Updates since 6.0 pre-releases

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 DoctorPivot is now available through Atoti Admin UI in the Measure dependencies tab. The DoctorPivot 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.
Atoti Data Lineage: 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:

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.

Changes since 6.0.0-M2

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.

Changed

Issue Key	Details
MR-2099	Dashboards have been migrated to use Atoti UI’s Investigation feature instead of the story-telling feature, which has been decommissioned.
MR-2127	Update to Atoti 6.1.5 to pick up bug fixes.
MR-2132	Update to Data Connectors 5.0.1 to pick up bug fixes.

Fixed

Issue Key	Details
MR-2039	Fixed post-processors failing with horizontal distribution.
MR-2048	Differential measures didn’t work with non-fact VaR.
MR-2049	Liquidity Horizon: VaR was missing on the non-fact locations, such as multi-jurisdiction FX leg.
MR-2077	Risk class measures are now correctly created when the `mr.risk.risk-class-members` property is used.
MR-2079	Measures related to a fixed confidence level are now put in the folders related to fixed confidence levels
MR-2083	The trailing white space incorrectly added to measure names when an empty string is used for the suffix has been removed
MR-2087	During the initial data load (within the `InitialDataLoadConfig` class), market data is now loaded for all available dates, without taking the DLC scope into account. This allows date-shifted market data measures to be queried in a horizontal distribution context.
MR-2130	Ensure that all default load and unload topics can be overridden with configuration properties.

Fixed issues introduced in 6.0.0-M2

Issue Key	Details
MR-2078	Measures for which the folder configuration was incorrectly removed in version 6.0.0-M1 have been placed back into correct folders, and measures incorrectly made visible are now hidden.
MR-2080	Fixed bug preventing the creation of What-if configuration due to clashes with other beans of the same generic functional type.
MR-2082	Removed references of Liquidity Horizon from SummaryVarPublisher and VaR Summary export files following the fields move to the Scenario store.
MR-2134	`SplitRatioMarketData`, `CorrelationMarketData`, and `DividendMarketData` stores are no longer part of the migrated DirectQuery schema if sensitivity cubes are disabled.
MR-2135	`BookParentChild`, `CounterpartyParentChild`, and `LegalEntityParentChild` stores are no longer part of the migrated DirectQuery schema.

Migrate to 6.0.0-BETA

Upgrading from version 6.0.0-M2, see Atoti Market Risk 6.0.0-BETA Release Notes. Atoti Market Risk uses Atoti Server 6.1.4 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

Introduced aliases for Suppliers in What-if configuration : What-if configuration beans that were previously Supplier<T> are now provided with specific aliases (AddressSupplier for Supplier<Set<String>> and AuthenticatorSupplier for Supplier<AAuthenticator>. Custom beans created with the Supplier types will need to be updated to use the new aliases.
Updated MarketRiskConfig imports : CorporateActionMarketDataRetrievalConfig, DividendMarketDataRetrievalConfig, and CorrelationMarketDataRetrievalConfig are no longer imported in MarketRiskConfig. They are instead imported in SensiCompleteConfig and SensiSummaryConfig.

Summary

New DirectQuery Cache : This release includes a new DirectQuery caching mechanism that pulls slices of market data into memory when required to improve the performance of market data retrievals. This is a preview feature, disabled by default. See 6.0 Migration Notes for details.
Measure folders: Measures related to a fixed confidence level are now placed in the folders related to fixed confidence levels.
Data node market data: During the initial data load (within the InitialDataLoadConfig class), market data is now loaded for all available dates, without taking the DLC scope into account.
Removed Atoti Server patches: Removed the Atoti Server patches added for bugs present in Atoti Server 6.1.2.
Base stores and aggregate providers are now partitioned by AsOfDate: Added the new String property mr.partitioning.as-of-date.partition-type to configure the type of partitioning used for the field AsOfDate and the Integer property mr.partitioning.as-of-date.number-of-partitions to configure the number of partitions for the field AsOfDate when modulo partitioning is used. AsOfDate uses value partitioning by default.
Updated dashboards: Dashboards have been migrated to use Atoti UI’s Investigation feature instead of the story-telling feature, which has been decommissioned. For details, see Updated dashboards. For more information on the Investigation feature, see Investigations.

