A B C D E F G H I J K L M N O P Q R S T U V W Y

A

AAnalysisLevelsExpand<OutputType> - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Used in combination with an Analysis Hierarchy to expand a vector to show a value by row

AAnalysisLevelsExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

ABaseTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

ABaseTuplePublisher(IDatastore, String) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

AbsoluteSumAggregationFunction - Class in com.activeviam.frtb.core.agg.impl

Aggregation function that returns the sum of absolute values.

AbsoluteSumAggregationFunction() - Constructor for class com.activeviam.frtb.core.agg.impl.AbsoluteSumAggregationFunction

accumulate - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

ACR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

ACSVSourceConfig - Class in com.activeviam.frtb.ref.cfg.impl

ACSVSourceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

ACSVSourceConfig.ChannelParameters - Class in com.activeviam.frtb.ref.cfg.impl

Internal class to handle channel parameters.

actionsToGrantedRoles - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

activeMonitorGrantedAuthorities() - Static method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

The authorities of the sentinel technical user

activeMonitorGrantedAuthorities() - Static method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

The authorities of the sentinel technical user

ActiveMonitorSecurityConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration fragment for security.

ActiveMonitorSecurityConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig

ActiveMonitorSecurityConfig.DefaultSecurityConfigurer - Class in com.activeviam.frtb.ref.cfg.impl

ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.JwtSecurityConfigurer - Class in com.activeviam.frtb.ref.cfg.impl

ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.VersionSecurityConfig - Class in com.activeviam.frtb.ref.cfg.impl

ActiveMonitorServerConfig - Class in com.activeviam.frtb.ref.cfg.impl

ActiveMonitor application configuration This class imports the Spring configuration classes and defines additional beans.

ActiveMonitorServerConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorServerConfig

ActivePivotBranchPermissionsManagerConfig - Class in com.activeviam.frtb.ref.cfg.impl

ActivePivotBranchPermissionsManagerConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActivePivotBranchPermissionsManagerConfig

activePivotConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

activePivotConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

activePivotContentService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.LocalContentServiceConfig

activePivotContentService() - Method in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

Service used to store the ActivePivot descriptions and the entitlements (i.e.

ActivePivotSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

ActivePivotSecurityConfigurer() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

ACTUAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

ACTUAL_PL_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

ACTUAL_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

ACurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Abstract PostProcessor used to calculate the two branches of the curvature CVR (MAR21.5 (2)).

ACurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

ACurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

ACurvaturePublisher(PublisherContext, IParameterRetriever) - Constructor for class com.activeviam.frtb.ref.source.publishers.ACurvaturePublisher

Constructor

ACurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

ACurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

ADatastoreLookupOrganisationHierarchyMap - Class in com.activeviam.frtb.core.services.impl

Abstract class to facilitate implementation of IOrganisationHierarchyMap backed by a datastore structure similar to that used by a cube schema.

ADatastoreLookupOrganisationHierarchyMap(IDistributionAwareQueryRunner) - Constructor for class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

add(AggregatesMap.Key, double) - Method in class com.activeviam.frtb.core.calc.AggregatesMap

ADD_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

ADD_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

addChild(PCN) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

AddDatastorePublisher - Class in com.activeviam.frtb.ref.source.ds.publisher.impl

AddDatastorePublisher() - Constructor for class com.activeviam.frtb.ref.source.ds.publisher.impl.AddDatastorePublisher

addEntries(List<Map<String, Object>>) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.AddTuplesDSViewerDefinition

addEvent(IRecordReader, Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

This method is called when a record has been updated/removed/added.

addEvent(IRecordBlock<IRecordReader>, Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

Add events related to a set of records.

addEvent(IRecordReader, Set<String>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXStream

When a record in forex store is updated/added/removed, The set of related currencies (currency and targetCurrency) is published into the ActivePivot continuous query engine as real-time events.

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

ADDITIONAL_DEPENDENCY_MEASURES - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

additionalConditions(String) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter

addMdxEventFormatter(MessagingConfiguration, ActiveMonitorServiceConfiguration) - Method in class com.activeviam.frtb.ref.events.MdxMessagingConfiguration

We extend the default core configuration of velocity templates to inject custom tool to handle Mdx based Events.

addMonitors() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

[Optional] Registers a list of monitors within the monitor service.

addOptionality(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

addOptionalityFilter(ILocation, ICubeFilterBuilder) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

addPartitioningLevel(List<T>, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

addPartitioningLevels(Collection<T>, Collection<? extends ILevelInfo>) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

addResourceHandlers(ResourceHandlerRegistry) - Method in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

addRiskClassFilter(ILocation, ICubeFilterBuilder) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

addRiskClassSpecificFilter(ILocation, ICubeFilterBuilder) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

addRiskMeasureFilter(ILocation, ICubeFilterBuilder) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

addToRepositoryService() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

[Optional] Initial Load of Parameters.

AddTuplesDSViewerDefinition - Class in com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

AddTuplesDSViewerDefinition() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.AddTuplesDSViewerDefinition

AddTuplesDSViewerDefinition(String, List<String>, Collection<Map<String, Object>>, LocalDate, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.AddTuplesDSViewerDefinition

ADeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Abstract publisher for the Delta stores.

ADeltaPublisher(PublisherContext, boolean, IParameterRetriever, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.ADeltaPublisher

Constructor

ADictionariesHierarchy<T> - Class in com.activeviam.frtb.core.hierarchy.impl

Simple class for turning dictionaries into members of an analysis hierarchy.

ADictionariesHierarchy(IAnalysisHierarchyInfo, Class<T>) - Constructor for class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

ADistributionAwareQueryRunner - Class in com.activeviam.frtb.core.services.impl

ADistributionAwareQueryRunner(IActivePivot, boolean, IDatastore, WhatIfDistributedQueryUtils) - Constructor for class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

ADoubleSumsExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Abstract PostProcessor used to expand double Sums vector along Double Sums Hierarchies

ADoubleSumsExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

ADRCIMABaseTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

ADRCIMABaseTuplePublisher(IDatastore, String) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

AGENT_PATTERN - Static variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

agentService - Variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

The service that enables us to retrieve agents associated to a monitor

aggregate(boolean, Double, Double) - Method in class com.activeviam.frtb.core.agg.impl.AbsoluteSumAggregationFunction

aggregate(boolean, Object, Object) - Method in class com.activeviam.frtb.core.agg.impl.NonAggregateFunction

AGGREGATED_RISK_CHARGES_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

AggregatedCapitalCharge - Class in com.activeviam.frtb.core.postprocessor.combined.impl

AggregatedCapitalCharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

Constructor

aggregateNextEntry(IVector, Object) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

AGGREGATES_MAP_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

AGGREGATES_MAP_UNDLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

AGGREGATES_MAP_UNDLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

AGGREGATES_MAP_UNDLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

AggregatesMap - Class in com.activeviam.frtb.core.calc

AggregatesMap(int) - Constructor for class com.activeviam.frtb.core.calc.AggregatesMap

AggregatesMap.Key - Class in com.activeviam.frtb.core.calc

AggregatesMapLevelsPrefetcher(IMeasuresProvider, String...) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap.AggregatesMapLevelsPrefetcher

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

aggregationFunction - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

AIMASummaryRestService - Class in com.activeviam.frtb.ref.services.rest.impl

AIMASummaryRestService(IQueriesService) - Constructor for class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

AIncrementalMeasureAccrossLevel - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

AIncrementalMeasureAccrossLevel(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

AJwtSecurityConfigurer() - Constructor for class com.activeviam.frtb.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

AJwtSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

AlertWorkflowUnit - Class in com.activeviam.frtb.ref.workflows.units.impl

Basic workflow class to work on alerts.

AlertWorkflowUnit() - Constructor for class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

ALL_FIELDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

ALLMember - Static variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

ALookbackPostProcessor<OutputType,T> - Class in com.activeviam.frtb.core.postprocessor.lookback.impl

Abstract class to facilitate looking back over past values.

ALookbackPostProcessor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

alternativeRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

alterProperties(Properties, Environment) - Method in class com.activeviam.frtb.ref.persistence.impl.FRTBActiveMonitorDatasourceBuilder

AMaturityConverter - Class in com.activeviam.frtb.core.dates.impl

AMaturityConverter() - Constructor for class com.activeviam.frtb.core.dates.impl.AMaturityConverter

AMBER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

AMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Abstract base class with static methods for producing the descriptions of the measures and post-processors, that are common to all cubes defined in scope of the application.

AMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

ANALYSIS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

analysisLevels - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

ancestorLocation(ILocation, ILocation, IHierarchyInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

Get ancestor location along risk factor hierarchy up to level in original location

annotatedClasses - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

AParameterRetriever - Class in com.activeviam.frtb.core.parameter.impl

Base class for implementing IParameterRetriever and IUnfilteredParameterRetriever.

AParameterRetriever() - Constructor for class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

apConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

ActivePivotConfig spring configuration

apConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.EsToolConfig

ActivePivot spring configuration

apConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

ActivePivotConfig spring configuration

apConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

ActivePivot spring configuration

apConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

ActivePivot spring configuration

apConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.MonitorConfig

ActivePivot spring configuration

apContentServiceConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

apContentServiceConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBI18nConfig

apCSConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

ActivePivot content service spring configuration

apManagerInitPrerequisitePluginInjections() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

Extended plugin injections that are required before doing the startup of the ActivePivot manager.

apManagerInitPrerequisitePluginInjections() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Extended plugin injections that are required before doing the startup of the ActivePivot manager.

APostProcessorErrorHandler - Class in com.activeviam.frtb.core.services.impl

Abstract base class which manages the contexts for implementations of IPostProcessorErrorHandler.

APostProcessorErrorHandler() - Constructor for class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

APostProcessorErrorHandler.Context - Class in com.activeviam.frtb.core.services.impl

Class representing the post-processor computation context.

APP_ENV_PROPS_FILE_PATH_SYSPROP - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Optional system property to define the path of an application 'env' properties file.

APPLICATIONS - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

applications() - Method in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

applications - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

apply(String, Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.AsOfDateScopeToRemoveWhereConditionConverter

apply(String, Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter

apply(String, Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.ConfigurationConditionConverter

apply(String, Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.HistoricalConditionConverter

ApplyPV - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.

ApplyPV(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

ApplyPVDownShock - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.

ApplyPVDownShock(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

ApplyPVUpShock - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.

ApplyPVUpShock(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

ApplyScenarioOperator - Class in com.activeviam.frtb.core.formula.impl

ApplyScenarioOperator() - Constructor for class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

applyStress(double, double) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Applies the stress to the correlation value (rho or gamma).

applyStress(double, double) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

Applies the stress to the value of rho.

applyStress(double, double) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

Applies the stress to the value of gamma.

applyStress(double, double) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

Applies the stress to the correlation value (rho or gamma).

areUnderlyingCommoditiesIdentical(String, String, String, String, String, String, String) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

Checks if two commodities within a bucket are identical, based on the commodity name and delivery time.

ARiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho or gamma correlations to the double sums to produce the risk measure squared; then take square root.

ARiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

ARiskMeasureDoubleSums<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities using the aggregates map.

ARiskMeasureDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Prefetcher for the weighted sensitivities.

ARiskMeasureLinear<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho or gamma correlations to the double sums to produce the risk measure squared; then take square root.

ARiskMeasureLinear(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

ARiskPosition<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Abstract super class for post processors calculating the Risk Position measures.

ARiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

ARiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations.

ARiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

ARiskPositionLinear - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlations to the double sums to produce the risk measure squared; then take square root.

ARiskPositionLinear(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

ARiskWeight<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Abstract class for the Risk Weights PostProcessors.

ARiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

ARiskWeight.RiskWeightPostProcessorPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

The prefetcher specialized for this dynamic aggregation post-processor

AS_OF_DATE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

AS_OF_DATE - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The as of date property name ("asOfDate")

AS_OF_DATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

AS_OF_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

AS_OF_DATE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

AS_OF_DATE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

AS_OF_DATE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for As Of Dates.

AS_OF_DATE_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

PostProcessor configuration property with the as-of date level ("asOfDate").

ASecurityConfig - Class in com.activeviam.frtb.cfg.impl

Common security configuration.

ASecurityConfig() - Constructor for class com.activeviam.frtb.cfg.impl.ASecurityConfig

ASecurityConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Common security configuration.

ASecurityConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ASecurityConfig.AJwtSecurityConfigurer - Class in com.activeviam.frtb.cfg.impl

Configuration for JWT.

ASecurityConfig.AJwtSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

Configuration for JWT.

ASecurityConfig.AVersionSecurityConfigurer - Class in com.activeviam.frtb.cfg.impl

ASecurityConfig.AVersionSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

ASecurityConfig.AWebSecurityConfigurer - Class in com.activeviam.frtb.cfg.impl

Common configuration for HttpSecurity.

ASecurityConfig.AWebSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

Common configuration for HttpSecurity.

ASetStoreStream<S,T> - Class in com.activeviam.frtb.core.postprocessor.fxconversion.impl

A IStream that listens to changes in one store.

ASetStoreStream(IAggregatesContinuousQueryEngine, IMultiVersionActivePivot, IDatastore, String) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

Constructor.

ASetStoreStream(IAggregatesContinuousQueryEngine, IMultiVersionActivePivot) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

Constructor.

ASimpleFilteringDynamicAggregationPostProcessor<LeafType,OutputType> - Class in com.activeviam.frtb.core.postprocessor.impl

A convenience class to apply simple filtering to a dynamic aggregation post-processor.

ASimpleFilteringDynamicAggregationPostProcessor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringDynamicAggregationPostProcessor

ASimpleFilteringMinimumLevelsPostProcessor<OutputType> - Class in com.activeviam.frtb.core.postprocessor.impl

A convenience class combining both simple filtering and minimum levels post-processor.

ASimpleFilteringMinimumLevelsPostProcessor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

ASimpleFilteringMinimumLevelsPostProcessor.SimplePrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

asOf - Variable in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

asOf - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

asOfDataLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

asOfDataLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

asOfDateDictionaries - Variable in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

asOfDateHierarchy - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

asOfDateHierarchy - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

asOfDateLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

asOfDateLevel - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

asOfDateLevel - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability.Factory

asOfDateLevelDescription - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

asOfDateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

As Of Date

AsOfDateScopeToRemoveWhereConditionConverter() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.AsOfDateScopeToRemoveWhereConditionConverter

ASSET_CLASS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

ASSET_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

ATailMeasureCalc - Class in com.activeviam.frtb.ref.calc.ima.impl

Abstract base class for ITailMeasureCalc where: The VaR measure is the element in the sorted vector at position ATailMeasureCalc.getVaRRank(int, double) (with interpolation) The ES measure is average in the sorted vector of the first ATailMeasureCalc.getESRank(int, double) elements (with partial weighting in the last element).

ATailMeasureCalc(IPostProcessorErrorHandler) - Constructor for class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

ATradeBasePublisher - Class in com.activeviam.frtb.ref.source.publishers

Abstract publisher that commits to the TradeBase store

ATradeBasePublisher(PublisherContext, IParameterRetriever) - Constructor for class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

Constructor

ATTACHMENT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

ATTACHMENT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

authenticationEntryPoint - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

authenticationEntryPoint - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

authenticationManagerBean() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

authenticationManagerBean() - Method in class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig.DefaultSecurityConfigurer

authenticationManagerBean() - Method in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

authorityComparator() - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

Defines the comparator used by the ContextValueManager and the IJwtService.

authorityComparator() - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

Defines the comparator used by the ContextValueManager and the IJwtService.

autoStartNettyMessengerDef() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

AVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Abstract publisher for the Vega stores.

AVegaPublisher(PublisherContext, boolean, IParameterRetriever, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.AVegaPublisher

Constructor

average() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Mean of a vector contains the arithmetic average of its components.

AVersionSecurityConfigurer() - Constructor for class com.activeviam.frtb.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

AVersionSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

AWebSecurityConfigurer() - Constructor for class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

This constructor does not enable the logout URL

AWebSecurityConfigurer(String) - Constructor for class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

This constructor enables the logout URL

AWebSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

This constructor does not enable the logout URL

AWebSecurityConfigurer(String) - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

This constructor enables the logout URL

AWeightedSensitivitiesAggregatesMap<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of aggregated weighted sensitivities.

AWeightedSensitivitiesAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

AWeightedSensitivitiesAggregatesMap.AggregatesMapLevelsPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Prefetcher for the weighted sensitivities.

B

BACKTESTING_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

BackTestingLookbackContextVal - Class in com.activeviam.frtb.core.context.impl

BackTestingLookbackContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

BackTestingLookbackContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

BackTestingLookbackTranslator - Class in com.activeviam.frtb.core.context.impl

BackTestingLookbackTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

BASE_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BASE_CURRENCY - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

baseStore - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

baseStore - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

baseStoreFields - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

baseStores - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter

BaseStoresAsOfDateConditionConverter(String, Collection<String>) - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter

BASIC_AUTH_BEAN_NAME - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

basicAuthenticationEntryPoint() - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

Returns the default AuthenticationEntryPoint to use for the fallback basic HTTP authentication.

BASIS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BASIS_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

BASIS_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

BASIS_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

BASIS_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

BASIS_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

BASIS_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The basis level property name ("basisLevel")

BatchEventProcessExecutor - Class in com.activeviam.frtb.ref.workflows.batch.impl

Implementation of workflow process executor with batch capabilities.

BatchEventProcessExecutor(IWorkflowService) - Constructor for class com.activeviam.frtb.ref.workflows.batch.impl.BatchEventProcessExecutor

Constructor.

BatchWorkflowConfig - Class in com.activeviam.frtb.ref.workflows.batch.impl

Special Workflow configuration to activate batch processing for workflow executor supporting it.

BatchWorkflowConfig(String, String, String) - Constructor for class com.activeviam.frtb.ref.workflows.batch.impl.BatchWorkflowConfig

Full constructor.

BCBS - Static variable in class com.activeviam.frtb.core.constants.FRTBParameterSets

BLACKLIST_MESSAGE - Static variable in class com.activeviam.frtb.es.tool.rest.service.impl.FrtbEsToolRestService

BLACKLISTED_SUBSTRINGS - Variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

BOND - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

BOOK - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The book property name ("book")

BOOK - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BOOK - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

BOOK - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

BOOK_HIERARCHY_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The BookHierarchy Hierarchy property name ("bookHierarchy").

BOOK_HIERARCHY_STORE_DESK_MODEL - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHIES - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_BOOK - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_DESK - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_1 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_10 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_11 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_12 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_13 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_14 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_15 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_2 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_3 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_4 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_5 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_6 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_7 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_8 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_HIERARCHY_LEVEL_9 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_HIERARCHY_STORE_PLA_ZONE - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The Book Level property name ("bookLevel").

BOOK_PARENT_CHILD_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

BOOK_PARENT_CHILD_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

BOOK_PARENT_CHILD_STORE_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_CHILD - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_DESK_MODEL - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_FRTB_DESK - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_PARENT - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BOOK_PARENT_CHILD_STORE_PLA_ZONE - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

BookHierarchyBuilder - Class in com.activeviam.frtb.ref.parentchild.hierarchy.builders

The BookHierarchyBuilder is an instance of HierarchyBuilder that provides a way to make book node tuples to be stored in the "BookHierarchy" datastore.

BookHierarchyBuilder(LocalDate) - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

BookHierarchyListener - Class in com.activeviam.frtb.ref.parentchild.hierarchy.listeners

Listen for changes to DatastoreConfig.ConcreteDatastoreConfig#BookParentChildStoreDesc() and builds the data for DatastoreConfig.ConcreteDatastoreConfig#BookHierarchyStoreDesc().

BookHierarchyListener() - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.BookHierarchyListener

BookHierarchyStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the Book Hierarchy store.

bookHierarchyToBooks(LocalDate) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

bookLevel - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

bookLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

BookNodeBuilder - Class in com.activeviam.frtb.ref.parentchild.builders

The BookNodeBuilder is an instance of ParentChildNodeBuilder that provides a way to make book nodes.

BookNodeBuilder(LocalDate) - Constructor for class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

BookNodeTreeFilter - Class in com.activeviam.frtb.ref.parentchild.provider

The BookNodeTreeFilter is an instance of ParentChildNodeTreeFilter that provides various ways of filtering trees that map to the rows/columns in the DatastoreConfig.BOOK_PARENT_CHILD_STORE_NAME datastore.

BookNodeTreeFilter() - Constructor for class com.activeviam.frtb.ref.parentchild.provider.BookNodeTreeFilter

bookOrgHierarchy - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

BookParentChildDAO - Class in com.activeviam.frtb.ref.parentchild.provider

The BookParentChildDAO service is the main way for the Parent Child Service to access and change parent child data directly from the datastore.

BookParentChildDAO() - Constructor for class com.activeviam.frtb.ref.parentchild.provider.BookParentChildDAO

bookParentChildDAO - Variable in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

BookParentChildNode - Class in com.activeviam.frtb.ref.parentchild.nodes

The BookParentChildNode is an instance of ParentChildNode which provides a business model for use throughout the parent child service.

BookParentChildNode() - Constructor for class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

BookParentChildStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the Book Parent/Child store.

bookParentChildWhatIfSubmitter - Variable in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

BookParentChildWhatIfSubmitter - Class in com.activeviam.frtb.ref.parentchild.submitter

The BookParentChildWhatIfSubmitter service is the main way for the Parent Child Service to interact with and submit what-if submissions to the what-if engine.

BookParentChildWhatIfSubmitter() - Constructor for class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

bottomK(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Returns an iterator of a collection composed of the k smallest elements of the vector.

bottomKIndices(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Return the k indices of the k smallest elements of the vector sorted in ascending order.

branchPermissionsManager - Variable in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

branchPermissionsManager() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolActivePivotBranchPermissionsManagerConfig

TODO to change once we have the actual branch permissions for the project

branchPermissionsManager() - Method in class com.activeviam.frtb.ref.cfg.impl.ActivePivotBranchPermissionsManagerConfig

TODO to change once we have the actual branch permissions for the project

branchPermissionsManager - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

BUCKET - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The bucket property name ("bucket")

BUCKET - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

BUCKET_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

BUCKET_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

BUCKET_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

BUCKET_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.RiskChargeCalculations

BUCKET_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

BUCKET_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

BUCKET_INDEX - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

BUCKET_INDEX - Static variable in class com.activeviam.frtb.core.calc.RiskChargeCalculations

BUCKET_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The bucket level property name ("bucketLevel")

BUCKET_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

BUCKET_NUMBER - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BUCKET_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

BUCKET_X - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BUCKET_X - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

BUCKET_Y - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

BUCKET_Y - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

bucketIndices(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Load all the buckets from the datastore and assign each one an index.

bucketIndices(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

Load all the buckets from the datastore and assign each one an index.

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

bucketLevel(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

bucketLevel - Variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

bucketLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

bucketLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

bucketLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

bucketLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

bucketLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

build() - Method in class com.activeviam.frtb.es.tool.cfg.impl.InMemoryUserDetailsManagerBuilder

Builds the In-memory UserDetailsManager and returns it

build() - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.CompleteBuilder

Builds this monitor.

build() - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

Takes all previously declared fields from this builder and generates the node model.

build() - Method in class com.activeviam.frtb.ref.parentchild.builders.LegalEntityNodeBuilder

build() - Method in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

build() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

build() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

build() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.LegalEntityHierarchyBuilder

build() - Method in class com.activeviam.frtb.ref.persistence.impl.FRTBActiveMonitorDatasourceBuilder

build() - Method in class com.activeviam.frtb.security.impl.InMemoryUserDetailsManagerBuilder

Builds the In-memory UserDetailsManager and returns it

buildAggregatedMeasure(String, String, boolean, String, String, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

buildCache(Collection<LocalDate>) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

buildCaMeasuresProcessors(Properties, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildCapitalAllocationMeasuresProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildDifferentialMeasuresProcessors(Properties, String, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildDiscriminatorPaths() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

buildDiscriminatorPaths() - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

buildDRCChain(Properties, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

buildDRCEulerPostProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

buildDRCPostProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

buildDRCReferencePostProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

buildDRCScenarioExpandPostProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

buildIMAMeasureChain(Properties, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildIMCCMeasuresProcessors(Properties, String, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildIncrementalMeasuresProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildKey(String) - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

buildKey(String) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

buildLevels(BookParentChildNode, LocalDate, List<Object[]>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.BookHierarchyListener

buildLevels(LegalEntityParentChildNode, LocalDate, List<Object[]>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.LegalEntityHierarchyListener

buildLevels(PCN, LocalDate, List<Object[]>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

buildLevelsRecursively(BookParentChildNode, BookHierarchyBuilder, List<Object[]>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.BookHierarchyListener

buildLevelsRecursively(PCN, HB, List<Object[]>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

buildMatrixInterpolatedAndBaseTupleMaps(PublisherDataStructures, PublisherContext, IParameterRetriever, IMaturityConverter, IInterpolator) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Uses the Sensitivities, Option maturity, Residual maturity and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.

buildMatrixSensitivityAndCurrencyMaps(Collection<Object[]>, PublisherDataStructures, PublisherStoreIndexes, PublisherContext) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities, FRTBTupleKey-to-Option Maturities, FRTBTupleKey-to-Residual Maturities and FRTBTupleKey-to-Sensitivity Currency maps.

buildNode(IRecordReader) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.BookHierarchyListener

buildNode(IRecordReader) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.LegalEntityHierarchyListener

buildNode(IRecordReader) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

buildReferenceMeasuresProcessors(Properties) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildScenarioExpandMeasuresProcessors(Properties, String, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildSESMeasuresProcessors(Properties, String, String, String, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

buildSingleValueAndTradeBaseTuples(Collection<Object[]>, PublisherDataStructures, PublisherStoreIndexes, PublisherContext) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Fills in store tuples and TradeBase tuples without performing vectorisation or interpolation.

buildStorePermission(IDatastoreConfig) - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreRestStoresSecurityConfig

buildStorePermission(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreRestStoresSecurityConfig

buildTuple(List<Object>, int, int) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

buildVaRPostProcessors(Properties) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

Post-processed measures for calculating VaR

buildVectorInterpolatedAndBaseTupleCurvatureMaps(PublisherDataStructures, PublisherDataStructures, PublisherContext, IParameterRetriever) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

buildVectorInterpolatedAndBaseTupleMaps(PublisherDataStructures, PublisherContext, IParameterRetriever, IMaturityConverter, IInterpolator) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Uses the Sensitivities and Sensitivity Currencies to vectorise and interpolate tuples and fill in the interpolated tuple list and the trade base tuple list.

buildVectorSensitivityAndCurrencyMaps(Collection<Object[]>, PublisherDataStructures, PublisherStoreIndexes, PublisherContext) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Takes a collection of tuples and fills in the FRTBTupleKey-to-Sensitivities and FRTBTupleKey-to-Sensitivity Currency maps.

businessDay(LocalDate, IBusinessDayCalendar) - Method in interface com.activeviam.frtb.core.dates.IBusinessDayConvention

Rolls the input date to the appropriate business day.

businessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.BusinessDayFollowing

businessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.BusinessDayModifiedFollowing

businessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.BusinessDayModifiedPrevious

businessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.BusinessDayNoAdjustment

businessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.BusinessDayPrevious

BusinessDayFollowing - Class in com.activeviam.frtb.core.dates.impl

Implementation of the "following" business day convention

BusinessDayFollowing() - Constructor for class com.activeviam.frtb.core.dates.impl.BusinessDayFollowing

BusinessDayModifiedFollowing - Class in com.activeviam.frtb.core.dates.impl

Implementation of the "modified following" business day convention

BusinessDayModifiedFollowing() - Constructor for class com.activeviam.frtb.core.dates.impl.BusinessDayModifiedFollowing

BusinessDayModifiedPrevious - Class in com.activeviam.frtb.core.dates.impl

Implementation of the "modified previous" business day convention

BusinessDayModifiedPrevious() - Constructor for class com.activeviam.frtb.core.dates.impl.BusinessDayModifiedPrevious

BusinessDayNoAdjustment - Class in com.activeviam.frtb.core.dates.impl

Implementation of the "no adjustment" business day convention

BusinessDayNoAdjustment() - Constructor for class com.activeviam.frtb.core.dates.impl.BusinessDayNoAdjustment

BusinessDayPrevious - Class in com.activeviam.frtb.core.dates.impl

Implementation of the "previous" business day convention

BusinessDayPrevious() - Constructor for class com.activeviam.frtb.core.dates.impl.BusinessDayPrevious

C

CA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

CA_GA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

CA_SPOT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

cache - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

cache - Variable in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

cache - Variable in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

CACHE_MISS - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

CACHE_MISS - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

CACHED_NULL - Static variable in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

calculateAllocation(IVector, IVector) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

calculateAllocationES(IVector, IVector) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

calculateAllocationVaR(IVector, IVector) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

CALCULATED_MEMBER_ROLE_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

The name of the property which contains the role allowed to add new calculated members in the configuration service.

calculateDRC(double, double, double) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the Default Risk Charge (DRC) as per paragraph 155

calculateDRCRiskWeight(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the DRC risk weight as per BCBS 352 paragraph 152

calculateERBARiskWeightAdjusted(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String, String, String, double, double) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the ERBA risk weight adjusted for "senior" tranches as per BCBS 352 paragraph 161 - BCBS 374 paragraphs 68-69

calculateEuler(Double, Double) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

calculateGrossJTD(double, double, double) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the gross JTD value as per paragraph 142

calculateGrossJTDLongShort(double, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the gross JTD long/short values as per paragraph 142

calculateNbDays(String) - Static method in class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

Transforms a tenor into a number of days.

calculateNetJTD(double, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Calculates the Net JTD.

calculateNetJTD(double, double[], String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Calculates the Net JTD based on an initial value and a seniority-ranking-indexed Gross JTD array.

calculateObligorRiskWeight(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the obligor risk weight as per BCBS 352 paragraph 137

calculateOtherBucket(Map<String, Double>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

calculateRhoEquityDelta(String, double, double, double, double, double) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

calculateRhoGIRRvega(double, double, double, double, double, double) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

calculateRiskCharge(LocalDate, String, IVector, IVector, int) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

Calculate the Risk Charge by multiplying the double sums vector by the correlations vector and taking the square root.

calculateRiskChargeEuler(LocalDate, String, IVector, IVector, IVector, int) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

Calculate the (analytical) Euler Capital Allocation of the Risk Charge.

calculateRiskPosition(LocalDate, String, IVector, IVector, boolean) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

Calculate the Risk Position by multiplying the double sums vector by the correlations vector and taking the square root.

calculateRiskPositionEuler(LocalDate, String, IVector, IVector, IVector, boolean) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

Calculate the (analytical) Euler Capital Allocation of the Risk Position.

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Calculates the risk weight for the given location

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

Retrieves the risk weight for a location at the CSR NS risk class and Delta measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

Retrieves the risk weight for a location at the CSR NS risk class and Vega measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

Retrieves the risk weight for a location at the CSR Sec CTP risk class and Delta measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

Retrieves the risk weight for a location at the CSR Sec CTP risk class and Vega measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

Retrieves the risk weight for a location at the CSR Sec Non-CTP risk class and Delta measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

Retrieves the risk weight for a location at the CSR Sec Non-CTP risk class and Vega measure

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

calculateRiskWeight(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

calculateScalingFactor(String, LocalDate, String, IDatastoreVersion, IQueryCache, IParameterRetriever, IMaturityConverter) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the scaling factor (fractions of a year) as per paragraph 146

calculateSES(double, Double, Double, Map<String, Double>) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

calculateSES(double, double, double, Map<String, Double>) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

calculateSESEuler(double, Double, Double, Double, Double, Map<String, Double>, Map<String, Double>) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

calculateSumParts(Collection<Double>, String, String, double) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

calculateSumParts(Map<String, T>, Map<String, Object>, String, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

calculateSumParts(Map<String, Double>, Map<String, Object>, String, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

calculateVegaRiskWeight(Double, double) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

Calculates the vega risk weight to be applied for GIRR Vega

calculateWtS(double, double) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we calculate the Weighted to Short ratio (WtS) as per paragraph 154

calculators - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

CALookbackContextVal - Class in com.activeviam.frtb.core.context.impl

CALookbackContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.CALookbackContextVal

CALookbackContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.CALookbackContextVal

CALookbackTranslator - Class in com.activeviam.frtb.core.context.impl

CALookbackTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.CALookbackTranslator

canAct(String) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canCreate(IWhatIfDefinition) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canCreate(List<IWhatIfDefinition>) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canDelete(IWhatIfDefinition) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canDelete(List<IWhatIfDefinition>) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canDeleteBranch(String) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canExecute(IWhatIfSubmission) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canMerge(String) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canonicalDRCNonSecBucket(String) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

Convert the DRC bucket into a canonical value

canonicalEquityType(String) - Method in class com.activeviam.frtb.ref.source.publishers.MarketDataPublisher

Convert the Equity type into a canonical value.

canonicalise(String) - Static method in class com.activeviam.frtb.ref.source.colcalcs.RiskClassColumnCalculator

canUpdate(Object, IWhatIfDefinition) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

canUpdate(List<Object>, List<IWhatIfDefinition>) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

capCorrelation(double) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

CAPITAL_SURCHARGE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

CapitalSurcharge - Class in com.activeviam.frtb.core.postprocessor.combined.impl

CapitalSurcharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

Constructor

CapitalSurchargeMultiplier - Class in com.activeviam.frtb.core.postprocessor.combined.impl

CapitalSurchargeMultiplier(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

Constructor

CartesianProductIterator(ILocation) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator

caSummaryTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

CATALOG_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

OLAP server's catalog ID.

CATEGORY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

caTradeTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

ccy - Variable in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for the risk factor currency.

ccyLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

ccyLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

CDS - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

change - Variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

The point values

CHANGE_DATASTORE_SUBMISSION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

CHANGE_DATASTORE_SUBMISSION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

ChannelParameters(String, String, String) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

ChannelParameters(String, String, String, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter, List<? super IColumnCalculator<ILineReader>>) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

Constructor

ChannelParameters(String, String, String, String, Function<ACSVSourceConfig.ChannelParameters, ITuplePublisher<IFileInfo<Path>>>) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

ChannelParameters(String, String, String, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter, List<? super IColumnCalculator<ILineReader>>, Function<ACSVSourceConfig.ChannelParameters, ITuplePublisher<IFileInfo<Path>>>) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

ChannelParameters(String, String, String, String, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter, List<? super IColumnCalculator<ILineReader>>) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

Constructor

ChannelParameters(String, String, String, String, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter, List<? super IColumnCalculator<ILineReader>>, Function<ACSVSourceConfig.ChannelParameters, ITuplePublisher<IFileInfo<Path>>>) - Constructor for class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

checkAdditionalDependnecyMeasures(String) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

checkFilter(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

checkIfDrillInTypeMatches(JsonObject, String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

checkLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

CHILD - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

childLocation(ILocation, List<ILevelInfo>) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

childLocation(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

ChildParentWhatIfDefinition - Class in com.activeviam.frtb.ref.source.whatif.base.impl

This WhatIf definition is used by the Parent Child Service to iterate over stores that contain parent child like nodes and make changes to them.

ChildParentWhatIfDefinition(String, ICondition, List<String>, Map<ChildParentWhatIfDefinition.ParentChildKey, ParentChildNode<?>>, LocalDate, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition

This WhatIf definition is used by the Parent Child Service to iterate over stores that contain parent child like nodes and make changes to them.

ChildParentWhatIfDefinition.ParentChildKey - Class in com.activeviam.frtb.ref.source.whatif.base.impl

choiceMax(Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

clone() - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

clone() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

cloneAggregate(Double) - Method in class com.activeviam.frtb.core.agg.impl.AbsoluteSumAggregationFunction

cloneAggregate(Object) - Method in class com.activeviam.frtb.core.agg.impl.NonAggregateFunction

collectAdded(IRecordBlock<IRecordReader>, Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

collectDeleted(IRecordBlock<IRecordReader>, Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

collectUpdated(IRecordBlock<IRecordReader>, IRecordBlock<IRecordReader>, Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

COLUMN_INDEX - Static variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

com.activeviam.frtb.cfg.impl - package com.activeviam.frtb.cfg.impl

com.activeviam.frtb.core.agg.impl - package com.activeviam.frtb.core.agg.impl

com.activeviam.frtb.core.calc - package com.activeviam.frtb.core.calc

com.activeviam.frtb.core.calc.ima - package com.activeviam.frtb.core.calc.ima

com.activeviam.frtb.core.cfg.impl - package com.activeviam.frtb.core.cfg.impl

com.activeviam.frtb.core.cfg.interpolation - package com.activeviam.frtb.core.cfg.interpolation

com.activeviam.frtb.core.cfg.measures - package com.activeviam.frtb.core.cfg.measures

com.activeviam.frtb.core.cfg.ui - package com.activeviam.frtb.core.cfg.ui

com.activeviam.frtb.core.constants - package com.activeviam.frtb.core.constants

com.activeviam.frtb.core.context - package com.activeviam.frtb.core.context

com.activeviam.frtb.core.context.impl - package com.activeviam.frtb.core.context.impl

com.activeviam.frtb.core.dates - package com.activeviam.frtb.core.dates

com.activeviam.frtb.core.dates.impl - package com.activeviam.frtb.core.dates.impl

com.activeviam.frtb.core.format.impl - package com.activeviam.frtb.core.format.impl

com.activeviam.frtb.core.formula.impl - package com.activeviam.frtb.core.formula.impl

com.activeviam.frtb.core.hierarchy.impl - package com.activeviam.frtb.core.hierarchy.impl

com.activeviam.frtb.core.interpolation - package com.activeviam.frtb.core.interpolation

com.activeviam.frtb.core.interpolation.impl - package com.activeviam.frtb.core.interpolation.impl

com.activeviam.frtb.core.localDate - package com.activeviam.frtb.core.localDate

com.activeviam.frtb.core.parameter - package com.activeviam.frtb.core.parameter

com.activeviam.frtb.core.parameter.impl - package com.activeviam.frtb.core.parameter.impl

com.activeviam.frtb.core.postprocessor - package com.activeviam.frtb.core.postprocessor

com.activeviam.frtb.core.postprocessor.combined.impl - package com.activeviam.frtb.core.postprocessor.combined.impl

com.activeviam.frtb.core.postprocessor.drc.impl - package com.activeviam.frtb.core.postprocessor.drc.impl

com.activeviam.frtb.core.postprocessor.fxconversion.impl - package com.activeviam.frtb.core.postprocessor.fxconversion.impl

com.activeviam.frtb.core.postprocessor.ima.impl - package com.activeviam.frtb.core.postprocessor.ima.impl

com.activeviam.frtb.core.postprocessor.impl - package com.activeviam.frtb.core.postprocessor.impl

com.activeviam.frtb.core.postprocessor.lookback.impl - package com.activeviam.frtb.core.postprocessor.lookback.impl

com.activeviam.frtb.core.postprocessor.pl.impl - package com.activeviam.frtb.core.postprocessor.pl.impl

com.activeviam.frtb.core.postprocessor.sensitivities.impl - package com.activeviam.frtb.core.postprocessor.sensitivities.impl

com.activeviam.frtb.core.services - package com.activeviam.frtb.core.services

com.activeviam.frtb.core.services.impl - package com.activeviam.frtb.core.services.impl

com.activeviam.frtb.core.utils - package com.activeviam.frtb.core.utils

com.activeviam.frtb.core.vector.impl - package com.activeviam.frtb.core.vector.impl

com.activeviam.frtb.es.tool.cfg.impl - package com.activeviam.frtb.es.tool.cfg.impl

com.activeviam.frtb.es.tool.context - package com.activeviam.frtb.es.tool.context

com.activeviam.frtb.es.tool.context.impl - package com.activeviam.frtb.es.tool.context.impl

com.activeviam.frtb.es.tool.format.impl - package com.activeviam.frtb.es.tool.format.impl

com.activeviam.frtb.es.tool.localdate - package com.activeviam.frtb.es.tool.localdate

com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl - package com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl

com.activeviam.frtb.es.tool.rest.service - package com.activeviam.frtb.es.tool.rest.service

com.activeviam.frtb.es.tool.rest.service.impl - package com.activeviam.frtb.es.tool.rest.service.impl

com.activeviam.frtb.ref.calc.ima.impl - package com.activeviam.frtb.ref.calc.ima.impl

com.activeviam.frtb.ref.cfg.constants - package com.activeviam.frtb.ref.cfg.constants

com.activeviam.frtb.ref.cfg.impl - package com.activeviam.frtb.ref.cfg.impl

com.activeviam.frtb.ref.cfg.measures - package com.activeviam.frtb.ref.cfg.measures

com.activeviam.frtb.ref.cfg.measures.impl - package com.activeviam.frtb.ref.cfg.measures.impl

com.activeviam.frtb.ref.cfg.stores.constants - package com.activeviam.frtb.ref.cfg.stores.constants

com.activeviam.frtb.ref.cfg.stores.triggers - package com.activeviam.frtb.ref.cfg.stores.triggers

com.activeviam.frtb.ref.drillin - package com.activeviam.frtb.ref.drillin

com.activeviam.frtb.ref.drillin.service - package com.activeviam.frtb.ref.drillin.service

com.activeviam.frtb.ref.drillin.service.dto - package com.activeviam.frtb.ref.drillin.service.dto

com.activeviam.frtb.ref.drillthrough.impl - package com.activeviam.frtb.ref.drillthrough.impl

com.activeviam.frtb.ref.dsviewer.whatif.cfg - package com.activeviam.frtb.ref.dsviewer.whatif.cfg

com.activeviam.frtb.ref.dsviewer.whatif.service - package com.activeviam.frtb.ref.dsviewer.whatif.service

com.activeviam.frtb.ref.dsviewer.whatif.submitter - package com.activeviam.frtb.ref.dsviewer.whatif.submitter

com.activeviam.frtb.ref.events - package com.activeviam.frtb.ref.events

com.activeviam.frtb.ref.main - package com.activeviam.frtb.ref.main

com.activeviam.frtb.ref.monitors.impl - package com.activeviam.frtb.ref.monitors.impl

com.activeviam.frtb.ref.parameter.impl - package com.activeviam.frtb.ref.parameter.impl

com.activeviam.frtb.ref.parentchild.builders - package com.activeviam.frtb.ref.parentchild.builders

com.activeviam.frtb.ref.parentchild.cfg - package com.activeviam.frtb.ref.parentchild.cfg

com.activeviam.frtb.ref.parentchild.hierarchy.builders - package com.activeviam.frtb.ref.parentchild.hierarchy.builders

com.activeviam.frtb.ref.parentchild.hierarchy.listeners - package com.activeviam.frtb.ref.parentchild.hierarchy.listeners

com.activeviam.frtb.ref.parentchild.nodes - package com.activeviam.frtb.ref.parentchild.nodes

com.activeviam.frtb.ref.parentchild.provider - package com.activeviam.frtb.ref.parentchild.provider

com.activeviam.frtb.ref.parentchild.service - package com.activeviam.frtb.ref.parentchild.service

com.activeviam.frtb.ref.parentchild.submitter - package com.activeviam.frtb.ref.parentchild.submitter

com.activeviam.frtb.ref.persistence.impl - package com.activeviam.frtb.ref.persistence.impl

com.activeviam.frtb.ref.services.impl - package com.activeviam.frtb.ref.services.impl

com.activeviam.frtb.ref.services.rest - package com.activeviam.frtb.ref.services.rest

com.activeviam.frtb.ref.services.rest.impl - package com.activeviam.frtb.ref.services.rest.impl

com.activeviam.frtb.ref.source.colcalcs - package com.activeviam.frtb.ref.source.colcalcs

com.activeviam.frtb.ref.source.comparators - package com.activeviam.frtb.ref.source.comparators

com.activeviam.frtb.ref.source.dataloadcontroller - package com.activeviam.frtb.ref.source.dataloadcontroller

com.activeviam.frtb.ref.source.dataloadcontroller.impl - package com.activeviam.frtb.ref.source.dataloadcontroller.impl

com.activeviam.frtb.ref.source.ds.publisher - package com.activeviam.frtb.ref.source.ds.publisher

com.activeviam.frtb.ref.source.ds.publisher.impl - package com.activeviam.frtb.ref.source.ds.publisher.impl

com.activeviam.frtb.ref.source.listeners - package com.activeviam.frtb.ref.source.listeners

com.activeviam.frtb.ref.source.parsers - package com.activeviam.frtb.ref.source.parsers

com.activeviam.frtb.ref.source.publishers - package com.activeviam.frtb.ref.source.publishers

com.activeviam.frtb.ref.source.tuplepublisher - package com.activeviam.frtb.ref.source.tuplepublisher

com.activeviam.frtb.ref.source.tuplepublisher.impl - package com.activeviam.frtb.ref.source.tuplepublisher.impl

com.activeviam.frtb.ref.source.whatif.base.impl - package com.activeviam.frtb.ref.source.whatif.base.impl

com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer - package com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

com.activeviam.frtb.ref.source.whatif.base.impl.keys - package com.activeviam.frtb.ref.source.whatif.base.impl.keys

com.activeviam.frtb.ref.source.whatif.cfg - package com.activeviam.frtb.ref.source.whatif.cfg

com.activeviam.frtb.ref.source.whatif.rest.dto - package com.activeviam.frtb.ref.source.whatif.rest.dto

com.activeviam.frtb.ref.source.whatif.rest.services - package com.activeviam.frtb.ref.source.whatif.rest.services

com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer - package com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer

com.activeviam.frtb.ref.utils - package com.activeviam.frtb.ref.utils

com.activeviam.frtb.ref.whatif.definition - package com.activeviam.frtb.ref.whatif.definition

com.activeviam.frtb.ref.workflows.batch.impl - package com.activeviam.frtb.ref.workflows.batch.impl

In this package, we show how to replace the default workflow processing for events.

com.activeviam.frtb.ref.workflows.tasks - package com.activeviam.frtb.ref.workflows.tasks

com.activeviam.frtb.ref.workflows.units.impl - package com.activeviam.frtb.ref.workflows.units.impl

com.activeviam.frtb.security.impl - package com.activeviam.frtb.security.impl

com.activeviam.frtb.starter.cfg.impl - package com.activeviam.frtb.starter.cfg.impl

com.activeviam.frtb.starter.logging - package com.activeviam.frtb.starter.logging

com.activeviam.frtb.starter.main - package com.activeviam.frtb.starter.main

com.qfs.store.service.impl - package com.qfs.store.service.impl

COMBINED_CUBES - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

combinedMeasure(String, String) - Static method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

CombinedMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Static methods for producing the descriptions of the post-processors for the Combined cube (SA+IMA+PL+IMADRC) measures.

CombinedMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

COMMOD_GRADE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

COMMOD_GRADE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

COMMOD_GRADE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

COMMOD_GRADE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

COMMOD_LOCATION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

COMMOD_LOCATION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

COMMOD_LOCATION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

COMMOD_LOCATION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

COMMOD_ROUTE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

COMMOD_ROUTE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

COMMOD_ROUTE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

COMMOD_ROUTE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

COMMOD_TIME - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

COMMOD_TIME - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

COMMOD_TIME - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

COMMOD_TIME - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

COMMODITY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

COMMODITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COMMODITY_BUCKET_RISK_WEIGHTS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

COMMODITY_BUCKET_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

COMMODITY_BUCKET_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

COMMODITY_BUCKET_STORE_UNDERLYING_COMMODITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

COMMODITY_BUCKET_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

COMMODITY_BUCKETS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

COMMODITY_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity Buckets.

COMMODITY_BUCKETS_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.StoreNames

COMMODITY_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

COMMODITY_BUCKETS_RISK_WEIGHT_STORE_BUCKET - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_BUCKETS_RISK_WEIGHT_STORE_DESCRIPTION - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_BUCKETS_RISK_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_BUCKETS_RISK_WEIGHT_STORE_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

COMMODITY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

COMMODITY_CURVATURE_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Commodity Curvature Double Sums.

COMMODITY_CURVATURE_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Curvature Double Sums stores

COMMODITY_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Commodity Delta Double Sums.

COMMODITY_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

COMMODITY_DELTA_DOUBLE_SUMS_STORE_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_DELTA_DOUBLE_SUMS_STORE_COMMODITY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_DELTA_DOUBLE_SUMS_STORE_TENOR - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_GRADE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COMMODITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

COMMODITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

COMMODITY_INTRA_BUCKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

COMMODITY_INTRA_BUCKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.StoreNames

COMMODITY_INTRA_BUCKET_CORRELATIONS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

COMMODITY_INTRA_BUCKET_CORRELATIONS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

COMMODITY_INTRA_BUCKET_CORRELATIONS_STORE_BUCKET - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_INTRA_BUCKET_CORRELATIONS_STORE_CORRELATION - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_INTRA_BUCKET_CORRELATIONS_STORE_DESCRIPTION - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_INTRA_BUCKET_CORRELATIONS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_LOCATION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COMMODITY_LOCATION_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

COMMODITY_MARKET_DATA_LOCATION_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity location market data.

COMMODITY_MARKET_DATA_ROUTE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity route market data.

COMMODITY_MARKET_DATA_TIME_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity time market data.

COMMODITY_MARKET_DATA_UNDERLYING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity Market Data Underlying.

COMMODITY_OPTION_MATURITY_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

COMMODITY_OTHER_COMMODITY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

COMMODITY_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodities Curvature PV Applied flag.

COMMODITY_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

COMMODITY_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

COMMODITY_RISKFACTOR_UNDERLYING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

COMMODITY_ROUTE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COMMODITY_ROUTE_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

COMMODITY_ROUTE_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

COMMODITY_TIME - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COMMODITY_TIME_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

COMMODITY_TIME_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

COMMODITY_UNDERLYING_BUCKET - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

COMMODITY_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Commodity Vega Double Sums.

COMMODITY_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

COMMODITY_VEGA_DOUBLE_SUMS_STORE_COMMODITY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

COMMODITY_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Commodity Vega Option Maturity

COMMODITY_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CommodityBucketsRiskWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Commodity Buckets Risk Weight store.

CommodityBucketsStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Commodity Buckets store.

CommodityCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the Commodity Curvature CVR (paragraph 53(b)).

CommodityCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

CommodityCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Commodity Curvature measures.

CommodityCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

CommodityCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

CommodityCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.CommodityCurvaturePublisher

Constructor

CommodityCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for commodity curvature Defers to the Commodity delta risk weight due to a amendment passed in Jan 2017 Section 1.2 Q1.

CommodityCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureRiskWeight

CommodityCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CommodityCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

CommodityDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of Commodity Delta aggregated weighted sensitivities.

CommodityDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

CommodityDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for Commodity delta calculations.

CommodityDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

CommodityDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Commodity Delta Double Sums store.

CommodityDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Commodity Delta measures.

CommodityDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

CommodityDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the Commodity Delta store.

CommodityDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CommodityDeltaPublisher

Constructor

CommodityDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for Commodity Delta Risk Charge.

CommodityDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

CommodityDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Commodity Delta Risk Charge (or Euler Capital Allocation).

CommodityDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

CommodityDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the Commodity Delta Risk Position (or Euler Capital Allocation).

CommodityDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

CommodityDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for Commodity Delta Risk Position.

CommodityDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionCorrelations

CommodityDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for Commodity Delta Risk Position.

CommodityDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

CommodityDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for commodity delta

CommodityDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

CommodityDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Compute the weighted delta for commodity

CommodityDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

CommodityIntraBucketCorrelationStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Commodity Intra-Bucket Correlation store.

CommodityUtil - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Utility class for Commodity datastore look-ups.

CommodityUtil() - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityUtil

CommodityVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of Commodity Vega aggregated weighted sensitivities.

CommodityVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

CommodityVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for Commodity Vega calculations.

CommodityVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CommodityVegaCalculations

CommodityVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Commodity Vega Double Sums store.

CommodityVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Commodity Vega measures.

CommodityVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

CommodityVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the Commodity Vega store.

CommodityVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CommodityVegaPublisher

Constructor

CommodityVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for Commodity Vega Risk Charge.

CommodityVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

CommodityVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

CommodityVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

CommodityVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate commodity vega risk position

CommodityVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

CommodityVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for Commodity Vega Risk Position.

CommodityVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionCorrelations

CommodityVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for Commodity Vega Risk Position.

CommodityVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

CommodityVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for commodity vega

CommodityVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

CommodityVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CommodityVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

commonCcy - Variable in class com.activeviam.frtb.ref.services.impl.FxRates

Common currency used for indirect FX rate lookups

ComparableVectorEntry(double, int) - Constructor for class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

comparator - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

compare(Object, Object) - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

compare(Object, Object) - Method in class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

compareTo(TailVaROperator.ComparableVectorEntry) - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

compile(String, JsonNode, JsonConditionCompiler) - Method in class com.qfs.store.service.impl.TempLikeConditionFactory

compiledLookupParentGetByKey - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

compiledQueriesCache - Variable in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

compileQuery(IDatastoreVersion, String, ICondition, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

Compile the query, adding in required fields for the as-of date and parameter set.

compileQuery(IDatastoreVersion, String, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

Compile the query, building the query condition from the key fields and adding in required fields for the as-of date and parameter set.

compileQuery(IDatastoreVersion, String, ICondition, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

compileQuery(IDatastoreVersion, String, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

compositeChannel(CSVMessageChannelFactory<Path>, List<SimpleSourceConfig.ITopicConfig<IFileInfo<Path>>>) - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CompositeTopicConfig<I> - Class in com.activeviam.frtb.ref.source.dataloadcontroller.impl

Implementation of SimpleSourceConfig.ITopicConfig for use when creating composite channels.

CompositeTopicConfig(String, List<SimpleSourceConfig.ITopicConfig<I>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

CompositeTopicConfig(String, List<SimpleSourceConfig.ITopicConfig<I>>, Function<IStoreMessageChannelFactory<I, ?>, IMessageChannel<I, ?>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.NullPostProcessor

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

Nets Gross JTDs against each other based on seniority, for each issuer location (see paragraph 150)

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

There is only one underlying measure here: ES (Liquidity Adj.) The principle of the computation is this: modify the original location to put the following members in the data set level and create two new locations: FRTBConstants.FULL_SET_CURRENT FRTBConstants.REDUCED_SET_CURRENT and then retrieve the value of the ES (Liquidity Adj.) measure for both modified locations and compute the ratio:
ES (Liquidity Adj.)(FRTBConstants.FULL_SET_CURRENT)
/ ES (Liquidity Adj.)((FRTBConstants.REDUCED_SET_CURRENT;)

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

There is only one underlying measure here: ES (Liquidity Adj.) The principle of the computation is this: Retrieve the ES (Liquidity Adj.) measure for the current location
If the data set level is present in the current location: write the value of ES (Liquidity Adj.)
Otherwise, modify the original location to put the following members in the data set level and create three new locations: FRTBConstants.FULL_SET_CURRENT FRTBConstants.REDUCED_SET_STRESSED FRTBConstants.REDUCED_SET_CURRENT and then retrieve the value of the ES (Liquidity Adj.) measure for all those three modified locations and compute the ratio:
ES (Liquidity Adj.)(FRTBConstants.REDUCED_SET_STRESSED) * ES (Liquidity Adj.)(FRTBConstants.FULL_SET_CURRENT)
/ ES (Liquidity Adj.)((FRTBConstants.REDUCED_SET_CURRENT;)

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

Fetch the underlying measures from the filtered leaf location and aggregate.

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

Fetch the underlying measures from the filtered leaf location and aggregate.

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

Fetch the underlying measures from the filtered leaf location and aggregate.

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

compute(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.FRTBParameterValueColumnCalculator

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.OptionalityColumnCalculator

Calculates the value to fill the column with.

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.RiskClassColumnCalculator

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.RiskFactorColumnCalculator

Creates the Risk Factor from multiple fields.

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

Calculates the value to fill the column with.

compute(IColumnCalculator.IColumnCalculationContext<ILineReader>) - Method in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingFxCcyColumnCalculator

Calculates the value to fill the column with.

computeCurvatureFactorUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

Calculate the value of this measure for this post-processor.

computeCurvatureFactorUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

Calculate the value of this measure for this post-processor.

computeDifference(IAggregatesRetrievalResult, int[], int) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

computeFilter(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher

computeFilter(ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap.AggregatesMapLevelsPrefetcher

computeImpact(ILocation, Object) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio.CurrentDatasetsPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital.DatasetPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler.DatasetPrefetcher

computeLocations - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES.UnderlyingMeasuresPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES.UnderlyingMeasuresPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

Computes the locations to prefetch.

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor.SimplePrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.LeafPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.ParentPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.SiblingPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.TopPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.TargetPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher

Step each location down to the sensitivity (and leaf) levels.

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight.RiskWeightPostProcessorPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap.AggregatesMapLevelsPrefetcher

Return leaf locations for the sensitivity levels.

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter.FilterPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter.FilterPrefetcher

computeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector.FilterPrefetcher

computeLocationsForComplexTrade(String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

computeLocationsForSimpleTradeNoOptionality(String, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

computeLocationsForSimpleTradeWithOptionality(String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

computeLookbackPrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Generate the prefetch requests for the prefetcher named "lookback".

computeMappingPrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

computeMapPrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

computeMeasures(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher

computeMeasures(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter.FilterPrefetcher

computeMeasures(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter.FilterPrefetcher

computeMeasures(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector.FilterPrefetcher

computePrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

computePrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap.NamedPrefetcher

computePrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

computePrefetchFilter(ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringDynamicAggregationPostProcessor

computePrefetchFilter(ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

computePrefetchFilter(ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

computeResult(Object[], Double) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

Compute the result

computeResult(Object[], Double) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

Compute the result

computeResult(Object[], Double) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

computeResult(Object[], Double) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

computeRiskPosition(Map<String, T>, Map<String, Object>, String, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

computeRiskPosition(Map<String, Double>, Map<String, Object>, String, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

computeUnderlyingPrefetches(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

computeVectorIndex(ILocation, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

Compute the input vector Index depending on the risk class

computeVectorIndex(ILocation, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

computeVectorIndex(ILocation, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

ConcreteDatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

ConditionedDatastoreViewerServices - Class in com.activeviam.frtb.ref.cfg.impl

ConditionedDatastoreViewerServices() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

CONFIDENCE_LEVEL_975 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

CONFIDENCE_LEVEL_975_MODIFIER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

CONFIDENCE_LEVEL_975_MODIFIER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

CONFIDENCE_LEVEL_99 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

CONFIDENCE_LEVEL_99_MODIFIER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

CONFIDENCE_LEVEL_99_MODIFIER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

CONFIDENCE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

CONFIDENCE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

CONFIDENCE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

confidenceLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

confidenceLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

confidenceLevel - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

CONFIG_CSR_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CONFIG_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

configCsvChannelFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Channel factory bean.

configCsvChannelFactory - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

configCsvSource() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Creates the CSVSource responsible for loading the initial config data in the datastore from csv files.

configCsvSource - Variable in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

configCsvSource - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

configCsvSourceConfig() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

configCsvTopicConfigs - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

CONFIGURATION_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

ConfigurationConditionConverter(String) - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.ConfigurationConditionConverter

ConfigurationParametersUtils - Class in com.activeviam.frtb.core.utils

ConfigurationParametersUtils() - Constructor for class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

ConfigurationSourceConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying the frtb.properties file.

ConfigurationSourceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

configurationTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

configure(HttpSecurity) - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

configure(HttpSecurity) - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

configure(HttpSecurity) - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

configure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

configure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

configure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

configure(AuthenticationManagerBuilder) - Method in class com.activeviam.frtb.es.tool.cfg.impl.InMemoryUserDetailsManagerBuilder

configure(SessionCookieConfig, String) - Static method in class com.activeviam.frtb.security.impl.CookieUtil

Configures the cookies.

configure(AuthenticationManagerBuilder) - Method in class com.activeviam.frtb.security.impl.InMemoryUserDetailsManagerBuilder

configureGlobal(AuthenticationManagerBuilder) - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

configureGlobal(AuthenticationManagerBuilder) - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

configureTupleFields(Map<String, Integer>) - Method in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

Adds the translator tuple fields to be used in the PublisherUtils calls of the concrete class.

configureTupleFields(Map<String, Integer>) - Method in interface com.activeviam.frtb.ref.source.tuplepublisher.IBaseTuplePublisher

Defines the fields in the incoming tuples.

configureTupleFields(Map<String, Integer>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

configureTupleFields(Map<String, Integer>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCLinearIMABaseTuplePublisher

Defines the fields in the incoming tuples.

configureTupleFields(Map<String, Integer>) - Method in class com.activeviam.frtb.ref.utils.PublisherContext

CONNECTION_URL_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

ConstrainedES - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Returns the sum of the underlying measure ES (capital) for all risk classes that are not "allin"

ConstrainedES(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

CONTENT_SERVER_BOOKMARKS_DEFAULT_OWNERS_PROP - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The properties entry for the default bookmark owners.

CONTENT_SERVER_BOOKMARKS_DEFAULT_READERS_PROP - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The properties entry for the default bookmark readers.

CONTENT_SERVER_URL - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The URL of the content server.

CONTENTSERVER_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

CONTENTSERVER_PATH - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

ContentServerSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ContentServerSecurityConfigurer

ContentServerSecurityConfigurer() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ContentServerSecurityConfigurer

contentService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.LocalContentServiceConfig

contentService() - Method in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

context - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

context - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

context - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

Context(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever) - Constructor for class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

Context(APostProcessorErrorHandler.Context, ILocation) - Constructor for class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

context - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AJwtSecurityConfigurer

context - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AVersionSecurityConfigurer

context - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

context - Variable in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

contextReferenceLevels(IActivePivot, IReferenceLevelContextVal) - Static method in class com.activeviam.frtb.core.utils.ReferenceLevelUtils

contexts - Variable in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

contextValueInterface - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

ContextValueTranslatorHelper - Class in com.activeviam.frtb.core.context.impl

ContextValueTranslatorHelper() - Constructor for class com.activeviam.frtb.core.context.impl.ContextValueTranslatorHelper

CONTRIBUTORS_COUNT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

convert(IActivePivot, IDatastoreVersion, LocalDate, String, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

Convert tenor to a LocalDate; with business day convention applied.

convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

Implementation of ITenorConverter.convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) which first converts the tenor into a number of days using LegacyTenorConverter.calculateNbDays(String).

convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.SimpleTenorConverter

convert(LocalDate, String, IBusinessDayConvention, IBusinessDayCalendar) - Method in interface com.activeviam.frtb.core.dates.ITenorConverter

Given an as-of-date and a String representation of a tenor, returns the LocalDate representation of the tenor (after application of business day convention).

convertToTradeBaseTuple(Object[], PublisherContext) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Creates a tuple for the TradeBase store

COOKIE_NAME - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig

COOKIE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig

COOKIE_NAME - Static variable in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig

cookieName - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

The name of the cookie to clear

cookieName - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

The name of the cookie to clear

CookieUtil - Class in com.activeviam.frtb.security.impl

Utility class to configure the cookies.

CookieUtil() - Constructor for class com.activeviam.frtb.security.impl.CookieUtil

copyFrom(IVector, IVector) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.ReadOnlySparseVectorBinding

copyTo(double[]) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

CORE_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CORRELATION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CORRELATION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

CORRELATION_HIGH_STRESS_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CORRELATION_LOW_STRESS_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CORRELATION_SCENARIO - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The correlation scenario property name ("correlationScenario")

CorrelationHighStressContextVal - Class in com.activeviam.frtb.core.context.impl

CorrelationHighStressContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

CorrelationHighStressContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

CorrelationHighStressMetadata - Class in com.activeviam.frtb.core.context.impl

CorrelationHighStressMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

CorrelationHighStressTranslator - Class in com.activeviam.frtb.core.context.impl

CorrelationHighStressTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

CorrelationLowStressContextVal - Class in com.activeviam.frtb.core.context.impl

CorrelationLowStressContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

CorrelationLowStressContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

CorrelationLowStressMetadata - Class in com.activeviam.frtb.core.context.impl

CorrelationLowStressMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

CorrelationLowStressTranslator - Class in com.activeviam.frtb.core.context.impl

CorrelationLowStressTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Delegate to the implementing class to compute the vector of correlations.

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

Calculate the correlated weighted sensitivities for the CSR Sec CTP delta risk position.

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

Calculate the correlated weighted sensitivities for the FX delta risk position.

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

Calculate the correlated weighted sensitivities for the GIRR delta risk position.

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

Calculate the correlated weighted sensitivities for the GIRR delta risk position.

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionCorrelations

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

correlations(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionCorrelations

correlationScenario - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

correlationScenario - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

correlationScenario - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

correlationsWithCache(List<Object>, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

The vector of correlations for the current location.

CorrelationUtils - Class in com.activeviam.frtb.core.utils

CorrelationUtils() - Constructor for class com.activeviam.frtb.core.utils.CorrelationUtils

corsFilter() - Method in class com.activeviam.frtb.cfg.impl.FRTBCorsFilterConfig

[Modified for SpringBoot] Use SpringOncePerRequestCorsFilter instead of SpringCorsFilter to avoid duplication of CORS headers.

COUNT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

COUNT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

COUNT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

COUNT_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

COUNTER_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

counterCcyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

Covariance - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Computes the covariance of two vectors

Covariance(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

COVARIANCE_RANK_VECTORS - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

COVERED_BONDS_BUCKET - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

create(IActivePivot, Properties) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager.Factory

create(IActivePivot, Properties, Collection<String>, Collection<String>, String) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager.Factory

create(IActivePivot, Properties, Collection<ILevelInfo>, Collection<ILevelInfo>, IAggregationFunction) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager.Factory

create(IActivePivot, Properties) - Method in interface com.activeviam.frtb.core.services.IDataAvailability.IFactory

Create instance of IDataAvailability.

create(IActivePivot, Properties) - Method in interface com.activeviam.frtb.core.services.IDistributionAwareQueryRunner.Factory

Create an instance of IDistributionAwareQueryRunner from the post-processor initialisation properties.

create(IActivePivot, Properties) - Method in class com.activeviam.frtb.core.services.impl.SimpleDataAvailability.Factory

create(IActivePivot, Properties) - Method in interface com.activeviam.frtb.core.services.IOrganisationHierarchyMap.Factory

Create an instance of IOrganisationHierarchyMap from the post-processor initialisation properties.

create(IActivePivot, Properties) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager.Factory

create(IActivePivot, Properties, Collection<String>, Collection<String>, String) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager.Factory

create(IActivePivot, Properties, Collection<ILevelInfo>, Collection<ILevelInfo>, IAggregationFunction) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager.Factory

create(IActivePivot, Properties) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability.Factory

create(IActivePivot, Properties) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap.Factory

create(IActivePivot, Properties) - Method in class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner.Factory

CREATE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

createAggregatesMapLevelsPrefetcher(IMeasuresProvider, String...) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Create the prefetcher for the weighted sensitivities.

createAggregatesMapPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Create the prefetcher for the aggregates map.

createAggregationFunction(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

createAggregationFunction(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

createAggregationFunction(Properties) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

createAggregationFunction(String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

createAndAddTopics(ICSVSource<Path>, String, String, String, List<String>, boolean, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Create the topic(s) and add it(them) to the CSV source

createBranch(String, String, String, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.ParentChildRestfulService

This method provides a way to create a new branch off of master and asofDate from the book parent child datastore and provided changes to that new branch.

createBranchFromMaster(String, String, String, LocalDate, ParentChildNode<?>) - Method in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

This method provides a way to both create a branch and submit changes off of the master branch.

createChannel(IStoreMessageChannelFactory<I, E>) - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

Create underlying message channels using SimpleSourceConfig.ITopicConfig.createChannel(IStoreMessageChannelFactory), then wrap in a composite channel.

createChannel(IStoreMessageChannelFactory<I, E>, List<SimpleSourceConfig.ITopicConfig<I>>) - Static method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

createChannel(String) - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig

createChannel(IStoreMessageChannelFactory<I, E>) - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig.ITopicConfig

Create a message channel using a store message channel factory.

createChannel(IStoreMessageChannelFactory<I, E>) - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

Create a message channel using TopicConfig.messageChannelFactory if it is set, otherwise use messageChannelFactory.

createChannel(IStoreMessageChannelFactory<I, E>, String, String, ITuplePublisher<I>) - Static method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

createChannel(String) - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.ISourceConfig

Create a message channel for the topic.

createChannels(IStoreMessageChannelFactory<IFileInfo<Path>, ILineReader>, Map<String, String>, Map<String, ITuplePublisher<IFileInfo<Path>>>) - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Create the list of channels from the channel factory, the mapping between the topics and the stores and the mapping between the topics and the tuple publishers

createCommonCalculators(String) - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

createCsvSource(String) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Create a CSV source object suitable for use with the IDataLoadController.

createCSVTopicFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

createCurvatureCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

createDatasetPrefetcher(IMeasuresProvider, String[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

createDatasetPrefetcher(IMeasuresProvider, String[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

createDatasetPrefetcher(IMeasuresProvider, String[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

createDeltaCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

createDrcCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createDRCIMABaseTuple(Object[]) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

createDRCIMABaseTuple(Object[]) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCLinearIMABaseTuplePublisher

Creates a tuple for the DRC Trade Obligor store.

createDRCIMABaseTuple(Object[]) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCNonLinearIMABaseTuplePublisher

Creates a tuple for the DRC Trade Obligor store.

createDrcNonLinearObligorTradeCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createDrcObligorTradeCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createExpansionProcedure() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

Creates the expansion procedure used to compute fx buckets depending on the jurisdiction

createFieldValuePair(String, Object) - Static method in class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects

createFilters() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Describe the filters used by this post-processor.

createIMASummaryCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createIMATradesCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.CALookbackTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.ESTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

createInstance(Boolean) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

createInstance(Boolean) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

createInstance(Integer) - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

createInstance(Integer) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

createInstance(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.RhoImccTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.RhoSesTranslator

createInstance(Double) - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

createInstance(Integer) - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

createISESPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

createISESPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

createIterator(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure

createIterator(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure

createKey(Object...) - Method in class com.activeviam.frtb.core.calc.AggregatesMap

createLeafPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Prefetcher for the capital charge measure for the leaf locations (if needed).

createLocationForCurrentDataSets(ILocation, Collection<Object>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

Create a modified location by setting the member currentDataSet in the data set level

createLocationForDataSet(ILocation, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

Create a modified location by setting the member currentDataSet in the data set level

createLocationForDataSet(ILocation, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

Create a new location by setting the member currentDataSet in the data set level

createLookbackPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Create the lookback prefetcher.

createMapPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

createMessage(ITemplateEngine, String) - Method in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

Creates a message for AlertWorkflowUnit.sendMessage(IMessageService, ITemplateEngine, String).

createNew() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

createNullKey() - Method in class com.activeviam.frtb.core.calc.AggregatesMap

createParentChildKey(String, LocalDate) - Static method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition

createParentPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Prefetcher for the capital allocation measure at the parent level (if needed).

createPath(ILevelInfo, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

createPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

createPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

createPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

createPrefetcherFilter() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Initialize the filter that will be intersected with every query.

createPrefetchers() - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

createPrefetchers() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

createSESPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

createSESPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

createSiblingPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Prefetcher for the capital charge measure for the siblings (if needed).

createTopic(String, String, String, ICSVParserConfiguration, boolean, IFilesScopedFetchTopic.IFetchScopeToFileScanParametersConverter) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Create the topic with the parameters.

createTopicConfig(String, String, ITuplePublisher<IFileInfo<Path>>, boolean) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Create an SimpleSourceConfig.ITopicConfig object that uses ACSVSourceConfig.genericChannel(IBaseTuplePublisher, String, String, boolean, boolean, CSVMessageChannelFactory) for the channel creation.

createTopPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Prefetcher for the capital charge measure at the reference level (if needed).

createTradesCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

createTuple(Object[], String) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

createTupleForStore(IDatastore, Map<String, Integer>, Object[], String, Map<String, Object>) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple

createTupleForStore(IDatastore, Map<String, Integer>, Object[], String) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Creates a tuple for the required store, by attempting to extract the value for each store field from the input tuple

createUnderlyingPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

createUnModKeys(Set<KeyObjects.FieldValuePair>) - Static method in class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects

createVegaCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

createWeightedSensitivityPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Create the prefetcher for the weighted sensitivities.

CREDIT_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

CREDIT_RATING_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

CREDIT_RATING_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

creditQualityCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

creditQualityCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

creditQualityCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

creditQualityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

creditQualityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

creditQualityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

CROSS_COMMON_CURRENCY_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.FxRates

Config property for the FX rates common currency.

CSR_BASIS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for doing the rho(basis) comparison in CSR Delta and Vega.

CSR_BUCKET_CORRELATIONS_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKET_CORRELATIONS_STORE_BUCKET_X - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKET_CORRELATIONS_STORE_BUCKET_Y - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKET_CORRELATIONS_STORE_CORRELATION - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKET_CORRELATIONS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKET_CORRELATIONS_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKET_DESCRIPTION_NONSEC_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKET_DESCRIPTION_SECCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKET_DESCRIPTION_SECNONCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKET_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKET_DESCRIPTION_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKET_DESCRIPTION_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKET_DESCRIPTION_STORE_RATING_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKET_DESCRIPTION_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKET_DESCRIPTION_STORE_SECTOR_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKET_NONSEC_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKET_SECCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKET_SECNONCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKETS_NON_SEC_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKETS_NON_SEC_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_NON_SEC_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_NON_SEC_STORE_CREDIT_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_NON_SEC_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_NON_SEC_STORE_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKETS_RISK_WEIGHT_STORE_BUCKET - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKETS_RISK_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKETS_RISK_WEIGHT_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKETS_RISK_WEIGHT_STORE_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_BUCKETS_RISK_WEIGHTS_NONSEC_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKETS_RISK_WEIGHTS_SECCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKETS_RISK_WEIGHTS_SECNONCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_BUCKETS_SEC_CTP_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKETS_SEC_CTP_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_CTP_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_CTP_STORE_CREDIT_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_CTP_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_CTP_STORE_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_NON_CTP_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

CSR_BUCKETS_SEC_NON_CTP_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_NON_CTP_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_NON_CTP_STORE_CREDIT_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_NON_CTP_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_BUCKETS_SEC_NON_CTP_STORE_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CSR_NAME - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CSR_NON_SEC_DELTA_DIFFERENT_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NON_SEC_DELTA_DIFFERENT_RHO_NAME_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NON_SEC_DELTA_DIFFERENT_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NON_SEC_DELTA_GAMMA_RATING_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NON_SEC_DELTA_RHO_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NS - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_NS_BUCKETS_CORRELATIONS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_NS_BUCKETS_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_NS_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Buckets.

CSR_NS_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_NS_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_NS_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR non-Sec Delta Double Sums.

CSR_NS_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_NS_DELTA_DOUBLE_SUMS_STORE_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_DELTA_DOUBLE_SUMS_STORE_CSR_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_DELTA_DOUBLE_SUMS_STORE_TENOR - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_HIGHEST_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_NS_MARKET_DATA_QUALITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Quality.

CSR_NS_MARKET_DATA_RATING_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Market Data Rating Category.

CSR_NS_MARKET_DATA_RATING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Market Data Rating.

CSR_NS_MARKET_DATA_SECTOR_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Market Data Sector Category.

CSR_NS_MARKET_DATA_SECTOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-Sec Market Data Sector.

CSR_NS_OPTION_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_NS_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR non-sec Curvature PV Applied flag.

CSR_NS_UNDERLYINGASSETS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_NS_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR non-Sec Vega Double Sums.

CSR_NS_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_NS_VEGA_DOUBLE_SUMS_STORE_CSR_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_VEGA_DOUBLE_SUMS_STORE_CSR_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_NS_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Non-Sec Vega Option Maturity

CSR_NS_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_NS_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_QUALITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CSR_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

CSR_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

CSR_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

CSR_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

CSR_RATING - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CSR_RATING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

CSR_RATING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

CSR_SEC_CTP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_CTP_BUCKET_CORRELATIONS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSR_SEC_CTP_BUCKETS_CORRELATIONS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_CTP_BUCKETS_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_SEC_CTP_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Buckets.

CSR_SEC_CTP_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_CTP_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR Sec CTP Delta Double Sums.

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_STORE_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_STORE_CSR_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_DELTA_DOUBLE_SUMS_STORE_TENOR - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_DELTA_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_CTP_HIGHEST_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_CTP_MARKET_DATA_QUALITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Quality.

CSR_SEC_CTP_MARKET_DATA_RATING_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Market Data Rating Category.

CSR_SEC_CTP_MARKET_DATA_SECTOR_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Market Data Sector Category.

CSR_SEC_CTP_MARKET_DATA_SECTOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Market Data Sector.

CSR_SEC_CTP_OPTION_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_CTP_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Curvature PV Applied flag.

CSR_SEC_CTP_UNDERLYINGASSETS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR Sec CTP Vega Double Sums.

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE_CSR_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE_CSR_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_CTP_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec CTP Vega Option Maturity

CSR_SEC_CTP_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_CTP_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_NON_CTP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_BUCKETS_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_SEC_NON_CTP_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Buckets.

CSR_SEC_NON_CTP_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_NON_CTP_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_SEC_NON_CTP_CURVATURE_OTHER_BUCKET_ADDED - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_DIFFERENT_BUCKETS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR Sec Non-CTP Delta Double Sums.

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_STORE_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_STORE_CSR_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_DELTA_DOUBLE_SUMS_STORE_TENOR - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_DELTA_OTHER_BUCKET_ADDED - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_OTHER_BUCKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_DELTA_RHO_TRANCHE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CSR_SEC_NON_CTP_HIGHEST_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_NON_CTP_MARKET_DATA_QUALITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Quality.

CSR_SEC_NON_CTP_MARKET_DATA_RATING_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Market Data Rating Category.

CSR_SEC_NON_CTP_MARKET_DATA_SECTOR_CATEGORY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Market Data Sector Category.

CSR_SEC_NON_CTP_MARKET_DATA_SECTOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Market Data Sector.

CSR_SEC_NON_CTP_OPTION_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_NON_CTP_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec non-CTP Curvature PV Applied flag.

CSR_SEC_NON_CTP_TRANCHES_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec Non-CTP Tranches.

CSR_SEC_NON_CTP_UNDERLYINGASSETS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for CSR Sec Non-CTP Vega Double Sums.

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE_CSR_BASIS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE_CSR_TRANCHE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

CSR_SEC_NON_CTP_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for CSR Sec non-CTP Vega Option Maturity

CSR_SEC_NON_CTP_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SEC_NON_CTP_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

CSR_SECTOR - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CSR_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

CSR_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

CSR_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

CSR_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

CSR_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

CSR_TRANCHE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CSR_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

CSR_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

CSR_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

CSR_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

CSR_UNDERLYING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for the CSR Underlying.

CSRBucketCorrelationsFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

CSRBucketCorrelationsFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

CSRBucketCorrelationsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR Bucket Correlations store.

CSRBucketDescriptionFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

CSRBucketDescriptionFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

CSRBucketDescriptionStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the CSR Bucket Description store.

CSRBucketFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

CSRBucketFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

CSRBucketRiskWeightsFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

CSRBucketRiskWeightsFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

CSRBucketsRiskWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR Buckets Risk Weight store.

CSRCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

CSRCurvaturePublisher(PublisherContext, IParameterRetriever) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRCurvaturePublisher

Constructor

CSRDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Delta stores.

CSRDeltaPublisher(PublisherContext, IParameterRetriever, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRDeltaPublisher

Constructor

CSRNonSecBucketStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the CSR Bucket store.

CSRNS_BUCKET_CORRELATIONS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

CSRNSCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the CSR non-Sec Curvature CVR (paragraph 53(b)).

CSRNSCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

CSRNSCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR non-Sec Curvature measures.

CSRNSCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

CSRNSCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

CSRNSCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRNSCurvaturePublisher

Constructor

CSRNSCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the most punitive risk weight for CSR NS Curvature

CSRNSCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureRiskWeight

CSRNSCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CSRNSCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

CSRNSDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Non Sec Delta aggregated weighted sensitivities.

CSRNSDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

CSRNSDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Non Sec delta calculations.

CSRNSDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

CsrNsDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR non-sec Delta Double Sums store.

CSRNSDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR non-Sec Delta measures.

CSRNSDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

CSRNSDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR non-Sec Delta store.

CSRNSDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRNSDeltaPublisher

Constructor

CSRNSDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR non-Sec Delta Risk Charge.

CSRNSDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

CSRNSDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the CSR non-Sec Delta Risk Charge (or Euler Capital Allocation).

CSRNSDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

CSRNSDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the CSR non-Sec Delta Risk Position (or Euler Capital Allocation).

CSRNSDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

CSRNSDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Non-Sec Delta Risk Position.

CSRNSDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

CSRNSDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR non-Sec Delta Risk Position.

CSRNSDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

CSRNSDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR NS Delta

CSRNSDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

CSRNSDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the weighted sensitivity for CSR NS Delta

CSRNSDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

CSRNSVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Non Sec Vega aggregated weighted sensitivities.

CSRNSVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

CSRNSVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Non Sec Vega calculations.

CSRNSVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

CsrNsVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR non-sec Vega Double Sums store.

CSRNSVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR non-Sec Vega measures.

CSRNSVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

CSRNSVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR non-Sec Vega store.It extends the generic CSR Vega publisher and overrides the risk class and risk measure.

CSRNSVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRNSVegaPublisher

Constructor

CSRNSVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR non-Sec Vega Risk Charge.

CSRNSVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

CSRNSVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

CSRNSVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

CSRNSVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the Risk Position for CSR NS Vega

CSRNSVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

CSRNSVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Non-Sec Vega Risk Position.

CSRNSVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionCorrelations

CSRNSVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR non-Sec Vega Risk Position.

CSRNSVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

CSRNSVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR NS Vega

CSRNSVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

CSRNSVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to compute the weighted sensitivity for CSR NS

CSRNSVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaWeightedSensitivity

CSRSecCtpBucketStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the CSR Bucket store.

CSRSecCtpCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the CSR Sec CTP Curvature CVR (paragraph 53(b)).

CSRSecCtpCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

CSRSecCTPCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Curvature measures.

CSRSecCTPCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

CSRSecCTPCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

CSRSecCTPCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecCTPCurvaturePublisher

Constructor

CSRSecCtpCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the most punitive risk weight for CSR Sec CTP Curvature

CSRSecCtpCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureRiskWeight

CSRSecCtpCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CSRSecCtpCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

CSRSecCtpDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Sec CTP Delta aggregated weighted sensitivities.

CSRSecCtpDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

CSRSecCTPDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Sec CTP delta calculations.

CSRSecCTPDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

CsrSecCtpDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR Sec CTP Delta Double Sums store.

CSRSecCTPDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Delta measures.

CSRSecCTPDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

CSRSecCTPDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Sec CTP Delta publisher.

CSRSecCTPDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecCTPDeltaPublisher

Constructor

CSRSecCtpDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR Sec CTP Delta Risk Charge.

CSRSecCtpDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

CSRSecCtpDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the CSR Sec CTP Delta Risk Charge (or Euler Capital Allocation).

CSRSecCtpDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

CSRSecCtpDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the CSR Sec CTP Delta Risk Position (or Euler Capital Allocation).

CSRSecCtpDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

CSRSecCtpDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Sec CTP Delta Risk Position.

CSRSecCtpDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionCorrelations

CSRSecCtpDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR Sec CTP Delta Risk Position.

CSRSecCtpDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

CSRSecCtpDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR Sec CTP Delta

CSRSecCtpDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

CSRSecCtpDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the weighted sensitivity for CSR Sec CTP Delta

CSRSecCtpDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

CSRSecCtpVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Sec CTP Vega aggregated weighted sensitivities.

CSRSecCtpVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

CSRSecCTPVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Sec CTP Vega calculations.

CSRSecCTPVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

CsrSecCtpVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR sec CTP Vega Double Sums store.

CSRSecCTPVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Vega measures.

CSRSecCTPVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

CSRSecCTPVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Sec CTP Vega store.

CSRSecCTPVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecCTPVegaPublisher

Constructor

CSRSecCtpVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR Sec CTP Vega Risk Charge.

CSRSecCtpVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

CSRSecCtpVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

CSRSecCtpVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

CSRSecCtpVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the Risk Position for CSR Sec CTP Vega

CSRSecCtpVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

CSRSecCtpVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Sec CTP Vega Risk Position.

CSRSecCtpVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionCorrelations

CSRSecCtpVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR Sec CTP Vega Risk Position.

CSRSecCtpVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

CSRSecCtpVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR Sec CTP Vega

CSRSecCtpVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

CSRSecCtpVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to compute the weighted sensitivity for CSR Sec CTP Vega

CSRSecCtpVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaWeightedSensitivity

CSRSecNonCtpBucketStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the CSR Bucket store.

CSRSecNonCTPCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the CSR Sec non-CTP Curvature CVR (paragraph 53(b)).

CSRSecNonCTPCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

CSRSecNonCTPCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Curvature measures.

CSRSecNonCTPCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

CSRSecNonCTPCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

CSRSecNonCTPCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecNonCTPCurvaturePublisher

Constructor

CSRSecNonCTPCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the most punitive risk weight for CSR Sec Non-CTP Curvature

CSRSecNonCTPCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureRiskWeight

CSRSecNonCTPCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CSRSecNonCTPCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

CSRSecNonCTPDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Sec Non CTP Delta aggregated weighted sensitivities.

CSRSecNonCTPDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

CSRSecNonCTPDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Sec Non CTP delta calculations.

CSRSecNonCTPDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

CsrSecNonCtpDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR sec non-CTP Delta Double Sums store.

CSRSecNonCTPDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Delta measures.

CSRSecNonCTPDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

CSRSecNonCTPDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Sec non-CTP Delta store.

CSRSecNonCTPDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecNonCTPDeltaPublisher

Constructor

CSRSecNonCTPDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR Sec non-CTP Delta Risk Charge.

CSRSecNonCTPDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

CSRSecNonCTPDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the CSR Sec non-CTP Delta Risk Charge (or Euler Capital Allocation).

CSRSecNonCTPDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

CSRSecNonCTPDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the CSR Sec non-CTP Delta Risk Position (or Euler Capital Allocation).

CSRSecNonCTPDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

CSRSecNonCTPDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Sec Non-CTP Delta Risk Position.

CSRSecNonCTPDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionCorrelations

CSRSecNonCTPDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR Sec non-CTP Delta Risk Position.

CSRSecNonCTPDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

CSRSecNonCTPDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR Sec Non-CTP Delta

CSRSecNonCTPDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

CSRSecNonCTPDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the weighted sensitivity for CSR Sec Non-CTP Delta

CSRSecNonCTPDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

CSRSecNonCTPVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of CSR Sec Non CTP Vega aggregated weighted sensitivities.

CSRSecNonCTPVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

CSRSecNonCTPVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for CSR Sec Non CTP Vega calculations.

CSRSecNonCTPVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

CsrSecNonCtpVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the CSR sec non-CTP Vega Double Sums store.

CSRSecNonCTPVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Vega measures.

CSRSecNonCTPVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

CSRSecNonCTPVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Sec non-CTP Vega store.

CSRSecNonCTPVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRSecNonCTPVegaPublisher

Constructor

CSRSecNonCTPVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for CSR Sec non-CTP Vega Risk Charge.

CSRSecNonCTPVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

CSRSecNonCTPVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

CSRSecNonCTPVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

CSRSecNonCTPVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the Risk Position for CSR Sec Non-CTP Vega

CSRSecNonCTPVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

CSRSecNonCTPVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Sec Non CTP Vega Risk Position.

CSRSecNonCTPVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionCorrelations

CSRSecNonCTPVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for CSR Sec Non CTP Vega Risk Position.

CSRSecNonCTPVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

CSRSecNonCTPVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for CSR Sec Non-CTP Vega

CSRSecNonCTPVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

CSRSecNonCTPVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to compute the weighted sensitivity for CSR Sec non-CTP Vega

CSRSecNonCTPVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaWeightedSensitivity

CSRStoreTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

CSRStoreTuplePublisher(IDatastore, String, String) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.CSRStoreTuplePublisher

CSRVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the CSR Vega stores.

CSRVegaPublisher(PublisherContext, IParameterRetriever, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.CSRVegaPublisher

Constructor

CSV_FILESCAN_RECURSIVE - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

csvAsOfDateFilescanParameters - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

csvAsOfDateFilescanParameters() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

Bean for file scan parameters for CSV files delivered by as-of date

csvAsOfDateFilescanParameters(Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

csvChannelFactory() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Channel factory bean.

csvChannelFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Channel factory bean.

csvChannelFactory - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

csvConfigurationFilescanParameters - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

csvConfigurationFilescanParameters() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

Bean for file scan parameters for configuration CSV files

csvConfigurationFilescanParameters(Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

csvHistoricalFilescanParameters - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

csvHistoricalFilescanParameters() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

Bean for file scan parameters for historical CSV files

csvHistoricalFilescanParameters(Map<String, Object>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

csvInitialLoad() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Once the ActivePivot Manager is ready, we fetch the initial data set.

csvSource() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Creates the CSVSource responsible for loading the initial data in the datastore from csv files.

csvSource() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Creates the CsvScopedFetchSource responsible for loading data in the datastore from csv files.

csvSource - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

csvSourceConfig() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

csvSourceConfiguration() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

csvSourceFilePath() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

csvTopicConfigs - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

CU - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMASummaryMeasureBuilder

cube - Variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

CUBE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

CUBE_MEASURE_PRIORITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

CUBE_MEASURE_PRIORITY_COMPARATOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

currencies - Variable in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

CURRENCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

CURRENCY_INDEX - Static variable in class com.activeviam.frtb.core.calc.FXVegaCalculations

currencyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

currency level info

currencyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

currency level info

CURRENT_SESSION_CONTEXT_CLASS - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

CURRENT_SETS_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

CurrentDatasetsPrefetcher(IMeasuresProvider, String[]) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio.CurrentDatasetsPrefetcher

CURVATURE - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

CURVATURE_CLASS_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The curvature class property name ("curvatureClass")

CURVATURE_SHOCKED_PV_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Curvature shocked PV CCY.

CURVATURE_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

CURVATURE_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_FX_DIVIDER_ELIGIBILITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_PV_APPLIED - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_RISK_WEIGHT - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_SHIFT_DOWN_PV - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_SHIFT_UP_PV - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CURVATURE_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

CurvatureCalculations - Class in com.activeviam.frtb.core.calc

CurvatureCalculations() - Constructor for class com.activeviam.frtb.core.calc.CurvatureCalculations

CurvatureDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CurvatureDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

curvatureGammaCorrelation(IQueryCache, IDatastoreVersion, IParameterRetriever, String, LocalDate, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

CurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

CurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.CurvatureMeasures

curvatureRiskClassToPublisherMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

curvatureRiskClassToStoreMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

CurvatureRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

CurvatureRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

CurvatureRiskPositionMax - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Chooses between the CVR Up and CVR Down values; based on the CVR Scenario.

CurvatureRiskPositionMax(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

CurvatureRiskPositionScenario - Class in com.activeviam.frtb.core.postprocessor.impl

Returns the selected Risk Position Scenario ("up" or "down")

CurvatureRiskPositionScenario(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

CurvatureSb - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Returns the Sb value of the curvature risk charge formula specified in [MAR21.5, (4)] in BCBS-457 Sb = sum of cvrUp, in case the upward scenario has been selected Sb = sum of cvrDown, in case the downward scenario has been selected

CurvatureSb(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

CurvatureStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Curvature store.

CurvatureToDeltaShift - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Returns the delta sensitivities for its corresponding curvature location.

CurvatureToDeltaShift(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

curvatureToDeltaShift(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

CURVE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

CURVE_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

CURVE_TYPE_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

CustomActivePivotConfig - Class in com.activeviam.frtb.ref.cfg.impl

CustomActivePivotConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

customFormatters - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

customParsers - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

D

DATA_LOAD_ENV_PROPS_FILE_PATH_SYSPROP - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Optional system property to define the path of an application 'env' properties file.

DATA_SET - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

DATA_SET_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

DATA_SET_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

dataAvailability - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

DataAvailability - Class in com.activeviam.frtb.ref.services.impl

Implementation of IDataAvailability which only returns a single measure, after checking that the data is available to evaluate this measure.

DataAvailability(DataAvailability.Factory, IActivePivot) - Constructor for class com.activeviam.frtb.ref.services.impl.DataAvailability

DataAvailability.Factory - Class in com.activeviam.frtb.ref.services.impl

dataAvailabilityFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

dataAvailabilityFactory - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

dataLoadController(List<Consumer<IDataLoadController>>) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

Spring bean for the data load controller.

dataLoadController - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

DataLoadControllerConfig - Class in com.activeviam.frtb.starter.cfg.impl

Configure a data load controller.

DataLoadControllerConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

DataLoadControllerConfig.AsOfDateScopeToRemoveWhereConditionConverter - Class in com.activeviam.frtb.starter.cfg.impl

For a scope containing an as-of date, remove all entries from the stores by as-of date.

DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter - Class in com.activeviam.frtb.starter.cfg.impl

For a scope containing an as-of date, remove entries from some stores by as-of date (with optional additional filters); other stores are ignored.

DataLoadControllerConfig.ConfigurationConditionConverter - Class in com.activeviam.frtb.starter.cfg.impl

For topics representing configuration data, delete everything.

DataLoadControllerConfig.HistoricalConditionConverter - Class in com.activeviam.frtb.starter.cfg.impl

For topics representing historical data, delete everything.

DataLoadControllerFileConfig - Class in com.activeviam.frtb.starter.cfg.impl

Configuration for turning different types of scope (e.g.

DataLoadControllerFileConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

dataLoadControllerRestService() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

DataLoadControllerSourceConfigs - Class in com.activeviam.frtb.starter.cfg.impl

Beans for IDataLoadController sources.

DataLoadControllerSourceConfigs() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

DATASET_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

DATASET_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

dataSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

dataSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

dataSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

dataSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

DatasetPrefetcher(IMeasuresProvider, String[]) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital.DatasetPrefetcher

DatasetPrefetcher(IMeasuresProvider, String[]) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler.DatasetPrefetcher

dataSourceBuilder() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBActiveMonitorAppConfig

datastore - Variable in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

datastore() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

Instantiate the datastore.

datastore() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Instantiate the datastore.

datastore() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.DummyDatastoreConfig

datastore - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

datastore - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

datastore - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfService

datastore - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

datastore - Variable in class com.activeviam.frtb.ref.parentchild.provider.BookParentChildDAO

datastore - Variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

datastore - Variable in class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner.Factory

Datastore spring configuration

datastore - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

datastore - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

DatastoreConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Spring configuration of the Datastore.

DatastoreConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

datastoreConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

datastoreConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.EsToolConfig

Datastore spring configuration

datastoreConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Application datastore, automatically wired

datastoreConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Application datastore, automatically wired

datastoreConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

DatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the Datastore.

DatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

datastoreConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Application datastore, automatically wired

datastoreConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Datastore spring configuration

datastoreConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.MonitorConfig

Datastore spring configuration

DatastoreConfig.ConcreteDatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Datastore configuration that enables an actual Datastore.

DatastoreConfig.DummyDatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Datastore configuration that with no actual Datastore creation (which is fine for a "query" node).

DatastoreCustomisations - Class in com.activeviam.frtb.starter.cfg.impl

Datastore modifications to be performed on the default Accelerator stores.

DatastoreCustomisations() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DatastoreCustomisations

datastoreCustomisations() - Method in class com.activeviam.frtb.starter.cfg.impl.DatastoreCustomisationsConfig

Returns the datastore modifications to be performed in the project, as a bean.

DatastoreCustomisationsConfig - Class in com.activeviam.frtb.starter.cfg.impl

A configuration class to set the datastore modifications to be performed in the project.

DatastoreCustomisationsConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.DatastoreCustomisationsConfig

DatastoreLookupOrganisationHierarchyMap - Class in com.activeviam.frtb.ref.services.impl

DatastoreLookupOrganisationHierarchyMap(IDistributionAwareQueryRunner, IActivePivot, Properties) - Constructor for class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

DatastoreLookupOrganisationHierarchyMap.Factory - Class in com.activeviam.frtb.ref.services.impl

datastorePublisher - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

datastoreRestService() - Method in class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

Creates the REST service for the Datastore.

DatastoreRestStoresSecurityConfig - Class in com.activeviam.frtb.ref.cfg.impl

DatastoreRestStoresSecurityConfig(IDatastoreConfig) - Constructor for class com.activeviam.frtb.ref.cfg.impl.DatastoreRestStoresSecurityConfig

datastoreService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

datastoreService() - Method in class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

Creates a service to query the datastore.

datastoreService - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

datastoreServiceConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

datastoreServiceConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

datastoreVersion - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

DATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

DATE_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

DATE_HIERARCHY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube hierarchy for Dates.

DATE_PARAM - Static variable in interface com.activeviam.frtb.ref.services.rest.IIMASummaryRestService

DatedOrgHierarchyMap<OutputType> - Class in com.activeviam.frtb.core.postprocessor.impl

Preserve the Book/Desk and Legal Entity hierarchies when loading historical values.

DatedOrgHierarchyMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

DatedOrgHierarchyMap.NamedPrefetcher<CONTEXT> - Class in com.activeviam.frtb.core.postprocessor.impl

dateFormat - Variable in class com.activeviam.frtb.core.localDate.LocalDateFormatter

Thread local simple date format.

dateFormat - Variable in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

Thread local simple date format.

dateHierarchy - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

dateLevel - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

dateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

dateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

dateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

dateLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

DATES_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

DAY_COUNT_A_360 - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Spring Bean qualifier for A/360 day count.

DAY_COUNT_A_365 - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Spring Bean qualifier for A/365 day count.

DAY_COUNT_A_365_FIXED - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Spring Bean qualifier for A/365F day count.

DAY_COUNT_DEFAULT - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Default value for "maturity-converter.day-count" property.

DAY_COUNT_PROPERTY - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Configuration Property name containing qualifier for the default day count convention: "maturity-converter.day-count".

DAY_FORMAT - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Format string to display a day date

dayCount(LocalDate, LocalDate) - Method in interface com.activeviam.frtb.core.dates.IDayCountConvention

Given two dates, calculates the fraction of a year between them.

dayCount(IActivePivot, IDatastoreVersion, LocalDate, LocalDate, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

Given start and end dates, calculate the fraction of a year between them.

dayCount(LocalDate, LocalDate) - Method in class com.activeviam.frtb.core.dates.impl.DayCountA360

dayCount(LocalDate, LocalDate) - Method in class com.activeviam.frtb.core.dates.impl.DayCountA365Fixed

dayCount(LocalDate, LocalDate) - Method in class com.activeviam.frtb.core.dates.impl.DayCountActualActualISDA

dayCount(BeanFactory, String) - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

The default implementation of IDayCountConvention.

DayCountA360 - Class in com.activeviam.frtb.core.dates.impl

Implementation of the A/360 daycount convention.

DayCountA360() - Constructor for class com.activeviam.frtb.core.dates.impl.DayCountA360

dayCountA360() - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

DayCountA365Fixed - Class in com.activeviam.frtb.core.dates.impl

Implementation of the A/365 (Fixed) day count convention.

DayCountA365Fixed() - Constructor for class com.activeviam.frtb.core.dates.impl.DayCountA365Fixed

dayCountA365Fixed() - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

DayCountActualActualISDA - Class in com.activeviam.frtb.core.dates.impl

Implementation of the Actual/Actual (ISDA) day count convention.

DayCountActualActualISDA() - Constructor for class com.activeviam.frtb.core.dates.impl.DayCountActualActualISDA

dayCountActualActualISDA() - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

dayCountConvention - Variable in class com.activeviam.frtb.core.dates.impl.LegacyMaturityConverter

dayCountConvention - Variable in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

declareFormatter() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

DEFAULT_AGGREGATION_FUNCTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager

DEFAULT_APP_ENV_PROPS_FILE_PATH - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Default application 'env' properties file used if FRTBEnvConstants.APP_ENV_PROPS_FILE_PATH_SYSPROP system property has not been explicitly set.

DEFAULT_CONFIDENCE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

DEFAULT_CONFIDENCE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

DEFAULT_CSV_SOURCE_POLLING_DELAY - Static variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

DEFAULT_CSV_SOURCE_POLLING_DELAY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DEFAULT_DATA_LOAD_ENV_PROPS_FILE_PATH - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Default data loading 'env' properties file used if FRTBEnvConstants.DATA_LOAD_ENV_PROPS_FILE_PATH_SYSPROP system property has not been explicitly set.

DEFAULT_DATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DEFAULT_DELIMITER - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_DOWNLOAD - Static variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

DEFAULT_DOWNLOAD - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_DOWNLOAD_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_DRC_VECTOR_SIZE - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DEFAULT_ES_CONFIDENCE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

DEFAULT_FILENAME_FORMAT - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_FILENAME_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_HIBERNATE_ENV_PROPS_FILE_PATH - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Default hibernate 'env' properties file used if FRTBEnvConstants.HIBERNATE_ENV_PROPS_FILE_PATH_SYSPROP system property has not been explicitly set.

DEFAULT_HIERARCHY - Static variable in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

DEFAULT_IMA_NUMBER_EXECPTIONS - Static variable in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

DEFAULT_LEVEL - Static variable in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

DEFAULT_LEVEL - Static variable in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

DEFAULT_LOOKBACK - Static variable in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

DEFAULT_LOOKBACK - Static variable in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

DEFAULT_LOOKBACK - Static variable in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

DEFAULT_MDX_FORMAT - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_MDX_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_QUERY_TIMEOUT - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

Default query timeout for queries

DEFAULT_QUERY_TIMEOUT - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

Default query timeout for queries

DEFAULT_REFERENCE_CURRENCY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_REFERENCE_CURRENCY_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_RHO - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

DEFAULT_RHO - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

DEFAULT_RHO - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

DEFAULT_RISK_CHARGE_STORE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_DIRECTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_GROSS_JTD - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_INSTRUMENT_LGD_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_MARKET_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_MARKET_VALUE_OVERRIDDEN - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_MATURITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_NOTIONAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_NOTIONAL_OVERRIDDEN - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_OBLIGOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_CHARGE_STORE_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DEFAULT_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DEFAULT_RISK_WEIGHT_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DEFAULT_SAVE - Static variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

DEFAULT_SAVE - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_SAVE_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DEFAULT_T - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

DEFAULT_VAR_CONFIDENCE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

defaultFileName - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DefaultRiskCharge - Class in com.activeviam.frtb.core.postprocessor.drc.impl

This PP calculates the Default Risk Charge.

DefaultRiskCharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

DefaultRiskChargeStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Default Risk Charge store.

DefaultRiskChargeTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles the Standardised Approach Default Risk Charge publishing.

DefaultRiskChargeTuplePublisher(IDatastore, String, IMaturityConverter) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

Constructor.

DefaultSecurityConfigurer() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig.DefaultSecurityConfigurer

Default constructor.

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

defaultValue() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

defaultValue(String) - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

defaultValue() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Generate a default value for when there are no facts below the reference location.

DELETE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

DELETE_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

DELETE_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

DELIMITER_PARAM - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DELTA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DELTA_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Delta sensitivities CCY.

DELTA_SENSITIVITIES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DELTA_SENSITIVITIES_INTERPOLATED - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DELTA_SENSITIVITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

DELTA_SENSITIVITY_CURRENCY_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The delta sensitivity currency level property name.

DELTA_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

DELTA_STORE_DELTA_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_DELTA_SENSITIVITIES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_DELTA_SENSITIVITIES_INTERPOLATED - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_FX_COMPLEX_TRADE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_FX_DIVIDER_ELIGIBILITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_FX_OTHER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_OPTIONALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_ORIGINAL_OPTIONALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_SENSITIVITY_DATES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DELTA_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DeltaDoubleSumsExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

DeltaDoubleSumsExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

deltaGammaCorrelation(IQueryCache, IDatastoreVersion, IParameterRetriever, String, LocalDate, String, String, String, String, String, String, String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

deltaRiskClassToPublisherMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

deltaRiskClassToStoreMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

deltaSensitivitiesForCurvature(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CurvatureMeasures

Produces the description of the post-processors for the delta sensitivities for curvature measures.

DeltaStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Delta store.

DeltaVerticesStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Vertices store.

DEN - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

descendentLocation(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

Add wildcards down to the descendent level

description - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Measure description.

description - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Measure description.

description - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Measure description.

DESCRIPTION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

description() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

description() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

description() - Method in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

description() - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator

description() - Method in class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

description() - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

description() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

description() - Method in class com.activeviam.frtb.ref.source.parsers.FRTBParameterValueParser

description() - Method in class com.qfs.store.service.impl.TempLikeConditionFactory

DESK - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DESK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Desks

DESK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The Desk Level property name ("deskLevel").

DESK_MODEL - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DESK_MODEL_SWITCH_DATETIME_FORMATER - Static variable in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

deskHierarchy - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

DeskModelSwitchRestService - Class in com.activeviam.frtb.ref.source.whatif.rest.services

DeskModelSwitchRestService() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

DeskModelSwitchSubmissionDTO - Class in com.activeviam.frtb.ref.source.whatif.rest.dto

DeskModelSwitchSubmissionDTO() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

DeskModelSwitchWhatIfDefinition - Class in com.activeviam.frtb.ref.whatif.definition

DeskModelSwitchWhatIfDefinition() - Constructor for class com.activeviam.frtb.ref.whatif.definition.DeskModelSwitchWhatIfDefinition

DeskModelSwitchWhatIfDefinition(ICondition, String) - Constructor for class com.activeviam.frtb.ref.whatif.definition.DeskModelSwitchWhatIfDefinition

deskModelSwtichRestService() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

deskToBooks(LocalDate) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

DETACHMENT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DETACHMENT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

DIAGONAL_CORRELATION - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

The special correlation value returned for the diagonal element; so that it doesn't get stressed.

DIFFERENTIAL_SUFFIX - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

DIFFERENTIAL_SUFFIX - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

DIFFERENTIAL_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

DifferentialSum - Class in com.activeviam.frtb.core.postprocessor.impl

Sums differential underlying measures.

DifferentialSum(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

DifferentiationStepSizeContextVal - Class in com.activeviam.frtb.core.context.impl

DifferentiationStepSizeContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

DifferentiationStepSizeContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

DifferentiationStepSizeMetadata - Class in com.activeviam.frtb.core.context.impl

DifferentiationStepSizeMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

DifferentiationStepSizeTranslator - Class in com.activeviam.frtb.core.context.impl

DifferentiationStepSizeTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

dimensions - Variable in class com.activeviam.frtb.core.calc.AggregatesMap

DIRECTION - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Direction property name for DRC ("direction")

DIRECTION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

DIRECTION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

disableRegisteringContextValueFilter(ContextValueFilter) - Method in class com.activeviam.frtb.starter.main.FRTBApplication

disableRegisteringSpringCorsFilter(SpringCorsFilter) - Method in class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

disableRegisteringSpringCorsFilter(SpringCorsFilter) - Method in class com.activeviam.frtb.starter.main.FRTBApplication

discriminatorsPaths - Static variable in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

dispatcherServletRegistration(DispatcherServlet, ObjectProvider<MultipartConfigElement>) - Method in class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

dispatcherServletRegistration(DispatcherServlet, ObjectProvider<MultipartConfigElement>) - Method in class com.activeviam.frtb.starter.main.FRTBApplication

DistributedDSViewerWhatIfRestfulService - Class in com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer

The UndistributedDSViewerWhatIfRestfulService is the restful layer on top of DSViewerWhatIfService and uses the WhatIfDistributedQueryUtils for the Meta dataAPI in a distributed frtb system.

DistributedDSViewerWhatIfRestfulService() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

DistributedFirstUnderlying<OutputType> - Class in com.activeviam.frtb.core.postprocessor.impl

Returns the first underlying measure for which one of the applications in the cluster has data.

DistributedFirstUnderlying(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

distributedQuery - Variable in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

distributedQuery - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

distributedQuery - Variable in class com.activeviam.frtb.ref.parentchild.provider.BookParentChildDAO

distributedQuery - Variable in class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner.Factory

distributedQuery() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

distributedQueryUtils - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

distributedWhatIfDatastoreRestService() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

Creates the REST service for the Datastore.

distributionAwareQueryRunner - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

distributionAwareQueryRunner - Variable in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

DistributionAwareQueryRunner - Class in com.activeviam.frtb.ref.services.impl

DistributionAwareQueryRunner(DistributionAwareQueryRunner.Factory, IActivePivot, Properties) - Constructor for class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner

DistributionAwareQueryRunner.Factory - Class in com.activeviam.frtb.ref.services.impl

distributionAwareQueryRunnerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

distributionConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

DistributionConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring Bean "distributionConfig" containing the configuration for distribution of the FRTB cubes.

DistributionConfig(String, String, String, String, String) - Constructor for class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

distributionConfig - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

distributionConfig - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability.Factory

DistributionConfig.IDistributionConfigAware - Interface in com.activeviam.frtb.ref.cfg.impl

Marker interface for injecting the DistributionConfig bean.

doBatchFor(String...) - Method in class com.activeviam.frtb.ref.workflows.batch.impl.BatchWorkflowConfig

Activates batch for a series of actions.

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.ContentServerSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig.DefaultSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ActivePivotSecurityConfigurer

doConfigure(HttpSecurity) - Method in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.ContentServerSecurityConfigurer

DOCS_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

DOCS_PATH - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

DOCTORPIVOT_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

DOCTORPIVOT_PATH - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

doFilter(ServletRequest, ServletResponse, FilterChain) - Method in class com.activeviam.frtb.cfg.impl.SpringOncePerRequestCorsFilter

Applies CORS settings.

doFullDataStoreTransaction(List<IMessageChannel<IFileInfo<Path>, ILineReader>>) - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Start a transaction on the datastore, invokes the fetch method of the csvSource and commits the transaction.

doFullDataStoreTransaction(ISource, List<IMessageChannel>) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Start a transaction on the datastore, invokes the fetch method of the csvSource and commits the transaction.

DOUBLE_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

DOUBLE_FORMAT_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

DOUBLE_SUMS_ALTERNATIVE - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Value "Alternative" for a Double Sums level (Risk Charge only)

DOUBLE_SUMS_DIFFERENT - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Value "Different" for a Double Sums level.

DOUBLE_SUMS_OTHER_BUCKET - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Value "Other" (Bucket) for a Double Sums level (Risk Charge only)

DOUBLE_SUMS_SAME - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Value "Same" for a Double Sums level.

DOUBLE_SUMS_UNDLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

DoubleAdd - Class in com.activeviam.frtb.core.postprocessor.impl

Computes the sum of two double-typed values.

DoubleAdd(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

DoubleArrayFormatter - Class in com.activeviam.frtb.core.format.impl

A formatter used to display all the elements in a double array/vector.

DoubleArrayFormatter(Locale) - Constructor for class com.activeviam.frtb.core.format.impl.DoubleArrayFormatter

DoubleArrayFormatter(Locale, String) - Constructor for class com.activeviam.frtb.core.format.impl.DoubleArrayFormatter

DoubleArrayFormatter - Class in com.activeviam.frtb.es.tool.format.impl

A formatter used to display all the elements in a double array/vector.

DoubleArrayFormatter(Locale) - Constructor for class com.activeviam.frtb.es.tool.format.impl.DoubleArrayFormatter

DoubleArrayFormatter(Locale, String) - Constructor for class com.activeviam.frtb.es.tool.format.impl.DoubleArrayFormatter

DoubleDiff - Class in com.activeviam.frtb.core.postprocessor.impl

Compute the difference between two double-typed values.

DoubleDiff(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

DoubleDivision - Class in com.activeviam.frtb.core.postprocessor.impl

Computes the division of two doubles

DoubleDivision(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

DoubleFiltering - Class in com.activeviam.frtb.core.postprocessor.impl

Extension of AFilteringPostProcessor for doubles.

DoubleFiltering(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

doubleSumsDeepestLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

DoubleVectorDisplayAll - Class in com.activeviam.frtb.ref.drillthrough.impl

DoubleVectorDisplayAll(String, String, Properties) - Constructor for class com.activeviam.frtb.ref.drillthrough.impl.DoubleVectorDisplayAll

DOWN - Static variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

down() - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

down(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

download - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

DOWNLOAD_PARAM - Static variable in interface com.activeviam.frtb.ref.services.rest.IIMASummaryRestService

DRC - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DRC_BASE_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRC stores

DRC_BUCKET_CORPORATES - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

DRC bucket for corporates.

DRC_BUCKET_LGM_SPLITTER - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Character used to split bucket members for FrtbConfigProperties.DRC_BUCKET_LOCAL_GOVERNMENTS_MUNICIPALITIES.

DRC_BUCKET_LOCAL_GOVERNMENTS_MUNICIPALITIES - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

DRC bucket for local governments or municipalities.

DRC_BUCKET_SECNONCTP_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DRC_BUCKET_SOVEREIGNS - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

DRC bucket for sovereigns.

DRC_DEFAULT_CONFIDENCE_LEVEL - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

DRC_DEFAULT_METHOD - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

DRC_DEFAULT_RISK_WEIGHTINGS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

DRC_DIRECTION_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC direction

DRC_GROSS_JTD_CURRENCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Gross JTD currency

DRC_IMA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

DRC_LGD_INSTRUMENT_TYPE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC instrument LGD type

DRC_LINEAR_SCENARIOS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DRC_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC maturity

DRC_NON_LINEAR_RECOVERY_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DRC_NON_SEC - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DRC_NON_SEC_BUCKET_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC non-Sec Bucket

DRC_NON_SEC_RATING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC non-Sec Rating

DRC_NOTIONAL_OVERRIDDEN_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Notional Overriden flag

DRC_OBLIGOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Obligor

DRC_PV_OVERRIDDEN_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC PV Overriden flag

DRC_SCENARIO_COUNT_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DRC_SCENARIOS_COUNT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA DRC stores

DRC_SCENARIOS_COUNT_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRC_SCENARIOS_STORE_COUNT - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_DEFAULT_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_OBLIGOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_SCENARIO_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_SCENARIO_RECOVERY_RATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SCENARIOS_STORE_SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

DRC_SEC_NON_CTP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DRC_SEC_NON_CTP_ATTACHMENT_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Sec non-CTP Attachment

DRC_SEC_NON_CTP_BUCKET_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Sec non-CTP Bucket

DRC_SEC_NON_CTP_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRC_SEC_NON_CTP_BUCKETS_STORE_ASSET_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DRC_SEC_NON_CTP_BUCKETS_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DRC_SEC_NON_CTP_BUCKETS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DRC_SEC_NON_CTP_BUCKETS_STORE_REGION - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

DRC_SEC_NON_CTP_DETACHMENT_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Sec non-CTP Detachment

DRC_SEC_NON_CTP_RATING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Sec non-CTP Rating

DRC_SENIORITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Seniority

DRC_SENIORITY_RANKING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

DRC_SENIORITY_RANKING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Seniority Ranking

DRC_SENIORITY_SENIOR - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

DRC seniority for senior.

DRC_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRC_TRADE_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

DRC_TRANCHE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level of DRC Tranche

DRC_VECTOR_SIZE_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

DRC_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

DRC_WEIGHT_STORE_DEFAULT_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

DRC_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

DRC_WEIGHT_STORE_RATING - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

drcCompositeTopicConfig() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRCFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

DRCFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

DRCJTDCalculations - Class in com.activeviam.frtb.core.calc

DRCJTDCalculations() - Constructor for class com.activeviam.frtb.core.calc.DRCJTDCalculations

DRCLinearIMABaseTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles the IMA Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.

DRCLinearIMABaseTuplePublisher(IDatastore, String, String, IMaturityConverter, ConcurrentNavigableMap<LocalDate, Integer>) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCLinearIMABaseTuplePublisher

Constructor.

drcLinearTuplePublisher() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

drcMaturityConverter - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

drcMaturityConverter - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

drcMaturityConverter - Variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

drcMaturityConverter - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Maturity converter

drcMaturityConverter(BeanFactory, String) - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

The implementation of IMaturityConverter to be used for SA and IMA DRC calculations.

DRCMeasureOverride - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Postprocessor that allows the overwriting of measures used in DRC calculations.

DRCMeasureOverride(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

DRCMeasures - Class in com.activeviam.frtb.core.cfg.measures

DRCMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.DRCMeasures

DRCNonLinearIMABaseTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles part of the IMA Base Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.

DRCNonLinearIMABaseTuplePublisher(IDatastore, String, ConcurrentNavigableMap<LocalDate, Integer>) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCNonLinearIMABaseTuplePublisher

Constructor.

DRCNonLinearRecoveryFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

DRCNonLinearRecoveryFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

drcNonLinearTuplePublisher() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

DRCNSMeasures - Class in com.activeviam.frtb.core.cfg.measures

DRCNSMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.DRCNSMeasures

DrcScenario - Class in com.activeviam.frtb.core.postprocessor.drc.impl

DrcScenario post processor returns the vector of profit and loss values for the selected locations.

DrcScenario(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

DRCScenarioAnalysisDimension - Class in com.activeviam.frtb.core.hierarchy.impl

On this analysis dimension we expose the DRC Scenario

DRCScenarioAnalysisDimension(IAnalysisHierarchyInfo) - Constructor for class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

DRCScenarioCountFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

DRCScenarioCountFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

DRCScenarioCountStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA DRC Scenario Count store.

DRCScenarioCountTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles part of the IMA Base Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.

DRCScenarioCountTuplePublisher(IDatastore, String, ConcurrentNavigableMap<LocalDate, Integer>) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCScenarioCountTuplePublisher

Constructor.

DRCScenarioStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA DRC Scenario store.

DRCSecNonCtpBucketDescriptionStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the DRC Sec non CTP Bucket Description store.

DRCSecNonCTPMeasures - Class in com.activeviam.frtb.core.cfg.measures

DRCSecNonCTPMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.DRCSecNonCTPMeasures

DRCWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the DRC Weight store.

DRILL_DOWN_TO - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

DRILL_IN_DATA - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

DRILL_IN_TYPE - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

DrillInConfig - Class in com.activeviam.frtb.ref.drillin

DrillInConfig() - Constructor for class com.activeviam.frtb.ref.drillin.DrillInConfig

DrillInConstants - Class in com.activeviam.frtb.ref.drillin

DrillInConstants() - Constructor for class com.activeviam.frtb.ref.drillin.DrillInConstants

drillInMdx(String, String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInRestfulService

drillInMdx(String, String) - Method in interface com.activeviam.frtb.ref.drillin.service.IDrillInRestfulService

DrillInMdxDTO - Class in com.activeviam.frtb.ref.drillin.service.dto

DrillInMdxDTO(String) - Constructor for class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

drillInMeasureRestfulService - Variable in class com.activeviam.frtb.ref.drillin.DrillInRestConfig

DrillInRestConfig - Class in com.activeviam.frtb.ref.drillin

DrillInRestConfig() - Constructor for class com.activeviam.frtb.ref.drillin.DrillInRestConfig

DrillInRestfulService - Class in com.activeviam.frtb.ref.drillin.service

DrillInRestfulService() - Constructor for class com.activeviam.frtb.ref.drillin.service.DrillInRestfulService

drillInService - Variable in class com.activeviam.frtb.ref.drillin.service.DrillInRestfulService

DrillInService - Class in com.activeviam.frtb.ref.drillin.service

DrillInService() - Constructor for class com.activeviam.frtb.ref.drillin.service.DrillInService

DSVDatastoreEditDTO - Class in com.activeviam.frtb.ref.source.whatif.rest.dto

DSVDatastoreEditDTO(String, JsonDatastoreEdit) - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

DSViewerDistributedWhatIfSubmitter - Class in com.activeviam.frtb.ref.dsviewer.whatif.submitter

The DSViewerWhatIfSubmitter service is the main way for the DS Viewer Service to interact with and submit what-if submissions to the what-if engine.

DSViewerDistributedWhatIfSubmitter() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

DSViewerServiceConfig - Class in com.activeviam.frtb.ref.dsviewer.whatif.cfg

DSViewerServiceConfig() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

Test configuration for the datastore service

DSViewerServiceConfig.VectorConv - Class in com.activeviam.frtb.ref.dsviewer.whatif.cfg

DSViewerWhatIfDefinitionUtil - Class in com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

DSViewerWhatIfDefinitionUtil() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.DSViewerWhatIfDefinitionUtil

DSViewerWhatIfException - Exception in com.activeviam.frtb.ref.dsviewer.whatif.submitter

A simple exception type used by the WhatIf Datastore Viewer Service to indicate there was an issue when persisting row additions, removals or updates to a datastore.

DSViewerWhatIfException(String) - Constructor for exception com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfException

DSViewerWhatIfManagerService - Class in com.activeviam.frtb.ref.dsviewer.whatif.service

DSViewerWhatIfManagerService() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfManagerService

DSViewerWhatIfParser - Class in com.activeviam.frtb.ref.dsviewer.whatif.service

DSViewerWhatIfParser() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

dsViewerWhatIfParser - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfService

DSViewerWhatIfService - Class in com.activeviam.frtb.ref.dsviewer.whatif.service

The DSViewerWhatIfService is the main entry way and API for the submission part of DSViewer back end service.

DSViewerWhatIfService() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfService

DSViewerWhatIfServicesConfig - Class in com.activeviam.frtb.ref.dsviewer.whatif.cfg

Configuration class does not expose REST services for Datastore.

DSViewerWhatIfServicesConfig() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerWhatIfServicesConfig

dsViewerWhatIfSubmitter - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfService

DSViewerWhatIfSubmitter - Class in com.activeviam.frtb.ref.dsviewer.whatif.submitter

The DSViewerWhatIfSubmitter service is the main way for the DS Viewer Service to interact with and submit what-if submissions to the what-if engine.

DSViewerWhatIfSubmitter() - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

DummyDatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.DummyDatastoreConfig

dynamicLevel(String, boolean, IPostProcessorDescription, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

dynamicLevel(String, boolean, Properties, String, String, String, String, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

dynamicNettingLevel(Properties, String, boolean, IPostProcessorDescription) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

E

ECONOMY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

economyLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

EMPIRICAL_DIST_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EmpiricalDistributionFunction - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Calculates the empirical cumulative function of the underlying vector as defined in [MAR32.39-40] For example given the underlying vector: [-108, 62, 1, -74, 1] the calculated vector is: [(1/5)*1,(1/5)*5,(1/5)*4,(1/5)*2,(1/5)*4]

EmpiricalDistributionFunction(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

enterBreach() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Decides if the event starts a new breach.

ENTITLEMENTS_TTL - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

env - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

env - Variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

env - Variable in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

env - Variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

env - Variable in class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

env - Variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

env - Variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

env - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerWhatIfServicesConfig

env - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

env - Variable in class com.activeviam.frtb.ref.parentchild.provider.BookParentChildDAO

env - Variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

env - Variable in class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner.Factory

Spring environment, automatically wired

env - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

env - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

environment - Variable in class com.activeviam.frtb.es.tool.cfg.impl.RestServicesConfig

EPOCH - Static variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

EPOCH_ID - Static variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

epochPolicy - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Spring environment, automatically wired

epochPolicy() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Returns the epoch policy to be used in the project, as a Spring bean.

EQ_MARKET_DATA_TYPE_ISSUER_KEY_PREFIX - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

EQTY_BUCKETS_RISK_WEIGHTS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ESContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

equals(Object) - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

equals(Object) - Method in class com.activeviam.frtb.core.utils.ObjectArrayWrapper

equals(Object) - Method in class com.activeviam.frtb.es.tool.context.impl.ESContextVal

equals(Object) - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

equals(Object) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

equals(Object) - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

equals(Object) - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

equals(Object) - Method in class com.activeviam.frtb.ref.parentchild.nodes.LegalEntityParentChildNode

equals(Object) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

equals(Object) - Method in class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

equals(Object) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition.ParentChildKey

equals(Object) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects.UnModKeys

equals(Object) - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

equals(Object) - Method in class com.activeviam.frtb.ref.utils.PublisherContext

equals(Object) - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

EQUITY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_ADVANCED_MARKET_ECONOMY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_BUCKET_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

EQUITY_BUCKETS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

EQUITY_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Buckets.

EQUITY_BUCKETS_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.StoreNames

EQUITY_BUCKETS_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

EQUITY_BUCKETS_RISK_WEIGHT_STORE_BUCKET_NUMBER - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_BUCKETS_RISK_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_BUCKETS_RISK_WEIGHT_STORE_RISK_WEIGHT_REPO - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_BUCKETS_RISK_WEIGHT_STORE_RISK_WEIGHT_SPOT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Bucket stores

EQUITY_BUCKETS_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

EQUITY_BUCKETS_STORE_ISSUER_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

EQUITY_BUCKETS_STORE_ISSUER_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

EQUITY_BUCKETS_STORE_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

EQUITY_BUCKETS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

EQUITY_CASH - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Equity Delta Double Sums.

EQUITY_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

EQUITY_DELTA_DOUBLE_SUMS_STORE_ISSUER - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_DELTA_DOUBLE_SUMS_STORE_TYPE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_DELTA_GAMMA_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_DELTA_GAMMA_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_DELTA_GAMMA_INDEX_CROSS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

EQUITY_EMERGING_MARKET_ECONOMY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_ISSUER_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Issuer.

EQUITY_LARGE_ADVANCED_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_LARGE_EMERGING_MARKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_LARGE_MARKET_CAP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_LARGE_VEGA_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

EQUITY_MARKET_DATA_ISSUER_ECONOMY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Market Data Issuer Economy.

EQUITY_MARKET_DATA_ISSUER_SECTOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Market Data Issuer Sector.

EQUITY_MARKET_DATA_MARKET_CAP_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Market Data Market Capitalization.

EQUITY_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Curvature PV Applied flag.

EQUITY_SECTOR - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

EQUITY_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

EQUITY_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

EQUITY_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

EQUITY_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

EQUITY_SMALL_ADVANCED_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_SMALL_EMERGING_MARKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_SMALL_MARKET_CAP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_SMALL_VEGA_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

EQUITY_SPOT_TO_REPO_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_SPOT_TO_REPO_DIFFERENT_ISSUER_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_TYPE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Type.

EQUITY_TYPE_REPO_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_TYPE_REPO_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Name of Equity REPO Type.

EQUITY_TYPE_SPOT_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

EQUITY_TYPE_SPOT_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Name of Equity SPOT Type.

EQUITY_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Equity Vega Double Sums.

EQUITY_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Vega Double Sums stores

EQUITY_VEGA_DOUBLE_SUMS_STORE_ISSUER - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

EQUITY_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Equity Vega Option Maturity

EquityBucketsRiskWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Equity Buckets Risk Weight store.

EquityBucketsStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Equity Buckets store.

EquityCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the Equity Curvature CVR (paragraph 53(b)).

EquityCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

EquityCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Equity Curvature measures.

EquityCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

EquityCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

EquityCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.EquityCurvaturePublisher

Constructor

EquityCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for equity curvature

EquityCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

EquityCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

EquityCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

EquityDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of Equity Delta aggregated weighted sensitivities.

EquityDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaAggregatesMap

EquityDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for Equity Delta Risk Position and Risk Charge calculations.

EquityDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.EquityDeltaCalculations

EquityDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Equity Delta Double Sums store.

EquityDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Equity Delta measures.

EquityDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

EquityDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the Equity Delta store.

EquityDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.EquityDeltaPublisher

Constructor

EquityDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for Equity Delta Risk Charge.

EquityDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

EquityDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Delta Risk Charge (or Euler Capital Allocation).

EquityDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

EquityDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the Equity Delta Risk Position (or Euler Capital Allocation).

EquityDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

EquityDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for Equity Delta Risk Position.

EquityDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

EquityDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for Equity Delta Risk Position.

EquityDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

EquityDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for equity delta

EquityDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

EquityDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the equity delta sensitivities

EquityDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

EquityVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of Equity Vega aggregated weighted sensitivities.

EquityVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

EquityVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for Equity Vega Risk Position and Risk Charge calculations.

EquityVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.EquityVegaCalculations

EquityVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Equity Vega Double Sums store.

EquityVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the Equity Vega measures.

EquityVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

EquityVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the Equity Vega store.

EquityVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.EquityVegaPublisher

Constructor

EquityVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for Equity Vega Risk Charge.

EquityVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

EquityVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

EquityVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

EquityVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the Equity Vega Risk Position (or Euler Capital Allocation).

EquityVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

EquityVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for Equity Vega Risk Position.

EquityVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

EquityVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for Equity Vega Risk Position.

EquityVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

EquityVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for equity vega

EquityVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

EquityVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

EquityVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

ERBA_DEFAULT_RISK_WEIGHTINGS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

ERBA_RATING_TYPE_LONG - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

ERBA_RATING_TYPE_SHORT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

ERBA_RISK_WEIGHT_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

ERBA_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

ERBA_RISK_WEIGHT_STORE_DEFAULT_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ERBA_RISK_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ERBA_RISK_WEIGHT_STORE_RATING - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ERBA_RISK_WEIGHT_STORE_RATING_TYPE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ERBA_RISK_WEIGHT_STORE_SENIORITY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ERBARiskWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the ERBA Risk Weight store.

error(APostProcessorErrorHandler.Context, String) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

Report an error in the post-processor computation.

error(APostProcessorErrorHandler.Context, String, Exception) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

Report a caught exception in the post-processor computation.

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String, Exception) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(String) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(ILocation, String) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(String, Exception) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(ILocation, String, Exception) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report an error in the post-processor computation.

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String, Exception) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report a caught exception in the post-processor computation.

error(String) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report an error in the post-processor computation.

error(ILocation, String) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report an error in the post-processor computation.

error(String, Exception) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report a caught exception in the post-processor computation.

error(ILocation, String, Exception) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Report a caught exception in the post-processor computation.

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever, String, Exception) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(String) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(String, Exception) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(ILocation, String) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(ILocation, String, Exception) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

error(APostProcessorErrorHandler.Context, String) - Method in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

error(APostProcessorErrorHandler.Context, String, Exception) - Method in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

errorHandler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

errorHandler - Variable in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

errorHandler() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

The Spring bean for the IPostProcessorErrorHandler implementation.

errorValue - Variable in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

ES - Static variable in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalc

ES - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Computes the Expected Shortfall (ES) of the underlying vector.

ES(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ES

ES_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

ES_INCREMENTAL_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

ES_STRESS_PERIOD_STORE - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

ES store

escapeMdxQuery(String) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Escapes a MDX query for inclusion in Angular.

ESContextMetadata - Class in com.activeviam.frtb.core.context.impl

ESContextMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.ESContextMetadata

ESContextVal - Class in com.activeviam.frtb.core.context.impl

ESContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.ESContextVal

ESContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.ESContextVal

ESContextVal - Class in com.activeviam.frtb.es.tool.context.impl

ESContextVal() - Constructor for class com.activeviam.frtb.es.tool.context.impl.ESContextVal

ESContextVal(double) - Constructor for class com.activeviam.frtb.es.tool.context.impl.ESContextVal

ESCurrentRatio - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Compute the current ES ratio: ES_F,C / ES_R,C where: ES_F,C is the expected shortfall measure based on the current (most recent) 12-month observation period with a full set of risk factors ES_R,C is the expected shortfall measure based on the current period with a reduced set of risk factors This value contributes to the computation defined in the Basel Committee specification document for FRTB ISBN 978-92-9197-416-0 (d352.pdf) in section 181 (d) page 53 and according to section 181 (e) only needs to be updated (at least) once a month.

ESCurrentRatio(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

ESCurrentRatio.CurrentDatasetsPrefetcher - Class in com.activeviam.frtb.core.postprocessor.ima.impl

ESForRiskCapital - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Compute the ES for risk capital, i.e the ratio: ES_R,S * ES_F,C / ES_R,C where: ES_R,S is the expected shortfall based on a stressed observation period using a reduced set of risk factors ES_F,C is the expected shortfall measure based on the current (most recent) 12-month observation period with a full set of risk factors ES_R,C is the expected shortfall measure based on the current period with a reduced set of risk factors That computation is defined in the Basel Committee specification document for FRTB ISBN 978-92-9197-416-0 (d352.pdf) in section 181 (d) page 53

ESForRiskCapital(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

ESForRiskCapital.DatasetPrefetcher - Class in com.activeviam.frtb.core.postprocessor.ima.impl

ESForRiskCapitalEuler - Class in com.activeviam.frtb.core.postprocessor.ima.impl

ESForRiskCapitalEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

ESForRiskCapitalEuler.DatasetPrefetcher - Class in com.activeviam.frtb.core.postprocessor.ima.impl

ESLHAdjEuler - Class in com.activeviam.frtb.core.postprocessor.ima.impl

ESLHAdjEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

ESStressPeriod - Class in com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl

Post processor that implements a sliding window strategy for extracting the loss.

ESStressPeriod(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriod

esStressPeriod(String, String) - Method in interface com.activeviam.frtb.es.tool.rest.service.IFrtbEsToolRestService

esStressPeriod(String, String) - Method in class com.activeviam.frtb.es.tool.rest.service.impl.FrtbEsToolRestService

Rest service that will write the ES stress period in a csv file
It is accessible at url pivot/rest/v1/frtbestool/esstressperiod
Parameters directory, filename and delimiter are optional, if not present default values will be used.

ESStressPeriodResultType - Class in com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl

ESStressPeriodResultType(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriodResultType

ESStressPeriodSlidingWindowContextVal - Class in com.activeviam.frtb.es.tool.context.impl

ESStressPeriodSlidingWindowContextVal() - Constructor for class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

ESStressPeriodSlidingWindowContextVal(int) - Constructor for class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

ESStressPeriodSlidingWindowTranslator - Class in com.activeviam.frtb.es.tool.context.impl

ESStressPeriodSlidingWindowTranslator() - Constructor for class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

ESStressPeriodStoreDesc() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

EsToolActivePivotBranchPermissionsManagerConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

EsToolActivePivotBranchPermissionsManagerConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.EsToolActivePivotBranchPermissionsManagerConfig

EsToolConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

EsToolConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.EsToolConfig

EsToolDatastoreRestStoresSecurityConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

EsToolDatastoreRestStoresSecurityConfig(IDatastoreConfig) - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreRestStoresSecurityConfig

EsToolDatastoreServiceConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

EsToolDatastoreServiceConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

ESTranslator - Class in com.activeviam.frtb.core.context.impl

ESTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ESTranslator

EU - Static variable in class com.activeviam.frtb.core.constants.FRTBParameterSets

EULER - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Euler Measure ("euler").

euler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

Determines which calculation should be used.

euler - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

Determines which calculation should be used.

EULER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

EULER_ANALYTICAL_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

EULER_CAPITAL_ALLOCATION_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

EULER_CAPITAL_ALLOCATION_TECHNICAL_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

EULER_NUMERICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

EULER_NUMERICAL_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

EulerMeasures - Class in com.activeviam.frtb.core.cfg.measures

Utility class to help build the incremental measures; also used for the numerical Euler measures.

EulerMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.EulerMeasures

EulerMeasures.EulerMeasuresChainFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.EulerRiskMeasuresChainFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionAggregatesMapRiskChargeFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionAggregatesMapRiskPositionFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionRiskChargeDoubleSumsFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionRiskChargeEulerFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionRiskPositionDoubleSumsFactory - Interface in com.activeviam.frtb.core.cfg.measures

EulerMeasures.PostProcessorDescriptionRiskPositionEulerFactory - Interface in com.activeviam.frtb.core.cfg.measures

evaluate(List<Object>) - Method in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

evaluate(List<Object>) - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator

evaluate(List<Object>) - Method in class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

Attempts to return a DRC overridden measure, with a fallback on the trade measure.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

Calculates the risk weight

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

There is only one underlying measure here: Squared ES (Liquidity Adj.)

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

Evaluate IMA Risk Charge

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

There are two underlying measures here: the measure at index 0 is contributors.COUNT the measure at index 1 is Previous LH contributors.COUNT is present only so to retrieve all the members that are present in the cube for the current location when it is queried. Previous LH is used to compute the coefficients

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

There is only one underlying measure here: contributors.COUNT.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

Multiplies the underlying measure (if not null or zero) by -1.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

There are two underlying measures here: the measure at index 0 is ES (Capital Constrained) the measure at index 1 is ES (Capital Unconstrained) If there are constrained vectors for the respective asOfDate, returns the computation:
rho + (1 - rho) * ES (Capital Constrained)/ES (Capital Unconstrained), otherwise returns null

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

There is only one underlying measure here: the IVector that we want to expand.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

There is only one underlying measure here: Squared ES (Liquidity Adj.)

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

Evaluates VAR through a sliding window on input vector in underlyingMeasures

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

Evaluates VAR through a sliding window on input vector in underlyingMeasures

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

Returns the scaled single value from the vector

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

Computes the division of two doubles in underlyingMeasures, first value is the numerator, second the denominator

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLES

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

Returns the scaled single value from the vector

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

Returns the scaled single value from the vector

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

evaluate(ILocation, NavigableMap<LocalDate, T>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Evaluate the post-processor value.

evaluate(ILocation, NavigableMap<LocalDate, Double>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

evaluate(ILocation, NavigableMap<LocalDate, Double>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.MeanLookback

evaluate(ILocation, NavigableMap<LocalDate, Double>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.VectoriseLookback

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

evaluate(ILocation, Object[], Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

This method is called to evaluate the post processor value on a given location

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

Computes the empirical cumulative distribution function of a vector For each value x in the underlying vector, the empirical distribution is the product of 1/vector_length and the number of elements less than or equal to x.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

evaluate(ILocation, NavigableMap<LocalDate, Integer>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

Computes the vector of ranks for the underlying vector.

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

evaluate(ILocation, NavigableMap<LocalDate, Double>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviationLookback

evaluate(ILocation, NavigableMap<LocalDate, Integer>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

evaluate(ILocation, NavigableMap<LocalDate, Double>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarianceLookback

evaluate(ILocation, Object[], Object[]) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriod

The strategy implemented here is a tail mean (simple ES) on the vector in underlyingMeasures

evaluate(ILocation, Object[]) - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriodResultType

Return value presents in array underlyingMeasures[0] at index resulType

evaluate(Object) - Method in class com.activeviam.frtb.ref.drillthrough.impl.DoubleVectorDisplayAll

EVALUATE_FOR_MEASURES_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

The target measure property name.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

Uses DRCJTDCalculations.calculateDRC(double, double, double) } to calculate the DRC at the bucket level.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

Uses DRCJTDCalculations.calculateGrossJTD(double, double, double) to calculate the Gross JTD at the given location.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

Uses DRCJTDCalculations.getLGD(String, LocalDate, String, IDatastoreVersion, IQueryCache, IParameterRetriever) } to calculate the scaling factor.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

Uses DRCJTDCalculations.calculateScalingFactor(String, LocalDate, String, IDatastoreVersion, IQueryCache, IParameterRetriever, IMaturityConverter) } to calculate the scaling factor.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

Uses DRCJTDCalculations.calculateWtS(double, double) to calculate the WtS ratio.

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

Perform the evaluation of the post processor on a leaf (as defined in the properties).

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

Perform the evaluation of the post processor on a leaf (as defined in the properties).

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

There is only one underlying measure here: ES (Capital).

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

Only one underlying is used here: ES (PnL Vector).

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

There are two underlying measures here: the measure at index 0 is ES (Capital Constrained) the measure at index 1 is ES (Capital Unconstrained) If the risk class level is present in the location, returns rho * ES (Capital Unconstrained) if the risk class member is FRTBConstants.RISK_CLASS_ALLIN, otherwise returns (1 - rho) * ES (Capital Constrained). Otherwise return the computation:
rho * ES (Capital Unconstrained) + (1 - rho) * ES (Capital Constrained)

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

There is only one underlying measure here: ES (Capital).

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

underlying measures 0: the portfolio or sub vector on which to calculate the mean
underlying measures 1: the netting level vector from which the indices of the bottom K values are taken

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

evaluateLeaf(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

evaluateRiskChargeDoubleSums(Object, Object, double, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Calculate the current locations contribution to the Risk Charge double sums

evaluateRiskChargeDoubleSums(AggregatesMap.Key, Object, boolean, List<String>, double, IDictionary<Object>, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Calculate the current locations contribution to the Risk Charge double sums

evaluateRiskChargeDoubleSums(AggregatesMap.Key, Object, boolean, double, IDictionary<Object>, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

evaluateRiskChargeDoubleSums(AggregatesMap.Key, String, boolean, List<String>, double, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Calculate the contribution of the current location towards the Risk Charge double sums.

evaluateRiskChargeDoubleSums(AggregatesMap.Key, Object, boolean, double, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

Calculate the contribution of the current location towards the Risk Charge double sums.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, T, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

For the given risk factor, return the corresponding contribution to the double sums.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, T, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

For the given risk factor, return the corresponding vector of double sums.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Commodity Delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR non Sec risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Equity delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR non Sec risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

Calculate the correlated weighted sensitivities for the GIRR delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Equity delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR Sec CTP risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Equity delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

Override to handle "other" bucket differently, see paragraph 87.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR non Sec risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Equity delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, double, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Equity delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

Calculate the correlated weighted sensitivities for the FX delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the Fx delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR non Sec risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

Calculate the correlated weighted sensitivities for the GIRR delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the GIRR delta risk position.

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Double, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

evaluateRiskMeasureDoubleSums(AggregatesMap.Key, List<Object>, Object, AggregatesMap, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

Calculate the correlated weighted sensitivities for the CSR non Sec risk position.

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Calculate the correlated weighted sensitivities for the Commodity Delta risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

Calculate the correlated weighted sensitivities for the Commodity Vega risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Calculate the correlated weighted sensitivities for the Equity Delta risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

Calculate the correlated weighted sensitivities for the CSR Non Sec Vega risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

Calculate the correlated weighted sensitivities for the CSR Sec CTP risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

Calculate the correlated weighted sensitivities for the CSR Sec CTP Vega risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

Calculate the correlated weighted sensitivities for the Equity Delta risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

Calculate the correlated weighted sensitivities for the CSR Sec non CTP Vega risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Calculate the double sums for the Equity Delta risk position.

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

Calculate the double sums for the Equity Delta risk position.

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap) - Static method in class com.activeviam.frtb.core.calc.FXDeltaCalculations

Calculate the correlated weighted sensitivities for the FX Delta risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

Calculate the correlated weighted sensitivities for the FX Vega risk position (omits rho correlations contribution)

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

Calculate the correlated weighted sensitivities for the GIRR delta risk position

evaluateRiskPositionDoubleSums(AggregatesMap.Key, AggregatesMap, IVector, IVector) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

Calculate the correlated weighted sensitivities for the GIRR vega risk position

EXCEPTION - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_975 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_975_ACTUAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_975_COUNT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_975_DATES - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_975_HYPOTHETICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_99 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_99_ACTUAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_99_COUNT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_99_DATES - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

EXCEPTION_99_HYPOTHETICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

execute(IRecordQuery) - Method in interface com.activeviam.frtb.core.services.IDistributionAwareQueryRunner

Execute a datastore query.

execute(String, ICondition, String...) - Method in interface com.activeviam.frtb.core.services.IDistributionAwareQueryRunner

Execute a datastore query.

execute(IRecordQuery) - Method in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

EXECUTE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

executeMdxQuery(LocalDate, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

executeQuery(IRecordQuery) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

exitBreach() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Decides if the event stops the current breach.

EXOTIC_UNDERLYING - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

EXOTIC_UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

ExoticResidualRiskWeight - Class in com.activeviam.frtb.core.context.impl

ExoticResidualRiskWeight() - Constructor for class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

ExoticResidualRiskWeight(double) - Constructor for class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

ExoticResidualRiskWeightMetadata - Class in com.activeviam.frtb.core.context.impl

ExoticResidualRiskWeightMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

ExoticResidualRiskWeightTranslator - Class in com.activeviam.frtb.core.context.impl

ExoticResidualRiskWeightTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

exoticUnderlyingLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

EXPAND_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

EXPAND_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

expandLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Expand the current location to the reference location, but keep the same levels, replacing members with wildcards.

expandPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Create the prefetcher named "BasePrefetcher" for fetching the target measure at the expanded location.

ExpandRiskFactor - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Maps the risk factor level into it's constituent levels.

ExpandRiskFactor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

expansionProcedure(Collection<ILevelInfo>, IAggregatesRetrievalResult, ILocationPattern) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Create the expansion procedure to perform the Cartesian product of the non-leaf level range coordinates with the leaf level range coordinates in order to generate all the desired target locations.

expansionProcedure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

export(String, String, Boolean, Boolean, UriInfo) - Method in interface com.activeviam.frtb.ref.services.rest.IIMASummaryRestService

export(String, String, Boolean, Boolean, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

export(String, String, Boolean, Boolean, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

EXPORT_BOOKMARKS_TO_FILE - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The properties entry that determines whether bookmarks should be exported to a file.

EXPORT_BOOKMARKS_TO_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The properties entry that determines whether bookmarks should be exported to a folder.

EXPORT_DIRECTORY_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

exportDirectory - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

exService - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

extractDistinctTuples(Collection<Object[]>) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Extracts unique tuples from an incoming list.

extractMeasureHierarchyFromMdxString(String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

F

Factory() - Constructor for class com.activeviam.frtb.core.services.impl.SimpleDataAvailability.Factory

Factory(Map<String, Collection<String>>, Map<String, Collection<String>>, String) - Constructor for class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager.Factory

Factory() - Constructor for class com.activeviam.frtb.ref.services.impl.DataAvailability.Factory

Factory() - Constructor for class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap.Factory

Factory() - Constructor for class com.activeviam.frtb.ref.services.impl.DistributionAwareQueryRunner.Factory

FAILURE - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

fields - Variable in class com.activeviam.frtb.core.utils.ObjectArrayWrapper

FieldValuePair(String, Object) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects.FieldValuePair

FILE_BASED_IMPL - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

FILE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

FILE_PATTERN_PREFIX - Static variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

fileName - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

FILENAME_PARAM - Static variable in interface com.activeviam.frtb.es.tool.rest.service.IFrtbEsToolRestService

FILENAME_PARAM - Static variable in interface com.activeviam.frtb.ref.services.rest.IIMASummaryRestService

filescanParameters - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

filter - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

FilterableBuilder() - Constructor for class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.FilterableBuilder

FilterCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Filters the CVR values to be either positive or negative.

FilterCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

filteredLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

Generate a filtered leaf location by setting the risk class and risk measure.

filteredLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

Generate a filtered leaf location by setting the risk class and risk measure.

filteredLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

Generate a filtered leaf location by setting the risk class and risk measure.

filterMember - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

filterMembers(List<ILevelInfo>, List<String>) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

filterNodesByDiff(ParentChildNode<?>, Map<String, BookParentChildNode>) - Method in class com.activeviam.frtb.ref.parentchild.provider.BookNodeTreeFilter

filterNodesByDiff is a very specific method for creating the intersected and merged tree of two existing trees.

filterNodesByDiff(ParentChildNode<?>, Map<String, Node>) - Method in interface com.activeviam.frtb.ref.parentchild.provider.ParentChildNodeTreeFilter

FilterPrefetcher(IMeasuresProvider) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter.FilterPrefetcher

FilterPrefetcher(IMeasuresProvider) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter.FilterPrefetcher

FilterPrefetcher(IMeasuresProvider) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector.FilterPrefetcher

filters - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

filters - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

FILTERS_PROPERTY - Static variable in class com.activeviam.frtb.core.utils.ReferenceLevelUtils

folder - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Measure folder.

folder - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Measure folder.

folder - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Measure folder.

FOLDER_NAME_SEPARATOR - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

FOLDER_NAME_SEPARATOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

FOLDER_NAME_SEPARATOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

forEntities(List<? extends ISentinelEvent>, BiFunction<ISentinelEvent, IWorkflowPayload, IWorkflowPayload>) - Method in class com.activeviam.frtb.ref.workflows.batch.impl.BatchEventProcessExecutor

format(Boolean) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

format(Boolean) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

format(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

format(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

format(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

format(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

format(Object) - Method in class com.activeviam.frtb.core.format.impl.DoubleArrayFormatter

format(Object) - Method in class com.activeviam.frtb.core.format.impl.IntegerArrayFormatter

format(Object) - Method in class com.activeviam.frtb.core.format.impl.ObjectArrayFormatter

format(Object) - Method in class com.activeviam.frtb.core.localDate.LocalDateFormatter

format(LocalDate) - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

format(Object) - Method in class com.activeviam.frtb.es.tool.format.impl.DoubleArrayFormatter

format(Object) - Method in class com.activeviam.frtb.es.tool.format.impl.IntegerArrayFormatter

format(Object) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

format(LocalDate) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

format(LogRecord) - Method in class com.activeviam.frtb.starter.logging.QFSFormatter

formatCaption(String) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

formatExpiration(long) - Static method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Formats the expiration date of a parameter change.

formatIVector(IVector) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

Utility method that writes to a string every member of a vector separated by a semicolon

formatMember(String, String) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

formatMessage(APostProcessorErrorHandler.Context, String) - Method in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

formatMessage(StringBuilder, APostProcessorErrorHandler.Context, String) - Method in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

formatNull() - Method in class com.activeviam.frtb.core.localDate.LocalDateFormatter

formatNull() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

formatter - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Measure formatter.

formatter - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Measure formatter.

formatter - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Measure formatter.

formatValue(Object) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

formula(String, boolean, String, String, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

forUser(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.NamedBuilder

Sets the name of the user owning and executing the monitor.

fromDto(DeskModelSwitchSubmissionDTO) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

fromDto(DeskModelSwitchSubmissionDTO, DeskModelSwitchWhatIfDefinition) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

FRTB_CLUSTER_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot FRTB Cluster.

FRTB_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of Distributed FRTB ActivePivot Cube.

FRTB_MANAGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ActivePivot Mananger name.

FRTB_MODEL - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FRTB Model

FRTB_PARAMETERS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

FRTB_PARAMETERS_KEY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FRTB_PARAMETERS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

FRTB_PARAMETERS_STORE_KEY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FRTB_PARAMETERS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FRTB_PARAMETERS_STORE_VALUE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FRTB_PARAMETERS_VALUE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FRTB_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of Distributed FRTB ActivePivot Schema.

FRTB_SELECTED_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FRTBActiveMonitorAppConfig - Class in com.activeviam.frtb.ref.cfg.impl

This defines all beans that can only be set in a client project and that are required by the application.
This includes: task assigner, database configuration, ...

FRTBActiveMonitorAppConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBActiveMonitorAppConfig

FRTBActiveMonitorApplication - Class in com.activeviam.frtb.ref.main

FRTBActiveMonitorApplication() - Constructor for class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

FRTBActiveMonitorConfig - Class in com.activeviam.frtb.ref.cfg.impl

ActiveMonitor application configuration.

FRTBActiveMonitorConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBActiveMonitorConfig

FRTBActiveMonitorDatasourceBuilder - Class in com.activeviam.frtb.ref.persistence.impl

This is an example of how to implement a custom data source for ActiveMonitor databases.

FRTBActiveMonitorDatasourceBuilder() - Constructor for class com.activeviam.frtb.ref.persistence.impl.FRTBActiveMonitorDatasourceBuilder

Constructor

FRTBApplication - Class in com.activeviam.frtb.starter.main

SpringBoot starter class for ActivePivot

FRTBApplication() - Constructor for class com.activeviam.frtb.starter.main.FRTBApplication

FRTBConfig - Class in com.activeviam.frtb.starter.cfg.impl

Spring configuration of the ActivePivot FRTB application.

FRTBConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

FrtbConfigProperties - Class in com.activeviam.frtb.core.constants

FrtbConfigProperties() - Constructor for class com.activeviam.frtb.core.constants.FrtbConfigProperties

frtbConfigProperties - Variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

frtbConfigProperties - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

frtbConfigProperties() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBResourcesConfig

Bean that loads the postprocessor properties from the frtb-config.properties file.

FRTBConstants - Class in com.activeviam.frtb.core.constants

Class from various frtb related constants

FRTBConstants() - Constructor for class com.activeviam.frtb.core.constants.FRTBConstants

FRTBCorsFilterConfig - Class in com.activeviam.frtb.cfg.impl

FRTBCorsFilterConfig() - Constructor for class com.activeviam.frtb.cfg.impl.FRTBCorsFilterConfig

FRTBCorsFilterConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

FRTBCorsFilterConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.FRTBCorsFilterConfig

frtbCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

FRTBCustomActiveViamRestServicesConfig - Class in com.activeviam.frtb.starter.cfg.impl

A Spring configuration which imports all the REST services (Pivot, JWT, Content service, Datastore).

FRTBCustomActiveViamRestServicesConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.FRTBCustomActiveViamRestServicesConfig

FRTBDataLoadConstants - Class in com.activeviam.frtb.ref.cfg.constants

Class for various frtb data loading related constants

FRTBDataLoadConstants() - Constructor for class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

FRTBDefaultCellPropertiesHandler - Class in com.activeviam.frtb.core.cfg.ui

FRTBDefaultCellPropertiesHandler() - Constructor for class com.activeviam.frtb.core.cfg.ui.FRTBDefaultCellPropertiesHandler

FRTBEnvConstants - Class in com.activeviam.frtb.ref.cfg.constants

Class from various frtb environment related constants

FRTBEnvConstants() - Constructor for class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

FrtbEsToolRestService - Class in com.activeviam.frtb.es.tool.rest.service.impl

Implementation of frtb ES tool rest services
Url to access the services is pivot/rest/v1/frtbestool

FrtbEsToolRestService(IQueriesService, Environment) - Constructor for class com.activeviam.frtb.es.tool.rest.service.impl.FrtbEsToolRestService

FRTBI18nConfig - Class in com.activeviam.frtb.ref.cfg.impl

Initialize the cube formatters

FRTBI18nConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBI18nConfig

FRTBModelFilter - Class in com.activeviam.frtb.core.postprocessor.combined.impl

FRTBModelFilter(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

FRTBParameterConfig - Class in com.activeviam.frtb.ref.cfg.impl

FRTBParameterConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBParameterConfig

FRTBParameters - Class in com.activeviam.frtb.core.constants

FRTBParameters() - Constructor for class com.activeviam.frtb.core.constants.FRTBParameters

FRTBPARAMETERS - Static variable in class com.activeviam.frtb.core.constants.StoreNames

FRTBParameterSetPriorities - Class in com.activeviam.frtb.ref.parameter.impl

Implementation of IParameterSetPriorities which loads parameter sets from a parent/child table.

FRTBParameterSetPriorities(IDatastoreVersion, IQueryCache, String) - Constructor for class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

Builds a map of all jurisdiction and there priority in terms of retrieving specific parameters

FRTBParameterSets - Class in com.activeviam.frtb.core.constants

FRTBParameterSets() - Constructor for class com.activeviam.frtb.core.constants.FRTBParameterSets

FRTBParameterSetSelector - Class in com.activeviam.frtb.ref.parameter.impl

Determine the best as-of date and parameter set combination.

FRTBParameterSetSelector() - Constructor for class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetSelector

FRTBParametersLookup - Class in com.activeviam.frtb.core.parameter.impl

Implementation of IParameterRetriever and IUnfilteredParameterRetriever.

FRTBParametersLookup(IParameterSetSelector) - Constructor for class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

FRTBParametersStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the FRTB Parameters store.

frtbParameterStores() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Bean that returns a list of all the parameter store descriptions.

frtbParameterStores - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A list of all the parameter stores defined in the core.

FRTBParametersUtils - Class in com.activeviam.frtb.core.utils

Utility class for retrieving FRTB Parameters from FRTBParameters Store

FRTBParametersUtils() - Constructor for class com.activeviam.frtb.core.utils.FRTBParametersUtils

FRTBParameterValueColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

FRTBParameterValueColumnCalculator(IDatastore, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.FRTBParameterValueColumnCalculator

FRTBParameterValueParser - Class in com.activeviam.frtb.ref.source.parsers

FRTBParameterValueParser() - Constructor for class com.activeviam.frtb.ref.source.parsers.FRTBParameterValueParser

FRTBPostProcessorConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the ActivePivot FRTB application.

FRTBPostProcessorConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

frtbPostProcessorConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

ActivePivot spring configuration

FRTBPostProcessorConfig.SingletonErrorHandlerWrapper - Class in com.activeviam.frtb.ref.cfg.impl

Thin wrapper around the FRTBPostProcessorConfig.errorHandler() Spring bean which delegates all calls to the instance of the bean.

FRTBResourcesConfig - Class in com.activeviam.frtb.starter.cfg.impl

A Spring configuration which loads various configuration files from the resources

FRTBResourcesConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.FRTBResourcesConfig

FRTBRestServicesConfig - Class in com.activeviam.frtb.starter.cfg.impl

Configuration class that defines custom rest services.

FRTBRestServicesConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

frtbSchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

FRTBTaskAssigner - Class in com.activeviam.frtb.ref.workflows.tasks

FRTB task assigner.

FRTBTaskAssigner() - Constructor for class com.activeviam.frtb.ref.workflows.tasks.FRTBTaskAssigner

FRTBTupleKey - Class in com.activeviam.frtb.ref.utils

FRTBTupleKey(LocalDate, String, String) - Constructor for class com.activeviam.frtb.ref.utils.FRTBTupleKey

FRTBWhatIfSecurityManager - Class in com.activeviam.frtb.ref.source.whatif.cfg

FRTBWhatIfSecurityManager() - Constructor for class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

FRTBWorkflowConfig - Class in com.activeviam.frtb.ref.cfg.impl

FRTBWorkflowConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

FULL_SET_CURRENT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FullAutoCommitTuplePublisher<I> - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Extension of the AutoCommitTuplePublisher that opens a transaction on all stores.

FullAutoCommitTuplePublisher(ITuplePublisher<I>, ITransactionManager) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.FullAutoCommitTuplePublisher

FX - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX - Static variable in class com.activeviam.frtb.core.constants.StoreNames

FX - Class in com.activeviam.frtb.core.postprocessor.fxconversion.impl

Provides dynamic aggregation of values in multiple currencies, with conversion into a contextual reference currency.

FX(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

constructor

FX_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Buckets.

FX_BUCKETS_ORIGINAL_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Original Buckets.

FX_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Parameter stores

FX_BUCKETS_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

FX_BUCKETS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

FX_BUCKETS_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

FX_COMPLEX_TRADE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FX_COMPLEX_TRADE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

FX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

FX_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

FX_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

FX_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

FX_COUNTER_CCY_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Fx counter ccy property name ("fxCounterCcyLevel")

FX_COUNTER_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Counter CCY.

FX_CURVATURE_DIVIDER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX_CURVATURE_DIVIDER_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Fx divider eligibility property name ("fxCurvatureDividerLevel")

FX_CURVATURE_DIVIDER_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Curvature Divider flag.

FX_CURVATURE_RISK_FACTOR_DELIMITER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX_DATA_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

FX_DELIM - Static variable in class com.activeviam.frtb.ref.source.colcalcs.RiskFactorColumnCalculator

FX_DELTA_COMPLEX_TRADE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Delta Complex Trade flag.

FX_DELTA_DIVIDER_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Delta Divider flag.

FX_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for FX Delta Double Sums.

FX_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

FX_DELTA_DOUBLE_SUMS_STORE_CURRENCY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_DELTA_OTHER_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Delta Other Currency.

FX_DELTA_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX_DELTA_RW_SELECTED_PAIR_ADJUSTMENT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SqRt(2)

FX_DELTA_SPECIAL_CROSSES_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

FX_DELTA_SPECIAL_CROSSES_STORE_DEN - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_DELTA_SPECIAL_CROSSES_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_DELTA_SPECIAL_CROSSES_STORE_NUM - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_DIVIDER_ELIGIBILITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FX_DIVIDER_ELIGIBILITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

FX_DIVIDER_ELIGIBILITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

FX_OTHER_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FX_OTHER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

FX_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Curvature PV Applied flag.

FX_RATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

FX_RATES_LEAF_LEVELS - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

List of additional FX Rates Leaf levels value

FX_SPECIAL_CROSSES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

FX_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

FX_STORE_BASE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

FX_STORE_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

FX_STORE_FX_RATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

FX_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

FX_USE_DIVIDER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

FX_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for FX Vega Double Sums.

FX_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

FX_VEGA_DOUBLE_SUMS_STORE_CURRENCY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_VEGA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_VEGA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

FX_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for FX Vega Option Maturity

FxBucketsExpansionProcedure() - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure

FxBucketsExpansionProcedureIterator() - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

fxBucketsLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxBucketsOriginalLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxBucketsPublisher - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

FxBucketsStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the FX Buckets store.

fxCalculatedDividerElibilitiyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxCalculatedOptionalityLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxComplexTradeFlagLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxCounterCcyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

FxCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the FX Curvature CVR (paragraph 53(b)).

FxCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

FxCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the FX Curvature measures.

FxCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

FXCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

FXCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.FXCurvaturePublisher

Constructor

FXCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for fx curvature

FXCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

FXDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of FX Delta aggregated weighted sensitivities.

FXDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaAggregatesMap

FXDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for FX Delta calculations.

FXDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.FXDeltaCalculations

FxDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the FX Delta Double Sums store.

FxDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the FX Delta measures.

FxDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

FXDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the FX Delta store.

FXDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.FXDeltaPublisher

Constructor

FxDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for FX Delta Risk Charge.

FxDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

FxDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the GIRR Delta Risk Charge (or Euler Capital Allocation).

FxDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

FxDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FxDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

FXDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for FX Delta Risk Position.

FXDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionCorrelations

FXDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for FX Delta Risk Position.

FXDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

FXDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for fx delta

FXDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

FXDeltaSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FXDeltaSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

Constructor

FXDeltaSensitivity.FxBucketsExpansionProcedure - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

The expansion procedure that will compute the fx Buckets depending on the jurisdiction

FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

The expansion iterator created by a FXDeltaSensitivity.FxBucketsExpansionProcedure.

FxDeltaSpecialCrossesStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the FX Delta Special Crosses store.

FxDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Compute the weighted sensitivities for FX delta

FxDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

FXExpandRiskFactor - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FXExpandRiskFactor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

FXHandler - Class in com.activeviam.frtb.core.postprocessor.fxconversion.impl

FXHandler extends for the abstract class AAggregatesContinuousHandler.

FXHandler(IActivePivotVersion) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

Constructor

FxMajorCcyPairAdjustment - Class in com.activeviam.frtb.core.context.impl

FxMajorCcyPairAdjustment() - Constructor for class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

FxMajorCcyPairAdjustment(boolean) - Constructor for class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

FxMajorCcyPairAdjustmentTranslator - Class in com.activeviam.frtb.core.context.impl

FxMajorCcyPairAdjustmentTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

FxMajorCurrencyAdjustmentUtil - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Utility to check if a FX pair qualifies for an adjustment in the weighting.

FxMajorCurrencyAdjustmentUtil() - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxMajorCurrencyAdjustmentUtil

fxMemberTripletsIterator - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

fxOriginalDividerElibilitiyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxOriginalOptionalityLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxOtherCurrencyLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

fxRates - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

fxRates - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

fxRates - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

FX Rates Service

fxRates(Environment) - Method in class com.activeviam.frtb.ref.cfg.impl.FxRatesServiceConfig

FX Rates service bean.

FxRates - Class in com.activeviam.frtb.ref.services.impl

FxRates(String) - Constructor for class com.activeviam.frtb.ref.services.impl.FxRates

fxRatesLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

fxRatesLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

FxRatesServiceConfig - Class in com.activeviam.frtb.ref.cfg.impl

FxRatesServiceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FxRatesServiceConfig

FXShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FXShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

FxStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the FX store.

FXStream - Class in com.activeviam.frtb.core.postprocessor.fxconversion.impl

FXStream Listen to the forex store and publish event into the ActivePivot continuous query engine

FXStream(IAggregatesContinuousQueryEngine, IMultiVersionActivePivot) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXStream

Constructor.

fxTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

FXVector - Class in com.activeviam.frtb.core.postprocessor.fxconversion.impl

Provides dynamic aggregation of values in multiple currencies, with conversion into a contextual reference currency.

FXVector(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

constructor

FXVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of FX Vega aggregated weighted sensitivities.

FXVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

FXVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for FX Vega calculations.

FXVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.FXVegaCalculations

FxVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the FX Vega Double Sums store.

FxVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the FX Vega measures.

FxVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

FXVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the FX Vega store.

FXVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.FXVegaPublisher

Constructor

FxVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for FX Vega Risk Charge.

FxVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

FxVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).

FxVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

FxVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FxVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

FXVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for CSR Non-Sec Vega Risk Position.

FXVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionCorrelations

FXVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for FX Vega Risk Position.

FXVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

FXVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for fx vega

FXVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

FxVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

FxVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaWeightedSensitivity

G

gammaCorrelations(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Generate the vector of gamma correlations.

gammaCorrelations(double, double) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Generate the vector of gamma correlations.

gammaCorrelations(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Generate the vector of gamma correlations.

gammaCorrelations(double, double[][]) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Generate the vector of gamma correlations.

gammaCorrelations(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

gammaCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

gammaCorrelations(double, double) - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

Generate the vector of gamma correlations.

GammaCorrelationUtils - Class in com.activeviam.frtb.core.utils

Utility class for calculating the gamma correlation and misc method related to gamma correlations.

GammaCorrelationUtils() - Constructor for class com.activeviam.frtb.core.utils.GammaCorrelationUtils

gammaSectorCorrelations(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

generateConditions(Set<KeyObjects.UnModKeys>) - Static method in class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.DSViewerWhatIfDefinitionUtil

generateKey(String, LocalDate, String) - Static method in class com.activeviam.frtb.core.constants.QueryCacheConstants

generateNewFlattenedMergedParentTree(String, String, LocalDate, ParentChildNode<?>) - Method in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

generateNewFlattenedMergedParentTree is a very specific method for creating the intersected and merged tree of two existing trees.

generateSparseVectorInternalRepresentation(double[], double) - Static method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Generate an internal compact representation of a (allegedly) sparse vector.

generateSparseVectorInternalRepresentation(int, double, int[], double[]) - Static method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Generate an internal compact representation of a (allegedly) sparse vector.

generatetParentChildMap(List<ParentChildNode<?>>) - Method in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

GENERIC_DELTA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

GENERIC_DELTA_TECHNICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

GENERIC_SCENARIO_DOWN_PV - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

GENERIC_SCENARIO_UP_PV - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

GENERIC_VEGA_TECHNICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

genericChannel(IBaseTuplePublisher, String, String, boolean, boolean, CSVMessageChannelFactory<Path>) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

genericRealTimeChannel(CSVMessageChannelFactory<Path>, ACSVSourceConfig.ChannelParameters) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Create the real-time channels for the csv source data.

get(AggregatesMap.Key) - Method in class com.activeviam.frtb.core.calc.AggregatesMap

get(int) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

getActivationPeriod(IPointValue) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the activation period description for a point value.

getActivationPeriod(IUpdateRequest<? extends IPointValue, ? extends IPointValue>) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the activation period description for a point value update.

getAddEntries() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.AddTuplesDSViewerDefinition

getAgent(IMonitor) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Retrieve the agent description on which the given monitor is registered.

getAggregateDrcIncrementalMeasures(boolean) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getAggregateIncrementalMeasures(boolean) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getAggregateRiskClassIncrementalMeasures(String, boolean) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getAggregateSbmIncrementalMeasures(boolean) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getAggregatesRetriever() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getAllLiquidityHorizons(List<Object>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getAllowedOrigins() - Method in class com.activeviam.frtb.cfg.impl.FRTBCorsFilterConfig

getAllowedOrigins() - Method in class com.activeviam.frtb.es.tool.cfg.impl.FRTBCorsFilterConfig

getAllUnderlyingVertices(IUnfilteredParameterRetriever, String, String, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return a map (Date, Parameter Set) -> (Index, Vertex) containing all the vertices of a given risk class and risk measure contained in the Vertices Datastore.

getAllVertices(IUnfilteredParameterRetriever, String, String, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return a map indexed by Date and Parameter Set of all the vertices of a given risk class and risk measure contained in the Vertices Datastore.

getAllVertices(IUnfilteredParameterRetriever, String, String, String, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return a map indexed by Date and Parameter Set of all the vertices of a given risk class and risk measure contained in a specific store.

getAnalyticalEulerMeasures(String, String, String, EulerMeasures.EulerMeasuresChainFactory, EulerMeasures.EulerRiskMeasuresChainFactory, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getApplication(String) - Method in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

getApplication(String) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

getAsOfDate(List<ILevelInfo>, ILocation, String) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

getAsOfDate() - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

getAsOfDate(ILocation) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

getAsOfDate() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition.ParentChildKey

getAsOfDate() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getAsOfDate() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getAsOfDate() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getAsOfDate() - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

getAsOfDateIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the as of date.

getAsOfDates(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

getAsOfDates(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

getAvailable(ILocation, String[]) - Method in interface com.activeviam.frtb.core.services.IDataAvailability

Return a list of measures to prefetch.

getAvailable(ILocation, String[]) - Method in class com.activeviam.frtb.core.services.impl.SimpleDataAvailability

In this implementation, all measures are returned.

getAvailable() - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

getAvailable(ILocation, String[]) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

getAvailableProperties() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

getBackTestingPostProcessors(Properties) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

Post-processed measures for Backtesting

getBaseCurrency(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the base currency.

getBaseCurrencyByJurisdiction(LocalDate, String, IQueryCache, IParameterRetriever, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getBaseStore() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

getBasisCurveType() - Static method in class com.activeviam.frtb.core.utils.RhoUtils

getBindingId() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

getBookHierarchyListener() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

getBookParentChildDAO() - Method in class com.activeviam.frtb.ref.parentchild.cfg.ParentChildServiceConfig

getBookParentChildService() - Method in class com.activeviam.frtb.ref.parentchild.cfg.ParentChildServiceConfig

getBookParentChildWhatIfSubmitter() - Method in class com.activeviam.frtb.ref.parentchild.cfg.ParentChildServiceConfig

getBranch() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getBranch() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getBranch() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getBranchDescription(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

getBranchDescription(String) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

getBranchDescription(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

getBranchesDescription() - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

getBranchesDescription() - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

getBranchesDescription() - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

getBucketCorrelation(String, String, boolean, double, double, double, double, double) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Calculate the bucket correlation

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Which of the leaf levels corresponds to the bucket.

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

Which of the leaf levels corresponds to the bucket.

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

Which of the leaf levels corresponds to the bucket.

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

getBucketLeafIndex() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

getBusinessDayCalendar(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

getBusinessDayCalendar(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

getBusinessDayConvention(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

getBusinessDayConvention(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

getByKey(String) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

getByKeyQuery - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getCalculators() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getCategory() - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

Produces the description of the post-processors for the full chain of Commodity Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

Produces the description of the post-processors for the full chain of Commodity Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

Produces the description of the post-processors for the full chain of Commodity Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

Produces the description of the post-processors for the full chain of CSR non-Sec Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

Produces the description of the post-processors for the full chain of CSR non-Sec Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

Produces the description of the post-processors for the full chain of CSR non-Sec Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

Produces the description of the post-processors for the full chain of CSR Sec CTP Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

Produces the description of the post-processors for the full chain of CSR Sec CTP Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

Produces the description of the post-processors for the full chain of CSR Sec CTP Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

Produces the description of the post-processors for the full chain of CSR Sec Non-CTP Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

Produces the description of the post-processors for the full chain of CSR Sec Non-CTP Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

Produces the description of the post-processors for the full chain of CSR Sec Non-CTP Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCNSMeasures

getChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCSecNonCTPMeasures

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

Produces the description of the post-processors for the full chain of Equity Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

Produces the description of the post-processors for the full chain of Equity Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

Produces the description of the post-processors for the full chain of Equity Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

Produces the description of the post-processors for the full chain of FX Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

Produces the description of the post-processors for the full chain of FX Delta measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

Produces the description of the post-processors for the full chain of FX Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

Produces the description of the post-processors for the full chain of GIRR Curvature measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

Produces the description of the post-processors for the full chain of GIRR Vega measures.

getChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.RRAOMeasures

getChange() - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the change definition.

getChildren() - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

getColumnIndex(String) - Static method in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

getCommodityCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Commodity Curvature measures.

getCommodityDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Commodity Delta measures.

getCommodityRiskWeightForBucket(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the risk weight for a specific commodity bucket.

getCommodityVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Commodity Vega measures.

getCommodityVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

The postProcessor definition for Commodity vega

getCommonMeasures(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCMeasures

getComparator() - Method in interface com.activeviam.frtb.core.parameter.IParameterSetPriorities

A comparator that ranks parameter sets; the best parameter set will be the minimum for this comparator.

getComparator() - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

getComparator(LocalDate, String, IParameterSetPriorities) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetSelector

getCompetentUsersFor(Set<String>) - Method in class com.activeviam.frtb.ref.workflows.tasks.FRTBTaskAssigner

getCompiledQuery(IDatastoreVersion, Object, String, ICondition, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

getCompiledQuery(IDatastoreVersion, Object, String, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

getComponentType() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

getConfidenceLevel() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

The confidence level for the ES calculation.

getConfidenceLevel() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

The confidence level for the VaR calculation.

getConnectedUser() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

getContent(IBackTestingLookbackContextVal) - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

getContent(ICALookbackContextVal) - Method in class com.activeviam.frtb.core.context.impl.CALookbackTranslator

getContent(ICorrelationHighStressContextVal) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

getContent(ICorrelationLowStressContextVal) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

getContent(IDifferentiationStepSizeContextVal) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

getContent(IESContextVal) - Method in class com.activeviam.frtb.core.context.impl.ESTranslator

getContent(IExoticResidualRiskWeight) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

getContent(IFxMajorCcyPairAdjustment) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

getContent(IGIRRMajorCurrencyAdjustment) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

getContent(IImaNbExceptionsContextVal) - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

getContent(ILiquidityHorizonContextVal) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

getContent(INonExoticResidualRiskWeight) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

getContent(IPLALookbackContextVal) - Method in class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

getContent(IProRataHierarchyContextVal) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

getContent(IProRataLeafLevelContextVal) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

getContent(IReferenceCurrency) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

getContent(IReferenceLevelContextVal) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

getContent(IRhoImccContextVal) - Method in class com.activeviam.frtb.core.context.impl.RhoImccTranslator

getContent(IRhoSesContextVal) - Method in class com.activeviam.frtb.core.context.impl.RhoSesTranslator

getContent(IVaRConfidenceContextVal) - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

getContent(IESStressPeriodSlidingWindowContextVal) - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CALookbackTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ESContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ESTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.RhoImccTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.RhoSesTranslator

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

getContextInterface() - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

getContextInterface() - Method in class com.activeviam.frtb.es.tool.context.impl.ESContextVal

getContextInterface() - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

getContextInterface() - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

getContextValues(IMonitor, ISentinelEvent) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Retrieve the actual context values from the given monitor and event.

getContextValues(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getContextValues(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getCoordinates(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

Get the location coordinates for the analysis levels.

getCSRNSCorrelations(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Get CSR non-Sec correlation from the datastore.

getCSRNSCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR non-Sec Curvature measures.

getCSRNSDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR non-Sec Delta measures.

getCSRNSDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCSRNSVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR non-Sec Vega measures.

getCSRNSVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCSRRiskWeight(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the risk weight for a CSR bucket.

getCSRSecCTPCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec CTP Curvature measures.

getCSRSecCTPDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec CTP Delta measures.

getCSRSecCtpDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCSRSecCTPVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec CTP Vega measures.

getCSRSecCtpVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCSRSecNonCTPCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec Non-CTP Curvature measures.

getCSRSecNonCTPDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec Non-CTP Delta measures.

getCSRSecNonCTPDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCSRSecNonCTPVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the CSR Sec non-CTP Vega measures.

getCSRSecNonCTPVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

Programmatically defines a postprocessor with the appropriate properties.

getCubeName() - Method in interface com.activeviam.frtb.ref.cfg.measures.IMeasureBuilder

Retrieves the cube name of the current concrete class.

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMASummaryMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

getCubeName() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getCurrency() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

getCurrency() - Method in interface com.activeviam.frtb.core.context.IReferenceCurrency

getCurrentThread() - Method in class com.activeviam.frtb.starter.logging.QFSFormatter

getCurrentUser() - Method in class com.activeviam.frtb.starter.logging.QFSFormatter

Retrieve the current user authenticated with the current thread.

getCurvatureIncrementalMeasures(Properties, String, String, String, String, String, String, String, String, String, String, String, String, String, IncrementalMeasures.CurvatureIncrementalPostProcessorsFactory, IncrementalMeasures.IncrementalRiskPostProcessorsFactory, SAMeasureBuilder.CurvatureFullChainFactory, SAMeasureBuilder.CurvatureRiskChainFactory, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getCurvatureNumericalEulerMeasures(Properties, String, String, String, String, String, String, String, String, String, String, String, String, String, IncrementalMeasures.CurvatureIncrementalPostProcessorsFactory, IncrementalMeasures.IncrementalRiskPostProcessorsFactory, SAMeasureBuilder.CurvatureFullChainFactory, SAMeasureBuilder.CurvatureRiskChainFactory, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getCustomFormatters() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

getCustomFormatters() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

getCustomParsers() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

getCustomParsers() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getCVRChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

Produces the description of the post-processors for the chain of curvature measures.

getDatastore() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getDatastoreVersion() - Method in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

getDatastoreVersion() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getDayCountConvention(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

getDayCountConvention(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

getDefaultFileName(LocalDate, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getDefaultFileName(LocalDate, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getDefaultQueryTimeout() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

getDefaultQueryTimeout() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

getDeliminator(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getDeltaYearFractions(IDatastore, IParameterRetriever, LocalDate, String, IMaturityConverter) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

getDescription() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

getDescription() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

getDescription() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

getDescription() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

getDescription(Measure, Map<String, String>, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getDeskEligibility() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getDeskModelIma() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDeskModelSa() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDesks() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getDictionaries() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

The dictionaries whose members form the analysis hierarchy members.

getDictionaries() - Method in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

getDifferentiationStepSize() - Method in interface com.activeviam.frtb.core.context.IDifferentiationStepSizeContextVal

getDifferentiationStepSize() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

getDoubleArray() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Will return the full double array containing whole SparseVector.

getDoubleSumsDifferent() - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getDoubleSumsOtherBucket() - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getDoubleSumsSame() - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Provide the list of tuples used to populate the Commodity Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

Provide the list of tuples used to populate the Commodity Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Provide the list of tuples used to populate the CSR Non Sec Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

Provide the list of tuples used to populate the CSR Non Sec Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

Provide the list of tuples used to populate the CSR Sec CTP Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

Provide the list of tuples used to populate the CSR Sec CTP Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

Provide the list of tuples used to populate the CSR Sec Non CTP Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

Provide the list of tuples used to populate the CSR Sec non CTP Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Provide the list of tuples used to populate the Equity Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

Provide the list of tuples used to populate the Equity Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.FXDeltaCalculations

Provide the list of tuples used to populate the FX Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

Provide the list of tuples used to populate the FX Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

Provide the list of tuples used to populate the GIRR Delta Double Sums Hierarchy

getDoubleSumsTuples(LocalDate, String, IVector, IVector) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

Provide the list of tuples used to populate the GIRR Vega Double Sums Hierarchy

getDoubleSumsTuples(LocalDate) - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

getDrcBucketCorporates() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDrcBucketLocalGovernmentsMunicipalities() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDrcBucketLocalGovernmentsMunicipalitiesSplitter() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDrcBucketSovereigns() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDrcMeasuresProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the DRC measures.

getDRCRiskWeights(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we retrieve DRC risk weights as per BCBS 352 paragraph 152

getDrcSenioritySenior() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getDRCWeights(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the DRC weights from the DRCWeight store.

getDrillDownTo() - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

getDrillInData(String, String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

getDrillInMdx(String, String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

getDrillInMeasure(Matcher, JsonObject) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

getDSViewerWhatIfParser() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerWhatIfServicesConfig

getDSViewerWhatIfService() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerWhatIfServicesConfig

getDSViewerWhatIfSubmitter() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerWhatIfServicesConfig

getDuplicate() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getEpoch() - Method in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

getEquityCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Equity Curvature measures.

getEquityDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Equity Delta measures.

getEquityDeltaRiskWeight(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Obtain the risk weight for Equity Delta.

getEquityDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

The postProcessor definition for Equity Delta

getEquityTypeRepo() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getEquityTypeSpot() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getEquityVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the Equity Vega measures.

getEquityVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

The postProcessor definition for Equity Vega

getERBARiskWeights(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we retrieve ERBA risk weights as per BCBS 352 paragraph 161 - BCBS 374 paragraph 68

getErbaWeights(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the ERBA risk weights from the ERBARiskWeight store.

getErrorValue() - Method in class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

getES() - Method in interface com.activeviam.frtb.core.context.IESContextVal

getES() - Method in class com.activeviam.frtb.core.context.impl.ESContextVal

getES() - Method in interface com.activeviam.frtb.es.tool.context.IESContextVal

getES() - Method in class com.activeviam.frtb.es.tool.context.impl.ESContextVal

getES(IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

Calculate the ES of the PnL vector for the quantile.

getESRank(int, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

The number of elements from the beginning of the (sorted) PnL vector to use for the ES.

getESRank(int, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.TailMeasureCalc

getESStressPeriodSlidingWindow() - Method in interface com.activeviam.frtb.es.tool.context.IESStressPeriodSlidingWindowContextVal

getESStressPeriodSlidingWindow() - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.EulerMeasuresChainFactory

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

getEulerMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.EulerRiskMeasuresChainFactory

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, EulerMeasures.PostProcessorDescriptionRiskPositionEulerFactory, EulerMeasures.PostProcessorDescriptionRiskChargeDoubleSumsFactory, EulerMeasures.PostProcessorDescriptionRiskChargeEulerFactory, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EulerMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

getEulerRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, EulerMeasures.PostProcessorDescriptionAggregatesMapRiskChargeFactory, EulerMeasures.PostProcessorDescriptionRiskPositionDoubleSumsFactory, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EulerMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

getEulerSensitivitiesMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

getEvaluatorProperties(Properties, String) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

getEventType() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

getExpansionLevels() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure

getExpansionLevels() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure

getExpansionProcedure(ILocation, ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getExportDirectory(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getExportDirectory(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getFields() - Method in class com.activeviam.frtb.core.utils.ObjectArrayWrapper

getFileColumns(String, IDatastoreSchemaMetadata) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Retrieves the list of file columns for a given store, either from a custom list where configured, or from the store configuration.

getFileName() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getFilescanParameters() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getFilter() - Method in interface com.activeviam.frtb.core.parameter.IParameterSetPriorities

A filter to reject parameter sets which are no compatible with the target parameter set.

getFilter() - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

getFilter(LocalDate, String, IParameterSetPriorities) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetSelector

getFilterMembers(ILocation, ICubeFilter, IAxisHierarchy) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

getFilterProperties(Properties, String, String, String...) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Create a properties object to use when creating the post processor description.

getFolder() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

getFolder() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

getFolder() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

getFolder() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

getFolder() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

getFolder(Measure, Map<String, String>, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getForeColor(Object) - Method in class com.activeviam.frtb.core.cfg.ui.FRTBDefaultCellPropertiesHandler

The fore color is red if the value is negative, unspecified otherwise (e.g.

getFormatter() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

getFormatter() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

getFormatter() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

getFormatter() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

getFormatter(Measure, Map<String, String>, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getFormattersForPostProcessors(String, Map<String, String>, List<IPostProcessorDescription>) - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

Converts all postprocessor descriptions into a key value pair of measure name to formatter.

getFormattersFromDataCubes(List<IActivePivotSchemaInstanceDescription>) - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

Returns a map of all postprocessor formatters for all the data cubes.

getFrtbKeyToInterpolationValues() - Method in class com.activeviam.frtb.ref.utils.PublisherDataStructures

getFrtbModel() - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

getFullChain(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder.CurvatureFullChainFactory

getFullChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder.FullChainFactory

getFXConversionProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the GIRR Delta measures.

getFXCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the FX Curvature measures.

getFXDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the FX Delta measures.

getFxDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

The postProcessor definition for FX Delta

getFxDeltaSpecialCrosses(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

The functions performs a query to the FX_DELTA_SPECIAL_CROSSES_STORE store to see if a given couple (currency, currency) exists.

getFxRate(IDatastoreVersion, LocalDate, String, String, IActivePivot, List<Object>) - Method in interface com.activeviam.frtb.core.services.IFxRates

Retrieve the FX rate between two currencies.

getFxRate(IDatastoreVersion, LocalDate, String, String, IActivePivot, List<Object>) - Method in class com.activeviam.frtb.ref.services.impl.FxRates

Retrieve the FX rate between two currencies.

getFxRate(IDatastoreVersion, LocalDate, String, String, String, IActivePivot, List<Object>) - Static method in class com.activeviam.frtb.ref.services.impl.FxRates

Lookup the FX rate between two currencies.

getFxRateDirect(IDatastoreVersion, LocalDate, String, String) - Static method in class com.activeviam.frtb.ref.services.impl.FxRates

Queries the datastore directly for the FX rate.

getFxRateDirectOrReverse(IDatastoreVersion, LocalDate, String, String) - Static method in class com.activeviam.frtb.ref.services.impl.FxRates

Queries the datastore for the direct rate, if not found queries the reverse rate and returns the reciprocal.

getFxRateWithErrorHandling(IDatastoreVersion, LocalDate, String, String, IActivePivot, List<Object>) - Method in interface com.activeviam.frtb.core.services.IFxRates

Retrieve the FX rate between two currencies with error handling.

getFxRateWithErrorHandling(IDatastoreVersion, LocalDate, String, String, IActivePivot, List<Object>) - Method in class com.activeviam.frtb.ref.services.impl.FxRates

Retrieve the FX rate between two currencies.

getFXVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the FX Vega measures.

getFXVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

The postProcessor definition for FX Vega

getGammaCorrelationCSRNS(IParameterRetriever, IDatastoreVersion, String, String, String, String, String, String, double, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

getGammaCorrelationCSRNSSector(IParameterRetriever, IDatastoreVersion, String, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Get the sector correlation parameter for CSR Non Sec.

getGammaCorrelationCSRSecCTP(IParameterRetriever, IDatastoreVersion, String, String, String, String, String, String, LocalDate, double, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Get the correlation parameter for CSR Sec Ctp.

getGammaCorrelationCsrSecNonCtp(String, String, double, double) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

getGammaCorrelationEquity(String, String, double, double, double) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

getGammaCorrelationForCommodities(String, String, double, double) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

Get the bucket correlation for commodity.

getGammaVectorIndex(boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Map the different correlation cases to indices in the vector.

getGammaVectorIndex(int, int, boolean, boolean, boolean, int) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Map the different correlation cases to indices in the vector.

getGammaVectorIndex(boolean, boolean, int) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Compute the vector index based on the values of the keys.

getGammaVectorSize() - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

The number of different correlation cases.

getGammaVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

The number of different correlation cases.

getGammaVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

getGammaVectorSize() - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

The vector size of the gamma correlation and double sum vectors.

getGIRRCurvatureMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the GIRR Curvature measures.

getGIRRDeltaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the GIRR Delta measures.

getGIRRDeltaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

The postProcessor definition for GIRR Delta

getGIRRMajorCurrencies(IParameterRetriever, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Get all the girr major currencies for a certain date.

getGIRRVegaMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the GIRR Vega measures.

getGIRRVegaResidualMaturities(IParameterRetriever, LocalDate, String, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

getGIRRVegaRiskWeightPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

The postProcessor definition for GIRR Vega

getGIRRVerticesWeightingsQuery(IParameterRetriever, LocalDate, String, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

The functions performs a query to the GIRR_DELTA_WEIGHTING store to get the vertices and the risk weight.

getHeaders(CellSetDTO) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getHierarchialMapping() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getHierarchy() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

getHierarchy() - Method in interface com.activeviam.frtb.core.context.IProRataHierarchyContextVal

getHighStress(IActivePivot, double) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getHorizonIndexMap(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

The functions performs a query to the LIQUIDITY_HORIZONS_STORE to retrieve all its index.

getHorizonMap(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the horizon map from the LiquidityHorizonsStore.

getImaNbExceptions() - Method in interface com.activeviam.frtb.core.context.IImaNbExceptionsContextVal

getImaNbExceptions() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

getImaNbExceptions() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

Retrieve the value of the IImaNbExceptionsContextVal context value.

getIncrementalCVRPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.IncrementalMeasures

This function defines the measures at the beginning and end of the Curvature incremental measures chain.

getIncrementalMeasures(String, String, String, String, String, String, String, String, String, String, IncrementalMeasures.IncrementalPostProcessorsFactory, IncrementalMeasures.IncrementalRiskPostProcessorsFactory, SAMeasureBuilder.FullChainFactory, SAMeasureBuilder.RiskChainFactory, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCMeasures

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCNSMeasures

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.DRCSecNonCTPMeasures

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

This function defines the measures at the beginning and end of the incremental measures chain.

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.IncrementalMeasures.CurvatureIncrementalPostProcessorsFactory

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.IncrementalMeasures.IncrementalPostProcessorsFactory

getIncrementalPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.RRAOMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, String, boolean, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.IncrementalMeasures

getIncrementalRiskPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, boolean, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.IncrementalMeasures.IncrementalRiskPostProcessorsFactory

getIncrementalSensitivityPostProcessors(Properties, Map<Measure, String>, String, String, String, String, String, String, String, String, String, String, String, String, boolean, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.IncrementalMeasures

This function defines the measures at the beginning and end of the Delta and Vega incremental measures chains.

getIndex() - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

getIndexBuckets(String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

getInflationCurveType() - Static method in class com.activeviam.frtb.core.utils.RhoUtils

getInitialPosition() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

getInitialTuple() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getInterpolatedSensitivitiesIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the interpolated sensitivities.

getInterpolatedTuples() - Method in class com.activeviam.frtb.ref.utils.PublisherDataStructures

getIntraBucketCommodityCorrelation(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the intra-bucket correlation value for a commodity bucket.

getJsonDatastoreEdit() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

getLatestTask() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

getLatestTask() - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getLeafLevel() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

getLeafLevel() - Method in interface com.activeviam.frtb.core.context.IProRataLeafLevelContextVal

getLeafLevels(Properties, String) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

getLegalEntityHierarchyListener() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

getLEstimator(IActivePivot, IDatastoreVersion, String, IVector, IVector, double) - Method in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalc

For Euler Capital Allocaiton, calculate the L-Estimator (VaR or ES flavoured) of the PnL vector for the quantile, given the reference PnL vector.

getLEstimator(IActivePivot, IDatastoreVersion, String, IVector, IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

getLEstimatorES(IVector, IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

For Euler Capital Allocaiton, calculate the ES L-Estimator of the PnL vector for the quantile, given the reference PnL vector.

getLEstimatorVaR(IVector, IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

For Euler Capital Allocaiton, calculate the VaR L-Estimator of the PnL vector for the quantile, given the reference PnL vector.

getLevel() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

getLevel() - Method in interface com.activeviam.frtb.core.context.IReferenceLevelContextVal

getLevelComparator(int) - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

getLevelComparator(int) - Method in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

getLevelCondition(String[], ILevelInfo) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

getLevelName() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

The name of the level containing the dictionary members.

getLevelName(int) - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

getLevelName(int) - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

getLevelName() - Method in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

getLevelsCount() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

getLevelsCount() - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

getLGD(String, LocalDate, String, IDatastoreVersion, IQueryCache, IParameterRetriever) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Here we retrieve the LGD value for a particular instrument type

getLGD(IParameterRetriever, IDatastoreVersion, IQueryCache, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieves the LGD for a given instrument type.

getLiqHorFacts(IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getLiqHorGaps(List<Object>, Map<Integer, Integer>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getLiqHorGapTuples(IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getLiqHorTuples(List<Object>, Map<Integer, Integer>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getLiveUrl(IMonitor) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Retrieve the live url that can connect to the site on which the given monitor is registered.

getLocation() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getLocationMembers(ILocation, ICubeFilter, IAxisHierarchy) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

getLogger() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getLookback() - Method in interface com.activeviam.frtb.core.context.IBackTestingLookbackContextVal

getLookback() - Method in interface com.activeviam.frtb.core.context.ICALookbackContextVal

getLookback() - Method in interface com.activeviam.frtb.core.context.ILookbackContextValue

getLookback() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

getLookback() - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

getLookback() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

getLookback() - Method in interface com.activeviam.frtb.core.context.IPLALookbackContextVal

getLookback() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Get the lookback parameter from either the post-processor initialization or context value.

getLowStress(IActivePivot, double) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getMapped(int) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

getMapping(IQueryCache) - Method in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

getMappings() - Method in interface com.activeviam.frtb.core.services.IOrganisationHierarchyMap

fetch a list of all the hierarchy to level mappings supported by this object.

getMappings() - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

getMarketData(IPointLocationReader) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

getMaturities(IDatastoreVersion, IQueryCache, IParameterRetriever, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

getMaturities(IDatastoreVersion, IUnfilteredParameterRetriever, String) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

getMdx(LocalDate, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getMdx(LocalDate, UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getMdxQuery(IMonitor, ISentinelEvent) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Creates a MDX query displaying the given event.

getMeasure() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getMeasure() - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

getMeasures() - Method in interface com.activeviam.frtb.ref.cfg.measures.IMeasureBuilder

getMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

getMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

getMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

getMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

getMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getMeasuresProcessors(Properties, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

getMeasuresProcessors(Properties, String) - Static method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

getMediumStress(IActivePivot, Double) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

getMembers() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

getName() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

getName(Measure, Map<Measure, String>, String, String) - Static method in interface com.activeviam.frtb.core.cfg.measures.Measure

getName(Measure, Map<Measure, String>, String, String, String) - Static method in interface com.activeviam.frtb.core.cfg.measures.Measure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

getName() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

getName() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio.CurrentDatasetsPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital.DatasetPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler.DatasetPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap.NamedPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.LeafPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.ParentPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.SiblingPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata.TopPrefetcher

getName() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.TargetPrefetcher

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

getName() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

getName(Measure) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getName(Measure, Map<Measure, String>, String, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getName(Measure, Map<Measure, String>, String, String, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getName() - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

getName() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition.ParentChildKey

getNamespace() - Method in class com.activeviam.frtb.es.tool.cfg.impl.RestServicesConfig

getNamespace() - Method in class com.activeviam.frtb.ref.drillin.DrillInRestConfig

getNamespace() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

getNamespace() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

getNameSuffix() - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

getNativeMeasures() - Method in interface com.activeviam.frtb.ref.cfg.measures.IMeasureBuilder

getNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

getNbOfOperands() - Method in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

getNbOfOperands() - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator

getNbOfOperands() - Method in class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

getNeedRebuild() - Method in class com.activeviam.frtb.core.hierarchy.impl.ADictionariesHierarchy

getNeedRebuild() - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

getNumericalEulerMeasures(Properties, String, String, String, String, String, String, String, String, String, String, IncrementalMeasures.IncrementalPostProcessorsFactory, IncrementalMeasures.IncrementalRiskPostProcessorsFactory, SAMeasureBuilder.FullChainFactory, SAMeasureBuilder.RiskChainFactory, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getObligorRiskWeights(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

getObligorRiskWeights(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the risk weights from the ObligorToRiskWeight store.

getOnColumns() - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

getOnRows() - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

getOnRowsHierarchies(Matcher, JsonObject) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

getOptionality() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getOptionalityIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the delta optionality.

getOtherBucket(String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

Static method to get the "other" bucket number of a risk class.

getOtherBucketIndex() - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

The entry in the correlations and double sums vectors corresponding to the "other" bucket.

getOutputType() - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

getParameterName() - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the name of the parameter from the two possible change definitions.

getParameterPriorities() - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

getParameterPriorities(IDatastoreVersion, IQueryCache, String) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetSelector

getParameterSet(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.constants.FRTBParameterSets

getParameterSetParent(String) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

getParent() - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

getParentChildNodes(String, String, LocalDate) - Method in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

This method provides a way to retrieve the book parent child nodes of a particular branch and asofDate from the book parent child datastore.

getParentChildWhatIfREST() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

getPartitioningLevels(ILocation) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager

Returns the levels on which this post-processor execution should be partitioned.

getPartitioningLevels(ILocation) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager

getPathMatcherSyntaxAndPattern(String) - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Return the path matcher syntax from the provided topic property

getPendingChange() - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the definition of the pending change.

getPivot() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getPLAttributionTestPostProcessors(Properties) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

Post-processed measures for P&L Attribution testing

getPlaZone() - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

getPLPostProcessors(Properties) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

getPortfolioRiskChargeMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getPostProcessorDefinition(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

The postProcessor definition for Commodity delta

getPostProcessorDescription(String, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

Create the configuration description of this postprocessor.

getPostProcessorDescription(String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

Constructs the postprocessor definition

getPostProcessorDescription(String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.NullPostProcessor

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

getPostProcessorDescription(Properties, String, String, String, boolean, boolean, String) - Static method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

The postprocessor definition for FX conversion

getPostProcessorDescription(Properties, String, String, String, boolean, String) - Static method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

The postprocessor definition for FX conversion with a vector underlying measure

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String[], String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, Integer, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

Constructs the postprocessor definition

getPostProcessorDescription(String, List<String>, List<String>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

getPostProcessorDescription(Properties, String, String, String, String, boolean, String...) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

getPostProcessorDescription(String, String, String, String, Boolean, Boolean, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

The postprocessor description for filtering the specified underlying measure based on the filter property.

getPostProcessorDescription(Properties, String, String, String, String, String, String[], String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

Constructs the postprocessor definition

getPostProcessorDescription(String, boolean, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

getPostProcessorDescription(String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

getPostProcessorDescription(String, String, List<String>, List<String>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

getPostProcessorDescription(Properties, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, int, Double, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

getPostProcessorDescription(String, boolean, String, String, String...) - Static method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

getPostProcessorDescription(String, boolean, String, String, String...) - Static method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

getPostProcessorDescription(String, String, String, String, Boolean, Boolean, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

The postprocessor description for filtering the specified underlying vector measure based on the filter property.

getPostProcessorDescription(Properties, String, String, String, String, String, String, Class<? extends ILookbackContextValue>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.lookback.impl.MeanLookback

Constructs the post-processor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.lookback.impl.VectoriseLookback

Constructs the post-processor definition

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

Constructs the post-processor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

Constructs the postprocessor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviationLookback

Constructs the post-processor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

Constructs the post-processor definition

getPostProcessorDescription(String, String, String, String, String, Class<? extends ILookbackContextValue>, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarianceLookback

Constructs the post-processor definition

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

Constructs the postprocessor definition

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureRiskWeight

The postProcessor definition for Commodity

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

Constructs the postProcessor definition for risk position squared.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureRiskWeight

Generic creation of PostProcessor description for CSR risk classes.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureRiskWeight

Generic creation of PostProcessor description for CSR risk classes.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureRiskWeight

Generic creation of PostProcessor description for CSR risk classes.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

Constructs the postProcessor definition for risk position squared.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaWeightedSensitivity

Programmatically defines a postprocessor with the appropriate properties.

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

The postprocessor definition for a Delta for Curvature measure

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

The postProcessor definition for Equity

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

The postProcessor definition for Equity Delta Weighted Sensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

The postprocessor definition for a Delta for Curvature measure

getPostProcessorDescription(Properties, String, Boolean, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

The postProcessor definition for FX Curvature

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

The postprocessor definition for a Delta for Curvature measure

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

Create the configuration description of this postprocessor.

getPostProcessorDescription(Properties, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

The postProcessor definition for GIRR Curvature

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

The postProcessor definition for GIRR Delta Vertices Expand

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

Constructs the postProcessor definition for risk position.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionCorrelations

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

Constructs the postProcessor definition for risk position double sum.

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaWeightedSensitivity

getPostProcessorDescription(Properties, String, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

getPostProcessorDescription(Properties, String, String, String, String, String, String, boolean, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

getPostProcessorDescription(Properties, String, String, String, boolean, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

getPostProcessorDescription(Properties, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

getPostProcessorDescription(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

getPostProcessorDescription(Properties, String, String, String, boolean, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

The postprocessor definition for a Risk Type Aware filter

getPostProcessorDescription(Properties, String, String, String, boolean, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

The postprocessor definition for a Risk Type Aware filter with a vector underlying measure

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

getPostProcessorDescription(Properties, String, String, String, String, boolean, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

getPostProcessorDescription(String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

getPostProcessorDescription(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

getPostProcessorDescriptionAggregatesMapRiskCharge(Properties, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionAggregatesMapRiskChargeFactory

getPostProcessorDescriptionAggregatesMapRiskPosition(Properties, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionAggregatesMapRiskPositionFactory

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

Constructs the postProcessor definition for risk position Euler capital allocation.

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

getPostProcessorDescriptionEuler(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

getPostProcessorDescriptionForDrcNonSec(Properties, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

getPostProcessorDescriptionForDRCSecNonCtp(Properties, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

Constructs the postProcessor definition for risk charge.

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

Constructs the postProcessor definition for risk charge.

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

Constructs the postProcessor definition for risk charge.

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

Constructs the postProcessor definition for risk charge.

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

getPostProcessorDescriptionRiskCharge(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

getPostProcessorDescriptionRiskChargeDoubleSums(Properties, String, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionRiskChargeDoubleSumsFactory

getPostProcessorDescriptionRiskChargeEuler(Properties, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionRiskChargeEulerFactory

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaAggregatesMap

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaAggregatesMap

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

getPostProcessorDescriptionRiskPosition(Properties, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

Constructs the postProcessor definition for risk position.

getPostProcessorDescriptionRiskPositionDoubleSums(Properties, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionRiskPositionDoubleSumsFactory

getPostProcessorDescriptionRiskPositionEuler(Properties, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.core.cfg.measures.EulerMeasures.PostProcessorDescriptionRiskPositionEulerFactory

getPostProcessors() - Method in interface com.activeviam.frtb.ref.cfg.measures.IMeasureBuilder

Retrieves the postprocessor descriptions.

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

getPostProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getPrefetcherLookback() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Get the lookback parameter used by the prefetcher.

getPrefetcherLookback() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

getPrefetcherLookback() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

getProperties(Measure) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getProperty(Measure, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getProperty(Measure, String, Supplier<String>) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getPvAndNotionalMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getPvAndNotionalMeasuresProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getPvApplied() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getPvAppliedIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the PV Applied.

getPVMeasuresProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getQuery(IDatastoreVersion) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

getQueryCache() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getRate(LocalDate, String, String, List<Object>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

getRate(IQueryCache, IDatastoreVersion, IFxRates, LocalDate, String, String, IActivePivot, List<Object>) - Static method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

getRate(LocalDate, String, String, List<Object>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

getReferenceCurrencies() - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

getReferenceCurrency(UriInfo) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

getReportingCurrency(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the reporting currency.

getReportingCurrencyByJurisdiction(LocalDate, String, IQueryCache, IParameterRetriever, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

Retrieve the reporting currency

getResourceLocations() - Method in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

getRho() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

getRho() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

getRho() - Method in interface com.activeviam.frtb.core.context.IRhoImccContextVal

getRho() - Method in interface com.activeviam.frtb.core.context.IRhoSesContextVal

getRho() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

The relative weight assigned to the internal model (rho) for the IMCC calculation.

getRho() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

The relative weight assigned to the internal model (rho) for the IMCC calculation.

getRho() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

The value of parameter rho in the SES calculation.

getRhoCorrelationCommodity(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationCSRNonSec(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationCSRSecCTP(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationCSRSecNonCTP(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationEquity(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationFX(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoCorrelationGIRR(String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

getRhoDeltaCorrelation(String, String, IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CurvatureCalculations

The rho delta correlation used for the Curvature calculations, as per BCBS 352 paragraph 133.

getRhoVectorIndex(boolean, boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Compute the vector index based on the values of the keys

getRhoVectorIndex(boolean, boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

Compute the vector index based on the values of the keys

getRhoVectorIndex(boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Compute the vector index based on the values of the keys.

getRhoVectorIndex(int, int, boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

Compute the vector index based on the values of the keys.

getRhoVectorIndexFromDoubleSumsCoordinates(IVector, Object[]) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

Compute vector index based on Double Sums Hierarchy path.

getRhoVectorSize() - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

The vector size of the rho and double sums vectors.

getRhoVectorSize() - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

The vector size of the rho and weightedSensitivity vectors.

getRhoVectorSize() - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

The vector size of the rho and weightedSensitivity vectors.

getRhoVectorSize() - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

The vector size of the rho correlation and double sum vectors.

getRhoVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

The vector size of the rho and weightedSensitivity vectors.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder.CurvatureRiskChainFactory

getRiskChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Method in interface com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder.RiskChainFactory

getRiskChargeMeasuresProcessorsForAllRiskClasses(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getRiskClass(IPointLocationReader) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

getRiskClass(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

getRiskClass() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getRiskClass() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getRiskFactor() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getRiskFactor() - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

getRiskFactorIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the risk factor.

getRiskMeasure(IPointLocationReader) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

getRiskMeasure(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

getRiskMeasure() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskMeasuresChain(Properties, Map<Measure, String>, String, String, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

Produces the description of the post-processors for the chain of risk measures.

getRiskWeight() - Method in interface com.activeviam.frtb.core.context.IExoticResidualRiskWeight

getRiskWeight() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

getRiskWeight() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

getRiskWeight() - Method in interface com.activeviam.frtb.core.context.INonExoticResidualRiskWeight

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

Obtain the risk weight for Commodity Delta

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

Obtain the risk weight for commodity vega

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

Retrieves the risk weight for the appropriate bucket from the datastore

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

Retrieves the liquidity horizon from the store and calculates the associated risk weight

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

Retrieves the risk weight for the appropriate bucket from the datastore

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

Retrieves the liquidity horizon from the store and calculates the associated risk weight

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

Retrieves the risk weight for the appropriate bucket from the datastore.

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

Retrieves the liquidity horizon from the store and calculates the associated risk weight

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

Obtain the risk weight for Equity Delta

getRiskWeight(IDatastoreVersion, IQueryCache, String, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

Obtain the risk weight for Equity Delta

getRiskWeight(IQueryCache, IDatastoreVersion, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

Calculate the risk weight.

