Updates since 6.0 pre-releases

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.

This page lists the changes between pre-releases and explains any changes required to migrate from these early releases to the stated version of Atoti Market Risk: Changelogs:

• Changes between 6.0.0-Beta and 6.0.0
• Changes between 6.0.0-M2 and Beta
• Changes between 6.0.0-M1 and M2

Migration notes:

• Migrate from 6.0.0-Beta to 6.0.0
• Migrate from 6.0.0-M2 to Beta
• Migrate from 6.0.0-M1 to M2

​

Changes since 6.0.0-beta

​

Added

Issue Key	Details
MR-1956	The Atoti Limits auto-configuration dependency has been added to the mr-application pom.xml to make it easier for projects using the two products together. To include the dependency, run Maven with the limits profile, i.e. mvn <command> -P limits.
MR-2101	The Scenario Set default filter is now configurable.

​

Changed

Issue Key	Details
MR-1766	Sensitivity input files in reference data now use scalar format and this is referred to in the documentation.
MR-1953	The APM dependency atoti-server-apm-starter has been added to mr-application/pom.xml and replaces the dependency apm in market-risk\pom.xml.
MR-1977	Added support for loading data from Azure. This necessitated a change in the application properties. Instead of one dlc Spring profile there are now two profiles: dlc-local-csv (default) and dlc-azure-csv.
MR-2050	Updates to supported adjustments to improve UI interactions.
MR-2059	Upgraded Sign-Off API and Adjustments Services versions, to provide compatibility with Sign-Off 6.0.
MR-2086	Scenario Index is now used as a measure instead of a hierarchy.
MR-2089	Removed *_adjusted measures for cube-level adjustments and modified configuration of initial measures if sign-off features are enabled.
MR-2092	The functionality previously provided by Doctor Pivot is now available through Atoti Admin UI in the Measure dependencies tab. The Doctor Pivot app no longer exists.
MR-2124	Update to the full released version of Data Connectors 5.0.
MR-2089	Removed *_adjusted measures for cube-level adjustments and modified configuration of initial measures if sign-off features are enabled.
MR-2129	Reusable column calculators are now published as beans that can be used in DLC properties.
MR-2136	Use a GetByKey query instead of a ListQuery to retrieve cube-level adjustments

| MR-2089 | Removed *_adjusted measures for cube-level adjustments and modified configuration of initial measures if sign-off features are enabled. |

Issue Key	Details
MR-2140	Removed the jwt.properties and reporting.properties files. The properties from jwt.properties are now in the main application.yaml file.

​

Fixed

Issue Key	Details
MR-2024	Data Connectors 5.0: The What-If file upload service FileUploadWhatIfRestfulService is now correctly handled by Data Connectors.
MR-2037	Regex file patterns are again supported for data loading.
MR-2103	Updated store field types to prevent a DLC log message at startup referring to multiple parser keys.
MR-2110	Removed final modifier on methods in VaRMetricParametersAndNames allowing extensions of the class to change the naming for any measure.
MR-2123	Added runtime dependency required by DEE.
MR-2125	Resolved startup failures that occur when setting dlc.enabled=false. Specifically, the InitialDataLoadConfig now requires this property set to true.
MR-2139	Rewrote filtering of DrillUpBasedOnUnderlying to correctly process slicing hierarchies.
MR-2147	For Correlation sensitivities, PnL Explain formula configuration was taken into account instead of Taylor VaR.

​

Fixed issues introduced in 6.0.0-beta

Issue Key	Details
MR-2098	Tuple publishers used for loading summary data into the main cubes no longer define their own file format, simplifying customization using the new DLC APIs.

​

Migrate to 6.0.0

Upgrading from version 6.0.0-beta, see Atoti Market Risk 6.0 Release Notes. Atoti Market Risk uses Atoti Server 6.1.5 and Atoti UI 5.2.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.

​

Breaking Changes

• Removed datastore constant : DatastoreConstants.STORE_DATE_FIELD_FORMAT has been removed. ILiteralType.LOCAL_DATE should be used instead.
• TRADE_KEY for PNL table: The value of the TRADE_KEY column of the PNL table for summary data is now the concatenation of “Book#VaR Inclusion#PLDriver” to avoid collision on the PLDriver field.
• Data Connectors 5.0.1: Update to the full released version of Data Connectors 5.0.1 This version has some breaking changes from the milestone version previously released. For details on the changes between the milestone and the final release, see Migrate from 5.0.0-M2 to 5.0.0.
• DLC supports UNLOAD command: The DLC supports now the UNLOAD command. On the same time a cleanup has been done on the related Spring configuration files to provide a clearer architecture.
• Removed file format details from tuple publisher: The MultipleStoreTuplePublisher no longer contains methods related to file columns and column calculators.
• Cube-level adjustments: Measures with the suffix _Adjusted have been removed. The configuration of the initial measures for which cube-level adjustments are now modified to take into account the add-on values, and new measures with the suffix Add-on have been created to display those add-on values. For details, see Cube-level adjustments.
• Removed properties files : jwt.properties has been removed. The properties from this file have been moved to the main application.yaml file. reporting.properties has been removed. These properties were used for a feature that is no longer present in the application. Both files were previously imported in MarketRiskConfig with an @PropertySource annotation. This too has been removed.

​

Summary

• Re-enable Azure loading : Loading data from Azure Blob Storage is now supported again having migrated to DLC 5.0.
• DoctorPivot: The functionality previously provided by DoctorPivot is now available through Atoti Admin UI in the Measure dependencies tab. The DoctorPivot app no longer exists.
• Regex file patterns : Regex file patterns are again supported for data loading.

​

Data Connectors cleanup

Since the 6.0.0-Beta version, more Spring configuration files have been changed.

Click to see the list of removed classes since 6.0.0-Beta.

Module	Class name
mr-common-config	AdjustmentCsvSourceParametersProviderConfig
mr-common-config	CommonCsvSourceParametersProviderConfig
mr-common-config	CubeMarketDataCsvSourceParametersProviderConfig
mr-common-config	CurveMarketDataCsvSourceParametersProviderConfig
mr-common-config	FxRateMarketDataCsvSourceParametersProviderConfig
mr-common-config	SpotMarketDataCsvSourceParametersProviderConfig
mr-common-config	SurfaceMarketDataCsvSourceParametersProviderConfig
mr-pnl-config	PnLCsvSourceParametersProviderConfig
mr-pnl-config	PnLSummaryCsvSourceParametersProviderConfig
mr-sensi-config	BCCubeMarketDataCsvSourceParametersProviderConfig
mr-sensi-config	BCCurveMarketDataCsvSourceParametersProviderConfig
mr-sensi-config	BCFxRateMarketDataCsvSourceParametersProviderConfig
mr-sensi-config	BCSpotMarketDataCsvSourceParametersProviderConfig
mr-sensi-config	BCSurfaceMarketDataCsvSourceParametersProviderConfig
mr-sensi-config	DirectQuerySensiCsvSourceParametersProviderConfig
mr-sensi-config	SensiCsvSourceParametersProviderConfig
mr-sensi-config	SensiSummaryCsvSourceParametersProviderConfig
mr-sensi-config	SourceParametersProviderConfig
mr-sensi-config	SensiSummaryOnMainCsvSourceParametersProviderConfig
mr-var-config	VaRCsvSourceParametersProviderConfig
mr-var-config	VaRSummaryCsvSourceParametersProviderConfig

Certain Spring Configuration and classes have been renamed to follow a common naming pattern:

Click to see the full list of renamed classes.

Module	Old name	New Name
mr-common-config	AdjustmentSourceConfiguration	AdjustmentCsvSourceConfig
mr-common-config	CommonSourceConfiguration	CommonCsvSourceConfig
mr-common-config	MarketDataSourceConfig	MarketDataCsvSourceConfig
mr-pnl-config	PnLSourceConfiguration	PnLCsvSourceConfig
mr-sensi-config	SensiSourceConfiguration	SensiCsvSourceConfig
mr-sensi-config	SensiSummarySourceConfiguration	SensiSummaryCsvSourceConfig
mr-sensi-config	AllBackwardsCompatibleMarketDataSources	AllBackwardsCompatibleMarketDataCsvLoadConfig
mr-sensi-config	SensiCsvSourceParametersProviderConfig	SourceParametersProviderConfig
mr-var-config	VarSourceConfiguration	VarCsvSourceConfig

The topics are defined for csv file upload and unload queries in the following spring configuration regrouped in the *.topics packages:

Click to see the full list of new classes.

Module	Name	Kind	Package
mr-common-config	AdjustmentCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	AdjustmentUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	CommonStoreCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	CommonStoreUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	CubeMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	CubeMarketDataUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	CurveMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	CurveMarketDataUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	FxRateMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	FxRateMarketDataUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	SpotMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	SpotMarketDataUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-common-config	SurfaceMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.common.sources.topics
mr-common-config	SurfaceMarketDataUnloadConfig	Unload query	com.activeviam.mr.common.sources.topics
mr-pnl-config	PnlCsvLoadConfig	CSV file upload	com.activeviam.mr.pnl.sources.topics
mr-pnl-config	PnlCsvUnloadConfig	Unload query	com.activeviam.mr.pnl.sources.topics
mr-pnl-config	PnlSummaryCsvLoadConfig	CSV file upload	com.activeviam.mr.pnl.sources.topics
mr-pnl-config	PnlSummaryOnMainCsvLoadConfig	CSV file upload	com.activeviam.mr.pnl.sources.topics
mr-pnl-config	PnlSummaryUnloadConfig	Unload query	com.activeviam.mr.pnl.sources.topics
mr-sensi-config	BCCubeMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics.marketdata.backcompat
mr-sensi-config	BCCurveMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics.marketdata.backcompat
mr-sensi-config	BCFxRateMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics.marketdata.backcompat
mr-sensi-config	BCSpotMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics.marketdata.backcompat
mr-sensi-config	BCSurfaceMarketDataCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics.marketdata.backcompat
mr-sensi-config	DirectQuerySensiCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics
mr-sensi-config	SensiCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics
mr-sensi-config	SensiCsvUnloadConfig	Unload query	com.activeviam.mr.sensi.sources.topics
mr-sensi-config	SensiSummaryCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics
mr-sensi-config	SensiSummaryOnMainCsvLoadConfig	CSV file upload	com.activeviam.mr.sensi.sources.topics
mr-sensi-config	SensiSummaryUnloadConfig	Unload query	com.activeviam.mr.sensi.sources.topics
mr-var-config	VaRCsvLoadConfig	CSV file upload	com.activeviam.mr.var.sources.topics
mr-var-config	VaRUnloadConfig	Unload query	com.activeviam.mr.var.sources.topics
mr-var-config	VaRSummaryCsvLoadConfig	CSV file upload	com.activeviam.mr.var.sources.topics
mr-var-config	VaRSummaryOnMainCsvLoadConfig	CSV file upload	com.activeviam.mr.var.sources.topics
mr-var-config	VaRSummaryUnloadConfig	Unload query	com.activeviam.mr.var.sources.topics

In addition:

• The DLC aliases are now defined in the main application.yaml configuration file. The application-dlc.yaml file is removed.
• The file VaRSummaryCsvSourceConfig from the module mr-var-config is back.
• The following column calculators are published as beans, allowing them to be used in DLC properties. They can also be wired into other Spring beans by matching the bean name.

Calculator	Details	Bean name
TradeKey	Fills in the TradeKey column with the contents of the TradeId column.	tradeKeyFromTradeIdColumnCalculator
TradeKeyFromBookVarInclusionAndCurrency	Fills in the TradeKey column with the contents of the Book, VaR inclusion type and Ccy columns.	tradeKeyFromBookColumnCalculator
Ladder	Concatenates the two sensitivity ladder columns (Ladder1 and Ladder2) in pre-5.1 file formats into a single Ladder column.	ladderFieldMergerColumnCalculator

​

Input file formats

​

Modified

Modification	File	Field	Optional	Description
Changed field type	cubeAdjustments.csv	Value	No	Changed type from String to Double.
Changed field type	cubeAdjustments.csv	TaskId	No	Not a key field anymore.

​

Configuration

​

Configuration Properties

Properties added

mr-application module:

Property	Default value	Description
mr.whatif.file-upload.data.upload-source	local-csv-source	The local scv source used to perform the file upload. For security reason, the uploaded files must be inside the root-base-dir folder of the source.

mr-common-config module:

Property	Default value	Description
mr.data-load.initial-load-source		If set, the specified source will be used during the initial load.
mr.var.scenario-sets	Historical, Stressed	Defines the [Risk][Scenario Sets] hierarchy default value and the member order.

