Updates since 5.4 pre-releases

Documentation Index

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• Migrate from 5.4.0-BETA to BETA 2
• Migrate from 5.4.0-BETA 2 to 5.4.0

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Changes since 5.4.0-BETA 2

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Changed

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Removed

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Fixed

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Fixed issues introduced in 5.4.0-BETA 2

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Migrate to 5.4.0

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Breaking Changes

• 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 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• The ISensiRuleConfigurationService interface has been replaced by the IPnlExplainRuleConfigurationService and ITaylorVarRuleConfigurationService interfaces.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• The IInputSelectorAware interface has been replaced by the IPnlExplainInputSelectorAware and ITaylorVarInputSelectorAware interfaces.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.
• The market data measures configuration has been changed to fix issues introduced in the MR 5.4.0-BETA 2 release.
• The Market Data API code has been changed based on feedback on MR 5.4.0-BETA 2. For details about the design and implementation suggestions, see Market Data API.

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Summary

• 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).
• Market Data API improvements: The Market Data API has been modified based on feedback:
  • Retriever factories: Retriever factories have been split into containers holding table retrievers and coordinate translators associated with a name and factories leveraging these containers.
  • New interpolation type added: A new interpolation type (InterpolationMode.VOL_TO_VARIANCE) added to support a volatility-to-variance transformation applied to the input data and a variance-to-volatility transformation applied to the results of interpolation.
• Scalar sensitivities using the Market Data API: The scalar sensitivity measure chains have been migrated to use the new Market Data API:
  • New market data configuration properties: Properties have been added to configure the type of market data and the interpolation for each sensitivity.
  • New measures: Native interpolated market data measures are now created based on the market data configuration properties.
• 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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Input file formats

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Configuration

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Configuration properties

Properties added

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Property files

Files Modified

application.yaml

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Datastores

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Modified stores

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Database

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Modified tables

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Deleted tables

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Cube schema

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Measures

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Context values

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Other changes

• PnL Explain and Taylor VaR Formula Split

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Changes since 5.4.0-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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Fixed issues introduced in 5.4.0-BETA

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Migrate to 5.4.0-BETA 2

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Breaking Changes

• 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 classes names *CurrentDateMarketDataChain, *NextDateMarketDataChain and *PreviousDateMarketDataChain hae 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.

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Summary

• Input file formats changed for market data.
• Migration of market data measures to new Market Data API for scalar sensitivities.
• Removal of debug market data measures.
• New Dividend and Split Ratio stores.
• Maven dependencies.
• IMaturityConverterAware class.
• Theta: methods renamed.
• Market Data retriever names.
• Deletion of Market Data Cube.

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Input file formats

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Added

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New files

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Modified

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Removed

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Configuration

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Configuration properties

Properties added

Properties removed

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Property files

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Datastores

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Added store configurations

• The CorporateAction store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores DividendMarketData and SplitRatioMarketData should be used instead.
• The MarketData store has been deprecated. It is still used to handle dividends for vectorized sensitivities, but not for scalar sensitivities. The stores SpotMarketData, CurveMarketData, SurfaceMarketData, CubeMarketData and CorrelationMarketData should be used instead.
• The FXRates store has been deprecated. It is not used anymore, and will be removed. The store FxRateMarketData needs to be used instead.

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Modified store configurations

• The InstrumentMarketData store has been renamed to SpotMarketData.
• The CurveMarketDataStore store has been renamed to CurveMarketData.
• The SurfaceMarketDataStore store has been renamed to SurfaceMarketData.
• The CubeMarketDataStore store has been renamed to CubeMarketData.

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Marked for removal

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Database

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Cube schema

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Measures

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Added

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Removed

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Context values

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Removed

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Modules removed

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Other changes

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Maven dependencies

    <dependency>
        <groupId>com.activeviam.apps</groupId>
        <artifactId>market-data-api</artifactId>
        <version>${project.version}</version>
        <type>test-jar</type>
        <scope>test</scope>
    </dependency>

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IMaturityConverterAware class

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Theta: methods renamed

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Market Data retriever names