All Classes Interface Summary Class Summary Enum Summary Exception Summary
| Class |
Description |
| AAnalysisLevelsExpand<OutputType> |
Used in combination with an Analysis Hierarchy to expand a vector to show a value by row
|
| ABaseTuplePublisher<I> |
|
| AbsoluteSumAggregationFunction |
Aggregation function that returns the sum of absolute values.
|
| AConfigurationSourceConfig<I> |
Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying
the frtb.properties file.
|
| ACSVSourceConfig<I> |
|
| ActiveMonitorSecurityConfig |
Spring configuration fragment for security.
|
| ActiveMonitorSecurityConfig.DefaultSecurityConfigurer |
|
| ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.JwtSecurityConfigurer |
|
| ActiveMonitorSecurityConfig.DefaultSecurityConfigurer.VersionSecurityConfig |
|
| ActiveMonitorServerConfig |
ActiveMonitor application configuration
This class imports the Spring configuration classes and defines additional beans.
|
| ActivePivotBranchPermissionsManagerConfig |
|
| ACubeExportRestService |
|
| ACurvatureCVR |
Abstract PostProcessor used to calculate the two branches of the curvature CVR (MAR21.5 (2)).
|
| ACurvaturePublisher<I> |
|
| ACurvatureShockInterpolation |
|
| ADatastoreLookupOrganisationHierarchyMap |
Abstract class to facilitate implementation of IOrganisationHierarchyMap backed by a datastore structure
similar to that used by a cube schema. |
| AddDatastorePublisher<I> |
|
| AddTuplesDSViewerDefinition |
|
| ADeltaPublisher<I> |
Abstract publisher for the Delta stores.
|
| ADictionariesHierarchy<T> |
Simple class for turning dictionaries into members of an analysis hierarchy.
|
| ADistributionAwareQueryRunner |
|
| ADoubleSumsExpand |
Abstract PostProcessor used to expand double Sums vector along Double Sums Hierarchies
|
| ADRCIMABaseTuplePublisher<I> |
|
| AggregatedCapitalCharge |
|
| AggregatesMap |
|
| AIncrementalMeasureAccrossLevel |
|
| AlertWorkflowUnit |
Basic workflow class to work on alerts.
|
| ALookbackPostProcessor<OutputType,T> |
Abstract class to facilitate looking back over past values.
|
| AMaturityConverter |
|
| AMeasureBuilder |
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.
|
| AParameterRetriever |
|
| ApplyPV |
PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.
|
| ApplyPVDownShock |
PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.
|
| ApplyPVUpShock |
PostProcessor used to calculate the upward and downward shocks by also taking into account the trade PV value if indicated.
|
| ApplyScenarioOperator |
|
| ARiskChargeEuler |
Applies the rho or gamma correlations to the double sums to produce the risk measure squared; then take square root.
|
| ARiskMeasureDoubleSums<T> |
Calculates the double sums of the weighted sensitivities using the aggregates map.
|
| ARiskMeasureLinear<T> |
Applies the rho or gamma correlations to the double sums to produce the risk measure squared; then take square root.
|
| ARiskPosition<T> |
Abstract super class for post processors calculating the Risk Position measures.
|
| ARiskPositionCorrelations |
Retrieve rho correlations.
|
| ARiskPositionLinear |
Applies the rho correlations to the double sums to produce the risk measure squared; then take square root.
|
| ARiskWeight<T> |
Abstract class for the Risk Weights PostProcessors.
|
| ARiskWeight.RiskWeightPostProcessorPrefetcher |
The prefetcher specialized for this
dynamic aggregation post-processor
|
| ASecurityConfig |
Common security configuration.
|
| ASecurityConfig |
Common security configuration.
|
| ASecurityConfig.AJwtSecurityConfigurer |
Configuration for JWT.
|
| ASecurityConfig.AJwtSecurityConfigurer |
Configuration for JWT.
|
| ASecurityConfig.AVersionSecurityConfigurer |
|
| ASecurityConfig.AVersionSecurityConfigurer |
|
| ASecurityConfig.AWebSecurityConfigurer |
Common configuration for HttpSecurity.
|
| ASecurityConfig.AWebSecurityConfigurer |
Common configuration for HttpSecurity.
|
| ASensiSourceConfig<I> |
|
| ASimpleFilteringDynamicAggregationPostProcessor<LeafType,OutputType> |
A convenience class to apply simple filtering to a dynamic aggregation post-processor.
|
| ASimpleFilteringMinimumLevelsPostProcessor<OutputType> |
A convenience class combining both simple filtering and minimum levels post-processor.
|
| ASimpleFilteringMinimumLevelsPostProcessor.SimplePrefetcher |
|
| ASourceConfig<I> |
|
| ASummaryCubeRestService |
|
| ATradeBasePublisher<I> |
Abstract publisher that commits to the TradeBase store
|
| AVegaPublisher<I> |
Abstract publisher for the Vega stores.
|
| AWeightedSensitivitiesAggregatesMap<T> |
Create a multidimensional array of aggregated weighted sensitivities.
|
| BackTestingLookbackContextVal |
|
| BackTestingLookbackTranslator |
|
| BatchEventProcessExecutor |
Implementation of workflow process executor with batch capabilities.
|
| BatchWorkflowConfig |
Special Workflow configuration to activate batch processing for workflow executor supporting it.
|
| BookHierarchyBuilder |
|
| BookHierarchyListener |
|
| BookNodeBuilder |
|
| BookNodeTreeFilter |
|
| BookParentChildDAO |
The BookParentChildDAO service is the main way for the Parent Child Service to access
and change parent child data directly from the datastore.
|
| BookParentChildNode |
The BookParentChildNode is an instance of ParentChildNode which provides
a business model for use throughout the parent child service. |
| BookParentChildWhatIfSubmitter |
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.
|
| BusinessDayFollowing |
Implementation of the "following" business day convention
|
| BusinessDayModifiedFollowing |
Implementation of the "modified following" business day convention
|
| BusinessDayModifiedPrevious |
Implementation of the "modified previous" business day convention
|
| BusinessDayNoAdjustment |
Implementation of the "no adjustment" business day convention
|
| BusinessDayPrevious |
Implementation of the "previous" business day convention
|
| CALookbackContextVal |
|
| CALookbackTranslator |
|
| CapitalSurcharge |
|
| CapitalSurchargeMultiplier |
|
| 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.
|
| CombinedMeasureBuilder |
Static methods for producing the descriptions of the post-processors for the Combined cube (SA+IMA+PL+IMADRC) measures.
|
| CommodityCurvatureCVR |
PostProcessor used to calculate the two branches of the Commodity Curvature CVR (paragraph 53(b)).
|
| CommodityCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the Commodity Curvature measures.
|
| CommodityCurvaturePublisher<I> |
|
| CommodityCurvatureRiskWeight |
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.
|
| CommodityCurvatureShockInterpolation |
|
| CommodityDeltaAggregatesMap |
Create a multidimensional array of Commodity Delta aggregated weighted sensitivities.
|
| CommodityDeltaCalculations |
Class used for Commodity delta calculations.
|
| CommodityDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the Commodity Delta measures.
|
| CommodityDeltaPublisher<I> |
Publisher for the Commodity Delta store.
|
| CommodityDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for Commodity Delta Risk Charge.
|
| CommodityDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Commodity Delta Risk Charge (or Euler Capital Allocation).