Configuration

Configuration properties

Properties added

mr-common-config module:

Property	Default value	Description
`mr.enable.preview.directquery-cache`	false	Set to true to enable a new DirectQuery cache that is available for preview. This caches slices of standalone tables in memory to improve the performance of getByKeyQueries. The number of slices held at any one time can be configured to optimize memory usage. Currently, this is only available for market data stores.
`directquery.cache.max-slice-count`		The maximum number of table slices that will be cached in memory for a DirectQuery application. This is a map of table name (from the internal Atoti schema rather than the database) to number of slices.
`directquery.cache.max-slice-count-default`	5	The maximum number of table slices that will be cached in memory for a DirectQuery application. This default is used for any tables not explicitly mentioned in the `directquery.cache.max-slice-count` property.
`mr.partitioning.as-of-date.partition-type`	value	Used to configure the type of partitioning used on the field AsOfDate for base stores and aggregate providers. Set this property to modulo if modulo partitioning should be used.
`mr.partitioning.as-of-date.number-of-partitions`	0	Used to configure the number of partitions on the field AsOfDate for base stores and aggregate providers when `mr.partitioning.as-of-date.partition-type` equals modulo. This property is ignored when `mr.partitioning.as-of-date.partition-type` equals value.

Properties modified

mr-sensi-config module:

Property Name	Comment	New Value	Old Value
`mr.sign-off.sensi.sensi-cube-adjustments.adjustable-measures`	Updated the default value to add the PnL Explain measure.	`[Delta, Gamma, Vega, PnL Explain]`	`[Delta, Gamma, Vega]`

Measures

Confidence level-specific measures can now be found in the correct folders corresponding to the associated confidence level. The default implementation of methods in the interface IFixedConfidenceMeasures has been changed accordingly.

Other changes

Supported adjustments definitions

The Instrument Type level has been added to the SupportedAdjustmentDTO SupportedAdjustmentsPnLConfig.pnlCubeLevelAdjustment() and SupportedAdjustmentDTO SupportedAdjustmentsSensiConfig.sensiCubeLevelAdjustment().

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

Changes since 6.0.0-M1

Added

Issue Key	Details
MR-1859	Added new trade attributes Trade Source, Trade Status, and Original Notional.
MR-2025	Added the optional attribute LegId and the hierarchy Legs to the PLCube. Only available when the property `mr.pnl.enable.leg-id` is set to true.
MR-2051	Added feature to enable/disable Sign-Off REST services. This prevents the Sign-Off server from sending successful REST requests before the end of the initial load.

Changed

Issue Key	Details
MR-1861	Schema rebuilds now occur once a day, as opposed to every 30 minutes. This is now configurable with new properties (`mr.application.rebuild...`).
MR-1946	Data Connectors 5.0: Designed simplified source configuration.
MR-1973	When computing FX risk, the risk factor will no longer be considered half of a currency pair if it cannot be parsed as a full `XXX/YYY` pair. Cash sensitivities have been removed.
MR-1981	Data Connectors 5.0: Decoupled source configuration from CSV source.
MR-1982	SupportedAdjustment and AdjustmentExecution config classes have moved from `mr-pnl/sensi/var-config` modules to mr-application to make it easier to disable specific adjustments.
MR-1989	The LiquidityHorizon field has been moved from the TradePnL table to the Scenarios table. This way the Liquidity Horizon parameter is taken into account when computing VaR/Es metrics.
MR-1992	Atoti Market Data dependencies have the `provided` scope within Atoti Market Risk libraries. This allows projects to use their own compatible version of Atoti Market Data.
MR-2001	Improved the configuration of market data file formats with sensible defaults and explicit backwards compatibility options.
MR-2008	Changed the logic for cube-level adjustments.
MR-2018	Data Connectors 5.0: Removed service classes no longer needed.
MR-2019	Data Connectors 5.0: Created channel beans.
MR-2020	Data Connectors 5.0: Fixed column calculators.
MR-2021	Data Connectors 5.0: Fixed tuple publishers.
MR-2023	Data Connectors 5.0: Checked Initial Load sequence.
MR-2028	Upgraded to the latest version of What-if.
MR-2030	Data Connectors 5.0: Created aliases configuration.

Removed

Issue Key	Details
MR-1990	Removed the attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier from PnL stores, cubes and input files.

Fixed

Issue Key	Details
MR-2047	Taylor measures have moved from the folders `Value at Risk/Earnings` to `Value At Risk/Earnings` to match measures from the VaR-ES cube and ensure a consistent folder structure in the MR Combined Cube.

Migrate to 6.0.0-M2

Upgrading from version 6.0.0-M1, see Atoti Market Risk 6.0.0-M2 Release Notes. Atoti Market Risk uses Atoti Server 6.1.2 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

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

Atoti Market Data dependencies: The way Atoti Market Risk specifies the Atoti Market Data dependency has changed. For the full details, see Migration to Atoti Market Data.
Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
Rebuild schedule change: Previously the Atoti schemas would be rebuilt every 30 minutes. This has now changed to once a day, and we have added properties to configure this for your requirements.
Removed risk factor FX pair fallback logic: Removed logic that would default to using the risk factor as a base currency and the display currency as a counter currency when the risk factor did not contain a currency pair in the XXX/YYY format.
Removed Cash sensitivities: Cash sensitivities were dependent on risk factor FX pair fallback logic and have therefore been removed.
Adjustment Config classes moved: SupportedAdjustment and AdjustmentExecution config classes have moved from mr-pnl/sensi/var-config modules to mr-application to make it easier to disable specific adjustments.
Cube-level adjustments: The implementation of cube-level adjustments has been changed: now only add-ons are supported for cube-level adjustments, and the add-ons are aggregated. For details, see Cube-level adjustments.
Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API.
Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server.
Market data set changes: MarketDataSet is now a field on all base stores ensuring each fact is specifically associated to a set.
Liquidity Horizon: The parameter has moved to the Scenario table. See VaRTimePeriod context value for the behavior of the field.
Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube.

Summary

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

Market data file format configuration clean-up: Market data file formats now default to the Atoti Market Data 1.1.0 market data files, no longer requiring explicit file naming patterns to be declared. Backwards compatibility has been maintained by matching the configured file naming pattern to the deprecated file formats. For details, see Market data API data loading.
Measure chain changes related to Atoti Market Data: FX conversions and market data retrieval are now done through Atoti Market Data APIs, leading to several measure chain changes.
Data Connectors 5.0: This version of Atoti Market Risk uses Atoti Data Connectors 5.0.0, which has a completely reworked API. For details, see Data Connectors upgrade.
Removal of obsolete DispatcherServlet configuration classes: Removed a configuration class and two utility classes setting up a DispatcherServletRegistrationBean as a workaround to Spring Boot incompatibilities in previous versions of Atoti Server. For details, see DispatcherServlet configuration removal.
Removed fields from PnL Actual tables: The attributes RiskFactor, RiskFactorType,RiskFactorCcy, CurveType, RiskClass and Qualifier have been removed from the stores PnL and PnLBaseStore and the cubes PLCube and PL Summary cube. The input files PLCube.csv, PLActuals.csv, PLPCActuals.csv and SummaryPL.csv have been modified accordingly to remove the attributes. RiskFactor was a primary key. Please amend your input files accordingly to avoid primary key collisions.
Liquidity Horizon: The Liquidity Horizon parameter is now taken into account when computing VaR/Es metrics. To achieve this, the parameter has been moved to the Scenario table.

