Class ACopperPostProcessor
- java.lang.Object
-
- com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor
-
- Direct Known Subclasses:
CopperESPostProcessors
,CopperETGPostProcessor
,CopperVaEPostProcessor
,CopperVaRPostProcessors
@Configuration public class ACopperPostProcessor extends Object
-
-
Field Summary
Fields Modifier and Type Field Description protected ITailMeasureCalc
tailMeasureCalc
-
Constructor Summary
Constructors Constructor Description ACopperPostProcessor()
-
Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected double
getVaRTimePeriod(IVaRTimePeriod varTimePeriodContext)
protected com.activeviam.copper.api.CopperMeasure
incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculate the incremental VaR between two measuresprotected com.activeviam.copper.api.CopperMeasure
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 measurescom.activeviam.copper.api.CopperMeasure
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
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
leEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculate the leEstimator VaR between two measuresprotected com.activeviam.copper.api.CopperMeasure
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 measuresprotected com.activeviam.copper.api.CopperMeasure
measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Description with fixed confidence levelprotected com.activeviam.copper.api.CopperMeasure
measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Description with parametrized confidence level confidence levelcom.activeviam.copper.api.CopperMeasure
timePeriod()
-
-
-
Field Detail
-
tailMeasureCalc
@Autowired protected ITailMeasureCalc tailMeasureCalc
-
-
Method Detail
-
timePeriod
@Bean public com.activeviam.copper.api.CopperMeasure timePeriod()
-
getVaRTimePeriod
protected double getVaRTimePeriod(IVaRTimePeriod varTimePeriodContext)
-
measure
protected com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Description with fixed confidence level- Parameters:
underlyingMeasure
- underlying measureconfidenceLevel
- confidence level in percent [0..100]kind
- type of computation- Returns:
- measure
-
measure
protected com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Description with parametrized confidence level confidence level- Parameters:
underlyingMeasure
- underlying measurequantile
- quantilekind
- type of computation- Returns:
- measure
-
indices
public com.activeviam.copper.api.CopperMeasure indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculates the indices for a given PnL vector. Description with fixed confidence level- Parameters:
underlyingMeasure
- underlying measureconfidenceLevel
- confidence level in percent [0..100]kind
- type of computation- Returns:
- measure
-
indices
public com.activeviam.copper.api.CopperMeasure indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Calculates the indices for a given PnL vector. Description with parametrized confidence level confidence level- Parameters:
underlyingMeasure
- underlying measurequantile
- quantilekind
- type of computation- Returns:
- measure
-
incremental
protected com.activeviam.copper.api.CopperMeasure 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- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measureconfidenceLevel
- confidence levelkind
- type of computation- Returns:
- The VaR
-
incremental
protected com.activeviam.copper.api.CopperMeasure 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- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measurequantile
- quantilekind
- type of computation- Returns:
- The VaR
-
leEstimator
protected com.activeviam.copper.api.CopperMeasure 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- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measureconfidenceLevel
- confidence levelkind
- type of computation- Returns:
- The VaR
-
leEstimator
protected com.activeviam.copper.api.CopperMeasure 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- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measurequantile
- quantilekind
- type of computation- Returns:
- The VaR
-
-