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String, String, IFxMajorCcyPairAdjustment) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

Obtain the risk weight for fx delta

getRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

Obtain the risk weight for fx vega

getRiskWeight(IActivePivotContext, IDatastoreVersion, IQueryCache, LocalDate, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

Calculates the risk weight that should be applied for GIRR curvature.

getRiskWeight(IActivePivotContext, IDatastoreVersion, IQueryCache, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

Obtains and caches the risk weights.

getRiskWeight(IActivePivotContext, IQueryCache, IDatastoreVersion, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

Obtains the risk weights ordered by vertices

getRiskWeight(IQueryCache, IDatastoreVersion, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

Obtain the GIRR vega risk weight

getRows(CellSetDTO) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

getRraoMeasuresProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the RRAO measures.

getSbmMeasuresProcessors() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

Produces the description of the post-processors for all the SBM measures.

getSbmRiskChargeMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getScaleFactor() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getScaleFactor() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getScalingFactor() - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

getScenarioRelatedRiskChargeMeasuresProcessors(String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

getScenarios(LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

Fetch the map of scenarios for as-of date.

getScope() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler.Context

getSelectedFields(String[]) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

getSensitivities() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

Produces the description of the post-processors for the chain of GIRR Delta sensitivity measures.

getSensitivitiesChain(Properties, Map<Measure, String>, String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

Produces the description of the post-processors for the chain of sensitivity measures.

getSensitivityCcyIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the sensitivity currency.

getSensitivityCurrency() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getSensitivityOrRiskWeightIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the sensitivities.

getServedDirectories() - Method in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

getServedExtensions() - Method in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

Gets the extensions of files to serve.

getShockedValueAtTargetRisk(double[], double[], Double) - Static method in class com.activeviam.frtb.core.utils.ShockInterpolationUtils

getShouldDivide() - Method in interface com.activeviam.frtb.core.context.IFxMajorCcyPairAdjustment

getShouldDivide() - Method in interface com.activeviam.frtb.core.context.IGIRRMajorCurrencyAdjustment

getShouldDivide() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

getShouldDivide() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

getSource() - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.ICsvSourceConfig

getSource() - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.IJdbcSourceConfig

getSource() - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleCsvSourceConfig

getSource() - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleJdbcSourceConfig

getSource() - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig

getSource() - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.ISourceConfig

getSpecificSubmission(String) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfManagerService

getStatusValue(Double) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Gets a value representing the status.

getStoreColumns(IDatastore, String) - Static method in class com.activeviam.frtb.core.utils.StoreUtils

getStoreColumns(IDatastoreVersion, String) - Static method in class com.activeviam.frtb.core.utils.StoreUtils

getStoreDescription(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

getStoreDescription(String) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

getStoreDescription(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

getStoreName() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getStoreName() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getStoresDescription() - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

getStoresDescription() - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

getStoresDescription() - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

getStoresSecurity() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreRestStoresSecurityConfig

getStoresSecurity() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

getStoresSecurity() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreRestStoresSecurityConfig

getStoresSecurity() - Method in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

getStreamKey() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

getStress(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Fetches the stress value for the current stress scenario.

getStress(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

Fetches the stress value for the current stress scenario.

getStress(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

Fetches the stress value for the current stress scenario.

getStressVal() - Method in interface com.activeviam.frtb.core.context.ICorrelationHighStressContextVal

getStressVal() - Method in interface com.activeviam.frtb.core.context.ICorrelationLowStressContextVal

getStressVal() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

getStressVal() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

getStringValue(String, IContextValue) - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

getSubmissionName() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getSubset(LocalDate, NavigableMap<LocalDate, T>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

A subMap of the underlying values corresponding to the lookback and ending with the as-of date.

getSuffix() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getT() - Method in interface com.activeviam.frtb.core.context.ILiquidityHorizonContextVal

getT() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

getT() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

The length of the base horizon (T) for the Liquidity Horizon adjustment.

getTailMeasure(IActivePivot, IDatastoreVersion, String, IVector, double) - Method in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalc

Calculate the VaR or ES of the PnL vector for the quantile.

getTailMeasure(IActivePivot, IDatastoreVersion, String, IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

getTargetStores() - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

getTargetStores(String) - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig

getTargetStores() - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig.ITopicConfig

The target stores for the created channel.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

getTargetStores(String) - Method in interface com.activeviam.frtb.ref.source.dataloadcontroller.ISourceConfig

The stores that are targeted by the topic.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.ACurvaturePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.ADeltaPublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.AVegaPublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.MarketDataPublisher

getTargetStores() - Method in class com.activeviam.frtb.ref.source.publishers.StaticDataPublisher

Returns the list of stores that will be committed into as part of a call to StaticDataPublisher.publish(List).

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.CSRStoreTuplePublisher

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCScenarioCountTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTargetStores() - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.TradesTuplePublisher

Returns the list of stores that will be impacted by publishing.

getTemplateProperty(Measure, String, Map<String, String>, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getTemplateProperty(Measure, String, Supplier<String>, Map<String, String>, String) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

getTenorConverter(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

getTenorConverter(IActivePivot, IDatastoreVersion, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

getTitle() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getTitle() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getTopic() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

getTradeBaseTuples() - Method in class com.activeviam.frtb.ref.utils.PublisherDataStructures

getTradeID() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getTradeID() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getTradeId() - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

getTradeIdIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the trade id.

getTupleFields() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

getType() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

getType() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

getType() - Method in class com.activeviam.frtb.core.format.impl.DoubleArrayFormatter

getType() - Method in class com.activeviam.frtb.core.format.impl.IntegerArrayFormatter

getType() - Method in class com.activeviam.frtb.core.format.impl.ObjectArrayFormatter

getType() - Method in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

getType() - Method in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

getType() - Method in class com.activeviam.frtb.core.interpolation.impl.LinearInterpolator

getType() - Method in class com.activeviam.frtb.core.localDate.LocalDateFormatter

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.NullPostProcessor

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

getType() - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

getType() - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

getType() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

getType() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

getType() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXStream

Being a Plugin, it returns the Type it is attached to.

getType() - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

getType() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLES

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

getType() - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

getType() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.MeanLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.VectoriseLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviationLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarianceLookback

getType() - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionCorrelations

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaWeightedSensitivity

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

getType() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

getType() - Method in class com.activeviam.frtb.es.tool.format.impl.DoubleArrayFormatter

getType() - Method in class com.activeviam.frtb.es.tool.format.impl.IntegerArrayFormatter

getType() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

getType() - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriod

getType() - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriodResultType

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

getType() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

getType() - Method in class com.activeviam.frtb.ref.drillthrough.impl.DoubleVectorDisplayAll

getType() - Method in class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

getType() - Method in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

getType() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

getType() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

getType() - Method in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

getType() - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

getUnderlyingMaturities(IDatastoreVersion, IQueryCache, IParameterRetriever, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

getUnderlyingMaturities(IDatastoreVersion, IUnfilteredParameterRetriever, String) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Get the parameters to be used when reading the underlying.

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Get the parameters to be used when reading the underlying.

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

getUnderlyingParameters(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

getUnderlyingUnmodifiableSet() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects.UnModKeys

getUpdateDefinition() - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Gets the proper definition of the update from the received data.

getUseBaseCurrencyFlag(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the use base currency flag.

getUseBaseCurrencyFlagByJurisdiction(LocalDate, String, IQueryCache, IParameterRetriever, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getUseFxDividerFlag(IParameterRetriever, IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Retrieve the use base currency flag.

getUseFxDividerFlagByJurisdiction(LocalDate, String, IQueryCache, IParameterRetriever, IDatastoreVersion) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

getUser() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

getUserName() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

getUserName() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

getUserRoles() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

getValue() - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

getValue(IPointLocationReader, LocalDate, IRecordReader) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Transform the underlying measures into the per as-of value object.

getVaR(IVector, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

Calculate the VaR of the PnL vector for the quantile.

getVaRConfidence() - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

getVaRConfidence() - Method in interface com.activeviam.frtb.core.context.IVaRConfidenceContextVal

getVaRRank(int, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

The position in the (sorted) PnL vector to use for the VaR.

getVaRRank(int, double) - Method in class com.activeviam.frtb.ref.calc.ima.impl.TailMeasureCalc

getVectorIndex(boolean, boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Compute the vector index based on the values of the keys

getVectorIndex(boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

Compute the vector index based on the values of the keys

getVectorIndex(boolean, boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex() - Static method in class com.activeviam.frtb.core.calc.FXDeltaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, int, int, int) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(Boolean, String, String, int, int, int, int, int, int) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

Compute the vector index based on the values of the keys.

getVectorIndex(boolean, boolean) - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

Compute the vector index based on the correlation case.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize() - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

The vector size of the rho and weightedSensitivity vectors.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize() - Static method in class com.activeviam.frtb.core.calc.FXDeltaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize(int) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize(int, int) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

The vector size of the rho correlation and double sum vectors.

getVectorSize() - Static method in class com.activeviam.frtb.core.calc.RiskChargeCalculations

The vector size of the gamma correlation and double sum vectors.

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

getVectorSize(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

getVegaLiquidityHorizonsFromStoreByKey(IParameterRetriever, LocalDate, String, String, String, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

The functions performs a query to the VEGA_LIQUIDITY_HORIZONS store to get the value of the LiquidityHorizon.

getVegaOptionMaturityVerticesAsYearFractions(IDatastore, IParameterRetriever, LocalDate, String, IMaturityConverter) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

getVegaResidualMaturityVerticesAsYearFractions(IDatastore, IParameterRetriever, LocalDate, String, IMaturityConverter) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

getVertices(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

getVertices(IDatastoreVersion, IUnfilteredParameterRetriever) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

getVertices(IParameterRetriever, LocalDate, String, String, String, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the vertices for the given risk class and (optional) risk measure.

getVertices(IParameterRetriever, LocalDate, String, String, String, String, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.utils.ConfigurationParametersUtils

Return the vertices for the given risk class and (optional) risk measure in a specific store.

getWeightBasedOnBucket(String, LocalDate, IDatastoreVersion, IParameterRetriever, String, IQueryCache) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityUtil

Returns the weight associated with a given Commodity bucket.

getWeighting(IDatastoreVersion, IQueryCache, IParameterRetriever, List<ILevelInfo>, ILocation, String, String, LocalDate) - Static method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

getXAxis() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getXAxisDatesIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the dates on the X axis.

getYAxis() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

getYAxisDatesIndex() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Retrieves the index of the dates on the Y axis.

getYieldCurveType() - Static method in class com.activeviam.frtb.core.utils.RhoUtils

GIRR - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_BUCKETS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for GIRR Buckets (CCY).

GIRR_BUCKETS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

GIRR_BUCKETS_STORE_BUCKET - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

GIRR_BUCKETS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

GIRR_BUCKETS_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

GIRR_DELTA_BASIS_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_BASIS_VS_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_BASIS_VS_INFLATION_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_BASIS_VS_YIELD_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_CURVE_BASIS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Name of GIRR Delta Basis Curve Type.

GIRR_DELTA_CURVE_INFLATION_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Name of GIRR Delta Inflation Curve Type.

GIRR_DELTA_CURVE_YIELD_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Name of GIRR Delta Yield Curve Type.

GIRR_DELTA_DIFFERENT_CCY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_DIFFERENT_CURVE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_DIFFERENT_VERTEX_AND_CURVE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_DIFFERENT_VERTEX_CORRELATION_FLOOR - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_DIFFERENT_VERTEX_THETA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for GIRR Delta Double Sums.

GIRR_DELTA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Delta Double Sums stores

GIRR_DELTA_DOUBLE_SUMS_STORE_CURVE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_DOUBLE_SUMS_STORE_VERTEX_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_DOUBLE_SUMS_STORE_VERTEX_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_INFLATION_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_INFLATION_VS_YIELD_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_RW_MAJOR_CURRENCY_ADJUSTMENT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_VERTEX_CORRELATION_ROUNDING_DP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GIRR_DELTA_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.StoreNames

GIRR_DELTA_WEIGHTING_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

GIRR_DELTA_WEIGHTING_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_WEIGHTING_STORE_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_WEIGHTING_STORE_VERTEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_DELTA_WEIGHTINGS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

GIRR_HIGHEST_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

GIRR_MAJOR_CURRENCIES - Static variable in class com.activeviam.frtb.core.constants.StoreNames

GIRR_MAJOR_CURRENCY_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

GIRR_MAJOR_CURRENCY_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

GIRR_MAJOR_CURRENCY_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_MAJOR_CURRENCY_STORE_SELECTED_CCY - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_NB_MATURITIES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

GIRR_PV_APPLIED_CURVATURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for GIRR Curvature PV Applied flag.

GIRR_VEGA_DOUBLE_SUMS_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for GIRR Vega Double Sums.

GIRR_VEGA_DOUBLE_SUMS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

GIRR_VEGA_DOUBLE_SUMS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_VEGA_DOUBLE_SUMS_STORE_OPTION_MATURITY_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_VEGA_DOUBLE_SUMS_STORE_OPTION_MATURITY_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_VEGA_DOUBLE_SUMS_STORE_UNDERLYING_MATURITY_1 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_VEGA_DOUBLE_SUMS_STORE_UNDERLYING_MATURITY_2 - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

GIRR_VEGA_OPTION_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for GIRR Vega Option Maturity

GIRR_VEGA_UNDERLYING_MATURITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for GIRR Vega Underlying Maturity

GIRR_VEGA_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

GIRR_VERTEX_WEIGHTING - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

GIRR_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

girrBucketsPublisher - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

GIRRBucketsStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the GIRR Buckets store.

GIRRCurvatureCVR - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to calculate the two branches of the GIRR Curvature CVR (paragraph 53(b)).

GIRRCurvatureCVR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

GIRRCurvatureMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the GIRR Curvature measures.

GIRRCurvatureMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

GIRRCurvaturePublisher - Class in com.activeviam.frtb.ref.source.publishers

GIRRCurvaturePublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.GIRRCurvaturePublisher

Constructor

GIRRCurvatureRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for girr curvature

GIRRCurvatureRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

GIRRCurvatureShockInterpolation - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

GIRRCurvatureShockInterpolation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

GIRRDeltaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of GIRR Delta aggregated weighted sensitivities.

GIRRDeltaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

GIRRDeltaCalculations - Class in com.activeviam.frtb.core.calc

Class used for GIRR Delta Risk Position and Risk Charge calculations.

GIRRDeltaCalculations() - Constructor for class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

GIRRDeltaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the GIRR Delta Double Sums store.

GIRRDeltaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the GIRR Delta measures.

GIRRDeltaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

GIRRDeltaMeasures.GIRRSensitivityMeasure - Enum in com.activeviam.frtb.core.cfg.measures

GIRRDeltaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the GIRR Delta store.

GIRRDeltaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.GIRRDeltaPublisher

Constructor

GIRRDeltaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for GIRR Delta Risk Charge.

GIRRDeltaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

GIRRDeltaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the GIRR Delta Risk Charge (or Euler Capital Allocation).

GIRRDeltaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

GIRRDeltaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the rho correlation to the double sums to calculate the GIRR Delta Risk Position (or Euler Capital Allocation).

GIRRDeltaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

GIRRDeltaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for GIRR Delta Risk Position.

GIRRDeltaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionCorrelations

GIRRDeltaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for GIRR Delta Risk Position.

GIRRDeltaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

GIRRDeltaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weights for girr delta

GIRRDeltaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

GIRRDeltaSensitivitiesFiltered - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

GIRRDeltaSensitivitiesFiltered(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

GIRRDeltaVerticesRiskWeightExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to expand the risk weights vector per vertex if necessary Returns a string as we want to display the weighting vector if the user did not slice by vertices

GIRRDeltaVerticesRiskWeightExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

GIRRDeltaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to compute the weighted sensitivities

GIRRDeltaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

GIRRDeltaWeightingStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the GIRR Delta Weighting store.

GIRRMajorCurrencyAdjustment - Class in com.activeviam.frtb.core.context.impl

GIRRMajorCurrencyAdjustment() - Constructor for class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

GIRRMajorCurrencyAdjustment(boolean) - Constructor for class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

GIRRMajorCurrencyAdjustmentTranslator - Class in com.activeviam.frtb.core.context.impl

GIRRMajorCurrencyAdjustmentTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

GIRRMajorCurrencyAdjustmentUtil - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Utility which determines if GIRR major currency adjustment can be applied to a currency group.

GIRRMajorCurrencyAdjustmentUtil() - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRMajorCurrencyAdjustmentUtil

GIRRMajorCurrencyStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the GIRR Major Currency store.

GIRRVegaAggregatesMap - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Create a multidimensional array of GIRR Vega aggregated weighted sensitivities.

GIRRVegaAggregatesMap(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

GIRRVegaCalculations - Class in com.activeviam.frtb.core.calc

Class used for GIRR Vega Calculations.

GIRRVegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.GIRRVegaCalculations

GirrVegaDoubleSumsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the GIRR Vega Double Sums store.

GIRRVegaMeasures - Class in com.activeviam.frtb.core.cfg.measures

Static methods for producing the descriptions of the post-processors for the GIRR Vega measures.

GIRRVegaMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

GIRRVegaPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the GIRR Vega store.

GIRRVegaPublisher(IDatastore, IParameterRetriever, String, IMaturityConverter, IInterpolator) - Constructor for class com.activeviam.frtb.ref.source.publishers.GIRRVegaPublisher

Constructor

GIRRVegaRiskChargeDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the Risk Positions for GIRR Vega Risk Charge.

GIRRVegaRiskChargeDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

GIRRVegaRiskChargeEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Applies the gamma correlation to the double sums to calculate the GIRR Vega Risk Charge (or Euler Capital Allocation).

GIRRVegaRiskChargeEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

GIRRVegaRiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

GIRRVegaRiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

GIRRVegaRiskPositionCorrelations - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Retrieve rho correlations for GIRR Vega Risk Position.

GIRRVegaRiskPositionCorrelations(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionCorrelations

GIRRVegaRiskPositionDoubleSums - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculates the double sums of the weighted sensitivities for GIRR Vega Risk Position.

GIRRVegaRiskPositionDoubleSums(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

GIRRVegaRiskWeight - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

PostProcessor used to obtain the risk weight for girr vega

GIRRVegaRiskWeight(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

GIRRVegaSensitivitiesFiltered - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

GIRRVegaSensitivitiesFiltered(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

GIRRVegaWeightedSensitivity - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

GIRRVegaWeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaWeightedSensitivity

GOOD - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

GREEN - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GREEN_AND_AMBER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

GROSS_JTD - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

GROSS_JTD - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

GROSS_JTD_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

GrossJTD - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the Gross JTD for DRC non-Sec (paragraph 142) and DRC Sec non-CTP (paragraph 157)

GrossJTD(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

H

handleNoEvaluator(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

handleNoLeafLevel() - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

handleNoLeafLevel() - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

handleNoLeafLevel() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

Allow leaf levels to be undefined.

handleNoLeafLevel() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

Allow leaf levels to be undefined.

handleNoLeafLevel() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

Allow leaf levels to be undefined.

hasBatchFor(String) - Method in class com.activeviam.frtb.ref.workflows.batch.impl.BatchWorkflowConfig

Gets if batch processing is activated for a given action.

hasBucketLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Simple utility function to test if any point location for the provided range location uniquely determines the bucket.

hasBucketLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

hasBucketLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

hasBucketLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

hasChanges(List<?>) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Decides if the list contains some changes.

hasConfiguration() - Method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

hasDirectory(String) - Method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

hashCode() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ESContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

hashCode() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

hashCode() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

hashCode() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

hashCode() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

hashCode() - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

hashCode() - Method in class com.activeviam.frtb.core.utils.ObjectArrayWrapper

hashCode() - Method in class com.activeviam.frtb.es.tool.context.impl.ESContextVal

hashCode() - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

hashCode() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

hashCode() - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

hashCode() - Method in class com.activeviam.frtb.ref.parentchild.nodes.LegalEntityParentChildNode

hashCode() - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

hashCode() - Method in class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

hashCode() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition.ParentChildKey

hashCode() - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects.UnModKeys

hashCode() - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

hashCode() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

hashCode() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

hasHistory() - Method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

hasLevel(ILocation, ILevelInfo) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Simple utility function to determine if the level is expressed in the location.

hasNext() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator

hasNext() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Determine if there are enough levels expressed in the location to be able to determine the risk weight.

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

hasRequiredLevels(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

hasRiskFactorLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Simple utility function to test if the risk-factor level is expressed in te location.

hasRiskFactorLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

hasStatusChanged() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

hasTradeLevel(String) - Method in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

hasTradeLevel(String) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

hasTypeLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Simple utility function to test if any point location for the provided range location uniquely determines the market data type.

hasUnderlyingLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

Simple utility function to test if any point location for the provided range location uniquely determines the underlying.

HIBERNATE_ENV_PROPS_FILE_PATH_SYSPROP - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Optional system property to define the path of an application 'env' properties file.

HIBERNATE_PROPERTIES_FILE - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

hibernateProperties() - Method in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

Generates the Hibernate properties from file HIBERNATE_PROPERTIES_FILE Gives possibility to override CONNECTION_URL_PROPERTY value coming from command line -Dhibernate.connection.url=value

hibernateProperties - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

hierarchies(String, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

hierarchies - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

hierarchies(String, String) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

hierarchies() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

The Pro-Rata Hierarchy.

HIERARCHY - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

HIERARCHY_LEVEL - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_10 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_11 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_12 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_13 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_14 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_15 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_3 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_4 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_5 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_6 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_7 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_8 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_LEVEL_9 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

HIERARCHY_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

HierarchyBuilder<HB extends HierarchyBuilder<HB>> - Class in com.activeviam.frtb.ref.parentchild.hierarchy.builders

The HierarchyBuilder is an abstract class that provides a way to make tuples to be stored in a hierarchy based datastore.

HierarchyBuilder(LocalDate, int) - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

hierarchyStoreName - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

HIGH - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

HIGH - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

HIGH - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

HIGH - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

HIGH_CORRELATION_SCENARIO - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

HIGH_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

HISTORICAL_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

HistoricalConditionConverter(String) - Constructor for class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.HistoricalConditionConverter

HYPOTHETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_PL_LOOKBACK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_PL_LOOKBACK_EMPIRICAL_DIST_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_PL_LOOKBACK_RANK_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_PL_LOOKBACK_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_PL_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

HYPOTHETICAL_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

I

I18N_FOLDER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

The directory containing the languages in the content service

I18N_RESOURCE_FOLDER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

The resource folder that contains language files

I18nConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Initialize the cube formatters

I18nConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

IBackTestingLookbackContextVal - Interface in com.activeviam.frtb.core.context

Number of Days taken in account for P&L Attribution Test calculation

IBaseTuplePublisher - Interface in com.activeviam.frtb.ref.source.tuplepublisher

IBusinessDayCalendar - Interface in com.activeviam.frtb.core.dates

Interface to determine if a date is a business day or a holiday.

IBusinessDayConvention - Interface in com.activeviam.frtb.core.dates

Interface used for rolling dates to get business days.

ICALookbackContextVal - Interface in com.activeviam.frtb.core.context

Number of Days taken in account for CA IMCCavg and SESavg calculations

ICorrelationHighStressContextVal - Interface in com.activeviam.frtb.core.context

ICorrelationLowStressContextVal - Interface in com.activeviam.frtb.core.context

ICsvSourceConfig<I> - Interface in com.activeviam.frtb.ref.source.dataloadcontroller

A flavour of ISourceConfig for use with CSV file sources.

IDataAvailability - Interface in com.activeviam.frtb.core.services

Interface to help choose between measures in a distributed environment.

IDataAvailability.IAware - Interface in com.activeviam.frtb.core.services

Interface implemented by post-processors who need to use IDataAvailability.

IDataAvailability.IFactory - Interface in com.activeviam.frtb.core.services

Factory interface designed to be injected into post-processors who need to use IDataAvailability.

IDatastorePublisher - Interface in com.activeviam.frtb.ref.source.ds.publisher

IDayCountConvention - Interface in com.activeviam.frtb.core.dates

Interface used for calculating day counts.

IDeskModelSwitchRestService - Interface in com.activeviam.frtb.ref.source.whatif.rest.services

IDifferentiationStepSizeContextVal - Interface in com.activeviam.frtb.core.context

Context value for determining the step size for numerical differentiation.

IDIOSYNCRATIC - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

IDistributionAwareQueryRunner - Interface in com.activeviam.frtb.core.services

Run datastore queries for both data nodes and query nodes.

IDistributionAwareQueryRunner.Aware - Interface in com.activeviam.frtb.core.services

Post-processor marker interface indicating that a IDistributionAwareQueryRunner.Factory object should be injected.

IDistributionAwareQueryRunner.Factory - Interface in com.activeviam.frtb.core.services

Factory object for creating instances of IDistributionAwareQueryRunner.

IDrcMaturityConverterAware - Interface in com.activeviam.frtb.core.dates

IDrillInRestfulService - Interface in com.activeviam.frtb.ref.drillin.service

IDSViewerRestfulService - Interface in com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer

Definition of REST API on ActivePivot Datastore.

IDSViewerWhatIfSubmitter - Interface in com.activeviam.frtb.ref.dsviewer.whatif.submitter

IESContextVal - Interface in com.activeviam.frtb.core.context

IESContextVal - Interface in com.activeviam.frtb.es.tool.context

IESStressPeriodSlidingWindowContextVal - Interface in com.activeviam.frtb.es.tool.context

IExoticResidualRiskWeight - Interface in com.activeviam.frtb.core.context

Context value storing the residual risk weight for exotic instruments.

IFrtbEsToolRestService - Interface in com.activeviam.frtb.es.tool.rest.service

IFxMajorCcyPairAdjustment - Interface in com.activeviam.frtb.core.context

IFxRates - Interface in com.activeviam.frtb.core.services

Interface for retrieving FX rates.

IGIRRMajorCurrencyAdjustment - Interface in com.activeviam.frtb.core.context

IImaNbExceptionsContextVal - Interface in com.activeviam.frtb.core.context

IIMASummaryRestService - Interface in com.activeviam.frtb.ref.services.rest

IInterpolator - Interface in com.activeviam.frtb.core.interpolation

Interface for custom interpolators.

IInterpolatorConfig - Interface in com.activeviam.frtb.core.cfg.interpolation

Interpolator configuration interface, for use with Spring autowiring.

IJdbcSourceConfig - Interface in com.activeviam.frtb.ref.source.dataloadcontroller

A flavour of ISourceConfig for use with JDBC sources.

ILiquidityHorizonContextVal - Interface in com.activeviam.frtb.core.context

ILookbackContextValue - Interface in com.activeviam.frtb.core.context

Number of Days to look back

IMA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

IMA_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot IMA FRTB Application.

IMA_AS_OF_DATE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA As Of Dates.

IMA_AVG_IMCC_SES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

IMA_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA ActivePivot Cube.

IMA_CURRENCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Currency *

IMA_DATA_SET_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Data sets.

IMA_DEFAULT_MULTIPLIER - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

IMA Multiplier default value

IMA_DEFAULT_MULTIPLIER_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

IMA_DESK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for IMA Desks *

IMA_DRC_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot IMA-DRC FRTB Application.

IMA_DRC_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA-DRC ActivePivot Cube.

IMA_DRC_FX_CURRENCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Currency in IMA DRC cube *

IMA_DRC_SCENARIO_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for DRC Scenario in IMA DRC cube *

IMA_DRC_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA-DRC ActivePivot Schema.

IMA_DRC_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_DRC_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_OBLIGOR_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_RECOVERY_RATES - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_RECOVERY_VALUES - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_SCENARIO_RECOVERY_VALUES - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_DRC_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_GA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

IMA_HISTORY_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

IMA_HISTORY_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_HISTORY_STORE_DESK - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_HISTORY_STORE_IMCC - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_HISTORY_STORE_NAME - Static variable in class com.activeviam.frtb.core.constants.StoreNames

IMA_HISTORY_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_HISTORY_STORE_SES - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_IDIOSYNCRATIC_RISK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Idiosyncratic level

IMA_LIQUIDITY_HORIZON_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Liquidity horizons.

IMA_LIQUIDITY_HORIZONS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

IMA_LIQUIDITY_HORIZONS_INDEXES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

IMA_MULTIPLIER - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

IMA_MULTIPLIER_STORE_MULTIPLIER - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

IMA_MULTIPLIER_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

IMA_MULTIPLIER_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_MULTIPLIER_STORE_NUM_EXCEPTIONS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

IMA_NB_DAYS_AVERAGE - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Number of days used to calculate IMCC avg and SES avg for the aggregated charge associated with approved desks (CA) formula (p64, d352.pdf)

IMA_NON_MODELLABLE_RISK_FACTOR_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for NMRF

IMA_PARTITIONING_RISKFACTOR - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Property defining the number of partitions to use for the IMA base store

IMA_RISK_CLASS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Risk Classes.

IMA_RISK_FACTORS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

IMA_RISK_FACTORS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Risk Factors.

IMA_RISK_FACTORS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA stores

IMA_RISK_FACTORS_STORE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_RISK_FACTORS_STORE_IDIOSYNCRATIC - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_RISK_FACTORS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_RISK_FACTORS_STORE_NMRF - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_RISK_FACTORS_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_RISK_FACTORS_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SCENARIO_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for IMA Scenarios.

IMA_SCENARIOS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

IMA_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA ActivePivot Schema.

IMA_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_SUMMARY_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot IMA Summary FRTB Application.

IMA_SUMMARY_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA Summary ActivePivot Cube.

IMA_SUMMARY_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

IMA_SUMMARY_PL_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_SUMMARY_PL_STORE_BOOK - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_PL_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_PL_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of IMA Summary ActivePivot Schema.

IMA_SUMMARY_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_SUMMARY_STORE_BOOK - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_PL_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SUMMARY_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_SWAPPING_CLEAR_FOLDER - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Property defining if the swapping folder for the IMA PnL vectors is cleared at startup (if swapping is used).

IMA_SWAPPING_ENABLED - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Property defining whether swapping for the IMA vectors is enabled or not Default value: false

IMA_SWAPPING_FOLDER - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Property defining the full path to the swapping folder for the IMA PnL vectors (if swapping is used).

IMA_TRADES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

IMA_TRADES_PL_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA_TRADES_PL_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_PL_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_PL_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMA trades store

IMA_TRADES_STORE_DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_PL_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMA_TRADES_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMAAggregatedCapitalCharge - Class in com.activeviam.frtb.core.postprocessor.combined.impl

IMAAggregatedCapitalCharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

Constructor

imaCubeDistributingField - Variable in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

InternalModelApproachCube distributing field.

imaCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

IMADatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the Internal Model Approach stores.

IMADatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

IMADRC - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

imaDrcCubeDistributingField - Variable in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

IMADRCCube distributing field.

imaDrcCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

IMADRCMeasure - Interface in com.activeviam.frtb.ref.cfg.measures

An enum for the all PL back-testing and IMA DRC measure names and their associated properties

IMADRCMeasure.DRCEulerMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMADRCMeasure.DRCIncrementalMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMADRCMeasure.DRCMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMADRCMeasure.DRCReferenceMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMADRCMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Static methods for producing the descriptions of the measures and post-processors for the PL Cube measures.

IMADRCMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.IMADRCMeasureBuilder

imaDrcNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

imaDrcScenariosTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

imaDrcSchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

imaDrcSchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

IMADRCStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA DRC Base store.

imaDrcTradeTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

IMAFilter - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Post-processor that allows to filter data based on the value on a level in the input location.

IMAFilter(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

IMAHistoryStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA History store.

IMAMeasure - Interface in com.activeviam.frtb.ref.cfg.measures

An enum for the all IMA measure names and their associated properties

IMAMeasure.IMABaseMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMAMeasure.IMAEulerMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMAMeasure.IMAIncrementalMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMAMeasure.IMAReferenceMeasure - Enum in com.activeviam.frtb.ref.cfg.measures

IMAMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Static methods for producing the descriptions of the measures and post-processors for the IMA measures.

IMAMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

IMAMultiplierStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the IMA Multiplier store.

imaNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

imaNbExceptions - Variable in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

ImaNbExceptionsContextVal - Class in com.activeviam.frtb.core.context.impl

ImaNbExceptionsContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

ImaNbExceptionsContextVal(int) - Constructor for class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

ImaNbExceptionsTranslator - Class in com.activeviam.frtb.core.context.impl

ImaNbExceptionsTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

IMAPLTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles the publishing into the , , , and stores.

IMAPLTuplePublisher(IDatastore, boolean) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

imaReferences - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A list of references between the Internal Model Approach stores.

imaReferences() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Bean which creates the list of references for the Internal Model Approach

IMARiskCharge - Class in com.activeviam.frtb.core.postprocessor.ima.impl

This post-processor computes the risk charge for the IMA.
Formula is CA=max(IMCC+SES;mc* IMCC avg+SESavg), see page 64 of d352.pdf
mc is the IMA multiplier as defined in Appendix B Table 2 Page 77 of d352.pdf

IMARiskCharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

IMARiskFactorsStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA Risk Factors store.

imaSchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

imaSchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

imaStores - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A list of all the Internal Model Approach stores.

imaStores() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Bean that returns a list of all the Internal Model Approach store descriptions.

imaSummaryCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

IMASummaryFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

IMASummaryFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

imaSummaryLiquidityHorizonGapFiller() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMASummaryMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Static methods for producing the descriptions of the measures and post-processors for the IMA Summary Cube measures.

IMASummaryMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.IMASummaryMeasureBuilder

imaSummaryNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

IMASummaryPLStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA Summary base store.

IMASummaryRestService - Class in com.activeviam.frtb.ref.services.rest.impl

IMASummaryRestService(IQueriesService, Environment) - Constructor for class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

imaSummaryRestService() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

imaSummarySchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

imaSummarySchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

IMASummaryStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA Summary base store.

IMATradesFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

IMATradesFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

imaTradesLiquidityHorizonGapFiller() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

IMATradesPLStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA PL store.

IMATradesStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA Trades store.

IMaturityConverter - Interface in com.activeviam.frtb.core.dates

Interface for custom maturity/date conversions.

IMAVaRPLStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the IMA VaR PL store.

IMCC - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

IMCC - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Computes the IMCC formula from the constraint and unconstrained ES.

IMCC(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

IMCC - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

IMeasureBuilder - Interface in com.activeviam.frtb.ref.cfg.measures

Interface for the classes used to define postprocessors programmatically

IN_MEMORY_IMPL - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

INCREMENTAL - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

INCREMENTAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

INCREMENTAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

INCREMENTAL_STEP - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

End of Incremental post-processor chain ("IncrementalStep").

INCREMENTAL_STEP - Static variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

IncrementalMeasures - Class in com.activeviam.frtb.core.cfg.measures

Utility class to help build the incremental measures; also used for the numerical Euler measures.

IncrementalMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.IncrementalMeasures

IncrementalMeasures.CurvatureIncrementalPostProcessorsFactory - Interface in com.activeviam.frtb.core.cfg.measures

IncrementalMeasures.IncrementalPostProcessorsFactory - Interface in com.activeviam.frtb.core.cfg.measures

IncrementalMeasures.IncrementalRiskPostProcessorsFactory - Interface in com.activeviam.frtb.core.cfg.measures

incrementalStep - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

incrementalStep - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

increments() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

increments() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

inCube(String, String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.UserBuilder

Sets the cube on which the monitor is run.

INDEX - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

index - Variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

INDEX_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

INDEX_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

INDEX_BUCKETS - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The "Index" buckets property name ("indexBuckets")

INDEX_BUCKETS_CSR_NS - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

CSR non-Sec "Index" buckets numbers

INDEX_BUCKETS_EQUITY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Equity "Index" buckets numbers

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

indexBuckets - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

post processor initialization

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

post processor initialization

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

One and only one leaf level needs to be defined: the risk class level

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

We add the mandatory context dependency to IESContextVal since we will retrieve that context value in the evaluation method

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

Two properties need to be present in the configuration of the post-processor: dataSet: its value is the string representing the data set level, e.g.
"Data Set@Data Sets@Risk" riskClass: its value is the string representing the risk class level, e.g.
"Risk Class@Risk Classes@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

Two properties need to be present in the configuration of the post-processor: dataSet: its value is the string representing the data set level, e.g.
"Data Set@Data Sets@Risk" riskClass: its value is the string representing the risk class level, e.g.
"Risk Class@Risk Classes@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

Two properties need to be present in the configuration of the post-processor: dataSet: its value is the string representing the data set level, e.g.
"Data Set@Data Sets@Risk" riskClass: its value is the string representing the risk class level, e.g.
"Risk Class@Risk Classes@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

The property liquidityHorizonLevel needs to be present in the configuration of the post-processor: its value is the string representing the risk class level, e.g.:
"Liquidity Horizon@Liquidity Horizons@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

Only one leaf level is defined here: the level on which the filtering has to be applied.

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

The property riskClass needs to be present in the configuration of the post-processor: its value is the string representing the risk class level, e.g.:
"Risk Class@Risk Classes@Risk".

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Two properties need to be present in the configuration of the post-processor: AsOfDateLevel: its value is the string representing the data set level, e.g.
"AsOfDate@Date@Dates" LiquidityHorizonLevel: its value is the string representing the liquidity horizon level, e.g.
"Liquidity Horizon@Liquidity Horizons@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

The property LiquidityHorizonLevel needs to be present in the configuration of the post-processor.

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

The property riskClass needs to be present in the configuration of the post-processor: its value is the string representing the risk class level, e.g.:
"Risk Class@Risk Classes@Risk".

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

Three custom properties need to be present in the configuration of the post-processor: asOfDate: its value is the string representing the as of date level, e.g.
"AsOfDate@Date@Dates" dataSet: its value is the string representing the data set level, e.g.
"Data Set@Data Sets@Risk" scenario: its value is the string representing the scenario level, e.g.
"Scenario@Scenarios@Risk" On top of those custom properties the analysisLevels property needs to be defined for the scenario level since that level is part of an analysis hierarchy, e.g.
"Scenario@Scenarios@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

The property liquidityHorizonLevel needs to be present in the configuration of the post-processor: its value is the string representing the risk class level, e.g.:
"Liquidity Horizon@Liquidity Horizons@Risk"

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

One and only one leaf level needs to be defined: the risk class level

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

Init properties VAR_SLIDING_WINDOW_PARAM_SIZE and VAR_SLIDING_WINDOW_PARAM_LEVEL Throws an exception if not present

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

Init properties VAR_SLIDING_WINDOW_PARAM_NB_SLIDES and VAR_SLIDING_WINDOW_PARAM_LEVEL Throws an exception if not present

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringDynamicAggregationPostProcessor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

We add the mandatory context dependency to IESContextVal since we will retrieve that context value in the evaluation method

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLES

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

post processor initialization

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

init(Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

init(Properties) - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriod

init(Properties) - Method in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriodResultType

Init property resultType

init(IUserAuthentication) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

InitialActiveMonitorConfig - Class in com.activeviam.frtb.ref.cfg.impl

The initial ActiveMonitor configuration

InitialActiveMonitorConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

initialDataLoad() - Method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

InitialDataLoadConfig - Class in com.activeviam.frtb.starter.cfg.impl

Configure the initial data load for the IDataLoadController, which takes place at application startup.

InitialDataLoadConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

initialiseRegistry() - Static method in class com.activeviam.frtb.core.calc.DRCJTDCalculations

Statically initialise the Quartet Registry for test purposes

initializeCubeFormatters() - Method in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

[Bean action] Initializes the cube formatters

initializeCubeFormatters() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBI18nConfig

[Bean action] Initializes the cube formatters

initializeUnderlyingMeasures(String, IMeasuresProvider, Properties) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

initialLoadAsOfDates() - Method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

The set of as-of dates to include in the iniital load.

InitialMonitorLoadingCondition - Class in com.activeviam.frtb.ref.cfg.impl

A Condition based on the InitialMonitorLoadingCondition.LOADING_PROPERTY property.

InitialMonitorLoadingCondition() - Constructor for class com.activeviam.frtb.ref.cfg.impl.InitialMonitorLoadingCondition

InitialRepositoryConfig - Class in com.activeviam.frtb.ref.cfg.impl

The initial repository configuration.

InitialRepositoryConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

initialValue() - Method in class com.activeviam.frtb.core.localDate.LocalDateFormatter.ThreadLocalDateFormat

initialValue() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter.ThreadLocalDateFormat

injectInitialServices() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

[Optional] Injects objects into plugin values.

injectPostProcessor(Class<?>, String, Object) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

injectServices() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

[Optional] Injects objects into plugin values.

InMemoryUserDetailsManagerBuilder - Class in com.activeviam.frtb.es.tool.cfg.impl

An In-memory UserDetailsService builder which can be used without AuthenticationManagerBuilder contrary to InMemoryUserDetailsManagerConfigurer.

InMemoryUserDetailsManagerBuilder() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.InMemoryUserDetailsManagerBuilder

Creates a new instance

InMemoryUserDetailsManagerBuilder - Class in com.activeviam.frtb.security.impl

An In-memory UserDetailsService builder which can be used without AuthenticationManagerBuilder contrary to InMemoryUserDetailsManagerConfigurer.

InMemoryUserDetailsManagerBuilder() - Constructor for class com.activeviam.frtb.security.impl.InMemoryUserDetailsManagerBuilder

Creates a new instance

INonExoticResidualRiskWeight - Interface in com.activeviam.frtb.core.context

Context value storing the residual risk weight for non-exotic instruments.

INSTANCE - Static variable in class com.activeviam.frtb.core.services.impl.SimpleDataAvailability

INSTRUMENT_LGD_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

INSTRUMENT_LGD_TYPE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

INSTRUMENT_LGD_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

INSTRUMENT_TO_LGD - Static variable in class com.activeviam.frtb.core.constants.StoreNames

INSTRUMENT_TO_LGD_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

INSTRUMENT_TO_LGD_STORE_INSTRUMENT_LGD_TYPE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

INSTRUMENT_TO_LGD_STORE_LGD - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

INSTRUMENT_TO_LGD_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

INSTRUMENT_TYPE_TO_LGD - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

InstrumentToLGDStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Instrument to LGD store.

INTEGER_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.IMAMeasureBuilder

INTEGER_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

IntegerArrayFormatter - Class in com.activeviam.frtb.core.format.impl

A formatter used to display all the elements in a integer array/vector.

IntegerArrayFormatter(Locale) - Constructor for class com.activeviam.frtb.core.format.impl.IntegerArrayFormatter

IntegerArrayFormatter(Locale, String) - Constructor for class com.activeviam.frtb.core.format.impl.IntegerArrayFormatter

IntegerArrayFormatter - Class in com.activeviam.frtb.es.tool.format.impl

A formatter used to display all the elements in a integer array/vector.

IntegerArrayFormatter(Locale) - Constructor for class com.activeviam.frtb.es.tool.format.impl.IntegerArrayFormatter

IntegerArrayFormatter(Locale, String) - Constructor for class com.activeviam.frtb.es.tool.format.impl.IntegerArrayFormatter

interpolate(double[], Map<Double, Double>) - Method in interface com.activeviam.frtb.core.interpolation.IInterpolator

Method to interpolate the input across the target vertices.

interpolate(double[], Map<Double, Double>) - Method in class com.activeviam.frtb.core.interpolation.impl.LinearInterpolator

Given a list of target vertices and a map of custom vertex to value, returns an array of values calculated through linear interpolation.

interpolate2(double[], double[], Map<Double, Map<Double, Double>>) - Method in interface com.activeviam.frtb.core.interpolation.IInterpolator

interpolate2(double[], double[], Map<Double, Map<Double, Double>>) - Method in class com.activeviam.frtb.core.interpolation.impl.LinearInterpolator

interpolateSensitivities(IActivePivot, IDatastoreVersion, List<Object>, LocalDate, double[], List<String>, List<Double>, IMaturityConverter, IInterpolator) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

interpolateSensitivities2(IActivePivot, IDatastoreVersion, List<Object>, LocalDate, double[], double[], List<String>, List<String>, List<Double>, IMaturityConverter, IInterpolator) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

InterpolationUtils - Class in com.activeviam.frtb.ref.utils

InterpolationUtils() - Constructor for class com.activeviam.frtb.ref.utils.InterpolationUtils

interpolator() - Method in interface com.activeviam.frtb.core.cfg.interpolation.IInterpolatorConfig

Returns the configured interpolator, as a Spring bean.

interpolator - Variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

interpolator - Variable in class com.activeviam.frtb.ref.source.publishers.ADeltaPublisher

interpolator - Variable in class com.activeviam.frtb.ref.source.publishers.AVegaPublisher

interpolator - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Interpolator

interpolator() - Method in class com.activeviam.frtb.starter.cfg.impl.InterpolatorConfig

Returns the interpolator to be used in the project, as a Spring bean.

InterpolatorConfig - Class in com.activeviam.frtb.starter.cfg.impl

A configuration class to set the interpolator to be used throughout the project.

InterpolatorConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.InterpolatorConfig

intersect(Set<T>, Set<T>) - Static method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

Intersect two sets.

intersectFilter(ICubeFilterBuilder, ILevelInfo, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

IOrganisationHierarchyMap - Interface in com.activeviam.frtb.core.services

Define a mapping from organisation hierarchies to books and legal entities (or any hierarchy to any level).

IOrganisationHierarchyMap.Aware - Interface in com.activeviam.frtb.core.services

Post-processor marker interface indicating that a IOrganisationHierarchyMap.Factory object should be injected.

IOrganisationHierarchyMap.Factory - Interface in com.activeviam.frtb.core.services

Factory object for creating instances of IOrganisationHierarchyMap.

IParameterRetriever - Interface in com.activeviam.frtb.core.parameter

Run datastore queries and automatically select the best fit for the as-of date and parameter set.

IParameterRetrieverAware - Interface in com.activeviam.frtb.core.parameter

IParameterSetPriorities - Interface in com.activeviam.frtb.core.parameter

Helper to determine the best parameter set

IParameterSetSelector - Interface in com.activeviam.frtb.core.parameter

Select the best as-of date and parameter set pair from among available options, to match a target as-of date and parameter set

IPLALookbackContextVal - Interface in com.activeviam.frtb.core.context

Number of Days taken in account for P&L Attribution Test calculation

IPostProcessorErrorHandler - Interface in com.activeviam.frtb.core.services

Interface used by post-processors to report errors.

IPostProcessorErrorHandler.IAware - Interface in com.activeviam.frtb.core.services

Interface implemented by post-processors who need to use IPostProcessorErrorHandler.

IPostProcessorPartitioningManager - Interface in com.activeviam.frtb.core.postprocessor

IPostProcessorPartitioningManager.Factory - Interface in com.activeviam.frtb.core.postprocessor

IPostProcessorPartitioningManagerAware - Interface in com.activeviam.frtb.core.postprocessor

IProRataHierarchyContextVal - Interface in com.activeviam.frtb.core.context

IProRataLeafLevelContextVal - Interface in com.activeviam.frtb.core.context

IReferenceCurrency - Interface in com.activeviam.frtb.core.context

Context value storing a reference currency.

IReferenceLevelContextVal - Interface in com.activeviam.frtb.core.context

IRhoImccContextVal - Interface in com.activeviam.frtb.core.context

Context value storing the rho value for the computation of IMCC.

IRhoSesContextVal - Interface in com.activeviam.frtb.core.context

Context value storing the rho value for the computation of SES.

IS_CURVATURE - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The property name for the isCurvature boolean ("isCurvature")

IS_FRTBDESK - Static variable in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

IS_NOT_FRTBDESK - Static variable in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

IS_STORED_AS_VECTOR - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

properties for underlying measure data type

ISaSbmMaturityConverterAware - Interface in com.activeviam.frtb.core.dates

isAvailable(ILocation, String) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

isBasisCurve(String) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

isBusinessDay(LocalDate) - Method in interface com.activeviam.frtb.core.dates.IBusinessDayCalendar

Determine if a date is a business day or a holiday

isCompatible(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

isCompatible(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

isCompatible(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

isCompatible(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

isCompatible(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

isCoveredBonds(String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

isCurvature - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

isDoubleSumsDifferent(String) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

isDoubleSumsOtherBucket(String) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

isDoubleSumsSame(String) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

isDrcSenioritySenior(String) - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

isDuplicate() - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

isEpoch(ISentinelState) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

isEquityTypeRepo(String) - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

isEquityTypeSpot(String) - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

ISES_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

isesPrefetcherComputeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

isFrtbDesk() - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

isGIRRCurve(String) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

isHighlyRated(String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

isIndexBucket(String, String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

isInflationCurve(String) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

isMonitorPublished() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Decides if a monitor is being published.

isOtherBucket(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

isOtherBucket(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Is this bucket the "other" bucket.

isOtherBucket(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

isOtherBucket(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

Is this bucket the "other" bucket.

isOtherBucket(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

Is this bucket the "other" bucket.

isOtherBucket(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

isOtherBucket(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

isOtherBucket(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

isOtherBucket(String, String) - Static method in class com.activeviam.frtb.core.utils.GammaCorrelationUtils

Static method to check the given risk class and bucket is a "other" bucket.

ISourceConfig<I,E> - Interface in com.activeviam.frtb.ref.source.dataloadcontroller

Extension of ISource for use with the data load controller.

isPvApplied(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

Simple utility method to change the PVApplied string into a boolean

isPvApplied(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

Simple utility method to change the PVApplied string into a boolean

isPvApplied(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

Simple utility method to change the PVApplied string into a boolean

isStoredAsVector - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

ISSUER - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

ISSUER_INDEX - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

ISSUER_INDEX - Static variable in class com.activeviam.frtb.core.calc.EquityVegaCalculations

isTradeLevel(ILocation) - Method in class com.activeviam.frtb.ref.services.impl.DataAvailability

isValidRiskFactor(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

For FX Curvature multiple risk factors can occur due to jurisdictional support.

isValidRiskFactor(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

isVisible() - Method in interface com.activeviam.frtb.core.cfg.measures.Measure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

isVisible() - Method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

isVisible() - Method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

isVisible(Measure) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

isWorkflowUpdated() - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Decides if the workflow during monitor update.

isYieldCurve(String) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

ITailMeasureCalc - Interface in com.activeviam.frtb.core.calc.ima

Functions for calculating tail measures.

ITailMeasureCalcAware - Interface in com.activeviam.frtb.core.calc.ima

Marker interface for post-processor that expect an implementation of ITailMeasureCalc to be injected.

ITenorConverter - Interface in com.activeviam.frtb.core.dates

Interface used for converting tenors to dates.

ITradeRescaleRestService - Interface in com.activeviam.frtb.ref.source.whatif.rest.services

IUnfilteredParameterRetriever - Interface in com.activeviam.frtb.core.parameter

Run datastore queries and reutrn results for all as-of dates and parameter sets.

IVaRConfidenceContextVal - Interface in com.activeviam.frtb.core.context

J

JMXActivePivotContentServiceEnabler() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

JMXActivePivotEnabler() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Enable JMX Monitoring for ActivePivot Components

JMXConfigCsvSourceEnabler() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Enable JMX Monitoring for the config CSV Source.

JMXCsvSourceEnabler() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Enable JMX Monitoring for the CSV Source

JMXCsvSourceEnabler() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Enable JMX Monitoring for the CSV Source

JMXDatastoreEnabler() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Enable JMX Monitoring for the Datastore

JMXDirectMemoryMonitoringEnabler() - Method in class com.activeviam.frtb.starter.cfg.impl.MonitorConfig

JMXSensiCsvSourceEnabler() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

Enable JMX Monitoring for the CSV Source

join(String, String...) - Static method in interface com.activeviam.frtb.core.cfg.measures.Measure

join(String, String...) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

joinName(String, String) - Static method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

jsonDataLoader() - Method in class com.activeviam.frtb.ref.cfg.impl.JsonDataLoaderConfig

JsonDataLoader - Class in com.activeviam.frtb.ref.services.impl

JsonDataLoader() - Constructor for class com.activeviam.frtb.ref.services.impl.JsonDataLoader

JsonDataLoaderConfig - Class in com.activeviam.frtb.ref.cfg.impl

JsonDataLoaderConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.JsonDataLoaderConfig

JURISDICTION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

jurisdictionParameterCollector() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBParameterConfig

jwtConfig - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

jwtConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

JwtSecurityConfigurer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.JwtSecurityConfigurer

JwtSecurityConfigurer() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.JwtSecurityConfigurer

JwtSecurityConfigurer() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.JwtSecurityConfigurer

K

K_CAPITAL_SURCHARGE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

Key(Object...) - Constructor for class com.activeviam.frtb.core.calc.AggregatesMap.Key

KEY - Static variable in class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

NbDaysPLMeasures key

key() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.CALookbackTranslator

CA Lookback key

key() - Method in class com.activeviam.frtb.core.context.impl.CALookbackTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ESTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.ESTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

ImaNbExceptions key

key() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

PLALookback key

key() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.RhoImccTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.RhoImccTranslator

key() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

KEY - Static variable in class com.activeviam.frtb.core.context.impl.RhoSesTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.RhoSesTranslator

KEY - Static variable in class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

Translator key

key() - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

key() - Method in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

key() - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator

key() - Method in class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

key() - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

KEY - Static variable in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

Translator key

key() - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowTranslator

key() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

KEY - Static variable in class com.activeviam.frtb.ref.source.parsers.FRTBParameterValueParser

key() - Method in class com.activeviam.frtb.ref.source.parsers.FRTBParameterValueParser

KEY - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

KEY - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

PlUGIN KEY

KEY - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Plugin key

KEY - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

KEY - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Key of the unit

key() - Method in class com.qfs.store.service.impl.TempLikeConditionFactory

keyDictionaries - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

keyLevels - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

KeyObjects - Class in com.activeviam.frtb.ref.source.whatif.base.impl.keys

A class that contains multiple complex key objects used for mapping the rows of a database to their key fields.