Input file formats

Modified

Modification	File	Field	Optional	Description
Added field	PLActuals.csv	LegId	Yes	Leg Ids under a single Trade Id to enable sending in trades with multiple legs. Only available when the property `mr.pnl.enable.leg-id` is set to true
Added field	PLPCActuals.csv	LegId	Yes	Leg Ids under a single Trade Id to enable sending in trades with multiple legs. Only available when the property `mr.pnl.enable.leg-id` is set to true.
Added field	TradeAttributes.csv	TradeSource	No	Identifier of the source system the trade was executed in.
Added field	TradeAttributes.csv	TradeStatus	No	Status representing the step in the trade lifecycle.
Added field	TradeAttributes.csv	OriginalNotional	No	Represents the notional at trade date.
Added field	VaR-ES Cube.csv	TradeSource	No	Identifier of the source system the trade was executed in.
Added field	VaR-ES Cube.csv	TradeStatus	No	Status representing the step in the trade lifecycle.
Added field	Sensitivity Cube.csv	TradeSource	No	Identifier of the source system the trade was executed in.
Added field	Sensitivity Cube.csv	TradeStatus	No	Status representing the step in the trade lifecycle.
Added field	PLCube.csv	TradeSource	No	Identifier of the source system the trade was executed in.
Added field	PLCube.csv	TradeStatus	No	Status representing the step in the trade lifecycle.
Added field	Scenarios.csv	Liquidity Horizon	Yes	The liquidity horizon corresponding to the depicted scenario. It has been moved from the main VaR-ES store.
Removed field	SummaryVaR.csv	Liquidity Horizon	Yes	The liquidity horizon has moved to the Scenarios file.
Removed field	TradePnL.csv	Liquidity Horizon	Yes	The liquidity horizon has moved to the Scenarios file.
Removed field	VaR-ESCube.csv	Liquidity Horizon	Yes	The liquidity horizon has moved to the Scenarios file.
Removed field	cubeAdjustments.csv	Digest		The location digest is no longer used for cube-level adjustments.
Changed meaning of field	cubeAdjustments.csv	Id	No	The value of this field is now equal to the value of the adjustment source field in the base store, and not to the adjustment execution ID, like before.
Removed field	PLActuals.csv	RiskFactor	No	This field is no longer required.
Removed field	PLActuals.csv	RiskClass	No	This field is no longer required.
Removed field	PLCube.csv	RiskFactor	No	This field is no longer required.
Removed field	PLCube.csv	RiskFactorType	No	This field is no longer required.
Removed field	PLCube.csv	RiskFactorCcy	No	This field is no longer required.
Removed field	PLCube.csv	CurveType	No	This field is no longer required.
Removed field	PLCube.csv	Qualifier	No	This field is no longer required.
Removed field	PLCube.csv	RiskClass	No	This field is no longer required.
Removed field	PLPCActuals.csv	RiskFactorId	No	This field is no longer required.
Removed field	PLPCActuals.csv	RiskClass	No	This field is no longer required.
Removed field	Summary PL.csv	RiskFactor	No	This field is no longer required.
Removed field	Summary PL.csv	RiskClass	No	This field is no longer required.

Configuration

Configuration properties

Properties added

mr-application module:

Property	Default value	Description
`mr.application.rebuild.initial-delay`	1440	The delay (in minutes) between the application start up and the first rebuild of the Atoti schemas.
`mr.application.rebuild.interval`	1440	After the first rebuild of the Atoti schemas (determined by the initial-delay), this is the interval (in minutes) between ensuing rebuilds.

mr-common-config module:

Property	Default value	Description
`mr.cubes.levels.liquidity-horizon-level`	Liquidity Horizon@Liquidity Horizons@Risk	The level that contains the liquidity horizon related to the current scenario.

mr-pnl-config module:

Property	Default value	Description
`mr.pnl.enable.leg-id`	false	When true, this adds the hierarchy Legs with the level LegId to the Booking dimension. LegId is an optional field, which can be added to the PLActuals.csv and PLPCActuals.csv input files.

Properties modified

mr-common-config module:

Property Name	Comment	New Value	Old Value
`mr.common.file-patterns.spot-market-data`	Added a default value to this pattern, matching the value previously defined in `application.yaml`. Setting the pattern to `regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$` enables backwards-compatible data loading.	`glob:*Spot_Market_Data.csv`	None.
`mr.common.file-patterns.curve-market-data`	Added a default value to this pattern, matching the value previously defined in `application.yaml`. Setting the pattern to `regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$` enables backwards-compatible data loading.	`glob:*Curve_Market_Data.csv`	None.
`mr.common.file-patterns.fx-rate-market-data`	Added a default value to this pattern, matching the value previously defined in `application.yaml`. Setting the pattern to `glob:*FXRates.csv` enables backwards-compatible data loading.	`glob:*FX_Rate_Market_Data.csv`	None.
`mr.common.file-patterns.surface-market-data`	Added a default value to this pattern, matching the value previously defined in `application.yaml`. Setting the pattern to `regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$` enables backwards-compatible data loading.	`glob:*Surface_Market_Data.csv`	None.
`mr.common.file-patterns.cube-market-data`	Added a default value to this pattern, matching the value previously defined in `application.yaml`. Setting the pattern to `regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$` enables backwards-compatible data loading.	`glob:*Cube_Market_Data.csv`	None.
`mr.data-load.format`	Updated the default value to the the current release.	6.0	5.1

