VaR

This post-processor computes the value at risk of a Double[] type metric.

import com.activeviam.accelerator.common.postprocessor.impl.VaR;

// ...
injectAll(ITailMeasureCalcAware.class, new TailMeasureCalc());

// ...
CopperMeasure pnlVector = Copper.sum("PnLVector");

CopperMeasure nop = VaR.measure(pnlVector, 99.0)
        .as("VaR")
        .publish(context);

The post-processor uses one bean :

• ITailMeasureCalc computes the worst PnL index that will be returned depending on the double array size.

If the confidence level is not set, the post-processor will use the IVaRConfidenceContextVal to retrieve it.

Here are the parameters of the measure function: