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

Class CopperVaEPostProcessor

java.lang.Object

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

com.activeviam.risk.core.postprocessor.impl.CopperVaEPostProcessor

public class CopperVaEPostProcessor
extends ACopperPostProcessor

Field Summary

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

tailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperVaEPostProcessor()

Method Summary

Modifier and Type	Method	Description
protected double	getVaEQuantile(IVaEConfidenceLevel vaEConfidenceLevel)	Retrieves the confidence level from the IVaEConfidenceLevel context value if it has been set, the default otherwise.
com.activeviam.copper.api.CopperMeasure	vae(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parameterizable confidence level
com.activeviam.copper.api.CopperMeasure	vae(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with fixed confidence level
com.activeviam.copper.api.CopperMeasure	vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental VaE between two measures
com.activeviam.copper.api.CopperMeasure	vaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	vaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	vaeLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	vaeLeEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	vaeQuantile()

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

CopperVaEPostProcessor

public CopperVaEPostProcessor()

Method Detail

vaeQuantile

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

getVaEQuantile

protected double getVaEQuantile(IVaEConfidenceLevel vaEConfidenceLevel)

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

Parameters:

vaEConfidenceLevel - VaE confidence level

Returns:

The confidence level.

vae

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

Description with parameterizable confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

vae

public com.activeviam.copper.api.CopperMeasure vae(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

vaeIndices

public com.activeviam.copper.api.CopperMeasure vaeIndices(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

vaeIndices

public com.activeviam.copper.api.CopperMeasure vaeIndices(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

vaeIncremental

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

Calculate the incremental VaE between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The VaE

vaeIncremental

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

Calculate the incremental VaR between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

Returns:

The VaR

vaeLeEstimator

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

vaeLeEstimator

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