Package com.activeviam.risk.core.postprocessor.impl

Class CopperETGPostProcessor

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor

com.activeviam.risk.core.postprocessor.impl.CopperETGPostProcessor

@Configuration
public class CopperETGPostProcessor
extends ACopperPostProcessor

Field Summary

Fields inherited from class com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor

tailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperETGPostProcessor()

Method Summary

Modifier and Type	Method	Description
com.activeviam.copper.api.CopperMeasure	etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrable confidence level
com.activeviam.copper.api.CopperMeasure	etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with fixed confidence level
com.activeviam.copper.api.CopperMeasure	etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental ETG between two measures
com.activeviam.copper.api.CopperMeasure	etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental ETG between two measures
com.activeviam.copper.api.CopperMeasure	etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	etgLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	etgLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	etgQuantile()
protected double	getEtgQuantile(IETGConfidenceLevel etgConfidenceLevel)	Retrieves the confidence level from the IETGConfidenceLevel context value if it has been set, the default otherwise.

Methods inherited from class com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor

getVaRTimePeriod, incremental, incremental, indices, indices, leEstimator, leEstimator, measure, measure, timePeriod

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CopperETGPostProcessor

public CopperETGPostProcessor()

Method Detail

etgQuantile

@Bean
public com.activeviam.copper.api.CopperMeasure etgQuantile()

getEtgQuantile

protected double getEtgQuantile(IETGConfidenceLevel etgConfidenceLevel)

Retrieves the confidence level from the IETGConfidenceLevel context value if it has been set, the default otherwise.

Parameters:

etgConfidenceLevel - ETG confidence level context value

Returns:

The confidence level.

etg

public com.activeviam.copper.api.CopperMeasure etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure)

Description with parametrable confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

etg

public com.activeviam.copper.api.CopperMeasure etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                   double confidenceLevel)

Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

Returns:

measure

etgIndices

public com.activeviam.copper.api.CopperMeasure etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          double confidenceLevel)

Calculates the indices for a given PnL vector. Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

Returns:

measure

etgIndices

public com.activeviam.copper.api.CopperMeasure etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)

Calculates the indices for a given PnL vector. Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

etgIncremental

public com.activeviam.copper.api.CopperMeasure etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                              double confidenceLevel)

Calculate the incremental ETG between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The ETG

etgIncremental

public com.activeviam.copper.api.CopperMeasure etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure)

Calculate the incremental ETG between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

Returns:

The ETG

etgLeEstimator

public com.activeviam.copper.api.CopperMeasure etgLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                              double confidenceLevel)

etgLeEstimator

public com.activeviam.copper.api.CopperMeasure etgLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure)