Uses of Class
com.activeviam.risk.core.calc.ITailMeasureCalc.CalcType

Packages that use ITailMeasureCalc.CalcType

Package	Description
com.activeviam.risk.core.calc
com.activeviam.risk.core.postprocessor.impl
com.activeviam.risk.ref.calc.impl

Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.core.calc

Methods in com.activeviam.risk.core.calc that return ITailMeasureCalc.CalcType

Modifier and Type	Method	Description
static ITailMeasureCalc.CalcType	ITailMeasureCalc.CalcType.valueOf(String name)	Returns the enum constant of this type with the specified name.
static ITailMeasureCalc.CalcType[]	ITailMeasureCalc.CalcType.values()	Returns an array containing the constants of this enum type, in the order they are declared.

Methods in com.activeviam.risk.core.calc with parameters of type ITailMeasureCalc.CalcType

Modifier and Type	Method	Description
Integer[]	ITailMeasureCalc.getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Return an array of the indices in the vector that contribute to the VaR/ES.
Double	ITailMeasureCalc.getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the L-Estimator (for VaR or ES) of the PnL vector for the quantile, given the reference PnL vector.
Double	ITailMeasureCalc.getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the VaR, ES or VaE of the PnL vector for the quantile.

Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.core.postprocessor.impl

Methods in com.activeviam.risk.core.postprocessor.impl with parameters of type ITailMeasureCalc.CalcType

Modifier and Type	Method	Description
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Calculate the incremental VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)	Calculates the indices for a given PnL vector.
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.leEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Calculate the leEstimator VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.leEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)	Calculate the leEstimator VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Description with fixed confidence level
protected com.activeviam.copper.api.CopperMeasure	ACopperPostProcessor.measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)	Description with parametrized confidence level confidence level

Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.ref.calc.impl

Methods in com.activeviam.risk.ref.calc.impl with parameters of type ITailMeasureCalc.CalcType

Modifier and Type	Method	Description
Integer[]	ATailMeasureCalc.getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)
Double	ATailMeasureCalc.getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the VaR or ES L-Estimator of the PnL vector for the quantile, given the reference PnL vector.
protected IntStream	ATailMeasureCalc.getStreamOfIndices(ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double rank)	The stream is not in the same order depending if the top or the bottom is requested, always ascending, but wwe want from cutoff to tail.
Double	ATailMeasureCalc.getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the ES or VaR of the PnL vector for the quantile.