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

Class ParametricVaEPostProcessor

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.ParametricVaEPostProcessor

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="ParametricVaEPostProcessor")
public class ParametricVaEPostProcessor
extends AVaEPostProcessor<Double>

Computes the parametric VaE for a given PnL vector and confidence level.
Dependent on the VaEPostProcessor 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
ParametricVaEPostProcessor(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 VaR for a given PnL vector.
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, String confidenceLevel, String description, String formatter, String folder)	Description with fixed confidence level
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)	Description with parametrable confidence level
String	getType()
void	init(Properties properties)
static com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, String confidenceLevel, String roundingMethodLevel, String quantile2RankLevel, String description)	Description with fixed confidence level
static com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String description)	Description with parametrable confidence level

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

getConfidenceLevel, getVaRTimePeriod, 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

ParametricVaEPostProcessor

public ParametricVaEPostProcessor(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 roundingMethodLevel,
                                                                                                                                                              String quantile2RankLevel,
                                                                                                                                                              String confidenceLevel,
                                                                                                                                                              String description,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

Description with fixed confidence level

Parameters:

measureName - measure name

underlyingMeasure - underlying measure

roundingMethodLevel - rounding method level

quantile2RankLevel - quantile method level

confidenceLevel - confidence level

description - description

formatter - formatter

folder - folder

Returns:

measure builder

measure

public static com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              String confidenceLevel,
                                                              String roundingMethodLevel,
                                                              String quantile2RankLevel,
                                                              String description)

Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

roundingMethodLevel - rounding method level

quantile2RankLevel - quantile method level

confidenceLevel - confidence level

description - description

Returns:

measure

getPostProcessorDescription

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

Description with parametrable confidence level

Parameters:

measureName - measure name

underlyingMeasure - underlying measure

roundingMethodLevel - rounding method level

quantile2RankLevel - quantile method level

env - environment

description - description

formatter - formatter

folder - folder

Returns:

measure builder

measure

public static com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              String roundingMethodLevel,
                                                              String quantile2RankLevel,
                                                              org.springframework.core.env.Environment env,
                                                              String description)

Description with parametrable confidence level

Parameters:

underlyingMeasure - underlying measure

roundingMethodLevel - rounding method level

quantile2RankLevel - quantile method level

env - environment

description - description

Returns:

measure

init

public void init(Properties properties)
          throws com.quartetfs.fwk.QuartetException

Specified by:

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

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>

Overrides:

init in class AVaEPostProcessor<Double>

Throws:

com.quartetfs.fwk.QuartetException

evaluate

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

Calculates the VaR for a given PnL vector. Takes one underlying measure:

• The PnL vector.

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>

getType

public String getType()