|
| CommodityDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the Commodity Delta Risk Position (or Euler Capital Allocation).
|
| CommodityDeltaRiskPositionCorrelations |
Retrieve rho correlations for Commodity Delta Risk Position.
|
| CommodityDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for Commodity Delta Risk Position.
|
| CommodityDeltaRiskWeight |
PostProcessor used to obtain the risk weight for commodity delta
|
| CommodityDeltaWeightedSensitivity |
Compute the weighted delta for commodity
|
| CommodityUtil |
Utility class for Commodity datastore look-ups.
|
| CommodityVegaAggregatesMap |
Create a multidimensional array of Commodity Vega aggregated weighted sensitivities.
|
| CommodityVegaCalculations |
Class used for Commodity Vega calculations.
|
| CommodityVegaMeasures |
Static methods for producing the descriptions of the post-processors for the Commodity Vega measures.
|
| CommodityVegaPublisher<I> |
Publisher for the Commodity Vega store.
|
| CommodityVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for Commodity Vega Risk Charge.
|
| CommodityVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| CommodityVegaRiskPosition |
PostProcessor used to calculate commodity vega risk position
|
| CommodityVegaRiskPositionCorrelations |
Retrieve rho correlations for Commodity Vega Risk Position.
|
| CommodityVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for Commodity Vega Risk Position.
|
| CommodityVegaRiskWeight |
PostProcessor used to obtain the risk weight for commodity vega
|
| CommodityVegaWeightedSensitivity |
|
| CompositeTopicConfig<I> |
|
| ConditionedDatastoreViewerServices |
|
| ConfigurationParametersUtils |
|
| ConfigurationSourceConfig |
|
| ConstrainedES |
Returns the sum of the underlying measure ES (capital) for all risk classes that are not "allin"
|
| ContextValueTranslatorHelper |
|
| CookieUtil |
Utility class to configure the cookies.
|
| CorrelationUtils |
|
| Covariance |
Computes the covariance of two vectors
|
| CSRBucketCorrelationsFileConstants |
|
| CSRBucketDescriptionFileConstants |
|
| CSRBucketFileConstants |
|
| CSRBucketRiskWeightsFileConstants |
|
| CSRCurvaturePublisher<I> |
|
| CSRDeltaPublisher<I> |
Publisher for the CSR Delta stores.
|
| CSRNSCurvatureCVR |
PostProcessor used to calculate the two branches of the CSR non-Sec Curvature CVR (paragraph 53(b)).
|
| CSRNSCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the CSR non-Sec Curvature measures.
|
| CSRNSCurvaturePublisher<I> |
|
| CSRNSCurvatureRiskWeight |
PostProcessor used to obtain the most punitive risk weight for CSR NS Curvature
|
| CSRNSCurvatureShockInterpolation |
|
| CSRNSDeltaAggregatesMap |
Create a multidimensional array of CSR Non Sec Delta aggregated weighted sensitivities.
|
| CSRNSDeltaCalculations |
Class used for CSR Non Sec delta calculations.
|
| CSRNSDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR non-Sec Delta measures.
|
| CSRNSDeltaPublisher<I> |
Publisher for the CSR non-Sec Delta store.
|
| CSRNSDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR non-Sec Delta Risk Charge.
|
| CSRNSDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the CSR non-Sec Delta Risk Charge (or Euler Capital Allocation).
|
| CSRNSDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the CSR non-Sec Delta Risk Position (or Euler Capital Allocation).
|
| CSRNSDeltaRiskPositionCorrelations |
Retrieve rho correlations for CSR Non-Sec Delta Risk Position.
|
| CSRNSDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR non-Sec Delta Risk Position.
|
| CSRNSDeltaRiskWeight |
PostProcessor used to obtain the risk weight for CSR NS Delta
|
| CSRNSDeltaWeightedSensitivity |
PostProcessor used to calculate the weighted sensitivity for CSR NS Delta
|
| CSRNSVegaAggregatesMap |
Create a multidimensional array of CSR Non Sec Vega aggregated weighted sensitivities.
|
| CSRNSVegaCalculations |
Class used for CSR Non Sec Vega calculations.
|
| CSRNSVegaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR non-Sec Vega measures.
|
| CSRNSVegaPublisher<I> |
Publisher for the CSR non-Sec Vega store.It extends the generic CSR Vega publisher and overrides the risk class and risk measure.
|
| CSRNSVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR non-Sec Vega Risk Charge.
|
| CSRNSVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| CSRNSVegaRiskPosition |
PostProcessor used to calculate the Risk Position for CSR NS Vega
|
| CSRNSVegaRiskPositionCorrelations |
Retrieve rho correlations for CSR Non-Sec Vega Risk Position.
|
| CSRNSVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR non-Sec Vega Risk Position.
|
| CSRNSVegaRiskWeight |
PostProcessor used to obtain the risk weight for CSR NS Vega
|
| CSRNSVegaWeightedSensitivity |
PostProcessor used to compute the weighted sensitivity for CSR NS
|
| CSRSecCtpCurvatureCVR |
PostProcessor used to calculate the two branches of the CSR Sec CTP Curvature CVR (paragraph 53(b)).
|
| CSRSecCTPCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Curvature measures.
|
| CSRSecCTPCurvaturePublisher<I> |
|
| CSRSecCtpCurvatureRiskWeight |
PostProcessor used to obtain the most punitive risk weight for CSR Sec CTP Curvature
|
| CSRSecCtpCurvatureShockInterpolation |
|
| CSRSecCtpDeltaAggregatesMap |
Create a multidimensional array of CSR Sec CTP Delta aggregated weighted sensitivities.
|
| CSRSecCTPDeltaCalculations |
Class used for CSR Sec CTP delta calculations.
|
| CSRSecCTPDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Delta measures.
|
| CSRSecCTPDeltaPublisher<I> |
Publisher for the CSR Sec CTP Delta publisher.
|
| CSRSecCtpDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR Sec CTP Delta Risk Charge.
|
| CSRSecCtpDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the CSR Sec CTP Delta Risk Charge (or Euler Capital Allocation).
|
| CSRSecCtpDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the CSR Sec CTP Delta Risk Position (or Euler Capital Allocation).
|
| CSRSecCtpDeltaRiskPositionCorrelations |
Retrieve rho correlations for CSR Sec CTP Delta Risk Position.
|
| CSRSecCtpDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR Sec CTP Delta Risk Position.
|
| CSRSecCtpDeltaRiskWeight |
PostProcessor used to obtain the risk weight for CSR Sec CTP Delta
|
| CSRSecCtpDeltaWeightedSensitivity |
PostProcessor used to calculate the weighted sensitivity for CSR Sec CTP Delta
|
| CSRSecCtpVegaAggregatesMap |
Create a multidimensional array of CSR Sec CTP Vega aggregated weighted sensitivities.
|
| CSRSecCTPVegaCalculations |
Class used for CSR Sec CTP Vega calculations.
|
| CSRSecCTPVegaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec CTP Vega measures.
|
| CSRSecCTPVegaPublisher<I> |
Publisher for the CSR Sec CTP Vega store.
|
| CSRSecCtpVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR Sec CTP Vega Risk Charge.
|
| CSRSecCtpVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| CSRSecCtpVegaRiskPosition |
PostProcessor used to calculate the Risk Position for CSR Sec CTP Vega
|
| CSRSecCtpVegaRiskPositionCorrelations |
Retrieve rho correlations for CSR Sec CTP Vega Risk Position.
|
| CSRSecCtpVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR Sec CTP Vega Risk Position.
|
| CSRSecCtpVegaRiskWeight |
PostProcessor used to obtain the risk weight for CSR Sec CTP Vega
|
| CSRSecCtpVegaWeightedSensitivity |
PostProcessor used to compute the weighted sensitivity for CSR Sec CTP Vega
|
| CSRSecNonCTPCurvatureCVR |
PostProcessor used to calculate the two branches of the CSR Sec non-CTP Curvature CVR (paragraph 53(b)).
|
| CSRSecNonCTPCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Curvature measures.
|
| CSRSecNonCTPCurvaturePublisher<I> |
|
| CSRSecNonCTPCurvatureRiskWeight |
PostProcessor used to obtain the most punitive risk weight for CSR Sec Non-CTP Curvature
|
| CSRSecNonCTPCurvatureShockInterpolation |
|
| CSRSecNonCTPDeltaAggregatesMap |
Create a multidimensional array of CSR Sec Non CTP Delta aggregated weighted sensitivities.
|
| CSRSecNonCTPDeltaCalculations |
Class used for CSR Sec Non CTP delta calculations.
|
| CSRSecNonCTPDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Delta measures.
|
| CSRSecNonCTPDeltaPublisher<I> |
Publisher for the CSR Sec non-CTP Delta store.
|
| CSRSecNonCTPDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR Sec non-CTP Delta Risk Charge.
|
| CSRSecNonCTPDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the CSR Sec non-CTP Delta Risk Charge (or Euler Capital Allocation).
|
| CSRSecNonCTPDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the CSR Sec non-CTP Delta Risk Position (or Euler Capital Allocation).
|
| CSRSecNonCTPDeltaRiskPositionCorrelations |
Retrieve rho correlations for CSR Sec Non-CTP Delta Risk Position.
|
| CSRSecNonCTPDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR Sec non-CTP Delta Risk Position.
|
| CSRSecNonCTPDeltaRiskWeight |
PostProcessor used to obtain the risk weight for CSR Sec Non-CTP Delta
|
| CSRSecNonCTPDeltaWeightedSensitivity |
PostProcessor used to calculate the weighted sensitivity for CSR Sec Non-CTP Delta
|
| CSRSecNonCTPVegaAggregatesMap |
Create a multidimensional array of CSR Sec Non CTP Vega aggregated weighted sensitivities.
|
| CSRSecNonCTPVegaCalculations |
Class used for CSR Sec Non CTP Vega calculations.
|
| CSRSecNonCTPVegaMeasures |
Static methods for producing the descriptions of the post-processors for the CSR Sec Non-CTP Vega measures.
|
| CSRSecNonCTPVegaPublisher<I> |
Publisher for the CSR Sec non-CTP Vega store.
|
| CSRSecNonCTPVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for CSR Sec non-CTP Vega Risk Charge.
|
| CSRSecNonCTPVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| CSRSecNonCTPVegaRiskPosition |
PostProcessor used to calculate the Risk Position for CSR Sec Non-CTP Vega
|
| CSRSecNonCTPVegaRiskPositionCorrelations |
Retrieve rho correlations for CSR Sec Non CTP Vega Risk Position.
|
| CSRSecNonCTPVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for CSR Sec Non CTP Vega Risk Position.
|
| CSRSecNonCTPVegaRiskWeight |
PostProcessor used to obtain the risk weight for CSR Sec Non-CTP Vega
|
| CSRSecNonCTPVegaWeightedSensitivity |
PostProcessor used to compute the weighted sensitivity for CSR Sec non-CTP Vega
|
| CSRStoreTuplePublisher<I> |
|
| CSRVegaPublisher<I> |
Publisher for the CSR Vega stores.
|
| CurvatureCalculations |
|
| CurvatureDeltaWeightedSensitivity |
|
| CurvatureMeasures |
|
| CurvatureRiskPosition |
|
| CurvatureRiskPositionMax |
Chooses between the CVR Up and CVR Down values; based on the CVR Scenario.
|
| CurvatureRiskPositionScenario |
Returns the selected Risk Position Scenario ("up" or "down")
|
| CurvatureSb |
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
|
| CurvatureToDeltaShift |
Returns the delta sensitivities for its corresponding curvature location.
|
| CustomActivePivotConfig |
|
| DataAvailability |
Implementation of IDataAvailability which only returns a single measure, after checking that the data is
available to evaluate this measure. |
| DataAvailability.Factory |
|
| DataLoadControllerConfig |
Configure a data load controller.
|
| DataLoadControllerFileConfig |
Configuration for turning different types of scope (e.g.
|
| DataLoadControllerSourceConfigs |
Beans for IDataLoadController sources.
|
| DatastoreConfig |
Spring configuration of the Datastore.
|
| DatastoreConfig |
Spring configuration of the Datastore.
|
| DatastoreConfig.ConcreteDatastoreConfig |
Datastore configuration that enables an actual Datastore.
|
| DatastoreConfig.DummyDatastoreConfig |
Datastore configuration that with no actual Datastore creation (which is fine for a "query" node).
|
| DatastoreCustomisations |
Datastore modifications to be performed on the default Accelerator stores.
|
| DatastoreCustomisationsConfig |
A configuration class to set the datastore modifications to be performed in the project.
|
| DatastoreLookupOrganisationHierarchyMap |
|
| DatastoreLookupOrganisationHierarchyMap.Factory |
|
| DatastoreRestStoresSecurityConfig |
|
| DatedOrgHierarchyMap<OutputType> |
Preserve the Book/Desk and Legal Entity hierarchies when loading historical values.
|
| DatedOrgHierarchyMap.NamedPrefetcher<CONTEXT> |
|
| DayCountA360 |
Implementation of the A/360 daycount convention.
|
| DayCountA365Fixed |
Implementation of the A/365 (Fixed) day count convention.
|
| DayCountActualActualISDA |
Implementation of the Actual/Actual (ISDA) day count convention.
|
| DefaultRiskCharge |
This PP calculates the Default Risk Charge.
|
| DefaultRiskChargeTuplePublisher<I> |
Tuple publisher that handles the Standardised Approach Default Risk Charge publishing.
|
| DeltaDoubleSumsExpand |
|
| DeskModelSwitchRestService |
|
| DeskModelSwitchSubmissionDTO |
|
| DeskModelSwitchWhatIfDefinition |
|
| DifferentialSum |
Sums differential underlying measures.
|
| DifferentiationStepSizeContextVal |
|
| DifferentiationStepSizeMetadata |
|
| DifferentiationStepSizeTranslator |
|
| DistributedDSViewerWhatIfRestfulService |
The UndistributedDSViewerWhatIfRestfulService is the restful layer on top of DSViewerWhatIfService
and uses the WhatIfDistributedQueryUtils for the Meta dataAPI in a distributed frtb system. |
| DistributedFirstUnderlying<OutputType> |
Returns the first underlying measure for which one of the applications in the cluster has data.
|
| DistributionAwareQueryRunner |
|
| DistributionAwareQueryRunner.Factory |
|
| DistributionConfig |
Spring Bean "distributionConfig" containing the configuration for distribution of the FRTB cubes.
|
| DistributionConfig.IDistributionConfigAware |
|
| DoubleAdd |
Computes the sum of two double-typed values.