KeyObjects() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.keys.KeyObjects

KeyObjects.FieldValuePair - Class in com.activeviam.frtb.ref.source.whatif.base.impl.keys

KeyObjects.UnModKeys - Class in com.activeviam.frtb.ref.source.whatif.base.impl.keys

KOLMOGOROV_SMIRNOV_TEST_METRIC - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

KolmogorovSmirnovMetric - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Computes the Kolmogorov-Smirnov test metric of two empirical distribution vector

KolmogorovSmirnovMetric(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

KPI_ROLE_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

The name of the property which contains the role allowed to add new KPIs in the configuration service.

KpiMonitorBuilder - Class in com.activeviam.frtb.ref.monitors.impl

Syntactic shortcut builder to create standard monitors over KPIs with MDX queries.

KpiMonitorBuilder() - Constructor for class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder

Constructor.

KpiMonitorBuilder.CompleteBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.ConfigurableBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.DescriptiveBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.FilterableBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.NamedBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.QueryableBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.UserBuilder - Class in com.activeviam.frtb.ref.monitors.impl

KpiMonitorBuilder.WorkflowMissing - Class in com.activeviam.frtb.ref.monitors.impl

L

leaf - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

LEAF_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

The Leaf levels property name.

LEAF_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.utils.ReferenceLevelUtils

LEAF_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

leafCoordinates(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Extract the Location coordinates for the leaf levels.

LeafExpansionProcedure(Collection<ILevelInfo>, IAggregatesRetrievalResult, ILocationPattern) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure

leafHierarchies - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

leafLevel(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Determine the leaf location.

leafLevelHierarchies - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

leafLevels - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

leafLevels() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

The Pro-Rata Leaf Level.

leafLevels - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

leafLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

leafLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

leafLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

leafLevelsUpper - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

leafLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

LeafPrefetcher() - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ProRata.LeafPrefetcher

LegacyMaturityConverter - Class in com.activeviam.frtb.core.dates.impl

Implementation of a maturity converter using the Actual/360 convention and with no support for business days.

LegacyMaturityConverter() - Constructor for class com.activeviam.frtb.core.dates.impl.LegacyMaturityConverter

legacyMaturityConverter() - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

The old version of the maturity converter (LegacyMaturityConverter), included for backwards compatibility.

LegacyTenorConverter - Class in com.activeviam.frtb.core.dates.impl

Legacy implementation of ITenorConverter.

LegacyTenorConverter() - Constructor for class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

LEGAL_ENTITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

LEGAL_ENTITY_HIERARCHY_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The LegalEntityHierarchy Hierarchy property name ("legalEntityHierarchy").

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHIES - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEVEL_1 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEVEL_2 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEVEL_3 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEVEL_4 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_HIERARCHY_LEVEL_5 - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_HIERARCHY_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The Legal Entity Level property name ("legalEntityLevel").

LEGAL_ENTITY_PARENT_CHILD_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

LEGAL_ENTITY_PARENT_CHILD_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

LEGAL_ENTITY_PARENT_CHILD_STORE_CHILD - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_PARENT_CHILD_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LEGAL_ENTITY_PARENT_CHILD_STORE_PARENT - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

LegalEntityHierarchyBuilder - Class in com.activeviam.frtb.ref.parentchild.hierarchy.builders

The LegalEntityHierarchyBuilder is an instance of HierarchyBuilder that provides a way to make legal entity node tuples to be stored in a hierarchy datastore.

LegalEntityHierarchyBuilder(LocalDate) - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.builders.LegalEntityHierarchyBuilder

LegalEntityHierarchyListener - Class in com.activeviam.frtb.ref.parentchild.hierarchy.listeners

Listen for changes to DatastoreConfig.ConcreteDatastoreConfig#LegalEntityParentChildStoreDesc()} and builds the data for DatastoreConfig.ConcreteDatastoreConfig#LegalEntityHierarchyStoreDesc().

LegalEntityHierarchyListener() - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.LegalEntityHierarchyListener

LegalEntityHierarchyStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the Legal Entity Hierarchy store.

legalEntityHierarchyToLegalEntities(LocalDate) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

legalEntityLevel - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

LegalEntityNodeBuilder - Class in com.activeviam.frtb.ref.parentchild.builders

The LegalEntityNodeBuilder is an instance of ParentChildNodeBuilder that provides a way to make legal entity nodes.

LegalEntityNodeBuilder(LocalDate) - Constructor for class com.activeviam.frtb.ref.parentchild.builders.LegalEntityNodeBuilder

legalEntityOrgHierarchy - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

LegalEntityParentChildNode - Class in com.activeviam.frtb.ref.parentchild.nodes

Legal entity nodes are only used to generate the legal entity hierarchy datastore (which requires only parent child fields.) Because of this, as of now this class does not contain any fields unique from ParentChildNode though legal entities in the datastore do contain legal entity specific fields.

LegalEntityParentChildNode() - Constructor for class com.activeviam.frtb.ref.parentchild.nodes.LegalEntityParentChildNode

LegalEntityParentChildStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the Legal Entity Parent/Child store.

LEstimator - Class in com.activeviam.frtb.core.postprocessor.impl

This class implements an approach known as L-Estimator whereby the scenarios used for the calculation at an aggregated or netted level are used to select the values from a lower level.

LEstimator(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.LEstimator

levelMapping - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

levelMapping - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

levelMapping - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

levelMapping - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

levels(String, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

levels(String, String) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

levels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

levels - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

LGD - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

LGD - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the LGD given the as of date and the instrument type.

LGD(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

LH_ALL - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

LH_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

LHAdjESSquared - Class in com.activeviam.frtb.core.postprocessor.ima.impl

LHAdjESSquared(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

LinearInterpolator - Class in com.activeviam.frtb.core.interpolation.impl

An interpolator that takes a list of target vertices.

LinearInterpolator() - Constructor for class com.activeviam.frtb.core.interpolation.impl.LinearInterpolator

liqHorField - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

liqHorStoreIndex - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

liqHorStoreKeyIndex - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

LIQUIDITY_HORIZON_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

LIQUIDITY_HORIZONS - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

LIQUIDITY_HORIZONS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

LIQUIDITY_HORIZONS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Core config stores

LIQUIDITY_HORIZONS_STORE_INDEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

LIQUIDITY_HORIZONS_STORE_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

LIQUIDITY_HORIZONS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

LiquidityHorizonCoefficient - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Technical post-processor that returns the coefficients used in the scaled ES computation: [LH(j) - LH(j-1)] / T where: LH(j) is the liquidity horizon for the current location LH(j-1) is the previous liquidity horizon T is the base liquidity horizon (10 days) by default If there is a 'hole' in the list of liquidity horizons in the cube, the values of the coefficients are added up: if there are no holes, the values returned are: Liqu.

LiquidityHorizonCoefficient(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

LiquidityHorizonContextMetadata - Class in com.activeviam.frtb.core.context.impl

LiquidityHorizonContextMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

LiquidityHorizonContextVal - Class in com.activeviam.frtb.core.context.impl

LiquidityHorizonContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

LiquidityHorizonContextVal(int) - Constructor for class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

LiquidityHorizonGapFiller - Class in com.activeviam.frtb.ref.source.listeners

LiquidityHorizonGapFiller(String, String, String) - Constructor for class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

liquidityHorizonLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

liquidityHorizonLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

liquidityHorizonLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

LiquidityHorizonsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the IMA Liquidity Horizons store.

LiquidityHorizonTranslator - Class in com.activeviam.frtb.core.context.impl

LiquidityHorizonTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.LiquidityHorizonTranslator

LiquidityHorizonValue - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Returns the value of the member in the liquidity horizon level for the current location

LiquidityHorizonValue(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

LITERAL - Static variable in class com.activeviam.frtb.core.localDate.LocalDateLiteralType

LITERAL - Static variable in class com.activeviam.frtb.es.tool.localdate.LocalDateLiteralType

loadCurrentNodes(String, LocalDate) - Method in class com.activeviam.frtb.ref.parentchild.provider.BookParentChildDAO

This method provides a way to retrieve the book parent child nodes of a particular branch and asofDate for the DatastoreConfig.BOOK_PARENT_CHILD_STORE_NAME datastore.

loadCustomisations() - Method in class com.activeviam.frtb.starter.cfg.impl.DatastoreCustomisations

Defines the transformations to be performed on the default Accelerator stores, using DatastoreHelper.

loadData() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

Decides if initial data must be loaded.

loadData() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

Decides if initial data must be loaded.

loadDataFromJsonFileToArray(String) - Method in class com.activeviam.frtb.ref.services.impl.JsonDataLoader

Loads data from the config file to a JsonArray.

LOADING_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

Parameter controlling initial loading

LOADING_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.InitialMonitorLoadingCondition

Parameter controlling initial loading

LOADING_PROPERTY - Static variable in class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

Parameter controlling initial loading

loadScenarios(LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

Load the map of scenarios for as-of date, from the datastore.

LOCAL_DATE_DIRECTORY_NAME_FORMAT - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerFileConfig

LocalContentServiceConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Spring configuration of the Content Service backed by a local Content Server.

LocalContentServiceConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.LocalContentServiceConfig

LocalContentServiceConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the Content Service.

LocalContentServiceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

LocalDateFormatter - Class in com.activeviam.frtb.core.localDate

LocalDateFormatter(Locale) - Constructor for class com.activeviam.frtb.core.localDate.LocalDateFormatter

LocalDateFormatter(Locale, String) - Constructor for class com.activeviam.frtb.core.localDate.LocalDateFormatter

LocalDateFormatter - Class in com.activeviam.frtb.es.tool.localdate

LocalDateFormatter(Locale) - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

LocalDateFormatter(Locale, String) - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

LocalDateFormatter.ThreadLocalDateFormat - Class in com.activeviam.frtb.core.localDate

Thread local wrapped date format.

LocalDateFormatter.ThreadLocalDateFormat - Class in com.activeviam.frtb.es.tool.localdate

Thread local wrapped date format.

LocalDateLiteralType - Class in com.activeviam.frtb.core.localDate

LocalDateLiteralType(String) - Constructor for class com.activeviam.frtb.core.localDate.LocalDateLiteralType

LocalDateLiteralType() - Constructor for class com.activeviam.frtb.core.localDate.LocalDateLiteralType

LocalDateLiteralType - Class in com.activeviam.frtb.es.tool.localdate

LocalDateLiteralType(String) - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateLiteralType

LocalDateLiteralType() - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateLiteralType

LocalDateParser - Class in com.activeviam.frtb.core.localDate

LocalDateParser(String) - Constructor for class com.activeviam.frtb.core.localDate.LocalDateParser

LocalDateParser() - Constructor for class com.activeviam.frtb.core.localDate.LocalDateParser

LocalDateParser - Class in com.activeviam.frtb.es.tool.localdate

LocalDateParser(String) - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateParser

LocalDateParser() - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateParser

localMessengerDef() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

LOG_LOGGER_NAME_PROPERTY - Static variable in class com.activeviam.frtb.starter.logging.QFSFormatter

System property to activate logging the name of the logger

LOG_THREAD_PROPERTY - Static variable in class com.activeviam.frtb.starter.logging.QFSFormatter

System property to activate logging the current thread

LOG_USER_PROPERTY - Static variable in class com.activeviam.frtb.starter.logging.QFSFormatter

System property to activate logging the current user

logger - Static variable in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

LOGGER - Static variable in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

logger - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

Logger

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

LOGGER - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

LOGGER - Static variable in class com.activeviam.frtb.core.utils.FRTBParametersUtils

LOGGER - Static variable in class com.activeviam.frtb.core.utils.PostProcessorUtils

LOGGER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

Logger

LOGGER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

Logger

LOGGER - Static variable in class com.activeviam.frtb.es.tool.rest.service.impl.FrtbEsToolRestService

LOGGER - Static variable in class com.activeviam.frtb.ref.calc.ima.impl.ATailMeasureCalc

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

Logger

logger - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.FRTBI18nConfig

Logger

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

Logger

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Logger

LOGGER - Static variable in class com.activeviam.frtb.ref.cfg.stores.triggers.SparseVectorCommitTimeUpdater

LOGGER - Static variable in class com.activeviam.frtb.ref.drillin.service.DrillInRestfulService

LOGGER - Static variable in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

LOGGER - Static variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.BookHierarchyListener

LOGGER - Static variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.LegalEntityHierarchyListener

LOGGER - Static variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

logger - Static variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

LOGGER - Static variable in class com.activeviam.frtb.ref.services.impl.FxRates

LOGGER - Static variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

LOGGER - Static variable in class com.activeviam.frtb.ref.source.colcalcs.OptionalityColumnCalculator

LOGGER - Static variable in class com.activeviam.frtb.ref.source.colcalcs.RiskFactorColumnCalculator

LOGGER - Static variable in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

LOGGER - Static variable in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingFxCcyColumnCalculator

LOGGER - Static variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.CSRStoreTuplePublisher

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCLinearIMABaseTuplePublisher

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCNonLinearIMABaseTuplePublisher

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCScenarioCountTuplePublisher

LOGGER - Static variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

LOGGER - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

LOGGER - Static variable in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

LOGGER - Static variable in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

LOGGER - Static variable in class com.activeviam.frtb.ref.source.whatif.rest.services.ParentChildRestfulService

LOGGER - Static variable in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

LOGGER - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

logLoggerName - Variable in class com.activeviam.frtb.starter.logging.QFSFormatter

Flag to log the name of the logger

logout - Variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

true to enable the logout URL

logout - Variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig.AWebSecurityConfigurer

true to enable the logout URL

logThread - Variable in class com.activeviam.frtb.starter.logging.QFSFormatter

Flag to log the current thread

logUser - Variable in class com.activeviam.frtb.starter.logging.QFSFormatter

Flag to log the current user

lookback - Variable in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

lookback - Variable in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

lookback - Variable in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

lookback - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

LOOKBACK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

LOOKBACK_CONTEXT_VALUE - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

LOOKBACK_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

LOOKBACK_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

LOOKBACK_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

LookbackExpand - Class in com.activeviam.frtb.core.postprocessor.lookback.impl

Expand the looked back underlying measure along the lookback analysis hierarchy.

LookbackExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

LookbackHierarchy - Class in com.activeviam.frtb.core.hierarchy.impl

Copy the as of dates to an analysis hierarchy in order to expand the lookback values.

LookbackHierarchy(IAnalysisHierarchyInfo) - Constructor for class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

lookbackLevel - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

lookup(IDatastoreVersion, IQueryCache, Object, String, Object[], LocalDate, String, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

lookup(IDatastoreVersion, IQueryCache, Object, String, ICondition, Object[], LocalDate, String, List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

lookup(IDatastoreVersion, IQueryCache, ICompiledQuery, Object[], LocalDate, String) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

Run the query for all as-of dates and parameter sets; return the best as-of date and parameter set combination

lookup(IDatastoreVersion, IQueryCache, ICompiledQuery, Object[], LocalDate, String) - Method in class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

lookup(IDatastoreVersion, IQueryCache, Object, String, Object[], LocalDate, String, List<String>) - Method in interface com.activeviam.frtb.core.parameter.IParameterRetriever

Lookup tuple based on store key.

lookup(IDatastoreVersion, IQueryCache, Object, String, ICondition, Object[], LocalDate, String, List<String>) - Method in interface com.activeviam.frtb.core.parameter.IParameterRetriever

Lookup tuples based on parameterized query condition and accompanying parameters.

lookupAggregationFunction(IActivePivot, Properties, String) - Static method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager

lookupAll(IDatastoreVersion, IQueryCache, Object, String, Object[], List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

lookupAll(IDatastoreVersion, IQueryCache, Object, String, ICondition, Object[], List<String>) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

lookupAll(IDatastoreVersion, IQueryCache, ICompiledQuery, Object[]) - Method in class com.activeviam.frtb.core.parameter.impl.AParameterRetriever

Run the query for all as-of dates and parameter sets

lookupAll(IDatastoreVersion, IQueryCache, ICompiledQuery, Object[]) - Method in class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

lookupAll(IDatastoreVersion, IQueryCache, Object, String, Object[], List<String>) - Method in interface com.activeviam.frtb.core.parameter.IUnfilteredParameterRetriever

Lookup all tuples based on store key.

lookupAll(IDatastoreVersion, IQueryCache, Object, String, ICondition, Object[], List<String>) - Method in interface com.activeviam.frtb.core.parameter.IUnfilteredParameterRetriever

Lookup all tuples based on parameterized query condition and accompanying parameters.

lookupCache(LocalDate) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

lookupParameter(IParameterRetriever, IQueryCache, IDatastoreVersion, LocalDate, String, String, T) - Static method in class com.activeviam.frtb.core.utils.FRTBParametersUtils

Retrieves value of the parameter, looks in the query cache first, if not found returns a default value

lookupScenarioIndex(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

The vector index of the scenario.

lookupStore(LocalDate, IAxisHierarchy) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

lookupStore(String, ICondition, String, String...) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

lookupStore(LocalDate, IAxisHierarchy) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

lookupVertexIndex(double, IVector) - Static method in class com.activeviam.frtb.core.calc.SensitivityCalculations

LOW - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

LOW - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

LOW - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

LOW_CORRELATION_SCENARIO - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

LOW_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

M

main(String[]) - Static method in class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

main(String[]) - Static method in class com.activeviam.frtb.starter.main.FRTBApplication

manager - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

manualStartNettyMessengerDef() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

map(int, Object) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

map(int, Object) - Method in class com.activeviam.frtb.core.calc.AggregatesMap

map(IAxisHierarchy, LocalDate, IAxisMember) - Method in class com.activeviam.frtb.core.services.impl.ADatastoreLookupOrganisationHierarchyMap

map(IAxisHierarchy, LocalDate, IAxisMember) - Method in interface com.activeviam.frtb.core.services.IOrganisationHierarchyMap

For the given date, map the path on the hierarchy to a set of members in the target level.

MAP_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

MAPPING_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

MAPPING_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

mappings - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

MARGINAL_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The marginal level property name ("marginalLevel")

MARKET_CAP_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

MARKET_DATA_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Market Data Description stores

MARKET_DATA_DESCRIPTION_STORE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_COMMODITY_GRADE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_COMMODITY_LOCATION - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_COMMODITY_ROUTE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_COMMODITY_TIME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_COUNTER_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_CREDIT_QUALITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_EQUITY_ECONOMY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_EQUITY_MARKET_CAP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_EQUITY_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_MARKET_DATA_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_RATING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_DESCRIPTION_STORE_UNDERLYING_FX_ORIGINAL_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

MARKET_DATA_TYPE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

MARKET_DATA_TYPE_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The market data type level property name ("marketDataTypeLevel")

MARKET_DATA_TYPE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Market Data Type.

MARKET_DATA_UNDERLYING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Market Data Underlying.

marketCapLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

marketCapLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

MarketDataDescriptionStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Market Data Description store.

MarketDataPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher for the MarketDataDescription store.

MarketDataPublisher(IDatastore, IParameterRetriever, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.MarketDataPublisher

Constructor

marketDataPublisher - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

marketDataTypeLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

marketDataTypeLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

masterActivePivotManagerDescription() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

Description of the ActivePivot Manager instance for this aggregation model.

matches(ConditionContext, AnnotatedTypeMetadata) - Method in class com.activeviam.frtb.ref.cfg.impl.InitialMonitorLoadingCondition

MATURITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

MATURITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

MATURITY_CONVERTER_DRC_DEFAULT - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Default value for "maturity-converter.drc" property.

MATURITY_CONVERTER_DRC_PROPERTY - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Configuration Property name containing qualifier for maturity converter used by SA and IMA DRC: "maturity-converter.drc".

MATURITY_CONVERTER_LEGACY - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Spring Bean qualifier for legacy maturity converter.

MATURITY_CONVERTER_SA_SBM_DEFAULT - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Default value for "maturity-converter.sa.sbm" property.

MATURITY_CONVERTER_SA_SBM_PROPERTY - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Configuration Property name containing qualifier for maturity converter used by SA SBM: "maturity-converter.sa.sbm".

MATURITY_CONVERTER_SIMPLE - Static variable in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

Spring Bean qualifier for simple maturity converter.

MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.EquityVegaCalculations

MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.FXVegaCalculations

maturityConverter - Variable in class com.activeviam.frtb.ref.source.publishers.ADeltaPublisher

maturityConverter - Variable in class com.activeviam.frtb.ref.source.publishers.AVegaPublisher

MaturityConverterConfig - Class in com.activeviam.frtb.starter.cfg.impl

A Spring configuration class to manage the configuration of the maturity converter (IMaturityConverter), along with the implementations of IDayCountConvention, IBusinessDayConvention, IBusinessDayCalendar, and ITenorConverter.

MaturityConverterConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

maturityCorrelationComponent(double, double, double) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

maturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

MaturityScalingFactor - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the JTD scaling factor given the as of date and the trade maturity (paragraph 146).

MaturityScalingFactor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

MAX - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

maximumValue() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

maxPendingDiscoveries - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

maxScenarioCache - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

maxScenarioIDCache - Static variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

MdxEventFormatter - Class in com.activeviam.frtb.ref.events

An utility which help to retrieve Mdx based information from a monitor and an event.

MdxEventFormatter(IAgentService) - Constructor for class com.activeviam.frtb.ref.events.MdxEventFormatter

Constructor

mdxFormat - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

MdxMessagingConfiguration - Class in com.activeviam.frtb.ref.events

MdxMessagingConfiguration() - Constructor for class com.activeviam.frtb.ref.events.MdxMessagingConfiguration

MEAN_PREFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

MEAN_RATIO - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

MEAN_UNEXPLAINED_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

MeanLookback - Class in com.activeviam.frtb.core.postprocessor.lookback.impl

Calculate the mean (average) over past dates.

MeanLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.lookback.impl.MeanLookback

Measure - Interface in com.activeviam.frtb.core.cfg.measures

Measure.CurvatureMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.DRCMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.EulerMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.IncrementalMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.NotionalMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.PVMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.RiskMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.RiskWeightMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.RRAOMeasure - Enum in com.activeviam.frtb.core.cfg.measures

Measure.SensitivityMeasure - Enum in com.activeviam.frtb.core.cfg.measures

MEASURE_DELIMITER - Static variable in class com.activeviam.frtb.core.utils.PostProcessorUtils

MEASURE_NAME_PATTERN - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

MEASURE_OVERRIDDEN - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

MEASURE_OVERRIDDEN_FLAG_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

measureBuilder(IActivePivotManagerDescription) - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

measureConfig - Variable in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

measureConfig() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBResourcesConfig

Bean that loads the measures configuration properties from the measures-config.json file.

measures - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher

The weighted sensitivity measure(s).

MEASURES_DIRECTORY - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

MEASURES_PATH - Static variable in class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

MeasuresDocumentationResourceServerConfig - Class in com.activeviam.frtb.starter.cfg.impl

MeasuresDocumentationResourceServerConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

Constructor

MeasureUtils - Class in com.activeviam.frtb.core.cfg.measures

MeasureUtils() - Constructor for class com.activeviam.frtb.core.cfg.measures.MeasureUtils

MEMBER_SEPARATOR - Static variable in class com.activeviam.frtb.ref.events.MdxEventFormatter

memoryAnalysisExportPath() - Method in class com.activeviam.frtb.starter.cfg.impl.MonitorConfig

merge(boolean, Double, Double) - Method in class com.activeviam.frtb.core.agg.impl.AbsoluteSumAggregationFunction

merge(boolean, Object, Object) - Method in class com.activeviam.frtb.core.agg.impl.NonAggregateFunction

merge - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

merge(List<Object>, List<Object>) - Method in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

MERGE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

messageChannelFactory - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

messageChannelFactory - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

messageHandler() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig

method - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

METHOD_ES - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

METHOD_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

METHOD_VAR - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

minimumLevels(String, boolean, IPostProcessorDescription, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

minimumLevels(String, String, String, String, boolean) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

Constructs the postprocessor definition

minimumLevels - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

minimumLevels - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

minimumLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

minimumLevelsInfo - Variable in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.ESContextMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeightMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

minimumValue() - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

MINUS - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

minus(IVector, IVector) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.ReadOnlySparseVectorBinding

MODEL_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The FRTB Model Level property name ("modelLevel").

modelHierarchy - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

MODELLABLE - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

modelToBooks(LocalDate) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

MonitorConfig - Class in com.activeviam.frtb.starter.cfg.impl

MonitorConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.MonitorConfig

MonitorEventWorkflowUnit - Class in com.activeviam.frtb.ref.workflows.units.impl

MonitorEventWorkflowUnit() - Constructor for class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

monitorPath(String, long) - Method in class com.activeviam.frtb.ref.events.MdxEventFormatter

Get the monitor path from its site and its id.

monitors() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

[Optional] Generates some monitor objects to start the application with existing monitors.

monitorService - Variable in class com.activeviam.frtb.ref.workflows.batch.impl.BatchEventProcessExecutor

MonitorWorkflowUnit - Class in com.activeviam.frtb.ref.workflows.units.impl

MonitorWorkflowUnit() - Constructor for class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

MONTH - Static variable in class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

MRDInMemoryDownloadLinkConsumerSecurityConfigurer() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.MRDInMemoryDownloadLinkConsumerSecurityConfigurer

MULT - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

MULTIPLIER - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

MULTIPLIER_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

mvPivot - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

N

N_FLAG - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

name - Variable in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

Default measure name component.

name - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Default measure name component.

name - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap.NamedPrefetcher

name - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.TargetPrefetcher

NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

name - Variable in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

name - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

name - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

NAME_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

NAME_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

NAME_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

NamedPrefetcher(String, IPrefetcher<CONTEXT>) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap.NamedPrefetcher

NAMESPACE - Static variable in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

The namespace of the Documentation web application

NativeMeasureBuilder(String) - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

NativeMeasureBuilders - Class in com.activeviam.frtb.ref.cfg.measures.impl

NativeMeasureBuilders() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

NativeMeasureBuilders.NativeMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

NB_ELEMENTS_ANALYSIS_HIERARCHY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Number of elements for the analysis hierarchy

NB_EXCEPTIONS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

nearestRank(int, double) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Convenient method for quantile using the Nearest Rank definition of quantile

needBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

needDivider - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

needOptionality - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

NegativeValue - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Multiplies the underlying measure by -1 and returns a double-typed value.

NegativeValue(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

neighborValue(String, boolean, String, String, String, String, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

NetJTD - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the Net JTD (paragraph 150)

NetJTD(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

NetJTDNetty - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the Net JTD (paragraph 150)

NetJTDNetty(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

NetJTDWeightings - Class in com.activeviam.frtb.core.postprocessor.drc.impl

This PP calculates the risk weights to apply to the Net JTD for DRC non-Sec (paragraph 152) and DRC Sec non-CTP (paragraph 161)

NetJTDWeightings(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

NETTING - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Netting property name for DRC ("netting")

newContext() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

nextBusinessDay(LocalDate, IBusinessDayCalendar) - Method in class com.activeviam.frtb.core.dates.impl.SimpleTenorConverter

NMRF - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

NON_MODELLABLE - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

NonAggregateFunction - Class in com.activeviam.frtb.core.agg.impl

Aggregation function that doesn't expect to aggregate values; throws an exception if an aggregation is attempted.

NonAggregateFunction() - Constructor for class com.activeviam.frtb.core.agg.impl.NonAggregateFunction

NonExoticResidualRiskWeight - Class in com.activeviam.frtb.core.context.impl

NonExoticResidualRiskWeight() - Constructor for class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

NonExoticResidualRiskWeight(double) - Constructor for class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

NonExoticResidualRiskWeightMetadata - Class in com.activeviam.frtb.core.context.impl

NonExoticResidualRiskWeightMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightMetadata

NonExoticResidualRiskWeightTranslator - Class in com.activeviam.frtb.core.context.impl

NonExoticResidualRiskWeightTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeightTranslator

NOT_DOUBLE - Variable in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

Want to interpret "2D" as two days and not 2.0

notifyChange(IMessageService, ITemplateEngine) - Method in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

notifyChange(String, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Notifies that a parameter changed.

notifyChanges(List<ISentinelEvent>, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Creates a message, summarizing all changes among events.

notifyCreation(IMonitor, IMessageService, boolean) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Sends a message to notify that a monitor was created

notifyDeletion(IMonitor, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

notifyPublication(IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Sends a message to notify user of monitor publication.

notifyRejectedChange(String, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Notifies that a parameter change was rejected.

notifyRejectedCreation(IMonitor, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Sends a message to notify that a monitor creation was not approved.

notifyRejection(IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

Sends a message to notify user that its publication was rejected.

notifyRejection(IMessageService, ITemplateEngine) - Method in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

notifyUpdate(IMonitor, IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

NOTIONAL - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

NOTIONAL - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

NOTIONAL - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

NOTIONAL_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

NOTIONAL_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

NOTIONAL_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Currency used for the Notional.

NOTIONAL_OVERRIDDEN - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

NULL - Static variable in class com.activeviam.frtb.core.calc.AggregatesMap

NullPostProcessor - Class in com.activeviam.frtb.core.postprocessor.combined.impl

This post-processor does not pre-fetch or return any values.

NullPostProcessor(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.NullPostProcessor

NUM - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

NUM_HASH_PARTITIONS - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

NUM_HASH_PARTITIONS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

numberFormat - Variable in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

Number formatter

numberFormat - Variable in class com.activeviam.frtb.core.formula.impl.TailVaROperator

Number formatter

numberFormat - Variable in class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

O

ObjectArrayFormatter - Class in com.activeviam.frtb.core.format.impl

A formatter used to display all the elements in a object array/vector.

ObjectArrayFormatter(Locale) - Constructor for class com.activeviam.frtb.core.format.impl.ObjectArrayFormatter

ObjectArrayFormatter(Locale, String) - Constructor for class com.activeviam.frtb.core.format.impl.ObjectArrayFormatter

ObjectArrayWrapper - Class in com.activeviam.frtb.core.utils

ObjectArrayWrapper(Object[]) - Constructor for class com.activeviam.frtb.core.utils.ObjectArrayWrapper

OBLIGOR - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Obligor property name for DRC ("obligor")

OBLIGOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

OBLIGOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

OBLIGOR_CATEGORY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OBLIGOR_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

OBLIGOR_ID - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OBLIGOR_RISK_WEIGHTS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

OBLIGOR_SCENARIO_MAPPING_STORE - Static variable in class com.activeviam.frtb.core.constants.StoreNames

OBLIGOR_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

OBLIGOR_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

OBLIGOR_STORE_OBLIGOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

OBLIGOR_STORE_OBLIGOR_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

OBLIGOR_STORE_RATING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

OBLIGOR_TO_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

OBLIGOR_TO_RISK_WEIGHT_OBLIGOR - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OBLIGOR_TO_RISK_WEIGHT_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OBLIGOR_TO_RISK_WEIGHT_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

OBLIGOR_TO_RISK_WEIGHT_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

ObligorStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Obligor store.

ObligorToRiskWeightStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the FX Vega Double Sums store.

olapConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

Omega - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Computes Omega formula from the constraint and unconstrained ES.

Omega(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

ON_COLUMNS - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

ON_ROWS - Static variable in class com.activeviam.frtb.ref.drillin.DrillInConstants

onStartup(ServletContext) - Method in class com.activeviam.frtb.es.tool.cfg.impl.WebAppInitializer

operation - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

OPERATION - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

OPTION_MATURITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OPTION_MATURITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

OPTION_MATURITY_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OPTION_MATURITY_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OPTION_MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

OPTION_MATURITY_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

OPTION_RESIDUAL_MATURITY_VERTICES - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

OPTION_RESIDUAL_MATURITY_VERTICES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

OPTION_RESIDUAL_MATURITY_VERTICES_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

OPTION_RESIDUAL_MATURITY_VERTICES_STORE_INDEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OPTION_RESIDUAL_MATURITY_VERTICES_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OPTION_RESIDUAL_MATURITY_VERTICES_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OPTION_RESIDUAL_MATURITY_VERTICES_STORE_VERTEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

OPTIONALITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OPTIONALITY_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Optionality property name ("optionalityLevel")

OPTIONALITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Delta Optionality.

OptionalityColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

Calculator for Standardised Approach market data

OptionalityColumnCalculator(String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.OptionalityColumnCalculator

Constructor

optionalityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

optionalLevelInfo(IActivePivot, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

optionMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

optionMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

optionMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

OptionResidualMaturityVerticesStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Option Residual Maturity Vertices store used by GIRR.

organisationHierarchyMap - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

organisationHierarchyMapFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

organisationHierarchyMapFactory - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

organisationTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

orgHierarchyMappings - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

ORIG_CCY_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

ORIG_CCY_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

ORIGINAL_OPTIONALITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

ORIGINAL_OPTIONALITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

ORIGINAL_OPTIONALITY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Delta Original Optionality.

OTHER_BUCKET - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The "Other" bucket property name ("otherBucket")

OTHER_BUCKET_COMMODITY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Commodity "Other" bucket number

OTHER_BUCKET_CSR_NS - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

CSR NS "Other" bucket number

OTHER_BUCKET_CSR_SEC_CTP - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

CSR Sec CTP "Other" bucket number

OTHER_BUCKET_CSR_SEC_NON_CTP - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

CSR Sec Non-CTP "Other" bucket number

OTHER_BUCKET_EQUITY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Equity "Other" bucket number

OTHER_RESIDUAL_RISK_TYPE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

OTHER_RESIDUAL_RISK_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionLinear

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

otherBucket - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

otherBucketAdded(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

otherBucketAdded(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

otherBucketAdded(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

otherBucketCorrelation(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

otherBucketIndex(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskChargeEuler

The index in the double sums and correlations vectors which represents the "other" bucket.

otherBucketIndex(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

otherBucketIndex(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

Outlier - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Identify outlier/exception points.

Outlier(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

OutlierDatesLookback - Class in com.activeviam.frtb.core.postprocessor.pl.impl

A vector of dates where outliers/exceptions occurred.

OutlierDatesLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

P

P_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

P_VALUE_ACTUAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

P_VALUE_HYPOTHETICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

PARAMETER_SET - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

PARAMETER_SET - Static variable in class com.activeviam.frtb.core.constants.FRTBParameterSets

PARAMETER_SET - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PARAMETER_SET - Static variable in class com.activeviam.frtb.core.constants.StoreNames

PARAMETER_SET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketCorrelationsFileConstants

PARAMETER_SET - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

PARAMETER_SET_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

PARAMETER_SET_ROOT - Static variable in class com.activeviam.frtb.core.parameter.impl.ParameterSetUtils

PARAMETER_SET_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

PARAMETER_SET_STORE_JURISIDICTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

PARAMETER_SET_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

PARAMETER_SET_STORE_PARENT_JURISDICTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

parameterPriorities - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

parameterRetriever - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

parameterRetriever - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

parameterRetriever - Variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

FRTB parameter retriever, automatically wired

parameterRetriever() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBParameterConfig

parameterRetriever - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

Parameter Retriever Service

parameterRetriever - Variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

FRTB parameter retriever, automatically wired

parameterRetriever - Variable in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

parameterRetriever - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

ParametersDatastoreConfig - Class in com.activeviam.frtb.core.cfg.impl

Spring configuration of the Parameter stores.

ParametersDatastoreConfig() - Constructor for class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

parameterSet - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

ParameterSetDatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the Parameter Sets store.

ParameterSetDatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

parameterSetLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPositionCorrelations

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

parameterSetLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

parameterSetStore - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

ParameterSetStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

Store description for the Jursidiction Store

ParameterSetUtils - Class in com.activeviam.frtb.core.parameter.impl

Utility class for generating parameter keys.

ParameterSetUtils() - Constructor for class com.activeviam.frtb.core.parameter.impl.ParameterSetUtils

parameterStoreConfiguration() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

parameterStoreConfiguration() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

parameterStoreConfiguration() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.DummyDatastoreConfig

ParameterWorkflowUnit - Class in com.activeviam.frtb.ref.workflows.units.impl

Unit managing workflows changing parameter workflows.

ParameterWorkflowUnit() - Constructor for class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

PARENT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

parent - Variable in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

PARENT_PARAMETER_SET - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PARENT_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

parentChildFields - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

ParentChildNode<PCN extends ParentChildNode<?>> - Class in com.activeviam.frtb.ref.parentchild.nodes

This class is being both used the model for the data map for out datastore and also the model for mapping our data to JSON.

ParentChildNode() - Constructor for class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

ParentChildNodeBuilder<PCN,HB extends ParentChildNodeBuilder<PCN,HB>> - Class in com.activeviam.frtb.ref.parentchild.builders

The ParentChildNodeBuilder is an abstract class that provides a way to make node objects that have a parent child structure.

ParentChildNodeBuilder(LocalDate) - Constructor for class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

parentChildNodes(String, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.ParentChildRestfulService

This method provides a way to retrieve the book parent child nodes of a particular branch and asofDate from the book parent child datastore.

ParentChildNodeTreeFilter<Node extends ParentChildNode<?>> - Interface in com.activeviam.frtb.ref.parentchild.provider

The interface for node tree filters.

ParentChildRestfulService - Class in com.activeviam.frtb.ref.source.whatif.rest.services

The ParentChildRestfulService is the restful layer on top of ParentChildService.

ParentChildRestfulService() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.services.ParentChildRestfulService

ParentChildService - Class in com.activeviam.frtb.ref.parentchild.service

The ParentChildService is the main entry way and API for the entire Parent Child back end service.

ParentChildService() - Constructor for class com.activeviam.frtb.ref.parentchild.service.ParentChildService

ParentChildServiceConfig - Class in com.activeviam.frtb.ref.parentchild.cfg

The beans defined here provide various services for the Parent Child Widget to save and make changes to pre-existing hierarchies in the datastore.

ParentChildServiceConfig() - Constructor for class com.activeviam.frtb.ref.parentchild.cfg.ParentChildServiceConfig

parentChildStoreName - Variable in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

ParentChildWhatIfException - Exception in com.activeviam.frtb.ref.parentchild.submitter

A simple exception type used by the Parent Child Service to indicate there was an issue when persisting parent child trees on the WhatIf engine.

ParentChildWhatIfException(String) - Constructor for exception com.activeviam.frtb.ref.parentchild.submitter.ParentChildWhatIfException

ParentHierarchyListener<PCN extends ParentChildNode<PCN>,HB extends HierarchyBuilder<HB>> - Class in com.activeviam.frtb.ref.parentchild.hierarchy.listeners

Listen for changes to a ParentChild store and builds up a corresponding Hierarchy store.

ParentHierarchyListener(String, String, String[]) - Constructor for class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

parentLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Determine the parent location.

ParentPrefetcher() - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ProRata.ParentPrefetcher

parse(String) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustmentTranslator

parse(String) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustmentTranslator

parse(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

parse(CharSequence) - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

parse(CharSequence) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

parse(CharSequence) - Method in class com.activeviam.frtb.ref.source.parsers.FRTBParameterValueParser

parseKey(String) - Method in class com.activeviam.frtb.core.localDate.LocalDateLiteralType

parseKey(String) - Method in class com.activeviam.frtb.core.localDate.LocalDateParser

parseKey(String) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateLiteralType

parseKey(String) - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateParser

parseLookback(String) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Parse the lookback parameter into either a Period or an Integer.

parseRows(String, List<Map<String, Object>>) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

Parse the input rows that correspond to the store name provided, and add them to the parsedRows list.

parseRows(String, List<Object[]>, boolean) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

Parse the input rows that correspond to the store name provided, and add them to the parsedRows list.

partitionDropped(int, List<int[]>, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

partitionDropped(int, List<int[]>, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

PartitionedFormula<OutputType> - Class in com.activeviam.frtb.core.postprocessor.impl

PartitionedFormula(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.PnLES

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

partitioningManager - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.PnLES

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

partitioningManagerFactory - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

passwordEncoder() - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

passwordEncoder() - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

payload - Variable in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

payload - Variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

payload - Variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

payload - Variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

The payload

pendingChange - Variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

The id's of the point values

pivot - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

pivot - Variable in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

PIVOT_USER - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

PIVOT_USER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

PIVOT_USER_ROLES - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

PIVOT_USER_ROLES - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

pivotReference - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

PL - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

PL - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

PL_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot PL FRTB Application.

PL_ATTRIBUTION_TEST_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

PL_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of PL ActivePivot Cube.

PL_DESK_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Desks in PL cube

PL_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

PL_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

PL_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

PL_FX_CURRENCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube levels for Currency in PL cube *

PL_FX_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

PL_INCREMENTAL_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

PL_INDEX_HIERARCHY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Index Hierarchy in PL cube

PL_LIQUIDITY_HORIZON - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PL_LOOKBACK_HIERARCHY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Lookback Analysis Hierarchy in PL Summary cube

PL_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of PL ActivePivot Schema.

PL_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PL_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_STORE_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PL_SUMMARY_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot PL Summary FRTB Application.

PL_SUMMARY_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of PL Summary ActivePivot Cube.

PL_SUMMARY_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

PL_SUMMARY_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of PL Summary ActivePivot Schema.

PL_SUMMARY_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PL_SUMMARY_STORE_ACTUAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_DESK - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_HYPOTHETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_P_VALUE_ACTUAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_P_VALUE_HYPOTHETICAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_THEORETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_VAR975 - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_SUMMARY_STORE_VAR99 - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

PL_TOPICS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PL_VAR_SCENARIO_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

PL_VAR_VECTOR_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

PLA_ZONE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PLA_ZONE_FILTER_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

PLA_ZONE_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

PLA_ZONE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

The PLA Zone Level property name ("plaZoneLevel").

PLA_ZONE_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for PLA Zone

PLALookbackContextVal - Class in com.activeviam.frtb.core.context.impl

PLALookbackContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

PLALookbackContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

PLALookbackTranslator - Class in com.activeviam.frtb.core.context.impl

PLALookbackTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.PLALookbackTranslator

plaZoneHierarchy - Variable in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

plaZoneLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

plaZonesToFilterOn - Variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

plaZoneToBooks(LocalDate) - Method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

plCompositeTopicConfig(ACSVSourceConfig.ChannelParameters) - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

plCubeDistributingField - Variable in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

PLCube distributing field.

plCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

plLiqHorField - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

plLiqHorStoreIndex - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

PLMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Produces the descriptions of the measures and post-processors for the PL Cube measures.

PLMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

plNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

plSchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

plSchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

plStore - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

PLStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the PL store.

plSummaryCubeInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

PLSummaryMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Produces the descriptions of the measures and post-processors for the PL Summary Cube measures.

PLSummaryMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

plSummaryNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

plSummarySchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

plSummarySchemaInstanceDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

PLSummaryStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the PL summary store.

plSummaryTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

plTradeTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.agg.impl.AbsoluteSumAggregationFunction

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.agg.impl.NonAggregateFunction

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.interpolation.impl.LinearInterpolator

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.AggregatedCapitalCharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurcharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.CapitalSurchargeMultiplier

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.FRTBModelFilter

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.IMAAggregatedCapitalCharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.NullPostProcessor

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

post processor plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXStream

plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

post processor plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

For the plugin engine

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

Plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.PnLES

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

For the plugin engine

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

For the plugin engine

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.LookbackExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.MeanLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.lookback.impl.VectoriseLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.OutlierDatesLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviationLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.VarianceLookback

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaVerticesRiskWeightExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionCorrelations

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskWeight

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaWeightedSensitivity

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

post processor plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

post processor plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

post processor plugin key

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

PLUGIN_KEY - Static variable in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriod

PLUGIN_KEY - Static variable in class com.activeviam.frtb.es.tool.postprocessor.esstressperiod.impl.ESStressPeriodResultType

PLUGIN_KEY - Static variable in class com.activeviam.frtb.ref.drillthrough.impl.DoubleVectorDisplayAll

PLUGIN_KEY - Static variable in class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

PLUGIN_KEY - Static variable in class com.qfs.store.service.impl.TempLikeConditionFactory

PLUGIN_TYPE - Static variable in class com.activeviam.frtb.core.format.impl.DoubleArrayFormatter

Extended plugin key

PLUGIN_TYPE - Static variable in class com.activeviam.frtb.core.format.impl.IntegerArrayFormatter

Extended plugin key

PLUGIN_TYPE - Static variable in class com.activeviam.frtb.core.format.impl.ObjectArrayFormatter

PLUGIN_TYPE - Static variable in class com.activeviam.frtb.es.tool.format.impl.DoubleArrayFormatter

Extended plugin key

PLUGIN_TYPE - Static variable in class com.activeviam.frtb.es.tool.format.impl.IntegerArrayFormatter

Extended plugin key

PLUS - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

plus(IVector, IVector) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.ReadOnlySparseVectorBinding

PNL - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PNL_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PNL_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PNL_3 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PNL_VECTOR - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PnLES - Class in com.activeviam.frtb.core.postprocessor.impl

PnLES(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.PnLES

PnLVar - Class in com.activeviam.frtb.core.postprocessor.impl

PnLVar(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.PnLVar

populateConfigStoreLists() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

populateMapping(IAdvancedAggregatesRetriever, IQueryCache) - Method in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

populateParameterSetDepths(Map<String, Integer>, int, String) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

populateStoreLists() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

populateVertices(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Retrieve vertices from datastore

populateVertices(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Retrieve vertices from datastore

populateVertices(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

Retrieve vertices from datastore

populateVertices(IDatastoreVersion, IQueryCache, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

Retrieve vertices from datastore

PORTFOLIO_RISK_CHARGE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

POSITIVE_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

postProcessor - Variable in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor.SimplePrefetcher

PostProcessorErrorHandler - Class in com.activeviam.frtb.ref.services.impl

Basic implementation of IPostProcessorErrorHandler which logs the error and returns Double.NaN.

PostProcessorErrorHandler() - Constructor for class com.activeviam.frtb.ref.services.impl.PostProcessorErrorHandler

postProcessorFilter - Variable in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringDynamicAggregationPostProcessor

The post processor filter to intersect with the query filter

postProcessorFilter - Variable in class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor

The post processor filter to intersect with the query filter

PostProcessorLevelMapping - Class in com.activeviam.frtb.core.postprocessor

PostProcessorLevelMapping(IActivePivot, String, String, String) - Constructor for class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

PostProcessorLevelMapping(IActivePivot, String, String, String, BiFunction<List<Object>, List<Object>, List<Object>>) - Constructor for class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

PostProcessorPartitioningManager - Class in com.activeviam.frtb.ref.cfg.impl

PostProcessorPartitioningManager.Factory - Class in com.activeviam.frtb.ref.cfg.impl

postProcessorPartitioningManagerAllAddedLevelDescriptions() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

The Spring bean for the levels added from the IPostProcessorPartitioningManagers generated by the postProcessorPartitioningManagerFactory bean.

postProcessorPartitioningManagerAllRemovedLevelDescriptions() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

The Spring bean for the levels removed from the IPostProcessorPartitioningManagers generated by the postProcessorPartitioningManagerFactory bean.

postProcessorPartitioningManagerFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

The Spring bean for the IPostProcessorPartitioningManager.Factory.

PostProcessorProperties - Interface in com.activeviam.frtb.core.constants

Interface used to define constants for programmatically loading postprocessor properties.

PostProcessorUtils - Class in com.activeviam.frtb.core.utils

PostProcessorUtils() - Constructor for class com.activeviam.frtb.core.utils.PostProcessorUtils

PRE_INTERPOLATION_LOGGING_LEVEL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

PRE_INTERPOLATION_LOGGING_LEVEL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PRE_INTERPOLATION_LOGGING_LEVEL_DEFAULT - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

PRE_INTERPOLATION_LOGGING_LEVEL_DEFAULT - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.FXDeltaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.FXVegaCalculations

PRECISION - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

prefetcher - Variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap.NamedPrefetcher

PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

prefetcherFilter - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

PRESENT_VALUE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PRESENT_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

PRESENT_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

PRESENT_VALUE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

PREVIOUS_DAY_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

previousValue(String, boolean, String, String, String, String, String, String) - Static method in class com.activeviam.frtb.core.cfg.measures.MeasureUtils

printOutput(PrintWriter, UriInfo, CellSetDTO) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

printOutput(PrintWriter, UriInfo, CellSetDTO) - Method in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

PRIVATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

The Private workflow scheme

PRIVATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

The Private workflow scheme

PRO_RATA_HIERARCHIES_LIST_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

List of Hierarchies for the Pro-Rata Hierarchy Context Value

PRO_RATA_LEAF_LEVELS_LIST_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

List of Levels for the Pro-Rata Leaf Level Context Value

PRO_RATA_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

process(IWorkflowPayload) - Method in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

process(IWorkflowPayload) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

process(IWorkflowPayload) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorWorkflowUnit

process(IWorkflowPayload) - Method in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

process(IWorkflowPayload) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

processEvents(List<ISentinelEvent>, IEventAlertAggregator) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Processes all events in a batch.

PRODUCT_STD_DEV_RANK_VECTORS - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

PRODUCTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

The Approval workflow scheme

PRODUCTION - Static variable in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

The Approval workflow scheme

PROFIT_AND_LOSS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PROFIT_AND_LOSS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

properties() - Static method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalcAware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.dates.IDrcMaturityConverterAware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.dates.ISaSbmMaturityConverterAware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManagerAware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.services.IDataAvailability.IAware

The bean property name for the setter method.

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.services.IDistributionAwareQueryRunner.Aware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.services.IOrganisationHierarchyMap.Aware

PROPERTY_NAME - Static variable in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler.IAware

The bean property name for the setter method.

ProRata - Class in com.activeviam.frtb.core.postprocessor.impl

This post-processor calculates the Pro-Rata Capital Allocation.

ProRata(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ProRata

ProRata.LeafPrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

ProRata.ParentPrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

ProRata.SiblingPrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

ProRata.TopPrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

proRataHierarchies - Variable in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

proRataHierarchies() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

A Spring bean with the list of hierarchies in the ActiveUI dropdown for the ProRataHierarchy context value.

ProRataHierarchyContextVal - Class in com.activeviam.frtb.core.context.impl

ProRataHierarchyContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

ProRataHierarchyTranslator - Class in com.activeviam.frtb.core.context.impl

ProRataHierarchyTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

ProRataLeafLevelContextVal - Class in com.activeviam.frtb.core.context.impl

ProRataLeafLevelContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

proRataLeafLevels - Variable in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

proRataLeafLevels() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

A Spring bean with the list of levels in the ActiveUI dropdown for the ProRataLeafLevel context value.

ProRataLeafLevelTranslator - Class in com.activeviam.frtb.core.context.impl

ProRataLeafLevelTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

protocolPath - Variable in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

Path to the JGroup protocol configuration file.

publish(IDatastore, IStoreMessage, String, Collection<Object[]>) - Method in interface com.activeviam.frtb.ref.source.ds.publisher.IDatastorePublisher

publish(IDatastore, IStoreMessage, String, Collection<Object[]>) - Method in class com.activeviam.frtb.ref.source.ds.publisher.impl.AddDatastorePublisher

publish(IStoreMessage, Collection<Object[]>, IDatastorePublisher) - Method in class com.activeviam.frtb.ref.source.publishers.ACurvaturePublisher

Uses the PublisherUtils methods to vectorise and interpolate the incoming tuples and commit them to the relevant stores.

publish(IStoreMessage, Collection<Object[]>, IDatastorePublisher) - Method in class com.activeviam.frtb.ref.source.publishers.ADeltaPublisher

Uses the PublisherUtils methods to vectorise and interpolate the incoming tuples and commit them to the relevant stores.

publish(IStoreMessage, Collection<Object[]>, IDatastorePublisher) - Method in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

Sends a list of tuples to the TradeBase store

publish(IStoreMessage, Collection<Object[]>, IDatastorePublisher) - Method in class com.activeviam.frtb.ref.source.publishers.AVegaPublisher

Uses the PublisherUtils methods to vectorise and interpolate the incoming tuples and commit them to the relevant stores.

publish(Collection<Object[]>) - Method in class com.activeviam.frtb.ref.source.publishers.MarketDataPublisher

Publishes to the MarketDataDescription store.

publish(List<Object[]>) - Method in class com.activeviam.frtb.ref.source.publishers.StaticDataPublisher

Discards duplicate tuples and commits to the appropriate store

publish(IDatastore, IStoreMessage, String, Collection<Object[]>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

publish(IStoreMessage<? extends IFileInfo<Path>, ?>, List<Object[]>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

Modifies and sends the incoming tuples to the appropriate store or Publisher.

publish(IStoreMessage<? extends IFileInfo<Path>, ?>, List<Object[]>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.CSRStoreTuplePublisher

publish(IStoreMessage, List) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

Modifies and sends the incoming tuples to the appropriate store or Publisher

publish(IStoreMessage<? extends IFileInfo<Path>, ?>, List<Object[]>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DRCScenarioCountTuplePublisher

Modifies and sends the incoming tuples to the appropriate store or Publisher

publish(IStoreMessage<? extends IFileInfo<Path>, ?>, List<Object[]>) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

Modifies and sends the incoming tuples to the appropriate store or Publisher

publish(IStoreMessage, List) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

Publishes the tuples to the appropriate Publishers

publish(IStoreMessage, List) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.TradesTuplePublisher

Modifies and sends the incoming tuples to the appropriate store or Publisher

PublisherContext - Class in com.activeviam.frtb.ref.utils

Object that holds common objects used by a publisher.