Market data properties (e.g. mr.sensi.market-data.vega.any.custom.interest-rate-risk.market-data-type=cube) have been updated to reject incorrect (or unsupported) configuration:

`market-data-type`	`interpolate`	`interpolation-mode`	Details
`Spot`	Hardcoded to false.	None.	Single value spot prices cannot be interpolated.
`FX Spot`	Hardcoded to false.	None.	Single value FX rates cannot be interpolated.
`Split Ratio`	N/A.	N/A.	No properties are available for the `Split Ratio` measures.
`Cube`	Hardcoded to false.	None.	Mathematically possible, but unsupported by our API.
`Correlation`	Hardcoded to false.	None.	A correlation value cannot be interpolated.
`Dividend`	Hardcoded to false.	None.	Dividend amounts cannot be interpolated.
`Theta`	N/A.	N/A.	As a function of the time to maturity, `Theta` cannot be interpolated.

mr-pnl-config module:

Property Name	Comment	New Value	Old Value
`mr.sign-off.pnl.pnl-cube-adjustments.hierarchies-to-exclude`	Default value changed.	`Date@Dates,Sign-off Status@Sign-off,DayToDay@Dates`	`Date@Dates,Sign-off Status@Sign-off,Types@PnL,DayToDay@Dates`

mr-sensi-config module:

Property Name	Comment	New Value	Old Value
`mr.sensi.file-patterns.market-data`	Updated the default pattern to correctly pick up `MarketData.csv` but not `MarketDataSets.csv`.	`regex:^(?=.*MarketData)(?:(?!Sets).)+.csv$`	`regex:^(?i).MarketData(?<!MarketDataSets)..csv.*$`

mr-var-config module:

Property Name	Comment	New Value	Old Value
`mr.sign-off.var.var-cube-adjustments.hierarchies-to-exclude`	Default value changed.	`Date@Dates,Quantiles@Quantiles,RoundingMethods@Rounding,Sign-off Status@Sign-off,MarketShiftDate@Dates,displayCurrency@Currencies,DayToDay@Dates`	`Date@Dates,Quantiles@Quantiles,RoundingMethods@Rounding,Scenario Sets@Risk,Sign-off Status@Sign-off,CalculationIds@Risk,MarketShiftDate@Dates,displayCurrency@Currencies,DayToDay@Dates`

Properties removed

mr-common-config

Property Name	Comment
`mr.sensi.rules.cash`	All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.
`mr.sensi.market-data.cash`	All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.
`mr.data-load.csv.buffer-size`	Replaced by the Data Connectors API property `dlc.csv.local.sources.[Source Name].source-properties.buffer-size`.
`mr.data-load.csv.dataset`	Replaced by the Data Connectors API property `dlc.csv.local.sources.[Source Name].root-base-dir`.
`mr.data-load.csv.lines-to-skip`	Replaced by the Data Connectors API properties associated to the topic with the class `CsvParserDescription`.
`mr.data-load.csv.parser-threads`	Replaced by the Data Connectors API property `dlc.csv.local.sources.[Source Name].source-properties.parser-threads`.
`mr.data-load.csv.separator`	Replaced by the Data Connectors API properties associated to the topic with the class `CsvParserDescription`.
`mr.data-load.csv.synchronous-mode`	Replaced by the Data Connectors API property `dlc.csv.local.sources.[Source Name].source-properties.synchronous-mode`.
`mr.data-load.source`	The setup relies on the Data Connectors configuration.

mr-sensi-config

Property Name	Comment
`mr.sensi.file-patterns.cash`	All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.
`mr.sensi.types.cash`	All properties in this section have been removed as Cash sensitivities are no longer supported by Atoti Market Risk.

Properties files

Files added

File Name	Details
`application-databricks.yaml`	This file provides a default set of properties to run in DirectQuery mode using Databricks. This profile allows you to specify environment-specific properties, such as password or database, with environment variables. You can also edit the file with your specific property values.

Files modified

File Name	Details
`application.yaml`	DirectQuery properties have been removed from this properties file. These properties are now exclusively in the property file for the specific database: `application-databricks/mssql/snowflake.yaml`.
`application-mssql.yaml`	Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields.
`application-snowflake.yaml`	Environment-specific properties, such as username, password, schema, can now be specified with environment variables when using this profile. Additionally, schema validation is now enabled, and clustering is used for all base fields.