|
| DoubleArrayFormatter |
A formatter used to display all the elements in a double array/vector.
|
| DoubleArrayFormatter |
A formatter used to display all the elements in a double array/vector.
|
| DoubleDiff |
Compute the difference between two double-typed values.
|
| DoubleDivision |
Computes the division of two doubles
|
| DoubleFiltering |
Extension of AFilteringPostProcessor for doubles.
|
| DoubleVectorDisplayAll |
|
| DRCFileConstants |
|
| DRCJTDCalculations |
|
| DRCLinearIMABaseTuplePublisher<I> |
Tuple publisher that handles the IMA Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.
|
| DRCMeasureOverride |
Postprocessor that allows the overwriting of measures used in DRC calculations.
|
| DRCMeasures |
|
| DRCNonLinearIMABaseTuplePublisher<I> |
Tuple publisher that handles part of the IMA Base Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.
|
| DRCNonLinearRecoveryFileConstants |
|
| DRCNSMeasures |
|
| DrcScenario |
DrcScenario post processor returns the vector of profit and loss values for
the selected locations.
|
| DRCScenarioAnalysisDimension |
On this analysis dimension we expose the DRC Scenario
|
| DRCScenarioCountFileConstants |
|
| DRCScenarioCountTuplePublisher<I> |
Tuple publisher that handles part of the IMA Base Default Risk Charge publishing for nonlinear trade/obligor/seniority groups.
|
| DRCSecNonCTPMeasures |
|
| DrillInConfig |
|
| DrillInConstants |
|
| DrillInMdxDTO |
|
| DrillInRestConfig |
|
| DrillInRestfulService |
|
| DrillInService |
|
| DSVDatastoreEditDTO |
|
| DSViewerDistributedWhatIfSubmitter |
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.
|
| DSViewerServiceConfig |
|
| DSViewerWhatIfDefinitionUtil |
|
| DSViewerWhatIfException |
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.
|
| DSViewerWhatIfManagerService |
|
| DSViewerWhatIfParser |
|
| DSViewerWhatIfService |
The DSViewerWhatIfService is the main entry way and API for the submission part of DSViewer back end
service.
|
| DSViewerWhatIfServicesConfig |
Configuration class does not expose REST services for Datastore.
|
| DSViewerWhatIfSubmitter |
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.
|
| EmpiricalDistributionFunction |
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]
|
| EquityCurvatureCVR |
PostProcessor used to calculate the two branches of the Equity Curvature CVR (paragraph 53(b)).
|
| EquityCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the Equity Curvature measures.
|
| EquityCurvaturePublisher<I> |
|
| EquityCurvatureRiskPosition |
|
| EquityCurvatureRiskWeight |
PostProcessor used to obtain the risk weight for equity curvature
|
| EquityCurvatureShockInterpolation |
|
| EquityDeltaAggregatesMap |
Create a multidimensional array of Equity Delta aggregated weighted sensitivities.
|
| EquityDeltaCalculations |
Class used for Equity Delta Risk Position and Risk Charge calculations.
|
| EquityDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the Equity Delta measures.
|
| EquityDeltaPublisher<I> |
Publisher for the Equity Delta store.
|
| EquityDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for Equity Delta Risk Charge.
|
| EquityDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Delta Risk Charge (or Euler Capital Allocation).
|
| EquityDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the Equity Delta Risk Position (or Euler Capital Allocation).
|
| EquityDeltaRiskPositionCorrelations |
Retrieve rho correlations for Equity Delta Risk Position.
|
| EquityDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for Equity Delta Risk Position.
|
| EquityDeltaRiskWeight |
PostProcessor used to obtain the risk weight for equity delta
|
| EquityDeltaWeightedSensitivity |
PostProcessor used to calculate the equity delta sensitivities
|
| EquityVegaAggregatesMap |
Create a multidimensional array of Equity Vega aggregated weighted sensitivities.
|
| EquityVegaCalculations |
Class used for Equity Vega Risk Position and Risk Charge calculations.
|
| EquityVegaMeasures |
Static methods for producing the descriptions of the post-processors for the Equity Vega measures.
|
| EquityVegaPublisher<I> |
Publisher for the Equity Vega store.
|
| EquityVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for Equity Vega Risk Charge.
|
| EquityVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| EquityVegaRiskPosition |
Applies the rho correlation to the double sums to calculate the Equity Vega Risk Position (or Euler Capital Allocation).
|
| EquityVegaRiskPositionCorrelations |
Retrieve rho correlations for Equity Vega Risk Position.
|
| EquityVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for Equity Vega Risk Position.
|
| EquityVegaRiskWeight |
PostProcessor used to obtain the risk weight for equity vega
|
| EquityVegaWeightedSensitivity |
|
| ES |
Computes the Expected Shortfall (ES) of the underlying vector.
|
| ESContextVal |
|
| ESCurrentRatio |
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.
|
| ESForRiskCapital |
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
|
| ESForRiskCapitalEuler |
|
| ESLHAdjEuler |
|
| ESStressPeriod |
Post processor that implements a sliding window strategy for extracting the
loss.
|
| ESStressPeriodResultType |
|
| ESStressPeriodSlidingWindowContextVal |
|
| ESStressPeriodSlidingWindowTranslator |
|
| EsToolActivePivotBranchPermissionsManagerConfig |
|
| EsToolConfig |
|
| EsToolDatastoreRestStoresSecurityConfig |
|
| EsToolDatastoreServiceConfig |
|
| EulerMeasures |
Utility class to help build the incremental measures; also used for the numerical Euler measures.
|
| EulerMeasures.EulerMeasuresChainFactory |
|
| EulerMeasures.EulerRiskMeasuresChainFactory |
|
| EulerMeasures.PostProcessorDescriptionAggregatesMapRiskChargeFactory |
|
| EulerMeasures.PostProcessorDescriptionAggregatesMapRiskPositionFactory |
|
| EulerMeasures.PostProcessorDescriptionRiskChargeDoubleSumsFactory |
|
| EulerMeasures.PostProcessorDescriptionRiskChargeEulerFactory |
|
| EulerMeasures.PostProcessorDescriptionRiskPositionDoubleSumsFactory |
|
| EulerMeasures.PostProcessorDescriptionRiskPositionEulerFactory |
|
| ExpandRiskFactor |
Maps the risk factor level into it's constituent levels.
|
| FRTBActiveMonitorAppConfig |
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, ...
|
| FRTBActiveMonitorApplication |
|
| FRTBActiveMonitorConfig |
ActiveMonitor application configuration.
|
| FRTBActiveMonitorDatasourceBuilder |
This is an example of how to implement a custom data source for ActiveMonitor databases.
|
| FRTBApplication |
SpringBoot starter class for ActivePivot
|
| FRTBConfig |
Spring configuration of the ActivePivot FRTB application.
|
| FrtbConfigProperties |
|
| FRTBConstants |
Class from various frtb related constants
|
| FRTBCorsFilterConfig |
|
| FRTBCorsFilterConfig |
|
| FRTBCustomActiveViamRestServicesConfig |
A Spring configuration which imports all the REST services (Pivot, JWT, Content service, Datastore).
