
• DirectQuery configuration

Application configuration

• ComponentVaRCalc
• CookieUtil
• DatastoreConstants
• DatastoreDescriptionUtils
• DimensionConstantsConfig
• DimensionUtils
• MeasureChainHelpers
• MeasureConstants
• SchemaConstants
• SignOffConstants
• StoreUtils
• WhatIfConstants
• WhatIfUtils

Measures configuration

• AESChain
• AETGChain
• AHDChain
• ASummaryESChain
• ASummaryETGChain
• ASummaryVaEChain
• ASummaryVaRChain
• ASummaryWESChain
• ASummaryWETGChain
• ASummaryWVaEChain
• ASummaryWVaRChain
• AVaEChain
• AVaRChain
• AWESChain
• AWETGChain
• AWVaEChain
• AWVaRChain

What-If configuration

Security configuration

• CommonWebSecurityFiltersConfig
• ApplicationJwtConfig
• GlobalSecurityConfig
• InMemoryAuthenticationSecurityConfig
• InMemoryUserDetailsManagerBuilder
• PasswordEncoderConfig

Preview Market Data property removal

DirectQuery configuration

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Migration of market data measures to new Market Data API for scalar sensitivities

• Introduced distinct measures for the previous date market data, rather than location-shifting the current date market data measures.
• Changed the native intermediate interpolated market data beans to generate market data retrieval measures based on the MarketDataProperties configuration properties, with a switching post-processor using the generated measures as underliers.
• Added a specific market data type (SensitivityMarketDataType.EQ_SPOT) for market data that requires multiplication by a split ratio for the next date market data measure.

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Input file formats

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New files

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Modified

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Logback Fix

1. In

<conversionRule conversionWord="thread" converterClass="com.activeviam.apm.logging.impl.APMThreadConverter"/>
<conversionRule conversionWord="user" converterClass="com.activeviam.apm.logging.impl.APMUserConverter"/>
<conversionRule conversionWord="instance" converterClass="com.activeviam.apm.logging.impl.APMInstanceConverter"/>

<conversionRule conversionWord="thread" converterClass="com.activeviam.apm.logging.impl.LogThreadConverter" />
<conversionRule conversionWord="user" converterClass="com.activeviam.apm.logging.impl.LogUserConverter" />
<conversionRule conversionWord="instance" converterClass="com.activeviam.apm.logging.impl.LogInstanceConverter" />

2. Delete <file>${custom.json.log.dir}/activepivot.log</file> on line 51.

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Swagger UI Fix

1. In the project root pom.xml file replace:

<springdoc.version>1.6.0</springdoc.version>

<springdoc.version>2.2.0</springdoc.version>

<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-starter-webmvc-ui</artifactId>
    <version>${springdoc.version}</version>
</dependency>

<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-ui</artifactId>
    <version>${springdoc.version}</version>
</dependency>

2. In the pom.xml file of the mr-application module replace:

<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-starter-webmvc-ui</artifactId>
</dependency>

<dependency>
    <groupId>org.springdoc</groupId>
    <artifactId>springdoc-openapi-ui</artifactId>
</dependency>