Datastores

Modified stores

Modification	Store	Field	Type	Description
Added field	PnL	LegId	String	Leg Ids under a single Trade Id to enable sending in trades that will have multiple legs under a single Trade Id. This is an optional field available when the property mr.pnl.enable.leg-id is set to true.
Added field	Trade Attributes	TradeSource	String	The identifier of the source system the trade was executed in.
Added field	Trade Attributes	TradeStatus	String	The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE.
Added field	Trade Attributes	OriginalNotional	Double	The notional at trade date.
Added field	BaseStore	TradeSource	String	The identifier of the source system the trade was executed in.
Added field	BaseStore	TradeStatus	String	The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE.
Added field	SensiBaseStore	TradeSource	String	The identifier of the source system the trade was executed in.
Added field	SensiBaseStore	TradeStatus	String	The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE.
Added field	PnLBaseStore	TradeSource	String	The identifier of the source system the trade was executed in.
Added field	PnLBaseStore	TradeStatus	String	The status representing the step in the trade lifecycle. If left blank, this field will default to LIVE.
Added field	Scenarios	LiquidityHorizon	Integer	The Liquidity Horizon in days. This field is optional.
Removed field	Trade PNL	LiquidityHorizon	Integer	The field has been moved to the Scenarios store.
Changed field name	DynamicMoneyness	TenorLabels -> TenorLabel	String	The label corresponding to the vertex of the risk factor, such as 3M, 5Y, and so on.
Renamed store	CubeLevelAdjustments	SignOffDigestStore -> CubeLevelAdjustments
Removed field	CubeLevelAdjustments	Digest	String	The location digest is no longer used for cube-level adjustments.
Changed field name	CubeLevelAdjustments	MandateId -> TaskId	String	The name of the task for which the adjustment was created.
Removed field	PnL	RiskFactor	String	This field is no longer required.
Removed field	PnL	RiskClass	String	This field is no longer required.
Removed field	PnLBaseStore	RiskFactor	String	This field is no longer required.
Removed field	PnLBaseStore	RiskFactorType	String	This field is no longer required.
Removed field	PnLBaseStore	RiskFactorCcy	String	This field is no longer required.
Removed field	PnLBaseStore	CurveType	String	This field is no longer required.
Removed field	PnLBaseStore	Qualifier	String	This field is no longer required.
Removed field	PnLBaseStore	RiskClass	String	This field is no longer required.

Database

Modified tables

Modification	Table	Field	Type	Description
Added field	TRADE_ATTRIBUTES	TRADE_SOURCE	String	Identifier of the source system the trade was executed in.
Added field	TRADE_ATTRIBUTES	TRADE_STATUS	String	Status representing the step in the trade lifecycle.
Added field	TRADE_ATTRIBUTES	ORIGINAL_NOTIONAL	Double	Represents the notional at trade date.
Added field	SCENARIOS	LIQUIDITY_HORIZON	Integer	The Liquidity Horizon in days. This field is optional.
Removed field	TRADEPNLS	LIQUIDITY_HORIZON	Integer	The field has been moved to the SCENARIOS table.
Removed field	TRADEPNLS_VECTOR	LIQUIDITY_HORIZON	Integer	The field has been moved to the SCENARIOS table.
Renamed table	CUBE_LEVEL_ADJUSTMENTS	SIGN_OFF_DIGEST_STORE -> CUBE_LEVEL_ADJUSTMENTS
Removed field	CUBE_LEVEL_ADJUSTMENTS	DIGEST	String	The location digest is no longer used for cube-level adjustments.
Changed field name	CUBE_LEVEL_ADJUSTMENTS	MANDATE_ID -> TASK_ID	String	The name of the task for which the adjustment was created.
Removed field	PNL	RISK_FACTOR	String	This field is no longer required. Please note this field was a primary key. Data must be modified accordingly to avoid primary key collisions.
Removed field	PNL	RISK_CLASS	String	This field is no longer required.

Cube schema

Added

Cube	Dimension	Hierarchy	Levels	Datastore fields	Details
PL Cube	Booking	Legs	LegId	LegId	This optional attribute was added to enable sending in trades that will have multiple legs under a single TradeId. Only available when the property `mr.pnl.enable.leg-id` is set to true.
All	TradeAttributes	TradeSources	TradeSource	TradeSource	Added to identify the source system the trade was executed in.
All	TradeAttributes	TradeStatuses	TradeStatus	TradeStatus	Added to analyse and break down the dtd pnl differences to find the components due to new trades, amended trades and cancelled trades.