|
| FRTBDataLoadConstants |
Class for various frtb data loading related constants
|
| FRTBDefaultCellPropertiesHandler |
|
| FRTBEnvConstants |
Class from various frtb environment related constants
|
| FrtbEsToolRestService |
Implementation of frtb ES tool rest services
Url to access the services is pivot/rest/v1/frtbestool
|
| FRTBFilter |
|
| FRTBI18nConfig |
Initialize the cube formatters
|
| FRTBParameterConfig |
|
| FRTBParameters |
|
| FRTBParameterSetPriorities |
|
| FRTBParameterSets |
|
| FRTBParameterSetSelector |
Determine the best as-of date and parameter set combination.
|
| FRTBParametersLookup |
|
| FRTBParametersUtils |
Utility class for retrieving FRTB Parameters from FRTBParameters Store
|
| FRTBParameterValueColumnCalculator |
|
| FRTBParameterValueParser |
|
| FRTBPostProcessorConfig |
Spring configuration of the ActivePivot FRTB application.
|
| FRTBPostProcessorConfig.SingletonErrorHandlerWrapper |
|
| FRTBResourcesConfig |
A Spring configuration which loads various configuration files from the resources
|
| FRTBRestServicesConfig |
Configuration class that defines custom rest services.
|
| FRTBTaskAssigner |
FRTB task assigner.
|
| FRTBTupleKey |
|
| FRTBWhatIfSecurityManager |
|
| FRTBWorkflowConfig |
|
| FullAutoCommitTuplePublisher<I> |
Extension of the AutoCommitTuplePublisher that opens a transaction on all stores.
|
| FxCurvatureCVR |
PostProcessor used to calculate the two branches of the FX Curvature CVR (paragraph 53(b)).
|
| FxCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the FX Curvature measures.
|
| FXCurvaturePublisher<I> |
|
| FXCurvatureRiskWeight |
PostProcessor used to obtain the risk weight for fx curvature
|
| FXDeltaAggregatesMap |
Create a multidimensional array of FX Delta aggregated weighted sensitivities.
|
| FXDeltaCalculations |
Class used for FX Delta calculations.
|
| FxDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the FX Delta measures.
|
| FXDeltaPublisher<I> |
Publisher for the FX Delta store.
|
| FxDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for FX Delta Risk Charge.
|
| FxDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the GIRR Delta Risk Charge (or Euler Capital Allocation).
|
| FxDeltaRiskPosition |
|
| FXDeltaRiskPositionCorrelations |
Retrieve rho correlations for FX Delta Risk Position.
|
| FXDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for FX Delta Risk Position.
|
| FXDeltaRiskWeight |
PostProcessor used to obtain the risk weight for fx delta
|
| FXDeltaSensitivity |
|
| FxDeltaWeightedSensitivity |
Compute the weighted sensitivities for FX delta
|
| FXExpandRiskFactor |
|
| FxMajorCurrencyAdjustmentUtil |
Utility to check if a FX pair qualifies for an adjustment in the weighting.
|
| FxRatesServiceConfig |
|
| FXShockInterpolation |
|
| FXVegaAggregatesMap |
Create a multidimensional array of FX Vega aggregated weighted sensitivities.
|
| FXVegaCalculations |
Class used for FX Vega calculations.
|
| FxVegaMeasures |
Static methods for producing the descriptions of the post-processors for the FX Vega measures.
|
| FXVegaPublisher<I> |
Publisher for the FX Vega store.
|
| FxVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for FX Vega Risk Charge.
|
| FxVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the Equity Vega Risk Charge (or Euler Capital Allocation).
|
| FxVegaRiskPosition |
|
| FXVegaRiskPositionCorrelations |
Retrieve rho correlations for CSR Non-Sec Vega Risk Position.
|
| FXVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for FX Vega Risk Position.
|
| FXVegaRiskWeight |
PostProcessor used to obtain the risk weight for fx vega
|
| FxVegaWeightedSensitivity |
|
| GammaCorrelationUtils |
Utility class for calculating the gamma correlation and misc method related to gamma correlations.
|
| GIRRCurvatureCVR |
PostProcessor used to calculate the two branches of the GIRR Curvature CVR (paragraph 53(b)).
|
| GIRRCurvatureMeasures |
Static methods for producing the descriptions of the post-processors for the GIRR Curvature measures.
|
| GIRRCurvaturePublisher<I> |
|
| GIRRCurvatureRiskWeight |
PostProcessor used to obtain the risk weight for girr curvature
|
| GIRRCurvatureShockInterpolation |
|
| GIRRDeltaAggregatesMap |
Create a multidimensional array of GIRR Delta aggregated weighted sensitivities.
|
| GIRRDeltaCalculations |
Class used for GIRR Delta Risk Position and Risk Charge calculations.
|
| GIRRDeltaMeasures |
Static methods for producing the descriptions of the post-processors for the GIRR Delta measures.
|
| GIRRDeltaMeasures.GIRRSensitivityMeasure |
|
| GIRRDeltaPublisher<I> |
Publisher for the GIRR Delta store.
|
| GIRRDeltaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for GIRR Delta Risk Charge.
|
| GIRRDeltaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the GIRR Delta Risk Charge (or Euler Capital Allocation).
|
| GIRRDeltaRiskPosition |
Applies the rho correlation to the double sums to calculate the GIRR Delta Risk Position (or Euler Capital Allocation).
|
| GIRRDeltaRiskPositionCorrelations |
Retrieve rho correlations for GIRR Delta Risk Position.
|
| GIRRDeltaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for GIRR Delta Risk Position.
|
| GIRRDeltaRiskWeight |
PostProcessor used to obtain the risk weights for girr delta
|
| GIRRDeltaSensitivitiesFiltered |
|
| GIRRDeltaVerticesRiskWeightExpand |
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
|
| GIRRDeltaWeightedSensitivity |
PostProcessor used to compute the weighted sensitivities
|
| GIRRMajorCurrencyAdjustmentUtil |
Utility which determines if GIRR major currency adjustment can be applied to a currency group.
|
| GIRRVegaAggregatesMap |
Create a multidimensional array of GIRR Vega aggregated weighted sensitivities.
|
| GIRRVegaCalculations |
Class used for GIRR Vega Calculations.
|
| GIRRVegaMeasures |
Static methods for producing the descriptions of the post-processors for the GIRR Vega measures.
|
| GIRRVegaPublisher<I> |
Publisher for the GIRR Vega store.
|
| GIRRVegaRiskChargeDoubleSums |
Calculates the double sums of the Risk Positions for GIRR Vega Risk Charge.
|
| GIRRVegaRiskChargeEuler |
Applies the gamma correlation to the double sums to calculate the GIRR Vega Risk Charge (or Euler Capital Allocation).
|
| GIRRVegaRiskPosition |
|
| GIRRVegaRiskPositionCorrelations |
Retrieve rho correlations for GIRR Vega Risk Position.
|
| GIRRVegaRiskPositionDoubleSums |
Calculates the double sums of the weighted sensitivities for GIRR Vega Risk Position.
|
| GIRRVegaRiskWeight |
PostProcessor used to obtain the risk weight for girr vega
|
| GIRRVegaSensitivitiesFiltered |
|
| GIRRVegaWeightedSensitivity |
|
| GrossJTD |
Calculates the Gross JTD for DRC non-Sec (paragraph 142) and DRC Sec non-CTP (paragraph 157)
|
| HierarchyBuilder<HB extends HierarchyBuilder<HB>> |
The HierarchyBuilder is an abstract class that provides a way to make
tuples to be stored in a hierarchy based datastore.