Properties modified

mr-application module:

Property Name	Comment	New Value	Old Value
mr.whatif.file-upload.data.whatif	Default value changed to be on line with the FRTB solution.	what-if	whatif

mr-common-config module:

Property Name	Comment	New Value	Old Value
mr.sparse-vectors.enable-for-sensi-stores	Updated the default value from [TradeSensitivities:Values, TradeSensitivities:Ladder] to TradeSensitivities:Ladder as the value field of the TradeSensitivities store is now a scalar value rather than a vector.	6.0	5.1
mr.common.file-patterns.market-data	Reverted to a regex pattern now that this is once again supported	regex:(?=.*MarketData)(?:(?!Sets).)+.csv	glob:*MarketData.csv

mr-sensi-config:

Property Name	Comment	New Value	Old Value
mr.sensi.file-patterns.gamma	Reverted to a regex pattern now that this is once again supported	regex:(?i).Gamma(?<!CrossGamma)Sensitivities..csv.*	glob:*GammaSensitivities.csv

Properties removed

mr-application module:

Property Name	Comment
mr.whatif.file-upload.data.input	The input directory is defined by the root-base-dir property of the upload-source source.

mr-sensi-config:

Property name	Comment
mr.sensi.file-patterns.corporate-action	Coporate action is divided in Dividend and Split ratio, the unified file is no longer supported.
mr.sensi.file-patterns.gamma	Reverted to a regex pattern now that this is once again supported

Properties modified

mr-sensi-config module:

File Name	Details
application-dlc-azure-csv.yaml	This file provides a default set of properties to configure a local CSV source with DLC.
application-dlc-local-csv.yaml	This file provides a default set of properties to configure an Azure source with DLC.

​

Datastores

​

Modified stores

Modification	Store	Field	Type	Description
Changed field type	CubeLevelAdjustments	Value	String -> Double	This field contains the adjusted value which should be a double in all cases.
Changed field configuration	CubeLevelAdjustments	TaskId. Not a key field anymore	String	The name of the task for which the adjustment was created.

​

Database

​

Modified tables

Modification	Table	Field	Type	Description
Changed field type	CUBE_LEVEL_ADJUSTMENTS	Value	String -> Double	This field contains the adjusted value which should be a double in all cases.
Changed field configuration	CUBE_LEVEL_ADJUSTMENTS	TaskId. Not a key field anymore	String	The name of the task for which the adjustment was created.
Changed value	PNL	TRADE_KEY	String	The value is now the concatenation of “Book#VaR Inclusion#PLDriver” to avoid collision on the PLDriver field.

​

Cube schema

​

Added

Cube	Dimension	Hierarchy	Levels
VaR-ES Cube	Risk	ScenarioIndex	[All, ScenarioIndex]
Sensitivity Cube	Risk	ScenarioIndex	[All, ScenarioIndex]

​

Measures

​

Added

Cube	Measure	Details
PLCube	DTD PnL Add-on	Measure present only if sign-off features are enabled. Manual add-ons for DTD PnL for cube-level adjustments (if any).
PLCube	PnL Notional	The notional of the trade, in the PLCube.
PLCube	PnL Notional Native	The notional of the trade, in the native currency, in the PLCube.
PLCube	PnL Original Notional	The notional at trade date, in the PLCube. If the trade is amended or partially terminated, the changed value will be sent to Notional.
PLCube	PnL Original Notional Native	The notional at trade date, in the native currency, in the PLCube.
Sensitivity Cube	__ScenarioIndex_Sensi	Hidden measure replacing the deleted [Risk].[ScenarioIndex] hierarchy. This measure is also defined within a bean with the qualifier SCENARIO_VECTOR_INDEX_SENSI.
Sensitivity Cube	Delta Add-on	Measure present only if sign-off features are enabled. Manual add-ons for Delta for cube-level adjustments (if any).
Sensitivity Cube	Gamma Add-on	Measure present only if sign-off features are enabled. Manual add-ons for Gamma for cube-level adjustments (if any).
Sensitivity Cube	PnL Explain Add-on	Measure present only if sign-off features are enabled. Manual add-ons for PnL Explain for cube-level adjustments (if any).
Sensitivity Cube	Vega Add-on	Measure present only if sign-off features are enabled. Manual add-ons for Vega for cube-level adjustments (if any).
Sensitivity Cube	Sensitivity Notional	The notional of the trade, in the Sensitivity cube. If the trade is amended or partially terminated, the changed value will be sent to Notional.
Sensitivity Cube	Sensitivity Notional Native	The notional of the trade, in the native currency, in the Sensitivity cube.
Sensitivity Cube	Sensitivity Original Notional	The notional at trade date, in the Sensitivity cube. If the trade is amended or partially terminated, the changed value will be sent to Notional.
Sensitivity Cube	Sensitivity Original Notional Native	The notional at trade date, in the native currency, in the Sensitivity cube.
VaR-ES Cube	__ScenarioIndex_VaR	Hidden measure replacing the deleted [Risk].[ScenarioIndex] hierarchy. This measure is also defined within a bean with the qualifier SCENARIO_VECTOR_INDEX_VAR.
VaR-ES Cube	ES Add-on	Measure present only if sign-off features are enabled. Manual add-ons for ES for cube-level adjustments (if any).
VaR-ES Cube	ETG Add-on	Measure present only if sign-off features are enabled. Manual add-ons for ETG for cube-level adjustments (if any).
VaR-ES Cube	VaE Add-on	Measure present only if sign-off features are enabled. Manual add-ons for VaE for cube-level adjustments (if any).
VaR-ES Cube	VaR Add-on	Measure present only if sign-off features are enabled. Manual add-ons for VaR for cube-level adjustments (if any).

