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

Class IncrementalVaEPostProcessor

java.lang.Object

com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<OutputType>

com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor<Double>

com.activeviam.risk.core.postprocessor.impl.IncrementalVaEPostProcessor

All Implemented Interfaces:

ITailMeasureCalcAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<Double>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<Double>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="IncrementalVaEPostProcessor")
public class IncrementalVaEPostProcessor
extends AVaEPostProcessor<Double>

Computes incremental VaE, a measure of the change in the VaE of a parent portfolio should a sub-portfolio be removed from it.

Dependent on the IVaEConfidenceLevel context value to define the confidence level to use in the calculation.

Author:

ActiveViam

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.BasicPostProcessorPrefetcher, com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.TransformationProcedure

Field Summary

Fields

Modifier and Type	Field	Description
static String	PLUGIN_KEY

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

defaultConfidence, FIXED_CONFIDENCE_LEVEL_PROPERTY, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

aggregatedMeasureName, ANALYSIS_LEVELS_PROPERTY, analysisLevelsToExpand, continuousQueryHandlerKeys, derivedContextDependencies, evaluator, EVALUATOR, explicitContextDependencies, logger, measuresProvider, name, OUTPUT_TYPE, outputType, pivot, prefetchers, PRINT_TIMINGS, printTimings, properties, underlyingMeasures

Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES

Fields inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalcAware

PROPERTY_NAME

Constructor Summary

Constructors

Constructor	Description
IncrementalVaEPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Method Summary

Modifier and Type	Method	Description
Double	evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)	Calculates the incremental VaE of a sub-portfolio against a parent portfolio.
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, String parentMeasure, String roundingMethodLevel, String quantile2RankLevel, String confidenceLevel, String description, String formatter, String folder)
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, String parentMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)
String	getType()

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

getConfidenceLevel, getVaRTimePeriod, init, setTailMeasureCalc

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, setPartitioningLevels, supportsAnalysisLevels

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

addContextDependency, checkInterruption, checkOutputType, computeNamePath, computeOutputType, createEvaluator, expandResult, getActivePivot, getContext, getContextDependencies, getContinuousQueryHandlerKeys, getCurrentMeasure, getDatastoreVersion, getDerivedContextDependencies, getExpansionProcedure, getGenericOutputType, getMeasuresProvider, getName, getOutputType, getOutputTypeFromGenericClassParameter, getOutputTypeFromProperties, getPrefetchers, getProperties, getQueryCache, getTypeFromClass, handleCircularDependency, handleNotSupportedAnalysisLevels, handleUnknownUnderlyingMeasure, hideEvaluator, initializeContinuousQueryHandlerKeys, removeAnalysisLevelsFromFilter, restrictLocationAnalysisLevels, retrieveAnalysisLevelsToExpand, retrieveNamedPrefetchAggregatesWithAnalysisLevels, retrievePrefetchAggregates, retrievePrefetchAggregatesWithAnalysisLevels, setAggregatedMeasureName, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties

Field Detail

PLUGIN_KEY

public static final String PLUGIN_KEY

See Also:

Constant Field Values

Constructor Detail

IncrementalVaEPostProcessor

public IncrementalVaEPostProcessor(String name,
                                   com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Method Detail

getPostProcessorDescription

public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName,
                                                                                                                                                              String underlyingMeasure,
                                                                                                                                                              String parentMeasure,
                                                                                                                                                              String roundingMethodLevel,
                                                                                                                                                              String quantile2RankLevel,
                                                                                                                                                              String confidenceLevel,
                                                                                                                                                              String description,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

getPostProcessorDescription

public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName,
                                                                                                                                                              String underlyingMeasure,
                                                                                                                                                              String parentMeasure,
                                                                                                                                                              String roundingMethodLevel,
                                                                                                                                                              String quantile2RankLevel,
                                                                                                                                                              org.springframework.core.env.Environment env,
                                                                                                                                                              String description,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

getType

public String getType()

evaluate

public Double evaluate(com.quartetfs.biz.pivot.ILocation location,
                       Object[] underlyingMeasures)

Calculates the incremental VaE of a sub-portfolio against a parent portfolio. Takes two underlying measures:

• The vector of the sub-portfolio
• The vector of the parent portfolio

Specified by:

evaluate in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>

Specified by:

evaluate in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Double>