|
| I18nConfig |
Initialize the cube formatters
|
| IBackTestingLookbackContextVal |
Number of Days taken in account for P&L Attribution Test calculation
|
| IBaseTuplePublisher<I> |
|
| IBusinessDayCalendar |
Interface to determine if a date is a business day or a holiday.
|
| IBusinessDayConvention |
Interface used for rolling dates to get business days.
|
| ICALookbackContextVal |
Number of Days taken in account for CA IMCCavg and SESavg calculations
|
| ICsvSourceConfig<I> |
|
| ICubeExportRestService |
|
| IDataAvailability |
Interface to help choose between measures in a distributed environment.
|
| IDataAvailability.IAware |
|
| IDataAvailability.IFactory |
Factory interface designed to be injected into post-processors who need to use IDataAvailability. |
| IDatastorePublisher<I> |
|
| IDayCountConvention |
Interface used for calculating day counts.
|
| IDeskModelSwitchRestService |
|
| IDifferentiationStepSizeContextVal |
Context value for determining the step size for numerical differentiation.
|
| IDistributionAwareQueryRunner |
Run datastore queries for both data nodes and query nodes.
|
| IDistributionAwareQueryRunner.Aware |
|
| IDistributionAwareQueryRunner.Factory |
|
| IDrcMaturityConverterAware |
|
| IDrillInRestfulService |
|
| IDSViewerRestfulService |
Definition of REST API on ActivePivot Datastore.
|
| IDSViewerWhatIfSubmitter |
|
| IESContextVal |
|
| IESStressPeriodSlidingWindowContextVal |
|
| IFrtbEsToolRestService |
|
| IIMADRCLookbackContextVal |
Number of Days taken in account for IMADRCavg calculations
|
| IImaNbExceptionsContextVal |
|
| IInterpolator |
Interface for custom interpolators.
|
| IInterpolatorConfig |
Interpolator configuration interface, for use with Spring autowiring.
|
| IJdbcSourceConfig |
|
| ILookbackContextValue |
Number of Days to look back
|
| IMAAggregatedCapitalCharge |
|
| IMADatastoreConfig |
Spring configuration of the Internal Model Approach stores.
|
| IMADefaultRiskCharge |
This post-processor computes the IMADRC.
Formula is IMADRC=max(IMADRC Spot;IMADRCavg)
|
| IMADRCLookbackContextVal |
|
| IMADRCLookbackTranslator |
|
| IMADRCMeasure |
An enum for the all PL back-testing and IMA DRC measure names and their associated properties
|
| IMADRCMeasure.DRCEulerMeasure |
|
| IMADRCMeasure.DRCIncrementalMeasure |
|
| IMADRCMeasure.DRCMeasure |
|
| IMADRCMeasure.DRCReferenceMeasure |
|
| IMADRCMeasureBuilder |
Static methods for producing the descriptions of the measures and post-processors for the PL Cube measures.
|
| IMADRCSummaryCubeRestService |
|
| IMADRCSummaryMeasureBuilder |
Static methods for producing the descriptions of the measures and post-processors for the IMA DRC Summary Cube measures.
|
| IMAFilter |
Post-processor that allows to filter data based on the value
on a level in the input location.
|
| IMAMeasure |
An enum for the all IMA measure names and their associated properties
|
| IMAMeasure.IMABaseMeasure |
|
| IMAMeasure.IMAEulerMeasure |
|
| IMAMeasure.IMAIncrementalMeasure |
|
| IMAMeasure.IMAReferenceMeasure |
|
| IMAMeasureBuilder |
Static methods for producing the descriptions of the measures and post-processors for the IMA measures.
|
| ImaNbExceptionsContextVal |
|
| ImaNbExceptionsTranslator |
|
| IMAPLTuplePublisher<I> |
|
| IMARiskCharge |
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
|
| IMASummaryCubeRestService |
|
| IMASummaryFileConstants |
|
| IMASummaryMeasureBuilder |
Static methods for producing the descriptions of the measures and post-processors for the IMA Summary Cube measures.
|
| IMATradesFileConstants |
|
| IMaturityConverter |
Interface for custom maturity/date conversions.
|
| IMCC |
Computes the IMCC formula from the constraint and unconstrained ES.
|
| IMeasureBuilder |
Interface for the classes used to define postprocessors programmatically
|
| IncrementalMeasures |
Utility class to help build the incremental measures; also used for the numerical Euler measures.
|
| IncrementalMeasures.CurvatureIncrementalPostProcessorsFactory |
|
| IncrementalMeasures.IncrementalPostProcessorsFactory |
|
| IncrementalMeasures.IncrementalRiskPostProcessorsFactory |
|
| InitialActiveMonitorConfig |
The initial ActiveMonitor configuration
|
| InitialDataLoadConfig |
Configure the initial data load for the IDataLoadController, which takes place at application startup.
|
| InitialMonitorLoadingCondition |
|
| InitialRepositoryConfig |
The initial repository configuration.
|
| InMemoryUserDetailsManagerBuilder |
An In-memory UserDetailsService builder which can be used without
AuthenticationManagerBuilder contrary to InMemoryUserDetailsManagerConfigurer.
|
| InMemoryUserDetailsManagerBuilder |
An In-memory UserDetailsService builder which can be used without
AuthenticationManagerBuilder contrary to InMemoryUserDetailsManagerConfigurer.
|
| IntegerArrayFormatter |
A formatter used to display all the elements in a integer array/vector.
|
| IntegerArrayFormatter |
A formatter used to display all the elements in a integer array/vector.
|
| InterpolationUtils |
|
| InterpolatorConfig |
A configuration class to set the interpolator to be used throughout the project.
|
| IOrganisationHierarchyMap |
Define a mapping from organisation hierarchies to books and legal entities (or any hierarchy to any level).
|
| IOrganisationHierarchyMap.Aware |
|
| IOrganisationHierarchyMap.Factory |
|
| IParameterRetriever |
Run datastore queries and automatically select the best fit for the as-of date and parameter set.
|
| IParameterRetrieverAware |
|
| IParameterSetPriorities |
Helper to determine the best parameter set
|
| 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
|
| IPLALookbackContextVal |
Number of Days taken in account for P&L Attribution Test calculation
|
| IProRataHierarchyContextVal |
|
| IProRataLeafLevelContextVal |
|
| IReferenceLevelContextVal |
|
| ISaSbmMaturityConverterAware |
|
| ISourceConfig<I,E> |
Extension of ISource for use with the data load controller.
|
| ITenorConverter |
Interface used for converting tenors to dates.
|
| ITradeRescaleRestService |
|
| ITuplePublisherDlcHealthEventHandler |
|
| ITuplePublisherDlcHealthEventHandler.ITuplePublisherDlcHealthEvent |
|
| IUnfilteredParameterRetriever |
Run datastore queries and reutrn results for all as-of dates and parameter sets.
|
| JsonDataLoader |
|
| JsonDataLoaderConfig |
|
| KeyObjects |
A class that contains multiple complex key objects used for mapping
the rows of a database to their key fields.
|
| KolmogorovSmirnovMetric |
Computes the Kolmogorov-Smirnov test metric of two empirical distribution vector
|
| KpiMonitorBuilder |
Syntactic shortcut builder to create standard monitors over KPIs with MDX queries.
|
| LegacyMaturityConverter |
Implementation of a maturity converter using the Actual/360 convention and with no support for business days.
