Package com.activeviam.risk.core.calc
Interface IWeightedTailMeasureCalc
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- All Known Implementing Classes:
WeightedTailMeasureCalc
public interface IWeightedTailMeasureCalc
Functions for calculating weighted tail measures. This interface is injected into the post-processors to aid in calculating the Expected Shortfall, Value at Risk, Value at Earning and Expected Tail Gain weighted tail measures.Post-processors that expect implementations of this interface to be injected implement the
IWeightedTailMeasureCalcAware
interface.
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Nested Class Summary
Nested Classes Modifier and Type Interface Description static class
IWeightedTailMeasureCalc.CalcType
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description double[]
calculateWeights(int n, double lambda)
Generates an array of weightings of length equal to the number of scenarios n, based on a Lambda value.Integer[]
getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Return an array of the indices in the vector that contribute to the weighted VaR/ES.Double
getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Calculate the VaR, ES, VaE or ETG of the PnL vector for the quantile.
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Method Detail
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getWeightedTailMeasure
Double getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Calculate the VaR, ES, VaE or ETG of the PnL vector for the quantile.- Parameters:
activePivot
- Active Pivot instance.datastore
- Datastore version.type
- "ES", "VaR", "VaE" or "ETG"pnl
- The PnL vector.weights
- The weightsquantile
- The quantile for the ES, VaR or VaE between 0 and 1 (equals 1 minus the confidence level).isPnlOldestFirst
- flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.- Returns:
- The tail measure (i.e. VaR, ES or VaE value of the vector for the quantile).
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calculateWeights
double[] calculateWeights(int n, double lambda)
Generates an array of weightings of length equal to the number of scenarios n, based on a Lambda value.- Parameters:
n
- indexlambda
- value- Returns:
- array of weightings.
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getIndices
Integer[] getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Return an array of the indices in the vector that contribute to the weighted VaR/ES.- Parameters:
activePivot
- Active Pivot instance.datastore
- Datastore version.type
- "ES", "VaR", "VaE" or "ETG"pnl
- The PnL vector.weights
- the weightsquantile
- The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).isPnlOldestFirst
- flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.- Returns:
- The array of vector indices.
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