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

Class CopperWVaRPostProcessor

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperWPostProcessor

com.activeviam.risk.core.postprocessor.impl.CopperWVaRPostProcessor

@Configuration
public class CopperWVaRPostProcessor
extends ACopperWPostProcessor

Field Summary

Fields

Modifier and Type	Field	Description
protected com.activeviam.copper.api.CopperMeasure	varQuantile

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

weightedTailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperWVaRPostProcessor()

Method Summary

Modifier and Type	Method	Description
com.activeviam.copper.api.CopperMeasure	wVar(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	wVar(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	wVarIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	wVarIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	wVarIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
com.activeviam.copper.api.CopperMeasure	wVarIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)

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

incremental, incremental, indices, indices, lambdaValue, measure, measure

Methods inherited from class java.lang.Object

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

Field Detail

varQuantile

@Autowired
protected com.activeviam.copper.api.CopperMeasure varQuantile

Constructor Detail

CopperWVaRPostProcessor

public CopperWVaRPostProcessor()

Method Detail

wVar

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

wVar

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level

Returns:

measure

wVarIndices

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

wVarIndices

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

wVarIncremental

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

Calculate the incremental VaR between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The VaR

wVarIncremental

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