PublisherContext(IDatastore, Logger, String, String, String) - Constructor for class com.activeviam.frtb.ref.utils.PublisherContext

Constructor

PublisherDataStructures - Class in com.activeviam.frtb.ref.utils

Object that holds the data structures used in vectorisation, interpolation and tuple creation.

PublisherDataStructures() - Constructor for class com.activeviam.frtb.ref.utils.PublisherDataStructures

No-parameter constructor, as we want the data structures to always be empty on creation.

PublisherInterpolationValues - Class in com.activeviam.frtb.ref.utils

Object that holds all required values for vectorisation and interpolation within the Publisher classes.

PublisherInterpolationValues(Object[], List<String>, List<String>, List<Double>, String) - Constructor for class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

Constructor

publishers - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

PublisherStoreIndexes - Class in com.activeviam.frtb.ref.utils

Object that holds relevant indexes for an FRTB tuple.

PublisherStoreIndexes(IStoreFormat, String, String, String, String, String, String, String, String, String, String) - Constructor for class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

Constructor

PublisherUtils - Class in com.activeviam.frtb.ref.utils

Utils for publishers.

PublisherUtils() - Constructor for class com.activeviam.frtb.ref.utils.PublisherUtils

push(PrefixedContentService, String) - Static method in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

Loads the language data from files to the content service

PUSH_NEW_BRANCH_PARENTCHILD_BOOK_TASK - Static variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

PUSH_NEW_BRANCH_WITH_CHANGES_PARENTCHILD_BOOK_TASK - Static variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

PUSH_PARENTCHILD_BOOK_DEFINITION - Static variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

PUSH_PARENTCHILD_BOOK_TASK - Static variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

pushTranslations() - Method in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

[Bean action] Loads the language data from files to the content service

pushTranslations(IActivePivotContentService) - Static method in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

Loads the language data from files to the content service

pushTranslations() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBI18nConfig

[Bean action] Loads the language data from files to the content service

put(IRepositoryService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Put as validated the changes in the repository service

putPending(IRepositoryService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Put the the point values as pending

PV_APPLIED - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PV_APPLIED - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

PV_APPLIED_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The PV applied level property name ("pvAppliedLevel")

PV_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

PV_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Currency used for the PV.

PV_CURRENCY_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The PV currency level property name ("pvCurrencyLevel")

PV_OVERRIDDEN - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

pvAppliedLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

pvAppliedLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

pvAppliedLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

Q

QFSFormatter - Class in com.activeviam.frtb.starter.logging

Simple log record formatter that logs the user authenticated with the current thread, and the name of that thread.

QFSFormatter() - Constructor for class com.activeviam.frtb.starter.logging.QFSFormatter

Constructor

qfsUserDetailsService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig

User details service wrapped into a Quartet interface.

qfsUserDetailsService() - Method in class com.activeviam.frtb.starter.cfg.impl.SecurityConfig

User details service wrapped into a Quartet interface.

QUALITY - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The CSR quality level property name ("quality")

quantileDouble(double) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Compute the quantile of order r using the Nearest Rank definition of quantile with rounding.

quantileIndex(double) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Compute the quantile index of order r using the Nearest Rank definition of quantile with rounding.

queriesService - Variable in class com.activeviam.frtb.es.tool.cfg.impl.RestServicesConfig

queriesService - Variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

queriesService - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

queryCache - Variable in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetPriorities

QueryCacheConstants - Class in com.activeviam.frtb.core.constants

QueryCacheConstants() - Constructor for class com.activeviam.frtb.core.constants.QueryCacheConstants

queryCacheKey - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

queryDatastore(String, String, Integer, Integer, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

queryDatastore(String, String, Integer, Integer, String) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

Execute a query on the datastore, on a given store, via POST method.

queryDatastore(String, String, Integer, Integer, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

queryDatastoreGet(String, String, Long, int, int, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

queryDatastoreGet(String, String, Long, int, int, String) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

Execute a query on the datastore, on a given store, via GET method.

queryDatastoreGet(String, String, Long, int, int, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

queryNode - Variable in class com.activeviam.frtb.core.services.impl.ADistributionAwareQueryRunner

queryNodeName - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

R

RANK_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RANKING - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RankVector - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Calculate the vector of fractional rankings for a given underlying vector For example given the underlying vector: [-108, 62, 1, -74, 1] the calculated rank vector is: [1,5,3.5,2,3.5]

RankVector(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

RATING - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RATING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

RATING_CATEGORY - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The CSR rating category level property name ("ratingCategory")

RATING_CATEGORY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RATING_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

ratingCategoryLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

ratingLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

ratingLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

RATIO_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

read(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

read(File) - Static method in class com.activeviam.frtb.es.tool.cfg.impl.I18nConfig

readDate(IRecordReader) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

readDates(IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

Read the Delta sensitivity from the underlying measures.

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

readDeltaSensitivity(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Read the diagonal element of the weighted sensitivities.

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

readDiagonal(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

readDiagonalForRiskCharge(ILocation, IRecordReader, Double, Double, Object, boolean) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Utility method to readDiagonal for the Risk Charge case where the diagonal will contain the square of the Risk Position.

readDouble(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

ReadOnlySparseVector - Class in com.activeviam.frtb.core.vector.impl

Read-only IVector implementation of a view of an underlying IVector who contains a special, compact, representation of an allegedly-sparse vector.

ReadOnlySparseVector(IVector) - Constructor for class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

ReadOnlySparseVector.ReadOnlySparseVectorBinding - Class in com.activeviam.frtb.core.vector.impl

Custom binding to use more efficient custom ReadOnlySparseVector methods for aggregation methods: plus, minus and copyFrom.

ReadOnlySparseVector.SparseRandomAccessVector - Class in com.activeviam.frtb.core.vector.impl

Random access version of a ReadOnlySparseVector.

ReadOnlySparseVectorBinding() - Constructor for class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.ReadOnlySparseVectorBinding

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

Read the PvUpDown vector from the underlying measures.

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

readPvUpDown(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

readRecordKey(IRecordReader) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

Read (or calculate) the Drisk weight from the underlying measures and location.

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityCurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSCurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpCurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPCurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityCurvatureShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXShockInterpolation

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureCVR

readRiskWeight(ILocation, Object[], LocalDate) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRCurvatureShockInterpolation

readSensitivity(ILocation, ILevelInfo, IVector, IVector) - Static method in class com.activeviam.frtb.core.calc.SensitivityCalculations

Read the (weighted) sensitivity.

readSensitivity(ILocation, ILevelInfo, ILevelInfo, IVector, IVector, IVector) - Static method in class com.activeviam.frtb.core.calc.SensitivityCalculations

readSensitivityCoordinates(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Get the coordinates in the sensitivity levels or null

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXVegaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

Read the weighted sensitivities.

readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

Read the weighted sensitivities.

rebuild() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Example of bean which periodically rebuild the cubes.

recordsAdded(int, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

recordsAdded(int, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

recordsDeleted(int, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

recordsDeleted(int, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

recordsUpdated(int, IRecordBlock<IRecordReader>, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

recordsUpdated(int, IRecordBlock<IRecordReader>, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

RECOVERY_RATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RECOVERY_RATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

RECOVERY_RATES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RECOVERY_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

RECOVERY_VALUES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RED - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

redirectSlf4j() - Method in class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

redirectSlf4j() - Method in class com.activeviam.frtb.starter.main.FRTBApplication

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager

Reduces the partial results of the execution of this post-processor on each partition into a global result and contributes it to the writer.

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter, IAggregationFunction) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

IPartitionedPostProcessor.reduce(ILocation, List, IPostProcessedRetrievalResultWriter)

reduce(ILocation, List<IAggregatesRetrievalResult>, IPostProcessedRetrievalResultWriter) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager

REDUCED_SET_CURRENT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

REDUCED_SET_STRESSED - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

REFERENCE_CURRENCY_MEMBERS - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

The display currencies available in the Reference Currency context value.

REFERENCE_LEVEL_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

REFERENCE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

REFERENCE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

The Reference Level property name.

REFERENCE_LEVELS_LIST_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

List of Levels for the Netting Level Context Value

REFERENCE_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.utils.ReferenceLevelUtils

REFERENCE_SUFFIX - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

REFERENCE_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

ReferenceCurrency - Class in com.activeviam.frtb.core.context.impl

ReferenceCurrency() - Constructor for class com.activeviam.frtb.core.context.impl.ReferenceCurrency

ReferenceCurrency(String) - Constructor for class com.activeviam.frtb.core.context.impl.ReferenceCurrency

referenceCurrency - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

ReferenceCurrencyTranslator - Class in com.activeviam.frtb.core.context.impl

ReferenceCurrencyTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

ReferenceLevelChoice - Class in com.activeviam.frtb.core.postprocessor.impl

Choose a value at the current level based on the values at the netting level.

ReferenceLevelChoice(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

ReferenceLevelContextVal - Class in com.activeviam.frtb.core.context.impl

ReferenceLevelContextVal(String) - Constructor for class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

ReferenceLevelLocationShift - Class in com.activeviam.frtb.core.postprocessor.impl

Evaluate the underlying measure at the reference level.

ReferenceLevelLocationShift(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

ReferenceLevelLocationShift.LeafExpansionProcedure - Class in com.activeviam.frtb.core.postprocessor.impl

ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator - Class in com.activeviam.frtb.core.postprocessor.impl

ReferenceLevelLocationShift.TargetPrefetcher - Class in com.activeviam.frtb.core.postprocessor.impl

Simple named prefetcher which delegates ReferenceLevelLocationShift.TargetPrefetcher.computeLocations(ILocation) to a function provided in the constructor.

referenceLevelPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Create the prefetcher named "ReferenceLevelPrefetcher" for fetching the underlying measure at the reference location.

referenceLevels - Variable in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

referenceLevels - Variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

referenceLevels() - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

The Reference Level.

referenceLevels - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

referenceLevels() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Get the Reference Levels configuration.

referenceLevels() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

A Spring bean with the list of hierarchies in the ActiveUI dropdown for the ProRataHierarchy context value.

ReferenceLevelTranslator - Class in com.activeviam.frtb.core.context.impl

ReferenceLevelTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

ReferenceLevelUtils - Class in com.activeviam.frtb.core.utils

Utility methods and classes for shifting the location to the eference level; stepping up to an ancestor level.

ReferenceLevelUtils() - Constructor for class com.activeviam.frtb.core.utils.ReferenceLevelUtils

referenceLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

The reference location.

referenceLocation(IActivePivot, Map<IHierarchyInfo, ILevelInfo>, Collection<IHierarchyInfo>, Map<IHierarchyInfo, Pair<ILevelInfo, String>>, ILocation) - Static method in class com.activeviam.frtb.core.utils.ReferenceLevelUtils

Determine the reference level location for the given input location.

references() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A collection of references between stores.

refreshEvery(long, TimeUnit) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.ConfigurableBuilder

Configures this monitor to refresh periodically.

refreshManually() - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.ConfigurableBuilder

Configures this monitor to refresh manually on user demand.

REGION - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

REGION - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

register(String, String) - Method in class com.activeviam.frtb.ref.cfg.stores.triggers.SparseVectorCommitTimeUpdater

Listen for changes to the specified datastore and it's field.

register(IDatastore) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

register(IDatastore) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

registerConfigCsv() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerConfigCsv(IDataLoadController) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerCsv() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerCsv(IDataLoadController) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerDefaultWorkflows() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

[Optional] [Bean] Registers default workflows to use for entities.

registerInitialDefaultWorkflows() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

[Optional] [Bean] Registers default workflows to use for entities.

registerInitialWorkflows() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

Registers a list of workflows with the workflow service

registerInitialWorkflowSchemes() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

Register workflow schemes with the workflow service.

registerRedirections(ASpringResourceServerConfig.ResourceRegistry) - Method in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

registerResources(ASpringResourceServerConfig.ResourceRegistry) - Method in class com.activeviam.frtb.starter.cfg.impl.MeasuresDocumentationResourceServerConfig

Registers resources to serve.

registerRESTfulServiceRegistry(ASpringRestServerConfig.RESTfulServiceRegistry) - Method in class com.activeviam.frtb.es.tool.cfg.impl.RestServicesConfig

registerRESTfulServiceRegistry(ASpringRestServerConfig.RESTfulServiceRegistry) - Method in class com.activeviam.frtb.ref.drillin.DrillInRestConfig

registerRESTfulServiceRegistry(ASpringRestServerConfig.RESTfulServiceRegistry) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

registerRESTfulServiceRegistry(ASpringRestServerConfig.RESTfulServiceRegistry) - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBRestServicesConfig

registerSensiCsv() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerSensiCsv(IDataLoadController) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerTopicAliases() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerTopicAliases(IDataLoadController) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerTuple() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerTuple(IDataLoadController) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

registerWorkflows() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

Registers a list of workflows with the workflow service

registerWorkflowSchemes() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

Register workflow schemes with the workflow service.

reject(IRepositoryService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Rejects changes previously put as pending.

RELEASE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

REMOVE_PARTITION_LEVELS_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

removePartitioningLevel(Collection<T>, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

removePartitioningLevels(Collection<T>, Collection<? extends ILevelInfo>) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

removeRiskFactor(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

removeThreadLocalContext() - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

removeThreadLocalContext() - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Remove the context for the current calculation.

removeThreadLocalContext() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

RemoveTuplesDSViewerDefinition - Class in com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

RemoveTuplesDSViewerDefinition() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.RemoveTuplesDSViewerDefinition

RemoveTuplesDSViewerDefinition(String, List<String>, ICondition, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.RemoveTuplesDSViewerDefinition

removeWildcards(ILocation) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

REPORTING_CURRENCY - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

repositoryServices - Variable in class com.activeviam.frtb.ref.cfg.impl.InitialRepositoryConfig

The repository service.

reset(IPointLocationReader, IAggregatesLocationResult) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator

reset(IPointLocationReader, IAggregatesLocationResult) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

RESIDUAL_MATURITY_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

RESIDUAL_RISK - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RESIDUAL_RISK - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

residualMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaAggregatesMap

residualMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

residualMaturityLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskPositionDoubleSums

resolvePath(String) - Static method in class com.activeviam.frtb.starter.cfg.impl.InitialDataLoadConfig

RESOURCE_DIR_VARIABLE - Static variable in class com.activeviam.frtb.ref.cfg.impl.LocalContentServiceConfig

RESTRICT_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

restrictLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Removes the non-leaf levels range coordinates from the location.

restrictPrefetcher() - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

Create the prefetcher named "RestrictPrefetcher" for fetching the target measure at the restricted location.

RestServicesConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Configuration class that defines custom rest services.

RestServicesConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.RestServicesConfig

RESULT_TYPE - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Result type of ES Stress Period evaluation

retrieveAggregatesMap(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Retrieves the aggregates for the given location.

retrieveCachedMaxScenarioForMostRecentDate(Object[]) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ADRCIMABaseTuplePublisher

retrieveIndex(LocalDate, String, Integer) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Retrieve the index of the currentLH with a getByKey query in the ParametersDatastoreConfig.LIQUIDITY_HORIZONS_STORE_NAME store using the asOfDate and currentLH as parameters.

retrieveLHFromStore(LocalDate, String, Integer) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Retrieve the LH corresponding to the asOfDate and index parameters in the ParametersDatastoreConfig.LIQUIDITY_HORIZONS_STORE_NAME store

retrieveLiquidityHorizonsIndexesMap(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Return the map of liquidity horizons indexes from the query cache or directly from the ParametersDatastoreConfig.LIQUIDITY_HORIZONS_STORE_NAME if it is not already present in the query cache.

retrieveLiquidityHorizonsMap(LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

Return the map of liquidity horizons from the query cache or directly from the ParametersDatastoreConfig.LIQUIDITY_HORIZONS_STORE_NAME if it is not already present in the query cache.

retrieveNamedPrefetchAggregatesWithAnalysisLevels(ILocation, String, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

retrieveWeightedSensitivities(ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Retrieves the weighted sensitivities for the given location.

REVERSE_COMPARATOR - Static variable in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

RHO - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

rho - Variable in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

rho - Variable in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

rho - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

rho - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

rho - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

RHO_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

RHO_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

RHO_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

rhoCorrelations(double, double, double) - Static method in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

Computes the rho correlation for each possible permutation

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, String, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

rhoCorrelations(IVector, double, double) - Static method in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

Calculate the vector of rho correlations for Commodity Vega Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, boolean, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

rhoCorrelations(boolean, double, double, double, Double) - Static method in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

Computes the rho correlation for each possible permutation

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

rhoCorrelations(IVector, double, double, double) - Static method in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

Calculate the vector of rho correlations for CSR Non Sec Vega Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

rhoCorrelations(IVector, double, double, double) - Static method in class com.activeviam.frtb.core.calc.CSRSecCTPVegaCalculations

Calculate the vector of rho correlations for CSR Sec CTP Vega Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

rhoCorrelations(double, double, double) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

Computes the rho correlation for each possible permutation

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

rhoCorrelations(IVector, double, double, double) - Static method in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

Calculate the vector of rho correlations for CSR Sec non CTP Vega Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, String, String, String, boolean, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

rhoCorrelations(String, String, boolean, double, double, double, double, double, double, double) - Static method in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

Calculate the vector of rho correlations for Equity Delta Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, String, String, String, boolean, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

rhoCorrelations(String, String, boolean, IVector, double, double, double, double, double, double) - Static method in class com.activeviam.frtb.core.calc.EquityVegaCalculations

Calculate the vector of rho correlations for Equity Vega Risk Position.

rhoCorrelations() - Static method in class com.activeviam.frtb.core.calc.FXDeltaCalculations

Calculate the vector of rho correlations for FX Delta Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

rhoCorrelations(IVector, double) - Static method in class com.activeviam.frtb.core.calc.FXVegaCalculations

Calculate the vector of rho correlations for FX Vega Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

rhoCorrelations(IVector, double, double, double, double, double, double, double, double, int) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

Calculate the vector of rho correlations for GIRR Delta Risk Position.

rhoCorrelations(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

rhoCorrelations(IVector, IVector, double, double) - Static method in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

Calculate the vector of rho correlations for GIRR Vega Risk Position.

RhoImccContextMetadata - Class in com.activeviam.frtb.core.context.impl

Metadata for the RhoImccContextVal.

RhoImccContextMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.RhoImccContextMetadata

RhoImccContextVal - Class in com.activeviam.frtb.core.context.impl

Implementation of IRhoImccContextVal

RhoImccContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.RhoImccContextVal

The default value of rho is set to 0.5.

RhoImccContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.RhoImccContextVal

RhoImccTranslator - Class in com.activeviam.frtb.core.context.impl

RhoImccTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.RhoImccTranslator

RhoSesContextMetadata - Class in com.activeviam.frtb.core.context.impl

Metadata for the RhoSesContextVal.

RhoSesContextMetadata() - Constructor for class com.activeviam.frtb.core.context.impl.RhoSesContextMetadata

RhoSesContextVal - Class in com.activeviam.frtb.core.context.impl

Implementation of IRhoSesContextVal

RhoSesContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.RhoSesContextVal

The default value of rho is set to 0.6.

RhoSesContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.RhoSesContextVal

RhoSesTranslator - Class in com.activeviam.frtb.core.context.impl

RhoSesTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.RhoSesTranslator

RhoUtils - Class in com.activeviam.frtb.core.utils

Utility class for rho constants and calculations.

RhoUtils() - Constructor for class com.activeviam.frtb.core.utils.RhoUtils

RISK_CLASS - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The risk class property name ("RiskClass")

RISK_CLASS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

RISK_CLASS_ALLIN - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RISK_CLASS_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

RISK_CLASS_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

RISK_CLASS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Risk Classes (GIRR, FX, Equity, etc).

RISK_CLASS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RISK_CLASS_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RISK_FACTOR - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The risk factor property name ("riskFactor")

RISK_FACTOR - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

RISK_FACTOR_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_FACTOR_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

RISK_FACTOR_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

RISK_FACTOR_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

RISK_FACTOR_CCY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CommodityVegaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRNSVegaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.EquityVegaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.FXVegaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

RISK_FACTOR_DIMENSIONS - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

RISK_FACTOR_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

RISK_FACTOR_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

RISK_FACTOR_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

RISK_FACTOR_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

RISK_FACTOR_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

RISK_FACTORS_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Risk Factors.

RISK_MEASURE - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The risk measure property name ("Risk Measure")

RISK_MEASURE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

RISK_MEASURE_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

RISK_MEASURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Risk Measure (Delta, Vega, Curvature).

RISK_MEASURE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RISK_MEASURE_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RISK_POSITION_EULER_UNLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

RISK_POSITION_NETTING_LEVEL_UNLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

RISK_THEORETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_THEORETICAL_PL_LOOKBACK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_THEORETICAL_PL_LOOKBACK_EMPIRICAL_DIST_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_THEORETICAL_PL_LOOKBACK_RANK_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_THEORETICAL_PL_LOOKBACK_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_THEORETICAL_PL_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_WEIGHT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketRiskWeightsFileConstants

RISK_WEIGHT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

RISK_WEIGHT_LEVEL - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

RISK_WEIGHT_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The riskWeight property name ("riskWeightLevel")

RISK_WEIGHT_REPO - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_WEIGHT_SPOT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

RISK_WEIGHT_UNEXPANDED - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

RiskCharge - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Generic PostProcessor used to calculate the risk charge for various risk classes

RiskCharge(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

RiskChargeCalculations - Class in com.activeviam.frtb.core.calc

RiskChargeCalculations() - Constructor for class com.activeviam.frtb.core.calc.RiskChargeCalculations

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

riskClass() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

riskClass - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

riskClass - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

RiskClassColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

Convert the CSV file Risk Class into a canonical format (as in FRTBConstants).

RiskClassColumnCalculator(String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.RiskClassColumnCalculator

riskClassLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

riskClassLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

riskClassLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

risk class level info

riskClassLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

risk class level info

riskClassToStore - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

RiskClassTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

TuplePublisher that handles the publishing of a risk measure specific tuple from the source files to all the relevant stores.

RiskClassTuplePublisher(IDatastore, IParameterRetriever, Map<String, String>, Map<String, ATradeBasePublisher>, String) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

Constructor

riskFactorBreakdownLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

RiskFactorColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

Column calculator that builds the Risk Factor from multiple fields.

RiskFactorColumnCalculator(String, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.RiskFactorColumnCalculator

riskFactorLevel - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

riskFactorLevel - Variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

riskFactorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

riskFactorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

riskFactorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

riskFactorLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

riskFactorLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

riskFactorLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

riskFactorLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

riskFactorParentLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

riskFactorPartitioningModulo() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Gets the modulo of the partitioning on IMADatastoreConfig.IMA_TRADES_STORE_RISK_FACTOR.

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

riskMeasure() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

riskMeasure - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

riskMeasure - Variable in class com.activeviam.frtb.ref.source.colcalcs.RiskFactorColumnCalculator

riskMeasure - Variable in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

riskMeasure - Variable in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingFxCcyColumnCalculator

riskMeasure - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.DefaultRiskChargeTuplePublisher

riskMeasure - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.RiskClassTuplePublisher

RiskMeasureAwareFilter - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Provides Risk Measure only aware filter while RiskTypeAwareFilter filters by both Risk Class and Risk Measure.

RiskMeasureAwareFilter(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

RiskMeasureAwareFilter.FilterPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

riskMeasureLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

riskMeasureLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

risk measure level info

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

risk measure level info

riskMeasureLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

risk measure level info

RiskPosition - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Calculate the Risk Position with linear time complexity using the weighted sensitivity correlations (and aggregations map).

RiskPosition(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

RiskPositionEuler - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

The final step in the SBM Euler Capital Allocation calculation.

RiskPositionEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

RiskTypeAwareFilter - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Filters the contribution of the children of the current location based on the appropriate risk class and measure.

RiskTypeAwareFilter(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

RiskTypeAwareFilter.FilterPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

RiskTypeAwareFilterVector - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Filters the contribution of the children of the current location based on the appropriate risk class and measure.

RiskTypeAwareFilterVector(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

RiskTypeAwareFilterVector.FilterPrefetcher - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

riskWeight(IQueryCache, IDatastoreVersion, IParameterRetriever, LocalDate, String, String, String) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

Vega risk weight

riskWeight(double, double, int) - Static method in class com.activeviam.frtb.core.calc.VegaCalculations

Calculates the vega risk weight

riskWeight - Variable in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

riskWeight - Variable in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

RiskWeightedAssets - Class in com.activeviam.frtb.core.postprocessor.combined.impl

RiskWeightedAssets(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.RiskWeightedAssets

Constructor

RiskWeightPostProcessorPrefetcher(IActivePivot, ARiskWeight<?>, IMeasuresProvider, String[]) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight.RiskWeightPostProcessorPrefetcher

Constructor of ARiskWeight.RiskWeightPostProcessorPrefetcher.

riskWeightWeightLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

ROLE_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

ROLE_ADJUSTER - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_ADMIN - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_ADMIN - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_ADMIN - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

ROLE_APPROVER - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_APPROVER - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

ROLE_CS_ROOT - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_CS_ROOT - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_CS_ROOT - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

ROLE_KPI - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_KPI is added to users, to give them permission to read kpis created by other users in the content server In order to "share" kpis created in the content server, the kpi reader role is set to : ROLE_KPI

ROLE_KPI - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_KPI is added to users, to give them permission to read kpis created by other users in the content server In order to "share" kpis created in the content server, the kpi reader role is set to : ROLE_KPI

ROLE_TECH - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_TECH - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_TECH - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

ROLE_USER - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

ROLE_USER - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

ROLE_USER - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

round(double, int) - Static method in class com.activeviam.frtb.core.formula.impl.ApplyScenarioOperator

round(double, int) - Static method in class com.activeviam.frtb.core.formula.impl.TailVaROperator

ROW_INDEX - Static variable in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

RRAO - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RRAO_EXOTIC_UNDERLYING_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

List of Levels for the RRAO Exotic Underlying

RRAO_RISK_WEIGHT_EXOTIC - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RRAO_RISK_WEIGHT_OTHER - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

RRAOMeasures - Class in com.activeviam.frtb.core.cfg.measures

RRAOMeasures() - Constructor for class com.activeviam.frtb.core.cfg.measures.RRAOMeasures

RRAOWeightedNotional - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

RRAOWeightedNotional(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

RWA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

S

SA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SA_AGGREGATED - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

SA_APPLICATION_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of ActivePivot SA FRTB Application.

SA_COMMODITY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Correlation parameter applied between different buckets when both buckets fall within bucket numbers 1 - 10.

SA_COMMODITY_OTHER_COMMODITY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Correlation parameter applied when either buckets fall under bucket 11.

SA_COMMODITY_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The commodity rho basis correlation value

SA_COMMODITY_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The commodity rho tenor correlation value

SA_CORRELATION_STRESS_HIGH - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The high stress value correlation parameter.

SA_CORRELATION_STRESS_LOW - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The low stress value correlation parameter.

SA_CSR_NONSEC_DELTA_DIFFERENT_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Rho basis correlation parameter used for CSR NonSec Delta when the rho basis are different.

SA_CSR_NONSEC_DELTA_DIFFERENT_RHO_NAME_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Rho name correlation parameter used for CSR NonSec Delta when the rho names are different.

SA_CSR_NONSEC_DELTA_DIFFERENT_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Rho tenor correlation parameter used for CSR NonSec Delta when the rho tenors are different.

SA_CSR_NONSEC_DELTA_GAMMA_RATING_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Gamma rating correlation parameter used for CSR NonSec Delta when the rating category are different between two buckets.

SA_CSR_NONSEC_DELTA_RHO_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Rho correlation parameter within CSR non-Sec buckets.

SA_CSR_SEC_CTP_DELTA_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for CSR Sec CTP Delta when the curves are different .

SA_CSR_SEC_NON_CTP_CURVATURE_OTHER_BUCKET_ADDED - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Parameter to determine if the CSR Sec non-CTP Curvaure "other" bucket is added after taking the square root ("true") or is included with the rest ofthe buckets ("false").

SA_CSR_SEC_NON_CTP_DELTA_DIFFERENT_BUCKETS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The correlation parameter applied to the aggregation of sensitivities between different buckets.

SA_CSR_SEC_NON_CTP_DELTA_OTHER_BUCKET_ADDED - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Parameter to determine if the CSR Sec non-CTP Detla (and Vega) "other" bucket is added after taking the square root ("true") or is included with the rest ofthe buckets ("false").

SA_CSR_SEC_NON_CTP_DELTA_OTHER_BUCKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The correlation parameter applied to the aggregation of sensitivities between buckets when one is the "other" bucket.

SA_CSR_SEC_NON_CTP_DELTA_RHO_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The CSR Sec No CTP rho basis correlation value

SA_CSR_SEC_NON_CTP_DELTA_RHO_TENOR_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The CSR Sec No CTP rho tenor correlation value

SA_CSR_SEC_NON_CTP_DELTA_RHO_TRANCHE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The CSR Sec No CTP rho tranche correlation value

SA_CSRNS_DELTA_RISK_WEIGHT_COVERED_BONDS_HIGH_RATING_ALTERNATIVE - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Alternative CSR non-Sec risk weight for highly rated (at least AA-) covered bonds.

SA_CSRNS_DELTA_RISK_WEIGHT_COVERED_BONDS_USE_HIGH_RATING_ALTERNATIVE - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Flag to indicate whether or not to use the alternative CSR non-Sec risk weight for highly rated (at least AA-) covered bonds.

SA_CUBE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of SA ActivePivot Cube.

SA_DRC_MATURITY_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Default maturity for DRC JTD calculations

SA_DRC_MATURITY_DEFAULT_VALUE - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SA_DRC_MATURITY_MAX - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Maximum maturity for DRC JTD calculations

SA_DRC_MATURITY_MAX_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SA_DRC_MATURITY_MIN - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Minimum maturity for DRC JTD calculations

SA_DRC_MATURITY_MIN_DEFAULT - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SA_DRC_SEC_NON_CTP_RISK_WEIGHT_FLOOR - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

DRC Sec non-CTP non-senior tranche risk weight floor.

SA_EQUITY_DELTA_GAMMA_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The gamma correlation value for different Equity buckets.

SA_EQUITY_DELTA_GAMMA_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The gamma correlation value for two index Equity buckets.

SA_EQUITY_DELTA_GAMMA_INDEX_CROSS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The gamma correlation value for Equity buckets, when one is an index bucket.

SA_EQUITY_INDEX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The rho correlation value within index Equity buckets.

SA_EQUITY_LARGE_ADVANCED_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The Equity correlation for sensitivities that fall under the large market cap and advanced market economy.

SA_EQUITY_LARGE_EMERGING_MARKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The Equity correlation for sensitivities that fall under the large market cap and emerging market economy.

SA_EQUITY_SMALL_ADVANCED_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The Equity correlation for sensitivities that fall under the small market cap and advanced market economy.

SA_EQUITY_SMALL_EMERGING_MARKET_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The Equity correlation for sensitivities that fall under the small market cap and emerging market economy.

SA_EQUITY_SPOT_TO_REPO_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The spot to repo correlation value for Equity calculations.

SA_EQUITY_SPOT_TO_REPO_DIFFERENT_ISSUER_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The spot to repo correlation value for different issuers in Equity calculations.

SA_FX_BASE_CURRENCY - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Base Currency

SA_FX_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The correlation parameter to be applied to fx calculations.

SA_FX_CURVATURE_DIVIDER - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The fx curvature divider to be applied at the CVR+- level for instruments not referencing the reporting/base currency

SA_FX_DELTA_RW - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

FX Delta Risk Weight

SA_FX_DELTA_RW_SELECTED_PAIR_ADJUSTMENT - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The fx risk weight adjustment to be applied if the currency and the counter currency are a selected pair specified by the Basel committee.

SA_FX_REPORTING_CURRENCY - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Reporting Currency

SA_FX_USE_BASE_CURRENCY - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Use Base Currency flag.

SA_FX_USE_FX_DIVIDER - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Use Fx divider flag

SA_GA - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

SA_GIRR_DELTA_BASIS_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

GIRR delta basis risk weight

SA_GIRR_DELTA_BASIS_VS_BASIS_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta between two basis curves.

SA_GIRR_DELTA_BASIS_VS_INFLATION_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta between a basis curve and the inflation curve.

SA_GIRR_DELTA_BASIS_VS_YIELD_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta between a basis curve and a yield curve.

SA_GIRR_DELTA_DIFFERENT_CCY_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta for aggregating between different currencies.

SA_GIRR_DELTA_DIFFERENT_CURVE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta when the curves/risk factors are different.

SA_GIRR_DELTA_DIFFERENT_VERTEX_AND_CURVE_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta when the vertexes and curves/risk factors are different.

SA_GIRR_DELTA_DIFFERENT_VERTEX_CORRELATION_FLOOR - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta when the vertexes are different.

SA_GIRR_DELTA_DIFFERENT_VERTEX_THETA - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The theta value used in the correlation calculation for GIRR Delta when the vertexes are different.

SA_GIRR_DELTA_INFLATION_RISK_WEIGHT - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

GIRR delta inflation risk weight

SA_GIRR_DELTA_INFLATION_VS_YIELD_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Delta risk correlation used for GIRR Delta between the inflation curve and a yield curve.

SA_GIRR_DELTA_RW_MAJOR_CURRENCY_ADJUSTMENT - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The adjustment to be applied to the risk weight if the currency is one of the selected currencies by the Basel Committee.

SA_GIRR_DELTA_VERTEX_CORRELATION_ROUNDING_DP - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

Number of decimal places to round the GIRR vertex correlation.

SA_RRAO_RISK_WEIGHT_EXOTIC - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

RRAO risk weight exotic

SA_RRAO_RISK_WEIGHT_OTHER - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

RRAO risk weight non-exotic

SA_SCHEMA_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

ID of SA ActivePivot Schema.

SA_TRADE_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

SA_TRADE_DESCRIPTION_STORE_EXOTIC_UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_NOTIONAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_NOTIONAL_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_OTHER_RESIDUAL_RISK_TYPE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_PRESENT_VALUE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_PRESENT_VALUE_CCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_RESIDUAL_RISK - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_TRADE_DESCRIPTION_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SA_VEGA_RHO_OPTION_MATURITY_ALPHA - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The value of alpha for the option maturity correlation parameter.

SA_VEGA_RHO_UNDERLYING_MATURITY_ALPHA - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The value of alpha for the underlying maturity correlation parameter.

SA_VEGA_RW - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The vega risk weight to be applied.

SA_VEGA_RW_ROUNDING_DP - Static variable in class com.activeviam.frtb.core.constants.FRTBParameters

The rounding to apply to the Vega risk weights.

saCubeDistributingField - Variable in class com.activeviam.frtb.ref.cfg.impl.DistributionConfig

StandardisedApproachCube distributing field.

saCubeInstanceDesc(Date, String) - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

SADatastoreConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the Standardised Approach stores.

SADatastoreConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

saDrcTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

SAMeasureBuilder - Class in com.activeviam.frtb.ref.cfg.measures.impl

Static methods for producing the descriptions of the post-processors for the SBM measures.

SAMeasureBuilder() - Constructor for class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

SAMeasureBuilder.CurvatureFullChainFactory - Interface in com.activeviam.frtb.ref.cfg.measures.impl

SAMeasureBuilder.CurvatureRiskChainFactory - Interface in com.activeviam.frtb.ref.cfg.measures.impl

SAMeasureBuilder.FullChainFactory - Interface in com.activeviam.frtb.ref.cfg.measures.impl

SAMeasureBuilder.RiskChainFactory - Interface in com.activeviam.frtb.ref.cfg.measures.impl

saNativeMeasures() - Method in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders

saReferences - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A list of references between the Standardised Approach stores.

saReferences() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Bean which creates the list of references for the Standardised Approach

SARiskChargeAggregatedPerPLAZone - Class in com.activeviam.frtb.core.postprocessor.combined.impl

SARiskChargeAggregatedPerPLAZone(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.combined.impl.SARiskChargeAggregatedPerPLAZone

Constructor

saSbmMaturityConverter - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

saSbmMaturityConverter - Variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

saSbmMaturityConverter - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

saSbmMaturityConverter(BeanFactory, String) - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

The implementation of IMaturityConverter to be used for SA SBM calculations.

saSchemaDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

saSchemaInstanceDesc(Date, String) - Method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

saStores - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A list of all the Standardised Approach stores.

saStores() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Bean that returns a list of all the Standardised Approach store descriptions.

SATradesDescriptionStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Trade Notional store.

save - Variable in class com.activeviam.frtb.ref.services.rest.impl.IMASummaryRestService

SAVE_PARAM - Static variable in interface com.activeviam.frtb.ref.services.rest.IIMASummaryRestService

saveTradeBaseTuples(Collection<Object[]>) - Method in class com.activeviam.frtb.ref.source.publishers.ATradeBasePublisher

Creates TradeBase tuples given a list of source tuples

SB_CURVATURE_SENSITIVITIES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

SB_DELTA_SENSITIVITIES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

SB_VEGA_SENSITIVITIES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

SBM_RISK_CLASSES - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

SbmCommonFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

SbmCommonFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

SbmCurvatureFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

SbmCurvatureFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

SbmDeltaFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

SbmDeltaFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

sbmTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

SbmVegaFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

SbmVegaFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

SCALE - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

Scale when subtracting ("Scale").

scale - Variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

scale - Variable in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

SCALE - Static variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

scale - Variable in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

SCALE_FACTOR - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Scale Factor ("scaleFactor")

SCALE_STEP_SIZE_DEFAULT - Static variable in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

ScaledGrossJTD - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the Scaled Gross JTD

ScaledGrossJTD(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.ScaledGrossJTD

ScaledVectorValue - Class in com.activeviam.frtb.core.postprocessor.impl

Return a (scaled) single value from an IVector.

ScaledVectorValue(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

scaleTrade(TradeRescaleDTO) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.ITradeRescaleRestService

scaleTrade(TradeRescaleDTO) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

SCENARIO - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

scenario2idx - Static variable in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

SCENARIO_COUNT - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SCENARIO_CURRENCY_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The scenario currency property name ("scenarioCurrencyLevel")

SCENARIO_DOWN_PV - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

SCENARIO_ID - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SCENARIO_IDS - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SCENARIO_IDS - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

SCENARIO_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

SCENARIO_RECOVERY_RATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SCENARIO_RECOVERY_VALUES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SCENARIO_UP_PV - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

scenarioLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

SCENARIOS - Static variable in class com.activeviam.frtb.core.constants.StoreNames

SCENARIOS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Core config stores

SCENARIOS_STORE_DATA_SET - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

SCENARIOS_STORE_INDEX - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

SCENARIOS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

SCENARIOS_STORE_SCENARIO - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

ScenariosExpand - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Expand the values of the PnL vector along the 'scenario' analysis hierarchy.

ScenariosExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

ScenariosStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the Scenarios store.

schemaDescription() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

A Spring bean for the datastore schema description, based on the stores

schemaDescription() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

A Spring bean for the datastore schema description, based on the stores and references defined in the ParametersDatastoreConfig, SADatastoreConfig, IMADatastoreConfig and DatastoreConfig classes.

schemaDescription() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.DummyDatastoreConfig

scope - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator

SCOPE__AS_OF_DATE - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

SECTOR - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The sector level property name ("sector")

SECTOR - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketFileConstants

SECTOR_CATEGORY - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The CSR sector category level property name("sectorCategory")

SECTOR_CATEGORY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SECTOR_CATEGORY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.CSRBucketDescriptionFileConstants

sectorCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

sectorCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

sectorCategoryLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

sectorCategoryLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

sectorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

sectorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskWeight

sectorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskWeight

sectorLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskWeight

SecurityConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Spring configuration fragment for security.

SecurityConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig

securityConfig - Variable in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

SecurityConfig spring configuration

SecurityConfig - Class in com.activeviam.frtb.starter.cfg.impl

Spring configuration fragment for security.

SecurityConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig

SecurityConfig.ActivePivotSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

SecurityConfig.ActivePivotSecurityConfigurer - Class in com.activeviam.frtb.starter.cfg.impl

SecurityConfig.ContentServerSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

Only required if the content service is exposed.

SecurityConfig.ContentServerSecurityConfigurer - Class in com.activeviam.frtb.starter.cfg.impl

Only required if the content service is exposed.

SecurityConfig.JwtSecurityConfigurer - Class in com.activeviam.frtb.es.tool.cfg.impl

Only required if the content service is exposed.

SecurityConfig.JwtSecurityConfigurer - Class in com.activeviam.frtb.starter.cfg.impl

Only required if the content service is exposed.

SecurityConfig.MRDInMemoryDownloadLinkConsumerSecurityConfigurer - Class in com.activeviam.frtb.starter.cfg.impl

Make sure the InMemoryDownloadLinkConsumerRestServicesConfig REST API is available without authentication.

SecurityConfig.VersionSecurityConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

SecurityConfig.VersionSecurityConfig - Class in com.activeviam.frtb.starter.cfg.impl

select(IDatastoreVersion, IQueryCache, LocalDate, String, Set<Pair<LocalDate, String>>) - Method in class com.activeviam.frtb.core.parameter.impl.FRTBParametersLookup

select(IDatastoreVersion, IQueryCache, LocalDate, String, Set<Pair<LocalDate, String>>) - Method in interface com.activeviam.frtb.core.parameter.IParameterSetSelector

Select the best as-of date and parameter set pair from among available options, to match a target as-of date and parameter set

select(IDatastoreVersion, IQueryCache, LocalDate, String, Set<Pair<LocalDate, String>>) - Method in class com.activeviam.frtb.ref.parameter.impl.FRTBParameterSetSelector

selectedFields - Variable in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

sendMessage(IMessageService, ITemplateEngine, String) - Method in class com.activeviam.frtb.ref.workflows.units.impl.AlertWorkflowUnit

Sends a message about the alert.

sendMessage(IMessageService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Sends a message notifying of the transition.

SENIORITY - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Seniority property name for DRC ("seniority")

SENIORITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

SENIORITY_DESCRIPTION - Static variable in class com.activeviam.frtb.core.constants.StoreNames

SENIORITY_DESCRIPTION_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

SENIORITY_DESCRIPTION_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

SENIORITY_DESCRIPTION_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SENIORITY_DESCRIPTION_STORE_RANKING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SENIORITY_DESCRIPTION_STORE_SENIORITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

SENIORITY_RANKING - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Seniority ranking property name for DRC ("seniorityRanking")

SeniorityDescriptionStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Seniority Description store.

sensiCsvChannelFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

Channel factory bean.

sensiCsvChannelFactory - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

sensiCsvSource() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

Creates the CSVSource responsible for loading the initial sensitivity data in the datastore from csv files.

sensiCsvSource - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

sensiCsvSourceConfig() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

sensiCsvTopicConfigs - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

SensiSourceConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying the frtb.properties file.

SensiSourceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

sensitivitiesCoordinates(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

Get the coordinates in the weighted sensitivity levels or null

sensitivitiesLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

SENSITIVITY_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

SENSITIVITY_DATES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SENSITIVITY_LEVELS - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The sensitivity levels property name ("sensitivityLevels")

SensitivityCalculations - Class in com.activeviam.frtb.core.calc

SensitivityCalculations() - Constructor for class com.activeviam.frtb.core.calc.SensitivityCalculations

sensitivityHierarchies - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

sensitivityLeafLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Leaf location for the sensitivity levels.

sensitivityLeafLocations(ILocation, ILevelInfo[]) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

Return leaf location for the sensitivity levels.

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

sensitivityLevels(Properties) - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

sensitivityLevels - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

sensiTopicToRiskMeasure(String) - Static method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

sensiTopicToStore(String) - Static method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

serialVersionUID - Static variable in class com.activeviam.frtb.core.localDate.LocalDateFormatter

serial version uid for the class DateFormatter.

serialVersionUID - Static variable in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

serial version uid for the class DateFormatter.

serialVersionUID - Static variable in exception com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfException

serialVersionUID

serialVersionUID - Static variable in exception com.activeviam.frtb.ref.parentchild.submitter.ParentChildWhatIfException

serialVersionUID

serviceConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.FRTBWorkflowConfig

serviceConfig - Variable in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

serviceConfig - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfParser

The Datastore Service configuration (Contains custom parsers for JSON)

servletContextInitializer() - Method in class com.activeviam.frtb.ref.main.FRTBActiveMonitorApplication

servletContextInitializer() - Method in class com.activeviam.frtb.starter.main.FRTBApplication

SES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SES - Class in com.activeviam.frtb.core.postprocessor.ima.impl

SES(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.SES

SES - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

SES.UnderlyingMeasuresPrefetcher - Class in com.activeviam.frtb.core.postprocessor.ima.impl

SES_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

SESEuler - Class in com.activeviam.frtb.core.postprocessor.ima.impl

SESEuler(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.SESEuler

sesPrefetcherComputeLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

sessionFactory() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

set(int, int) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

set(int, Object) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

set(Object...) - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

setAsOfDate(LocalDate) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

setAsOfDate(List<String>) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setAsOfDate(List<String>) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setAsOfDate(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setAsOfDateDictionaries(Collection<IDictionary<LocalDate>>) - Method in class com.activeviam.frtb.core.hierarchy.impl.LookbackHierarchy

Inject the as of date dictionary

setBaseStore(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

setBranch(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setBranch(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setBranch(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setCategory(String) - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

setChildren(Set<ParentChildNode<?>>) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

setCoordinate(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

setCoordinate(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

setCoordinate(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

setCurrency(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

setCurrencyLevel(String) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXHandler

Setter to allow injection of currency level in Spring XML file

setDataAvailabilityFactory(IDataAvailability.IFactory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

setDataAvailabilityFactory(IDataAvailability.IFactory) - Method in interface com.activeviam.frtb.core.services.IDataAvailability.IAware

Inject the IDataAvailability.IFactory into the post-processor instance.

setDatastore(IDatastore) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

setDatastoreConfig(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

setDatastorePublisher(IDatastorePublisher) - Method in interface com.activeviam.frtb.ref.source.tuplepublisher.IBaseTuplePublisher

setDatastorePublisher(IDatastorePublisher) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

setDeskEligibility(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setDesks(List<String>) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setDifferentiationStepSize(double) - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

setDistributionAwareQueryRunnerFactory(IDistributionAwareQueryRunner.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

setDistributionAwareQueryRunnerFactory(IDistributionAwareQueryRunner.Factory) - Method in interface com.activeviam.frtb.core.services.IDistributionAwareQueryRunner.Aware

Inject the IDistributionAwareQueryRunner.Factory into the post-processor instance.

setDistributionConfig(DistributionConfig) - Method in interface com.activeviam.frtb.ref.cfg.impl.DistributionConfig.IDistributionConfigAware

Setter method for injecting the configuration.

setDrcMaturityConverter(IMaturityConverter) - Method in interface com.activeviam.frtb.core.dates.IDrcMaturityConverterAware

setDrcMaturityConverter(IMaturityConverter) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

setDrillDownTo(String) - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

setDuplicate(boolean) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setDuplicate(boolean) - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

setErrorHandler(IPostProcessorErrorHandler) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

setErrorHandler(IPostProcessorErrorHandler) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler.IAware

Inject the IPostProcessorErrorHandler into the post-processor instance.

setES(double) - Method in class com.activeviam.frtb.core.context.impl.ESContextVal

setES(double) - Method in class com.activeviam.frtb.es.tool.context.impl.ESContextVal

setESStressPeriodSlidingWindow(int) - Method in class com.activeviam.frtb.es.tool.context.impl.ESStressPeriodSlidingWindowContextVal

setFields(Object[]) - Method in class com.activeviam.frtb.core.utils.ObjectArrayWrapper

setFilter(ILocation, ILevelInfo, Object) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

setFilterLevelMember(ICubeFilterBuilder, ILevelInfo, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

setFrtbDesk(boolean) - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

setFrtbModel(String) - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

setFxRates(IFxRates) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

setFxRates(IFxRates) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

setHierarchy(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

setImaNbExceptions(int) - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

setIndex(int) - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

setJsonDatastoreEdit(JsonDatastoreEdit) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

setLeafLevel(String) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

setLevel(String) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

setLookback(String) - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

setLookback(String) - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

setLookback(String) - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

setMeasure(String) - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

setMonitorService(IMonitorService) - Method in class com.activeviam.frtb.ref.workflows.batch.impl.BatchEventProcessExecutor

Sets the monitor service for processing.

setName(String) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

setNameSuffix(String) - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

setNext(IPointLocationBuilder) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.LeafExpansionProcedure.CartesianProductIterator

setNext(IPointLocationBuilder) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity.FxBucketsExpansionProcedure.FxBucketsExpansionProcedureIterator

setOnColumns(String) - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

setOnRows(String) - Method in class com.activeviam.frtb.ref.drillin.service.dto.DrillInMdxDTO

setOptionality() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

setOrganisationHierarchyMapFactory(IOrganisationHierarchyMap.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

setOrganisationHierarchyMapFactory(IOrganisationHierarchyMap.Factory) - Method in interface com.activeviam.frtb.core.services.IOrganisationHierarchyMap.Aware

Inject the IOrganisationHierarchyMap.Factory into the post-processor instance.

setParameterRetriever(IParameterRetriever) - Method in interface com.activeviam.frtb.core.parameter.IParameterRetrieverAware

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.DeltaDoubleSumsExpand

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxCurvatureCVR

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXExpandRiskFactor

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

setParameterRetriever(IParameterRetriever) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

setParameterWorkflows() - Method in class com.activeviam.frtb.ref.cfg.impl.InitialActiveMonitorConfig

[Optional] This step associates workflow schemes to parameters.

setParent(String) - Method in class com.activeviam.frtb.ref.parentchild.nodes.ParentChildNode

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLES

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPosition

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

setPartitioningLevels(ILocation, Collection<ILevelInfo>) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DefaultRiskCharge

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DRCMeasureOverride

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.DrcScenario

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.GrossJTD

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.LGD

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.MaturityScalingFactor

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTD

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDNetty

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.NetJTDWeightings

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FX

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXVector

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ConstrainedES

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESCurrentRatio

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapital

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESForRiskCapitalEuler

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ESLHAdjEuler

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMAFilter

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMARiskCharge

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.IMCC

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LHAdjESSquared

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonValue

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.NegativeValue

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.Omega

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ScenariosExpand

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SES

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DatedOrgHierarchyMap

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DifferentialSum

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DistributedFirstUnderlying

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleAdd

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDiff

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleDivision

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.DoubleFiltering

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.PartitionedFormula

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLES

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.PnLVar

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelChoice

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.ScaledVectorValue

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManagerAware

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Covariance

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.EmpiricalDistributionFunction

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.KolmogorovSmirnovMetric

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.Outlier

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.RankVector

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureCVR

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ACurvatureShockInterpolation

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ADoubleSumsExpand

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AIncrementalMeasureAccrossLevel

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPV

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVDownShock

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ApplyPVUpShock

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureDeltaWeightedSensitivity

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureRiskPositionMax

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureSb

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FilterCVR

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaSensitivitiesFiltered

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaSensitivitiesFiltered

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskMeasureAwareFilter

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPosition

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskPositionEuler

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilter

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskTypeAwareFilterVector

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RRAOWeightedNotional

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

setPartitioningManagerFactory(IPostProcessorPartitioningManager.Factory) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

setPlaZone(String) - Method in class com.activeviam.frtb.ref.parentchild.nodes.BookParentChildNode

setPostProcessorProperties(Properties, String, String, Class<? extends ILookbackContextValue>) - Static method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

Sets the post-processor properties used by this base class.

setPostProcessorProperties(Properties, String) - Static method in class com.activeviam.frtb.core.postprocessor.pl.impl.AAnalysisLevelsExpand

Sets the post-processor properties used by this base class.

setProperties(Properties, Properties, String, String, String, String, String, String, String) - Static method in class com.activeviam.frtb.ref.services.impl.DatastoreLookupOrganisationHierarchyMap

Update post-processor description properties to help describe the mappings

setProRataHierarchies(Collection<String>) - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyTranslator

setProRataLeafLevels(Collection<String>) - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelTranslator

setPvApplied() - Method in class com.activeviam.frtb.ref.utils.PublisherInterpolationValues

setReferenceLevels(Collection<String>) - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelTranslator

setRho(double) - Method in class com.activeviam.frtb.core.context.impl.RhoImccContextVal

setRho(double) - Method in class com.activeviam.frtb.core.context.impl.RhoSesContextVal

setRiskFactor(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setRiskWeight(double) - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

setRiskWeight(double) - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

setSaSbmMaturityConverter(IMaturityConverter) - Method in interface com.activeviam.frtb.core.dates.ISaSbmMaturityConverterAware

setScaleFactor(double) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setScaleFactor(double) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setScalingFactor(double) - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

setSelectedFields(String[]) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

setShouldDivide(boolean) - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

setShouldDivide(boolean) - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

setStressVal(double) - Method in class com.activeviam.frtb.core.context.impl.CorrelationHighStressContextVal

setStressVal(double) - Method in class com.activeviam.frtb.core.context.impl.CorrelationLowStressContextVal

setSubmissionManager(IWhatIfSubmissionManager) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfManagerService

setSubmissionManager(IWhatIfSubmissionManager<IWhatIfSubmission>) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

setSubmissionName(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setSuffix(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setT(int) - Method in class com.activeviam.frtb.core.context.impl.LiquidityHorizonContextVal

setTailMeasureCalc(ITailMeasureCalc) - Method in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalcAware

Set the implementation of ITailMeasureCalc

setTailMeasureCalc(ITailMeasureCalc) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

setTailMeasureCalc(ITailMeasureCalc) - Method in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

setTailMeasureCalc(ITailMeasureCalc) - Method in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

setThreadLocalContext(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

setThreadLocalContext(APostProcessorErrorHandler.Context) - Method in class com.activeviam.frtb.core.services.impl.APostProcessorErrorHandler

setThreadLocalContext(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever) - Method in interface com.activeviam.frtb.core.services.IPostProcessorErrorHandler

Set the context for the current calculation (i.e.

setThreadLocalContext(IActivePivot, IQueryCache, IDatastoreVersion, IPostProcessor<?>, ILocation, IAdvancedAggregatesRetriever) - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

setTitle(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setTitle(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setTradeID(List<String>) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setTradeID(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setUser(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DeskModelSwitchSubmissionDTO

setUserName(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

setUserName(String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

setValue(double) - Method in class com.activeviam.frtb.core.formula.impl.TailVaROperator.ComparableVectorEntry

setVaRConfidence(double) - Method in class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

setWhatIfDistributedQuerier(WhatIfDistributedQueryUtils) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

setWhatIfDistributedQueryUtils(WhatIfDistributedQueryUtils) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

setWhatIfRoles(Map<String, Set<String>>) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

setWhatIfWorkflow(IWhatIfWorkflow) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

setWhatIfWorkflow(IWhatIfWorkflow) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

setWildCardsToLevel(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

setWorkflow(IWorkflowService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.ParameterWorkflowUnit

shift(ILocation, ILevelInfo, Object, Object) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

SHIFT_DOWN_PV - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SHIFT_DOWN_PV - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

SHIFT_UP_PV - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SHIFT_UP_PV - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

shiftFilter(ILocation, ICubeFilter) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

shiftLocation(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CurvatureToDeltaShift

ShockInterpolationUtils - Class in com.activeviam.frtb.core.utils

ShockInterpolationUtils() - Constructor for class com.activeviam.frtb.core.utils.ShockInterpolationUtils

shouldAdjustWeighting(String, String, LocalDate, IParameterRetriever, String, IFxMajorCcyPairAdjustment, IDatastoreVersion, IQueryCache) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxMajorCurrencyAdjustmentUtil

shouldDivide - Variable in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

shouldDivide - Variable in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

shouldDivideWeightings(IParameterRetriever, String, LocalDate, IQueryCache, IDatastoreVersion, IGIRRMajorCurrencyAdjustment, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRMajorCurrencyAdjustmentUtil

SIBLING_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

siblingLocations(ILocation) - Method in class com.activeviam.frtb.core.postprocessor.impl.ProRata

Determine the sibling locations.