Removed

Cube	Dimension	Hierarchy	Levels
PLCube	Risk	RiskFactors	[ALL, RiskFactor]
PLCube	Risk	RiskFactorTypes	[ALL, RiskFactorType]
PLCube	Risk	RiskFactorCurrencies	[ALL, RiskFactorCcy]
PLCube	Risk	CurveTypes	[ALL, CurveType]
PLCube	Risk	Qualifiers	[ALL, Qualifier]
PLCube	Risk	RiskClasses	[ALL, RiskClass]
PL Summary Cube	Risk	RiskFactors	[ALL, RiskFactor]
PL Summary Cube	Risk	RiskFactorTypes	[ALL, RiskFactorType]
PL Summary Cube	Risk	RiskFactorCurrencies	[ALL, RiskFactorCcy]
PL Summary Cube	Risk	CurveTypes	[ALL, CurveType]
PL Summary Cube	Risk	Qualifiers	[ALL, Qualifier]
PL Summary Cube	Risk	RiskClasses	[ALL, RiskClass]

Measures

Added

Cube	Measure	Details
VaR-ES Cube	Original Notional	The notional at trade date, in the VaR-ES cube. If the trade is amended or partially terminated, the changed value will be sent to `Notional`.
VaR-ES Cube	Original Notional Native	The notional at trade date, in the native currency, in the VaR-ES cube.

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

Removed

Cube	Measure	Details
Sensitivity Cube	Cash measures	All Cash measures have been removed without a replacement.

Context values

Added

Name	Details
VaRTimePeriod	The VaR time period context value works in conjunction with the Liquidity Horizon field.

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:

​Changes since 6.0.0-beta

​Added

​Changed

​Fixed

​Fixed issues introduced in 6.0.0-beta

​Migrate to 6.0.0

​Breaking Changes

​Summary

​Data Connectors cleanup

​Input file formats

​Modified

​Configuration

​Configuration Properties

Properties added

Properties modified

Properties removed

Properties modified

​Datastores

​Modified stores

​Database

​Modified tables

​Cube schema

​Added

​Measures

​Added

​Modified

Market data

​Removed

​Context values

​Added

​Updated dashboards

​Other changes

​DLC Topic Aliases

​Changes since 6.0.0-M2

​Added

​Changed

​Fixed

​Fixed issues introduced in 6.0.0-M2

​Migrate to 6.0.0-BETA

​Breaking Changes

​Summary

​Configuration

​Configuration properties

Properties added

Properties modified

​Measures

​Other changes

​Supported adjustments definitions

​Changes since 6.0.0-M1

​Added

​Changed

​Removed

​Fixed

​Migrate to 6.0.0-M2

​Breaking Changes

​Summary

​Input file formats

​Modified

​Configuration

​Configuration properties

Properties added

Properties modified

Properties removed

​Properties files

Files added

Files modified

​Datastores

​Modified stores

​Database

​Modified tables

​Cube schema

​Added

​Removed

​Measures

​Added

​Modified

Market data

​Removed

​Context values

​Added

Changes since 6.0.0-beta

Added

Changed

Fixed

Fixed issues introduced in 6.0.0-beta

Migrate to 6.0.0

Breaking Changes

Summary

Data Connectors cleanup

Input file formats

Modified

Configuration

Configuration Properties

Datastores

Modified stores

Database

Modified tables

Cube schema

Added

Measures

Added

Modified

Removed

Context values

Added

Updated dashboards

Other changes

DLC Topic Aliases

Changes since 6.0.0-M2

Added

Changed

Fixed

Fixed issues introduced in 6.0.0-M2

Migrate to 6.0.0-BETA

Breaking Changes

Summary

Configuration

Configuration properties

Measures

Other changes

Supported adjustments definitions

Changes since 6.0.0-M1

Added

Changed

Removed

Fixed

Migrate to 6.0.0-M2

Breaking Changes

Summary

Input file formats

Modified

Configuration

Configuration properties

Properties files

Datastores

Modified stores

Database

Modified tables

Cube schema

Added

Removed

Measures

Added

Modified

Removed

Context values

Added

Updated dashboards

Other changes

DLC Topic Aliases