|
| LegacyTenorConverter |
|
| LegalEntityHierarchyBuilder |
The LegalEntityHierarchyBuilder is an instance of HierarchyBuilder that provides a way to make
legal entity node tuples to be stored in a hierarchy datastore.
|
| LegalEntityHierarchyListener |
|
| LegalEntityNodeBuilder |
The LegalEntityNodeBuilder is an instance of ParentChildNodeBuilder that provides a way to make
legal entity nodes. |
| LegalEntityParentChildNode |
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.
|
| LEstimator |
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.
|
| LGD |
Calculates the LGD given the as of date and the instrument type.
|
| LHAdjESSquared |
|
| LinearInterpolator |
An interpolator that takes a list of target vertices.
|
| LiquidityHorizonCoefficient |
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.
|
| LiquidityHorizonGapFiller |
|
| LiquidityHorizonValue |
Returns the value of the member in the liquidity horizon level
for the current location
|
| LocalContentServiceConfig |
Spring configuration of the Content Service backed by a local Content Server.
|
| LocalContentServiceConfig |
Spring configuration of the Content Service.
|
| LocalDateFormatter |
|
| LocalDateFormatter |
|
| LocalDateLiteralType |
|
| LocalDateLiteralType |
|
| LocalDateParser |
|
| LocalDateParser |
|
| LoggingDlcEventHandler |
|
| LookbackExpand |
Expand the looked back underlying measure along the lookback analysis hierarchy.
|
| LookbackHierarchy |
Copy the as of dates to an analysis hierarchy in order to expand the lookback values.
|
| LookbackIndex |
Index of values along the lookback analysis hierarchy.
|
| MaturityConverterConfig |
|
| MaturityScalingFactor |
Calculates the JTD scaling factor given the as of date and the trade maturity (paragraph 146).
|
| MdxEventFormatter |
An utility which help to retrieve Mdx based information from a monitor and an event.
|
| MdxMessagingConfiguration |
|
| MeanLookback |
Calculate the mean (average) over past dates.
|
| Measure |
|
| Measure.CurvatureMeasure |
|
| Measure.DRCMeasure |
|
| Measure.EulerMeasure |
|
| Measure.IncrementalMeasure |
|
| Measure.NotionalMeasure |
|
| Measure.PVMeasure |
|
| Measure.RiskMeasure |
|
| Measure.RiskWeightMeasure |
|
| Measure.RRAOMeasure |
|
| Measure.SensitivityMeasure |
|
| MeasuresDocumentationResourceServerConfig |
|
| MeasureUtils |
|
| MergingDuplicateKeyHandler |
Merge tuples with duplicate keys.
|
| MonitorConfig |
|
| MonitorEventWorkflowUnit |
|
| MonitorWorkflowUnit |
|
| NativeMeasureBuilders |
|
| NativeMeasureBuilders.NativeMeasureBuilder |
|
| NegativeValue |
Multiplies the underlying measure by -1 and returns a double-typed value.
|
| NetJTD |
Calculates the Net JTD (paragraph 150)
|
| NetJTDNetty |
Calculates the Net JTD (paragraph 150)
|
| NetJTDWeightings |
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)
|
| NonAggregateFunction |
Aggregation function that doesn't expect to aggregate values; throws an exception if an aggregation is attempted.
|
| NullPostProcessor |
This post-processor does not pre-fetch or return any values.
|
| ObjectArrayFormatter |
A formatter used to display all the elements in a object array/vector.
|
| ObjectArrayWrapper |
|
| Omega |
Computes Omega formula from the constraint and unconstrained ES.
|
| OptionalityColumnCalculator |
Calculator for Standardised Approach market data
|
| Outlier |
Identify outlier/exception points.
|
| OutlierDatesLookback |
A vector of dates where outliers/exceptions occurred.
|
| ParametersDatastoreConfig |
Spring configuration of the Parameter stores.
|
| ParameterSetDatastoreConfig |
Spring configuration of the Parameter Sets store.
|
| ParameterSetUtils |
Utility class for generating parameter keys.
|
| ParameterWorkflowUnit |
Unit managing workflows changing parameter workflows.
|
| ParentChildNode<PCN extends ParentChildNode<?>> |
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.
|
| ParentChildNodeBuilder<PCN,HB extends ParentChildNodeBuilder<PCN,HB>> |
The ParentChildNodeBuilder is an abstract class that provides a way to make node objects that have
a parent child structure.
|
| ParentChildNodeTreeFilter<Node extends ParentChildNode<?>> |
The interface for node tree filters.
|
| ParentChildRestfulService |
|
| ParentChildService |
The ParentChildService is the main entry way and API for the entire Parent Child back end
service.
|
| ParentChildServiceConfig |
The beans defined here provide various services for the Parent Child
Widget to save and make changes to pre-existing hierarchies
in the datastore.
|
| ParentChildWhatIfException |
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.
|
| ParentHierarchyListener<PCN extends ParentChildNode<PCN>,HB extends HierarchyBuilder<HB>> |
Listen for changes to a ParentChild store and builds up a corresponding Hierarchy store.
|
| PartitionedFormula<OutputType> |
|
| PLALookbackContextVal |
|
| PLALookbackTranslator |
|
| PLMeasureBuilder |
Produces the descriptions of the measures and post-processors for the PL Cube measures.
|
| PLSummaryMeasureBuilder |
Produces the descriptions of the measures and post-processors for the PL Summary Cube measures.
|
| PnLES |
|
| PnLVar |
|
| PostProcessorLevelMapping |
|
| PostProcessorProperties |
Interface used to define constants for programmatically loading postprocessor properties.
|
| ProRata |
This post-processor calculates the Pro-Rata Capital Allocation.
|
| ProRataHierarchyContextVal |
|
| ProRataHierarchyTranslator |
|
| ProRataLeafLevelContextVal |
|
| ProRataLeafLevelTranslator |
|
| PublisherContext |
Object that holds common objects used by a publisher.
|
| PublisherDataStructures |
Object that holds the data structures used in vectorisation, interpolation and tuple creation.
|
| PublisherInterpolationValues |
Object that holds all required values for vectorisation and interpolation within the Publisher classes.
|
| PublisherStoreIndexes |
Object that holds relevant indexes for an FRTB tuple.
|
| PublisherUtils |
Utils for publishers.
|
| QFSFormatter |
Simple log record formatter that logs the user authenticated
with the current thread, and the name of that thread.
|
| QueryCacheConstants |
|
| RankVector |
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]
|
| ReferenceLevelChoice |
Choose a value at the current level based on the values at the netting level.
|
| ReferenceLevelContextVal |
|
| ReferenceLevelLocationShift |
Evaluate the underlying measure at the reference level.
|
| ReferenceLevelTranslator |
|
| ReferenceLevelUtils |
Utility methods and classes for shifting the location to the eference level; stepping up to an ancestor level.
|
| RemoveTuplesDSViewerDefinition |
|
| RestServicesConfig |
Configuration class that defines custom rest services.
|
| RhoUtils |
Utility class for rho constants and calculations.
|
| RiskCharge |
Generic PostProcessor used to calculate the risk charge for various risk classes
|
| RiskChargeCalculations |
|
| RiskClassColumnCalculator |
Convert the CSV file Risk Class into a canonical format (as in FRTBConstants). |
| RiskClassTuplePublisher<I> |
TuplePublisher that handles the publishing of a risk measure specific tuple from the source files to all the relevant stores.
|
| RiskFactorColumnCalculator |
Column calculator that builds the Risk Factor from multiple fields.
|
| RiskFactorPublisher |
Publisher for the MarketDataDescription store.
|
| RiskMeasureAwareFilter |
Provides Risk Measure only aware filter while RiskTypeAwareFilter filters by both Risk Class and Risk Measure.
|
| RiskPosition |
Calculate the Risk Position with linear time complexity
using the weighted sensitivity correlations (and aggregations map).
|
| RiskTypeAwareFilter |
Filters the contribution of the children of the current location based on the appropriate risk class and measure.
|
| RiskTypeAwareFilterVector |
Filters the contribution of the children of the current location based on the appropriate risk class and measure.
|
| RiskWeightedAssets |
|
| RRAOMeasures |
|
| RRAOWeightedNotional |
|
| SADatastoreConfig |
Spring configuration of the Standardised Approach stores.
|
| SAMeasureBuilder |
Static methods for producing the descriptions of the post-processors for the SBM measures.
|
| SAMeasureBuilder.CurvatureFullChainFactory |
|
| SAMeasureBuilder.CurvatureRiskChainFactory |
|
| SAMeasureBuilder.FullChainFactory |
|
| SAMeasureBuilder.RiskChainFactory |
|
| SARiskChargeAggregatedPerPLAZone |
|
| SbmCommonFileConstants |
|
| SbmCurvatureFileConstants |
|
| SbmDeltaFileConstants |
|
| SbmVegaFileConstants |
|
| ScaledGrossJTD |
Calculates the Scaled Gross JTD
|
| ScaledVectorValue |
Return a (scaled) single value from an IVector.
|
| ScenariosExpand |
Expand the values of the PnL vector along the 'scenario' analysis hierarchy.
|
| SecurityConfig |
Spring configuration fragment for security.
|
| SecurityConfig |
Spring configuration fragment for security.
|
| SecurityConfig.ActivePivotSecurityConfigurer |
|
| SecurityConfig.ActivePivotSecurityConfigurer |
|
| SecurityConfig.ContentServerSecurityConfigurer |
Only required if the content service is exposed.
|
| SecurityConfig.ContentServerSecurityConfigurer |
Only required if the content service is exposed.
|
| SecurityConfig.JwtSecurityConfigurer |
Only required if the content service is exposed.
|
| SecurityConfig.JwtSecurityConfigurer |
Only required if the content service is exposed.
|
| SecurityConfig.MRDInMemoryDownloadLinkConsumerSecurityConfigurer |
Make sure the InMemoryDownloadLinkConsumerRestServicesConfig REST API is available without authentication.
|
| SecurityConfig.VersionSecurityConfig |
|
| SecurityConfig.VersionSecurityConfig |
|
| SensiSourceConfig |
Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying
the frtb.properties file.
|
| SensitivityCalculations |
|
| SES |
|
| SES.UnderlyingMeasuresPrefetcher |
|
| SESEuler |
|
| ShockInterpolationUtils |
|
| SimpleCsvSourceConfig<I> |
|
| SimpleDataAvailability |
|
| SimpleDataAvailability.Factory |
|
| SimpleIntegerMath |
|
| SimpleJdbcSourceConfig |
|
| SimpleMath |
|
| SimpleMaturityConverter |
Implementation of a maturity converter using fixed day count convention and tenor conversion
(does not include support for support business day convention or calendar).
|
| SimpleSourceConfig<I,E> |
|
| SimpleSourceConfig.ITopicConfig<I> |
A Message Channel Factory for a topic.
|
| SimpleTenorConverter |
|
| SourceConfig |
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 |
Spring configuration of the FRTB Application services.
The parameters of the FRTB Services can be quickly changed by modifying
the frtb.properties file.
|
| SourceTopicAliases<I> |
|
| SparseVectorCommitTimeUpdater |
Listen for changes to a specified datastore and it's field.
|
| SpringOncePerRequestCorsFilter |
Inspired by the OncePerRequestFilter to make sure that CORS headers are applied once only.
|
| SqrtLH |
Returns the square root when looking across
liquidity horizons (e.g.
|
| StandardDeviation |
Computes the standard deviation of a vector
|
| StandardDeviationLookback |
Calculate the standard deviation (square root of variance) over past dates. |
| StaticDataPublisher |
Publisher that inserts all tuples into the given store.
|
| StaticResourcesHandler |
|
| StoreFieldNames |
|
| StoreNames |
|
| StoreUtils |
|
| SumIntegerLookback |
Calculate the (integer) sum over past dates.
|
| TailVaROperator |
TVaROperator
A formula post processor for calculation of VaR
using a vector of PnL evaluated on various scenarios.
|
| TempLikeConditionFactory |
Custom code that needs to be supported via the native LikeConditionFactory or another plugin key in the future.
|
| TopicConfig<I> |
|
| TradeAttributesFileConstants |
|
| TradeDatesComparator |
|
| TradeDuplicateWhatIfDefinition |
|
| TradeRescaleDTO |
|
| TradeRescaleRestService |
|
| TradeRescaleWhatIfDefinition |
|
| TradeScaleDTO |
|
| TradesTuplePublisher<I> |
Tuple publisher that handles the publishing into the Books, TradeMapping, TradeBase and SATradeDescription stores.
|
| TuplePublisherDlcHealthEventHandler |
|
| TuplePublisherDlcPublish |
|
| TuplePublisherDlcTuplesAdded |
|
| UnconstrainedES |
Returns the sum of the underlying measure ES (capital) for the "allin" risk class
|
| UnderlyingColumnCalculator |
Calculator for Standardised Approach market data
|
| UnderlyingFxCcyColumnCalculator |
Calculator for Standardised Approach market data
|
| UndistributedDSViewerWhatIfRestfulService |
|
| UpdateDistributeTuplesDSViewerDefinition |
|
| UpdateParameterWorkflowUnit |
|
| UpdateTuplesDSViewerDefinition |
|
| VaR |
Computes the Value at Risk (VaR) of the underlying vector.
|
| VarianceLookback |
Calculate the variance (mean of square minus square of mean) over past dates.
|
| VarPLScenarioExpand |
Expand the VaR P&L vector along the Scenario analysis hierarchy.
|
| VarSlidingWindow |
Post Processor that evaluates VAR through a sliding window.
|
| VarSlidingWindowNaive |
Post Processor that evaluates VAR through a sliding window.
|
| VectorDiff |
Compute the difference between two vectors containing double-typed values.
|
| VectorFiltering |
Extension of AFilteringPostProcessor for IVectors of doubles
|
| VectoriseLookback |
Create a vector over past dates.
|
| VectorStream2Position |
Cumulative measure along a time axis for IVectors
|
| VectorSubtractionOperator |
|
| VegaCalculations |
Class for computing vega calculations.
|
| VegaDoubleSumsExpand |
|
| VegaExpand |
|
| VerticesExpand |
|
| WebAppInitializer |
Initializer of the Web Application.
|
| WeightedNetJTD |
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).
|
| WeightedSensitivity<T> |
Abstract class for the Weighted Sensitivity PostProcessors.
|
| WeightedToShort |
Calculates the Weighted to Short ratio (paragraph 154c)
|
| WhatIfConfig |
|
| WhatIfRestConfig |
|