SiblingPrefetcher() - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ProRata.SiblingPrefetcher

SimpleCsvSourceConfig<I> - Class in com.activeviam.frtb.ref.source.dataloadcontroller.impl

A flavour of SimpleSourceConfig for use with CSV file sources.

SimpleCsvSourceConfig(CSVMessageChannelFactory<I>, CsvScopedFetchSource<I>, Map<String, SimpleSourceConfig.ITopicConfig<IFileInfo<I>>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleCsvSourceConfig

SimpleDataAvailability - Class in com.activeviam.frtb.core.services.impl

Implementation of IDataAvailability which returns all measures passed to it.

SimpleDataAvailability() - Constructor for class com.activeviam.frtb.core.services.impl.SimpleDataAvailability

SimpleDataAvailability.Factory - Class in com.activeviam.frtb.core.services.impl

SimpleIntegerMath - Class in com.activeviam.frtb.core.postprocessor.impl

SimpleIntegerMath(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.SimpleIntegerMath

SimpleJdbcSourceConfig - Class in com.activeviam.frtb.ref.source.dataloadcontroller.impl

A flavour of SimpleSourceConfig for use with JDBC sources.

SimpleJdbcSourceConfig(TupleMessageChannelFactory, IJdbcScopedFetchSource, Map<String, SimpleSourceConfig.ITopicConfig<String>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleJdbcSourceConfig

SimpleMath - Class in com.activeviam.frtb.core.postprocessor.impl

SimpleMath(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

SimpleMaturityConverter - Class in com.activeviam.frtb.core.dates.impl

Implementation of a maturity converter using fixed day count convention and tenor conversion (does not include support for support business day convention or calendar).

SimpleMaturityConverter(IDayCountConvention, ITenorConverter) - Constructor for class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

simpleMaturityConverter(IDayCountConvention, ITenorConverter) - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

A simple maturity converter using a fixed day count convention and a simple tenor converter.

SimplePrefetcher(ASimpleFilteringMinimumLevelsPostProcessor<?>) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ASimpleFilteringMinimumLevelsPostProcessor.SimplePrefetcher

SimpleSourceConfig<I,E> - Class in com.activeviam.frtb.ref.source.dataloadcontroller.impl

A basic implementation of ISourceConfig which uses SimpleSourceConfig.ITopicConfig objects to describe each topic, and delegates the channel creation to IStoreMessageChannelFactory via these topic config objects.

SimpleSourceConfig(IStoreMessageChannelFactory<I, E>, IScopedFetchSource<I, E>, Map<String, SimpleSourceConfig.ITopicConfig<I>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.SimpleSourceConfig

Create a new instance

SimpleSourceConfig.ITopicConfig<I> - Interface in com.activeviam.frtb.ref.source.dataloadcontroller.impl

A Message Channel Factory for a topic.

SimpleTenorConverter - Class in com.activeviam.frtb.core.dates.impl

Simple implementation of ITenorConverter.

SimpleTenorConverter() - Constructor for class com.activeviam.frtb.core.dates.impl.SimpleTenorConverter

simpleTenorConverter() - Method in class com.activeviam.frtb.starter.cfg.impl.MaturityConverterConfig

SingletonErrorHandlerWrapper() - Constructor for class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig.SingletonErrorHandlerWrapper

size() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

SLIDING_WINDOW_SIZE_250 - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

sort() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

sortCubes(String...) - Static method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

sortingOrder - Static variable in class com.activeviam.frtb.core.hierarchy.impl.DRCScenarioAnalysisDimension

SourceConfig - Class in com.activeviam.frtb.es.tool.cfg.impl

Spring configuration of the FRTB-ES-TOOL Application services.
The parameters of the FRTB-ES-TOOL Services can be quickly changed by modifying the frtb-es-tool.properties file.

SourceConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SourceConfig

SourceConfig - Class in com.activeviam.frtb.ref.cfg.impl

Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying the frtb.properties file.

SourceConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.SourceConfig

SourceTopicAliases - Class in com.activeviam.frtb.ref.cfg.impl

SourceTopicAliases() - Constructor for class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

SP_PROFILE__DATA_NODE - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Spring profile for enabling data-node-only features when deploying in a distributed architecture manner.

SP_PROFILE__QUERY_NODE - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

Spring profile for enabling query-node-only features when deploying in a distributed architecture manner.

SparseRandomAccessVector(IRandomAccessVector) - Constructor for class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.SparseRandomAccessVector

SparseVectorCommitTimeUpdater - Class in com.activeviam.frtb.ref.cfg.stores.triggers

Listen for changes to a specified datastore and it's field.

SparseVectorCommitTimeUpdater(IDatastore) - Constructor for class com.activeviam.frtb.ref.cfg.stores.triggers.SparseVectorCommitTimeUpdater

SPEARMAN_CORRELATION_METRIC - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

SPOT - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

SpringOncePerRequestCorsFilter - Class in com.activeviam.frtb.cfg.impl

Inspired by the OncePerRequestFilter to make sure that CORS headers are applied once only.

SpringOncePerRequestCorsFilter() - Constructor for class com.activeviam.frtb.cfg.impl.SpringOncePerRequestCorsFilter

SQRT2_CCY_KEY_PREFIX - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

SqrtLH - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Returns the square root when looking across liquidity horizons (e.g.

SqrtLH(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.SqrtLH

SQUARE - Static variable in class com.activeviam.frtb.core.postprocessor.impl.SimpleMath

StandardDeviation - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Computes the standard deviation of a vector

StandardDeviation(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviation

StandardDeviationLookback - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Calculate the standard deviation (square root of variance) over past dates.

StandardDeviationLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.StandardDeviationLookback

startManager() - Method in class com.activeviam.frtb.es.tool.cfg.impl.EsToolConfig

Initialize and start the ActivePivot Manager.

startManager() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

Initialize and start the ActivePivot Manager, after performing all the injections into the ActivePivot plug-ins.

startMessengers() - Method in class com.activeviam.frtb.starter.cfg.impl.FRTBConfig

For relevant deployment cases (a.k.a.

startTransaction(Object) - Method in class com.activeviam.frtb.ref.source.tuplepublisher.impl.FullAutoCommitTuplePublisher

staticConfig(Properties) - Static method in class com.activeviam.frtb.core.constants.FRTBConstants

Temporary (pending config overhaul): called by FRTBConfig.startManager()

staticConfig(Properties) - Static method in class com.activeviam.frtb.core.utils.CorrelationUtils

Temporary (pending config overhaul): called by FRTBConfig.startManager()

staticConfig(Properties) - Static method in class com.activeviam.frtb.core.utils.RhoUtils

Temporary (pending config overhaul): called by FRTBConfig.startManager()

staticConfig(String) - Static method in class com.activeviam.frtb.ref.utils.PublisherUtils

Static config to allow loading parameters from config files.

StaticDataPublisher - Class in com.activeviam.frtb.ref.source.publishers

Publisher that discards duplicate tuples and commits to a given store.

StaticDataPublisher(IDatastore, String) - Constructor for class com.activeviam.frtb.ref.source.publishers.StaticDataPublisher

Constructor

StaticResourcesHandler - Class in com.activeviam.frtb.starter.cfg.impl

StaticResourcesHandler() - Constructor for class com.activeviam.frtb.starter.cfg.impl.StaticResourcesHandler

STD_DEV_HYPOTHETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

STD_DEV_HYPOTHETICAL_PL_LOOKBACK_RANK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

STD_DEV_PREFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

STD_DEV_RISK_THEORETICAL_PL_LOOKBACK_RANK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

STEP_SIZE_DEFAULT - Static variable in interface com.activeviam.frtb.core.context.IDifferentiationStepSizeContextVal

Default step size for numerical differentiation.

STOP - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

store - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

STORE_DATE_FIELD_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

STORE_DATE_FIELD_FORMAT - Static variable in class com.activeviam.frtb.ref.cfg.impl.ParameterSetDatastoreConfig

StoreFieldNames - Class in com.activeviam.frtb.core.constants

StoreFieldNames() - Constructor for class com.activeviam.frtb.core.constants.StoreFieldNames

storeKeyFields - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

storeKeyIndices - Variable in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

storeName - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

storeName - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

StoreNames - Class in com.activeviam.frtb.core.constants

StoreNames() - Constructor for class com.activeviam.frtb.core.constants.StoreNames

STORES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

storesSecurity - Variable in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreRestStoresSecurityConfig

storesSecurity - Variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreRestStoresSecurityConfig

storesSecurity - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

storesSecurityConfig() - Method in class com.activeviam.frtb.es.tool.cfg.impl.DatastoreConfig

storesSecurityConfig - Variable in class com.activeviam.frtb.es.tool.cfg.impl.EsToolDatastoreServiceConfig

storesSecurityConfig() - Method in class com.activeviam.frtb.ref.cfg.impl.ConditionedDatastoreViewerServices

storesSecurityConfig - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig

StoreUtils - Class in com.activeviam.frtb.core.utils

StoreUtils() - Constructor for class com.activeviam.frtb.core.utils.StoreUtils

stressBucketCorrelation(double, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

Stresses the value of gamma according to the current stress scenario.

stressCorrelation(LocalDate, String, double) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Stresses the correlation value according to the current stress scenario.

stressCorrelations(LocalDate, String, IVector) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureLinear

Apply the stress to the correlations.

stressRho(double, LocalDate, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskPosition

Stresses the value of rho according to the current stress scenario.

SUB_TYPE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

SUB_VECTOR_SIZE_250 - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

SUB_VECTOR_SIZE_499 - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

submissionManager - Variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

submitBranchFromTree(String, List<ParentChildNode<?>>, String, String, LocalDate) - Method in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

This method provides a way to persist new branches created through the parent child service.

submitDeskModelSwitch(DeskModelSwitchSubmissionDTO) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.DeskModelSwitchRestService

submitDeskModelSwitch(DeskModelSwitchSubmissionDTO) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.IDeskModelSwitchRestService

submitTreeUpdateForBranch(String, List<ParentChildNode<?>>, String, String, LocalDate) - Method in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

This method provides a way to persist data changes on a currently existing branch through the parent child service.

submitUpdateDatastore(String, String, String, String, List<Object[]>, List<Object[]>, List<Map<String, Object>>) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

This method provides a way to persist data changes on a branch through the dsviewer service.

submitUpdateDatastore(String, String, String, String, List<Object[]>, List<Object[]>, List<Map<String, Object>>) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

This method provides a way to persist data changes on a branch through the dsviewer service.

submitUpdateDatastore(String, String, String, String, List<Object[]>, List<Object[]>, List<Map<String, Object>>) - Method in interface com.activeviam.frtb.ref.dsviewer.whatif.submitter.IDSViewerWhatIfSubmitter

subVector(int, int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector.SparseRandomAccessVector

subVector(int, int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

SumIntegerLookback - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Calculate the (integer) sum over past dates.

SumIntegerLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.SumIntegerLookback

summary - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.IMAPLTuplePublisher

supportsAnalysisLevels() - Method in class com.activeviam.frtb.core.postprocessor.lookback.impl.ALookbackPostProcessor

supportsAnalysisLevels() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

supportsAnalysisLevels() - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

T

t - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

T_PROPERTY - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.LiquidityHorizonCoefficient

tailMeasureCalc - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.ES

tailMeasureCalc - Variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

tailMeasureCalc - Variable in class com.activeviam.frtb.core.postprocessor.impl.LEstimator

TailMeasureCalc - Class in com.activeviam.frtb.ref.calc.ima.impl

TailMeasureCalc(IPostProcessorErrorHandler) - Constructor for class com.activeviam.frtb.ref.calc.ima.impl.TailMeasureCalc

tailMeasureCalc() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBPostProcessorConfig

The Spring bean for the ITailMeasureCalc implementation (i.e.

TailVaROperator - Class in com.activeviam.frtb.core.formula.impl

TVaROperator A formula post processor for calculation of VaR using a vector of PnL evaluated on various scenarios.

TailVaROperator() - Constructor for class com.activeviam.frtb.core.formula.impl.TailVaROperator

TailVaROperator.ComparableVectorEntry - Class in com.activeviam.frtb.core.formula.impl

targetLocation - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.TargetPrefetcher

targetMeasure - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

targetMeasures - Variable in class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift

TargetPrefetcher(String, Function<ILocation, ILocation>, String...) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ReferenceLevelLocationShift.TargetPrefetcher

taskAssigner() - Method in class com.activeviam.frtb.ref.cfg.impl.FRTBActiveMonitorAppConfig

TECHNICAL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.SAMeasureBuilder

TECHNICAL_FOLDER - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

TECHNICAL_FOLDER_NAME - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

technicalUserDetailsService() - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

technicalUserDetailsService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

TempLikeConditionFactory - Class in com.qfs.store.service.impl

Custom code that needs to be supported via the native LikeConditionFactory or another plugin key in the future.

TempLikeConditionFactory() - Constructor for class com.qfs.store.service.impl.TempLikeConditionFactory

TENOR - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

TENOR_INDEX - Static variable in class com.activeviam.frtb.core.calc.CommodityDeltaCalculations

TENOR_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRNSDeltaCalculations

TENOR_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecCTPDeltaCalculations

TENOR_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

tenorConverter - Variable in class com.activeviam.frtb.core.dates.impl.LegacyMaturityConverter

tenorConverter - Variable in class com.activeviam.frtb.core.dates.impl.SimpleMaturityConverter

TEST_PROPERTIES_FILE - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBEnvConstants

The file containing the properties used for any applications in a test package.

ThreadLocalDateFormat() - Constructor for class com.activeviam.frtb.core.localDate.LocalDateFormatter.ThreadLocalDateFormat

ThreadLocalDateFormat() - Constructor for class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter.ThreadLocalDateFormat

time - Variable in class com.activeviam.frtb.starter.logging.QFSFormatter

Current time

TIME_FORMAT - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Format string to display time from a date

TIMESTAMP - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

toDate(IActivePivot, IDatastoreVersion, LocalDate, String, List<Object>) - Method in interface com.activeviam.frtb.core.dates.IMaturityConverter

Convert tenorOrDate to a LocalDate.

toDate(IActivePivot, IDatastoreVersion, LocalDate, String, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

toEvent(Set<S>) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

toHierarchyInfo(IActivePivot, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toHierarchyInfo(IActivePivot, String, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toHierarchyInfos(List<ILevelInfo>) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

toLevelInfo(String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

toLevelInfo(IActivePivot, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toLevelInfo(IActivePivot, String, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toLevelInfoByHierarchy(IActivePivot, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toLevelInfoByHierarchy(IActivePivot, String, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toLevelInfoMap(IActivePivot, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

toLevelInfoMap(IActivePivot, String, String) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

TOP_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.impl.ProRata

topic - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

topic - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.BaseStoresAsOfDateConditionConverter

topic - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.ConfigurationConditionConverter

topic - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig.HistoricalConditionConverter

TOPIC__ALL_IMA_DAILY - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__ALL_SA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__CA_SUMMARY_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__CA_TRADE_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__CONFIGURATION_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__FX_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__IMA_DRC_SCENARIOS_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__IMA_DRC_TRADE_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__IMA_SUMMARY - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__ORGANISATION_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__PL_SUMMARY_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__PL_TRADE_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__SA_DRC_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__SBM_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__TRADE_BOOKING_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC__TUPLE_DATA - Static variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

TOPIC_CSR_BUCKET_CORRELATIONS_NONSEC - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

TOPIC_CSR_BUCKET_CORRELATIONS_SECCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

TOPIC_CSR_BUCKET_DESCRIPTION_NONSEC - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_CSR_BUCKET_DESCRIPTION_SECCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_CSR_BUCKET_DESCRIPTION_SECNONCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_CSR_BUCKET_NONSEC - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_CSR_BUCKET_RISK_WEIGHTS_NONSEC - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

TOPIC_CSR_BUCKET_RISK_WEIGHTS_SECCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

TOPIC_CSR_BUCKET_RISK_WEIGHTS_SECNONCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

TOPIC_CSR_BUCKET_SECCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_CSR_BUCKET_SECNONCTP - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_DRC - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

TOPIC_DRC_NONLINEAR_RECOVERY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

TOPIC_DRC_SCENARIO_COUNT - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCScenarioCountFileConstants

TOPIC_FX_HISTORICAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_IMA_RISK_FACTORS_HISTORICAL - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TOPIC_IMA_SUMMARY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMASummaryFileConstants

TOPIC_IMA_TRADES - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

TOPIC_SENSITIVITIES - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

TOPIC_SENSITIVITIES - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

TOPIC_SENSITIVITIES - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

TOPIC_TRADES - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

topicConfig() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

TopicConfig<I> - Class in com.activeviam.frtb.ref.source.dataloadcontroller.impl

Implementation of SimpleSourceConfig.ITopicConfig which uses an optional wrapper for creating the message channel using the store message channel factory.

TopicConfig(String, String, ITuplePublisher<I>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

TopicConfig(String, String, ITuplePublisher<I>, Function<IStoreMessageChannelFactory<I, ?>, IMessageChannel<I, ?>>) - Constructor for class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

topicToScopeToRemoveWhereConditionConverter(String) - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerConfig

Map topics to remove where conditions converters.

topK(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Returns an iterator of a collection composed of the k biggest elements of the vector.

topKIndices(int) - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Return the k indices of the k biggest elements of the vector sorted in ascending order.

TopPrefetcher() - Constructor for class com.activeviam.frtb.core.postprocessor.impl.ProRata.TopPrefetcher

toRandomAccessVector() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

toStatusString(int) - Method in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

Gets a name describing the status code.

toString() - Method in class com.activeviam.frtb.core.calc.AggregatesMap.Key

toString() - Method in class com.activeviam.frtb.core.context.impl.BackTestingLookbackContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.CALookbackContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.DifferentiationStepSizeContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.ExoticResidualRiskWeight

toString() - Method in class com.activeviam.frtb.core.context.impl.FxMajorCcyPairAdjustment

toString() - Method in class com.activeviam.frtb.core.context.impl.GIRRMajorCurrencyAdjustment

toString() - Method in class com.activeviam.frtb.core.context.impl.ImaNbExceptionsContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.NonExoticResidualRiskWeight

toString() - Method in class com.activeviam.frtb.core.context.impl.PLALookbackContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.ProRataHierarchyContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.ProRataLeafLevelContextVal

toString() - Method in class com.activeviam.frtb.core.context.impl.ReferenceCurrency

toString() - Method in class com.activeviam.frtb.core.context.impl.ReferenceLevelContextVal

toString() - Method in class com.activeviam.frtb.core.localDate.LocalDateFormatter

Returns a representation of the DateFormatter class.

toString() - Method in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

Returns a representation of the DateFormatter class.

toString() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.DSVDatastoreEditDTO

toString() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

toString() - Method in class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

toString() - Method in class com.activeviam.frtb.ref.utils.FRTBTupleKey

toString() - Method in class com.activeviam.frtb.ref.utils.PublisherContext

toString() - Method in class com.activeviam.frtb.ref.utils.PublisherStoreIndexes

toYearFraction(IActivePivot, IDatastoreVersion, LocalDate, String, List<Object>) - Method in interface com.activeviam.frtb.core.dates.IMaturityConverter

Calculate the year fraction between asOfDate and tenorOrDate.

toYearFraction(IActivePivot, IDatastoreVersion, LocalDate, String, List<Object>) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

toYearFractions(LocalDate, T[], IMaturityConverter) - Static method in class com.activeviam.frtb.ref.utils.InterpolationUtils

TRADE_ATTRIBUTES_SA_TRADES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

TRADE_BASE_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

TRADE_BASE_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Trade stores

TRADE_BASE_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRADE_BASE_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRADE_BASE_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRADE_BASE_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRADE_BASE_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRADE_CCY_KEY_PREFIX - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

TRADE_DATE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

TRADE_DATE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

TRADE_DELTA_KEY_PREFIX - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

TRADE_ID - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCNonLinearRecoveryFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.IMATradesFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

TRADE_ID_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The tradeId level property name ("tradeIdLevel")

TRADE_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Trade (i.e.

TRADE_MAPPING_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

Shared stores

TRADE_MAPPING_STORE_BOOK - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

TRADE_MAPPING_STORE_LEGAL_ENTITY - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

TRADE_MAPPING_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

TRADE_MAPPING_STORE_TRADE_DATE - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

TRADE_MAPPING_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig

TradeAttributesFileConstants - Class in com.activeviam.frtb.ref.cfg.stores.constants

TradeAttributesFileConstants() - Constructor for class com.activeviam.frtb.ref.cfg.stores.constants.TradeAttributesFileConstants

TradeBaseStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Trade Base store.

tradeBookingTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

TradeDatesComparator - Class in com.activeviam.frtb.ref.source.comparators

TradeDatesComparator() - Constructor for class com.activeviam.frtb.ref.source.comparators.TradeDatesComparator

TradeDuplicateWhatIfDefinition - Class in com.activeviam.frtb.ref.whatif.definition

TradeDuplicateWhatIfDefinition() - Constructor for class com.activeviam.frtb.ref.whatif.definition.TradeDuplicateWhatIfDefinition

TradeDuplicateWhatIfDefinition(String, ICondition, List<String>, String, String) - Constructor for class com.activeviam.frtb.ref.whatif.definition.TradeDuplicateWhatIfDefinition

tradeLevel - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability.Factory

tradeLevel - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

tradeLevelApplications() - Static method in class com.activeviam.frtb.ref.cfg.impl.CustomActivePivotConfig

TradeMappingStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.DatastoreConfig.ConcreteDatastoreConfig

Store description for the Trade Mapping store.

TradeRescaleDTO - Class in com.activeviam.frtb.ref.source.whatif.rest.dto

TradeRescaleDTO() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

TradeRescaleDTO(List<String>, List<String>, double, String, String, String, boolean, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeRescaleDTO

tradeRescaleRestService() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

TradeRescaleRestService - Class in com.activeviam.frtb.ref.source.whatif.rest.services

TradeRescaleRestService() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.services.TradeRescaleRestService

TradeRescaleWhatIfDefinition - Class in com.activeviam.frtb.ref.whatif.definition

TradeRescaleWhatIfDefinition() - Constructor for class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

TradeRescaleWhatIfDefinition(String, ICondition, List<String>, String, double, boolean, String) - Constructor for class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

TradeScaleDTO - Class in com.activeviam.frtb.ref.source.whatif.rest.dto

TradeScaleDTO(String, String, String, double, String, String, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.dto.TradeScaleDTO

TradesTuplePublisher - Class in com.activeviam.frtb.ref.source.tuplepublisher.impl

Tuple publisher that handles the publishing into the Books, TradeMapping, TradeBase and SATradeDescription stores.

TradesTuplePublisher(IDatastore) - Constructor for class com.activeviam.frtb.ref.source.tuplepublisher.impl.TradesTuplePublisher

Constructor

TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.DRCFileConstants

TRANCHE_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPDeltaCalculations

TRANCHE_INDEX - Static variable in class com.activeviam.frtb.core.calc.CSRSecNonCTPVegaCalculations

TRANCHE_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The tranche level property name ("trancheLevel")

TRANCHE_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

TRANCHE_STORE_ASSET_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_ATTACHMENT - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_DETACHMENT - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_RATING - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_REGION - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TRANCHE_STORE_TRANCHE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

TrancheStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Tranche store.

transactionCommitted(IDatastoreVersion) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

transactionCommitted(IDatastoreVersion) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

transactionRolledBack() - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

transactionRolledBack() - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

transactionStarted(IDatastoreVersion, ITransactionInformation) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.listeners.ParentHierarchyListener

transactionStarted(IDatastoreVersion, ITransactionInformation) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

transform(S) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.ASetStoreStream

Transform a pre-event to an event that will be published to ActivePivot continuous query engine.

transform(String) - Method in class com.activeviam.frtb.core.postprocessor.fxconversion.impl.FXStream

translatorTupleFields - Variable in class com.activeviam.frtb.ref.source.tuplepublisher.impl.ABaseTuplePublisher

truncateOrSetWildCardsToLevel(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

truncateToLevel(ILocation, ILevelInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

truncateToLevelZero(ILocation, Collection<IHierarchyInfo>) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

truncateToLevelZero(ILocation, IHierarchyInfo) - Static method in class com.activeviam.frtb.core.utils.PostProcessorUtils

tryISO8601Period(String) - Method in class com.activeviam.frtb.core.dates.impl.SimpleTenorConverter

Try to parse the tenor as a ISO-8601 period

tryParseAsDate(String) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

Try converting tenorOrDate directly to a date by parsing it as a date.

tryParseAsYearFraction(String) - Method in class com.activeviam.frtb.core.dates.impl.AMaturityConverter

try converting tenorOrDate directly to a year fraction by parsing it as a double.

tupleChannelFactory() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Tuple Channel factory bean.

tupleChannelFactory - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

tuplePublisher() - Method in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

tuplePublisher - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.TopicConfig

tuplePublisherFactory - Variable in class com.activeviam.frtb.ref.cfg.impl.ACSVSourceConfig.ChannelParameters

tupleSource() - Method in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

Creates the ISource responsible for loading initial tuple data in the datastore.

tupleSource - Variable in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

tupleSource - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

tupleSourceConfig() - Method in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

tupleTopicConfigs - Variable in class com.activeviam.frtb.starter.cfg.impl.DataLoadControllerSourceConfigs

tupleTopics() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceTopicAliases

type - Variable in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

Measure type.

type - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Measure type.

TYPE - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

TYPE - Static variable in class com.activeviam.frtb.core.localDate.LocalDateFormatter

Extended plugin value type

TYPE - Static variable in class com.activeviam.frtb.es.tool.localdate.LocalDateFormatter

Extended plugin value type

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

type - Variable in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

TYPE_INDEX - Static variable in class com.activeviam.frtb.core.calc.EquityDeltaCalculations

TYPE_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

typeLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

typeLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

U

UNCONSTRAINED_RISK_CLASS - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMAMeasure

UnconstrainedES - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Returns the sum of the underlying measure ES (capital) for the "allin" risk class

UnconstrainedES(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.UnconstrainedES

underlierCurrencies - Static variable in class com.activeviam.frtb.core.context.impl.ReferenceCurrencyTranslator

UNDERLYING - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCommonFileConstants

UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmCurvatureFileConstants

UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmDeltaFileConstants

UNDERLYING - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

UNDERLYING_CURVE_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRVegaCalculations

UNDERLYING_FX_ORIGINAL_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING_FX_RISK_CCY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Underlying property name ("underlyingLevel")

UNDERLYING_MATURITY - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING_MATURITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

UNDERLYING_MATURITY_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING_MATURITY_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

UNDERLYING_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ExpandRiskFactor

UnderlyingColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

Calculator for Standardised Approach market data

UnderlyingColumnCalculator(String, String, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

Constructor

UnderlyingColumnCalculator(String, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

Constructor

UnderlyingFxCcyColumnCalculator - Class in com.activeviam.frtb.ref.source.colcalcs

Calculator for Standardised Approach market data

UnderlyingFxCcyColumnCalculator(String, String, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.UnderlyingFxCcyColumnCalculator

Constructor

UnderlyingFxCcyColumnCalculator(String, String) - Constructor for class com.activeviam.frtb.ref.source.colcalcs.UnderlyingFxCcyColumnCalculator

Constructor

underlyingLevelInfo - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

UnderlyingMeasuresPrefetcher(IMeasuresProvider, Function<ILocation, Collection<ILocation>>, String...) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.SES.UnderlyingMeasuresPrefetcher

underlyingOrRiskFactor(ILineReader, String) - Static method in class com.activeviam.frtb.ref.source.colcalcs.UnderlyingColumnCalculator

Retrieves the Underlying from the current file.

underlyingTopicConfigs - Variable in class com.activeviam.frtb.ref.source.dataloadcontroller.impl.CompositeTopicConfig

undictionariseRecordKey(List<Integer>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

UndistributedDSViewerWhatIfRestfulService - Class in com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer

The UndistributedDSViewerWhatIfRestfulService is the restful layer on top of DSViewerWhatIfService and a proxy layer against the DSViewerWhatIfService in an undistributed frtb system.

UndistributedDSViewerWhatIfRestfulService() - Constructor for class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

undistributedWhatIfDatastoreRestService() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

Creates the REST service for the Datastore.

UNEXPLAINED_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

UNEXPLAINED_PL_LOOKBACK - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

UNEXPLAINED_PL_LOOKBACK_VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

unstressedNonCurvatureCorrelation(LocalDate, String, String, String, String, String, String, String) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

unwrapMeasureNameFromMDXString(String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

UP - Static variable in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

up() - Method in class com.activeviam.frtb.core.postprocessor.impl.CurvatureRiskPositionScenario

up(ILocation, ILocation) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.RiskCharge

UPDATE - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

UPDATE_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

UPDATE_DATASTORE_DEFINITION - Static variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

UPDATE_TIMESTAMP - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.NativeMeasureBuilders.NativeMeasureBuilder

updateDatastore(String, String, String, String, JsonDatastoreEdit) - Method in class com.activeviam.frtb.ref.dsviewer.whatif.service.DSViewerWhatIfService

This method provides a way to both create a branch and submit changes off of the master branch or pre-existing.

updateDescription(Measure, IPostProcessorDescription, Map<String, String>) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

updateDescriptions(Map<Measure, IPostProcessorDescription>, Map<String, String>) - Method in class com.activeviam.frtb.ref.cfg.measures.impl.AMeasureBuilder

UpdateDistributeTuplesDSViewerDefinition - Class in com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

UpdateDistributeTuplesDSViewerDefinition() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateDistributeTuplesDSViewerDefinition

UpdateDistributeTuplesDSViewerDefinition(String, List<String>, Set<String>, List<Map<String, Object>>, ICondition, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateDistributeTuplesDSViewerDefinition

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.ChildParentWhatIfDefinition

As the datastore is iterated over we do a few things with this definition.

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateDistributeTuplesDSViewerDefinition

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateTuplesDSViewerDefinition

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.whatif.definition.DeskModelSwitchWhatIfDefinition

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.whatif.definition.TradeDuplicateWhatIfDefinition

updateEntries(Map<String, Object>) - Method in class com.activeviam.frtb.ref.whatif.definition.TradeRescaleWhatIfDefinition

updateKeys(int, IRecordBlock<IRecordReader>) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

UpdateParameterWorkflowUnit - Class in com.activeviam.frtb.ref.workflows.units.impl

UpdateParameterWorkflowUnit() - Constructor for class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

updateParentChildFromTree(String, String, String, LocalDate, ParentChildNode<?>) - Method in class com.activeviam.frtb.ref.parentchild.service.ParentChildService

This method provides a way to update a currently existing branch with changes.

updateParentChildFromTree(String, String, String, String) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.ParentChildRestfulService

This method provides a way to update a current branch with tree changes.

updatePartitioningLevels(Collection<ILI>) - Method in interface com.activeviam.frtb.core.postprocessor.IPostProcessorPartitioningManager

Updates the partitioning levels

updatePartitioningLevels(Collection<ILI>) - Method in class com.activeviam.frtb.ref.cfg.impl.PostProcessorPartitioningManager

updatePostProcessorDescriptionProperties(Properties, Properties, String, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskWeight

updateStore(String, DSVDatastoreEditDTO) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.DistributedDSViewerWhatIfRestfulService

updateStore(String, DSVDatastoreEditDTO) - Method in interface com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.IDSViewerRestfulService

Remove, add or update facts in a given store.

updateStore(String, DSVDatastoreEditDTO) - Method in class com.activeviam.frtb.ref.source.whatif.rest.services.dsviewer.UndistributedDSViewerWhatIfRestfulService

UpdateTuplesDSViewerDefinition - Class in com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer

UpdateTuplesDSViewerDefinition() - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateTuplesDSViewerDefinition

UpdateTuplesDSViewerDefinition(String, List<String>, Set<String>, Map<KeyObjects.UnModKeys, Set<KeyObjects.FieldValuePair>>, String) - Constructor for class com.activeviam.frtb.ref.source.whatif.base.impl.dsviewer.UpdateTuplesDSViewerDefinition

USE_BASE_CURRENCY_FLAG - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

USE_FX_DIVIDER_FLAG - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

useAlternativeRiskWeight(IDatastoreVersion, IQueryCache, LocalDate, String) - Static method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskWeight

useAnonymous - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

Set to true to allow anonymous access

useAnonymous - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

Set to true to allow anonymous access

USER_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.cfg.impl.ASecurityConfig

USER_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

USER_ACTIVEMONITOR - Static variable in class com.activeviam.frtb.ref.source.whatif.cfg.FRTBWhatIfSecurityManager

userAvailabilityMap - Variable in class com.activeviam.frtb.ref.services.impl.DataAvailability

userDetailsService() - Method in class com.activeviam.frtb.cfg.impl.ASecurityConfig

userDetailsService() - Method in class com.activeviam.frtb.es.tool.cfg.impl.ASecurityConfig

V

validate(IRepositoryService) - Method in class com.activeviam.frtb.ref.workflows.units.impl.UpdateParameterWorkflowUnit

Validates changes previously put as pending.

validateFileName(String) - Method in class com.activeviam.frtb.ref.services.rest.impl.AIMASummaryRestService

valueLevels - Variable in class com.activeviam.frtb.core.postprocessor.PostProcessorLevelMapping

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

Returns the enum constant of this type with the specified name.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCEulerMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCIncrementalMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure.DRCReferenceMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMABaseMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAEulerMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAIncrementalMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.activeviam.frtb.ref.cfg.measures.IMAMeasure.IMAReferenceMeasure

Returns an array containing the constants of this enum type, in the order they are declared.

VAR - Static variable in interface com.activeviam.frtb.core.calc.ima.ITailMeasureCalc

VaR - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Computes the Value at Risk (VaR) of the underlying vector.

VaR(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.VaR

VAR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_975 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_975 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_975_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_975_PREVIOUS_DAY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_99 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_99 - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_99_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_99_PREVIOUS_DAY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VAR_AT_NINETY_SEVEN_AND_HALF - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

VAR_AT_NNETY_NINE - Static variable in interface com.activeviam.frtb.ref.cfg.measures.IMADRCMeasure

VAR_FOLDER - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_PL_EXPAND - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_PL_ORIG_CCY - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLMeasureBuilder

VAR_PL_SCENARIO_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

VAR_PL_SCENARIOS - Static variable in class com.activeviam.frtb.core.constants.StoreNames

VAR_PL_SCENARIOS_STORE_INDEX - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

VAR_PL_SCENARIOS_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

VAR_PL_SCENARIOS_STORE_SCENARIO - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

VAR_PL_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

PL Stores

VAR_PL_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

VAR_SLIDING_WINDOW_PARAM_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

VAR_SLIDING_WINDOW_PARAM_LEVEL - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

VAR_SLIDING_WINDOW_PARAM_NB_SLIDES - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

VAR_SLIDING_WINDOW_PARAM_SIZE - Static variable in class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

VaRConfidenceContextVal - Class in com.activeviam.frtb.core.context.impl

VaRConfidenceContextVal() - Constructor for class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

VaRConfidenceContextVal(double) - Constructor for class com.activeviam.frtb.core.context.impl.VaRConfidenceContextVal

VaRConfidenceTranslator - Class in com.activeviam.frtb.core.context.impl

VaRConfidenceTranslator() - Constructor for class com.activeviam.frtb.core.context.impl.VaRConfidenceTranslator

variance() - Method in class com.activeviam.frtb.core.vector.impl.ReadOnlySparseVector

Variance of a vector contains the arithmetic variance of its components.

VARIANCE_HYPOTHETICAL_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VARIANCE_PREFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VARIANCE_RATIO - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VARIANCE_UNEXPLAINED_PL - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VarianceLookback - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Calculate the variance (mean of square minus square of mean) over past dates.

VarianceLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.VarianceLookback

VarPLScenarioExpand - Class in com.activeviam.frtb.core.postprocessor.pl.impl

Expand the VaR P&L vector along the Scenario analysis hierarchy.

VarPLScenarioExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.pl.impl.VarPLScenarioExpand

VaRPLScenariosStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.IMADatastoreConfig

Store description for the VaR P&L Scenarios store.

VarSlidingWindow - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Post Processor that evaluates VAR through a sliding window.

VarSlidingWindow(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindow

VarSlidingWindowNaive - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Post Processor that evaluates VAR through a sliding window.

VarSlidingWindowNaive(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.VarSlidingWindowNaive

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CommodityVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRNSVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecCTPVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.CSRSecNonCTPVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.EquityVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.FxCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.FxDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.FxVegaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRCurvatureMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures

vector() - Static method in class com.activeviam.frtb.core.cfg.measures.GIRRVegaMeasures

VECTOR - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.CombinedMeasureBuilder

VECTOR_INDEX - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

Index into a vector ("vectorIndex")

VECTOR_SUFFIX - Static variable in class com.activeviam.frtb.ref.cfg.measures.impl.PLSummaryMeasureBuilder

VectorConv(Integer, char) - Constructor for class com.activeviam.frtb.ref.dsviewer.whatif.cfg.DSViewerServiceConfig.VectorConv

VectorDiff - Class in com.activeviam.frtb.core.postprocessor.impl

Compute the difference between two vectors containing double-typed values.

VectorDiff(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.VectorDiff

VectorFiltering - Class in com.activeviam.frtb.core.postprocessor.impl

Extension of AFilteringPostProcessor for IVectors of doubles

VectorFiltering(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.impl.VectorFiltering

VectoriseLookback - Class in com.activeviam.frtb.core.postprocessor.lookback.impl

Create a vector over past dates.

VectoriseLookback(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.lookback.impl.VectoriseLookback

VectorStream2Position - Class in com.activeviam.frtb.core.postprocessor.ima.impl

Cumulative measure along a time axis for IVectors

VectorStream2Position(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.ima.impl.VectorStream2Position

Constructor

VectorSubtractionOperator - Class in com.activeviam.frtb.core.formula.impl

VectorSubtractionOperator() - Constructor for class com.activeviam.frtb.core.formula.impl.VectorSubtractionOperator

VEGA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_CCY_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Vega sensitivities CCY.

VEGA_CORRELATION - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_LIQUIDITY_HORIZONS - Static variable in class com.activeviam.frtb.core.constants.QueryCacheConstants

VEGA_LIQUIDITY_HORIZONS_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

VEGA_LIQUIDITY_HORIZONS_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

VEGA_LIQUIDITY_HORIZONS_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VEGA_LIQUIDITY_HORIZONS_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VEGA_LIQUIDITY_HORIZONS_STORE_SUB_TYPE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VEGA_LIQUIDITY_HORIZONS_STORE_VEGA_LH - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VEGA_RHO_DELTA_ALPHA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_RHO_OPTION_MATURITY_ALPHA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_RHO_UNDERLYING_MATURITY_ALPHA - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_RW - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_RW_ROUNDING_DP - Static variable in class com.activeviam.frtb.core.constants.FRTBConstants

VEGA_SENSITIVITIES - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

VEGA_SENSITIVITIES_INTERPOLATED - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

VEGA_SENSITIVITY - Static variable in class com.activeviam.frtb.ref.cfg.stores.constants.SbmVegaFileConstants

VEGA_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

VEGA_STORE_EXPIRY_DATES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_NAME - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_RISK_FACTOR - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_SENSITIVITY_CURRENCY - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_TRADE_ID - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_UNDERLYING_MATURITIES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_VEGA_SENSITIVITIES - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VEGA_STORE_VEGA_SENSITIVITIES_INTERPOLATED - Static variable in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

VegaCalculations - Class in com.activeviam.frtb.core.calc

Class for computing vega calculations.

VegaCalculations() - Constructor for class com.activeviam.frtb.core.calc.VegaCalculations

VegaDoubleSumsExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

VegaDoubleSumsExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaDoubleSumsExpand

VegaExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

VegaExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VegaExpand

VegaLiquidityHorizonsStoreDesc() - Method in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

Store description for the Vega Liquidity Horizons store.

vegaRiskClassToPublisherMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

vegaRiskClassToStoreMap() - Method in class com.activeviam.frtb.ref.cfg.impl.SensiSourceConfig

VegaStoreDesc() - Method in class com.activeviam.frtb.ref.cfg.impl.SADatastoreConfig

Store description for the Vega store.

VersionSecurityConfig() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.SecurityConfig.VersionSecurityConfig

VersionSecurityConfig() - Constructor for class com.activeviam.frtb.ref.cfg.impl.ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.VersionSecurityConfig

VersionSecurityConfig() - Constructor for class com.activeviam.frtb.starter.cfg.impl.SecurityConfig.VersionSecurityConfig

VERTEX - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

VERTEX_1 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

VERTEX_2 - Static variable in class com.activeviam.frtb.core.constants.StoreFieldNames

VERTEX_INDEX - Static variable in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

VERTEX_LEVEL - Static variable in interface com.activeviam.frtb.core.constants.PostProcessorProperties

The vertex level property name ("vertexLevel")

vertexCorrelation(double, double, double, double, int) - Static method in class com.activeviam.frtb.core.calc.GIRRDeltaCalculations

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaAggregatesMap

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskPositionDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaAggregatesMap

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskPositionDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaAggregatesMap

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskPositionDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaAggregatesMap

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskPositionDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaAggregatesMap

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

vertexLevel - Variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

vertices(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

vertices(Object) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

VERTICES_FILE_PATTERN - Static variable in class com.activeviam.frtb.ref.cfg.constants.FRTBDataLoadConstants

VERTICES_LEVEL_PROPERTY - Static variable in class com.activeviam.frtb.core.constants.FrtbConfigProperties

Cube level for Vertices.

VERTICES_STORE - Static variable in class com.activeviam.frtb.ref.cfg.impl.ConfigurationSourceConfig

VERTICES_STORE_INDEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VERTICES_STORE_NAME - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VERTICES_STORE_RISK_CLASS - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VERTICES_STORE_RISK_MEASURE - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VERTICES_STORE_VERTEX - Static variable in class com.activeviam.frtb.core.cfg.impl.ParametersDatastoreConfig

VerticesExpand - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

VerticesExpand(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.VerticesExpand

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.GIRRDeltaMeasures.GIRRSensitivityMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.CurvatureMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.DRCMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.EulerMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.IncrementalMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.NotionalMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.PVMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RiskWeightMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.RRAOMeasure

Default measure visibility.

visible - Variable in enum com.activeviam.frtb.core.cfg.measures.Measure.SensitivityMeasure

Default measure visibility.

W

WARNING - Static variable in class com.activeviam.frtb.ref.workflows.units.impl.MonitorEventWorkflowUnit

WebAppInitializer - Class in com.activeviam.frtb.es.tool.cfg.impl

Initializer of the Web Application.

WebAppInitializer() - Constructor for class com.activeviam.frtb.es.tool.cfg.impl.WebAppInitializer

WEEK - Static variable in class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

WEIGHTED_SENSITIVITIES_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

WEIGHTED_SENSITIVITIES_PREFETCHER_NAME - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.AWeightedSensitivitiesAggregatesMap

WEIGHTED_SENSITIVITIES_UNLERLYING_MEASURE - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

WeightedNetJTD - Class in com.activeviam.frtb.core.postprocessor.drc.impl

This PP applies the appropriate risk weightings to the net JTD value for DRC non-Sec (paragraph 152) and DRC Sec non-CTP (paragraph 161).

WeightedNetJTD(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedNetJTD

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the Liquidity Horizon (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the Liquidity Horizon (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the bucket (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the Liquidity Horizon (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the bucket (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaWeightedSensitivity

Scales the sensitivities vector by the appropriate risk weight according to the Liquidity Horizon (paragraph 51b)

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaWeightedSensitivity

weightedSensitivities(ILocation, Object[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

Calculates the weighted sensitivity for the given location

WeightedSensitivity<T> - Class in com.activeviam.frtb.core.postprocessor.sensitivities.impl

Abstract class for the Weighted Sensitivity PostProcessors.

WeightedSensitivity(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.WeightedSensitivity

WeightedSensitivityPrefetcher(IMeasuresProvider, Collection<String>) - Constructor for class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums.WeightedSensitivityPrefetcher

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.ARiskMeasureDoubleSums

The underlying measures used by the weighted sensitivities; in particular by ARiskMeasureDoubleSums.readUnderlyingWithAnalysisLevels(ILocation, IRecordReader, Object)

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CommodityVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRNSVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecCtpVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.CSRSecNonCTPVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.EquityVegaRiskPositionDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FxVegaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskChargeDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRDeltaRiskPositionDoubleSums

weightedSensitivityUnderlyingMeasures(String[]) - Method in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.GIRRVegaRiskChargeDoubleSums

WeightedToShort - Class in com.activeviam.frtb.core.postprocessor.drc.impl

Calculates the Weighted to Short ratio (paragraph 154c)

WeightedToShort(String, IPostProcessorCreationContext) - Constructor for class com.activeviam.frtb.core.postprocessor.drc.impl.WeightedToShort

WhatIfConfig - Class in com.activeviam.frtb.ref.source.whatif.cfg

WhatIfConfig() - Constructor for class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfDistributedQueryUtils - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

whatIfEngine(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfManagerService(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfManagerService - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

WhatIfRestConfig - Class in com.activeviam.frtb.ref.source.whatif.cfg

WhatIfRestConfig() - Constructor for class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

whatIfRestService(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfRestService - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

whatIfSecurityManager() - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfService - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerDistributedWhatIfSubmitter

whatIfService - Variable in class com.activeviam.frtb.ref.dsviewer.whatif.submitter.DSViewerWhatIfSubmitter

whatIfService - Variable in class com.activeviam.frtb.ref.parentchild.submitter.BookParentChildWhatIfSubmitter

whatIfSubmissionManager(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfWorkflow(IDatastoreConfig) - Method in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfConfig

whatIfWorkflow - Variable in class com.activeviam.frtb.ref.source.whatif.cfg.WhatIfRestConfig

wireSelectionListeners() - Method in class com.activeviam.frtb.ref.cfg.impl.SourceConfig

withCategory(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

withCategory(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

withContextValue(String, String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.ConfigurableBuilder

Sets a - flat - context value for this monitor execution.

withDescription(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.DescriptiveBuilder

Sets an optional description for the monitor.

withDesk(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

withFilter(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.FilterableBuilder

Sets an optional filter for the monitor, or null to have no filter at all.

withFRTBDesk(boolean) - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

withFRTBDesk(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

withFrtbModel(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

withFrtbModel(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

withLeaf(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

withLevel(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.HierarchyBuilder

withName(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder

Sets the name of the monitor

withName(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

withParent(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.ParentChildNodeBuilder

withPlaZone(String) - Method in class com.activeviam.frtb.ref.parentchild.builders.BookNodeBuilder

withPlaZone(String) - Method in class com.activeviam.frtb.ref.parentchild.hierarchy.builders.BookHierarchyBuilder

withQuery(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.QueryableBuilder

Sets the MDX query to run for monitoring.

withWorkflowSchema(String) - Method in class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.WorkflowMissing

Sets the workflow schema to use for this monitor.

WorkflowMissing() - Constructor for class com.activeviam.frtb.ref.monitors.impl.KpiMonitorBuilder.WorkflowMissing

wrapMeasureNameToMDXString(String) - Method in class com.activeviam.frtb.ref.drillin.service.DrillInService

writeGaps(Collection<Object[]>, String) - Method in class com.activeviam.frtb.ref.source.listeners.LiquidityHorizonGapFiller

Y

Y_FLAG - Static variable in class com.activeviam.frtb.core.postprocessor.sensitivities.impl.FXDeltaSensitivity

YEAR - Static variable in class com.activeviam.frtb.core.dates.impl.LegacyTenorConverter

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