​

Modified

All measures in the Value at Risk folder have moved to the Value At Risk folder, and those in Value at Earnings have moved to Value At Earnings.

Market data

Sensitivity- and risk-class-agnostic market data measures have been added, replacing the previously visible FX-converted and Native measures. For sensitivities that used a single type of market data (for example, CrossGamma only uses Spot market data), the PnL Explain chains have been updated to use those market data types directly. When a sensitivity uses multiple types of market data depending on risk class, such as Delta with Spot for equities and Curve for GIRR, the top level market data measures have been updated to behave as a location-based switcher between the available market data types. For details about the market data measures made available in Market Risk 6.0.0, the Market Data section covers the types of market data available in the Sensitivity Cube as well as which market data types are used for each sensitivity. A complete list of measures is also available.

​

Removed

Cube	Measure	Details
PLCube	DTD PnL_Adjusted	Manual add-ons for cube-level adjustments are now added directly to DTD PnL value (if any).
Sensitivity Cube	Delta_Adjusted	Manual add-ons for cube-level adjustments are now added directly to Delta value (if any).
Sensitivity Cube	Gamma_Adjusted	Manual add-ons for cube-level adjustments are now added directly to Gamma value (if any).
Sensitivity Cube	PnL Explain_Adjusted	Manual add-ons for cube-level adjustments are now added directly to PnL Explain value (if any).
Sensitivity Cube	Vega_Adjusted	Manual add-ons for cube-level adjustments are now added directly to Vega value (if any).
VaR-ES Cube	ES_Adjusted	Manual add-ons for cube-level adjustments are now added directly to ES value (if any).
VaR-ES Cube	VaR_Adjusted	Manual add-ons for cube-level adjustments are now added directly to VaR value (if any).

​

Context values

​

Added

Issue Key	Details
MR-1993	Adds a new caching mechanism to improve the performance of market data retrievals in DirectQuery.
MR-2045	Base stores and aggregate providers are now partitioned by AsOfDate. Properties have been added to configure the partitioning.

​

Updated dashboards

• The following dashboards have been updated to remove any usage of Cash-related measures:
  • Atoti MR & PL/How It Works/Computing Greek-Based PL
  • Atoti MR & PL/How It Works/How Taylor VaR is computed
  • Atoti MR & PL/How It Works/Taylor VaR using previous MD
  • Atoti MR & PL/Story-Telling Target Views/Backtesting Risk Factor View
  • Atoti MR & PL/Story-Telling Target Views/Investigate Tail for Taylor
  • Atoti MR & PL/Story-Telling Target Views/Taylor VaR Risk Factor View
  • MR/03 - PnL Explain/01 - PnL explain break-down

​

Other changes

See the Atoti Market Risk 6.0 Migration notes for details on:

• Removal of risk factor FX pair fallback logic
• Atoti Market Data dependencies
• DispatcherServlet configuration removal
• Schema rebuild
• Cube-level adjustments
• Sign-Off REST services
• Webservices
• Sorting order of beans

​

DLC Topic Aliases

The SignOffDigestStore topic has been renamed to CubeLevelAdjustments to reflect the new name of the store and this has been moved from the Attributes alias to a new SignOff alias to reflect the fact that not all projects use Sign-Off.