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

Class PnlVectorFromRiskSensiPostProcessor

java.lang.Object

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<LeafType,OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>

com.activeviam.risk.core.postprocessor.impl.APnlVectorFromRiskSensiPostProcessor

com.activeviam.risk.core.postprocessor.impl.PnlVectorFromRiskSensiPostProcessor

All Implemented Interfaces:

IMaturityConverterAware, ITenorUtilAware, IInputSelectorAware, IPnLExplainFormulaProviderAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<com.qfs.vector.IVector>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<com.qfs.vector.IVector>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

Direct Known Subclasses:

PnlVectorFromCrossRiskSensiPostProcessor

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="PnlVectorFromRiskSensiPostProcessor")
public class PnlVectorFromRiskSensiPostProcessor
extends APnlVectorFromRiskSensiPostProcessor
implements ITenorUtilAware

This postprocessor will compute an elementary PNL vector for a specific riskFactor and risk class

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class com.activeviam.risk.core.postprocessor.impl.APnlVectorFromRiskSensiPostProcessor

APnlVectorFromRiskSensiPostProcessor.Coordinate

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

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor.TransformationProcedure

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor.DynamicAggregationPostProcessorPrefetcher

Field Summary

Fields

Modifier and Type	Field	Description
protected boolean	interpolate
static String	PLUGIN_KEY
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	sensitivityNameLevel
static String	TENOR_AND_MATURITY_DEFAULT_VALUE

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

BUCKET_TYPES, bucketTypes, dateLevel, formulaProvider, inputSelector, MARKET_SHIFT_STORE, MARKETSHIFT_STORE_DATAFIELDS, marketShiftStore, marketShiftStoreDataFields, maturityConverter, riskClassLevel, riskFactorLevel, SCENARIO_LEVEL, scenarioLevel, sensiRealName, SENSITIVITY_ORDER

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

AGGREGATION_FUNCTION, aggregationFunction, DYNAMIC_AGGREGATION_POST_PROCESSOR_PREFETCHER, hierarchiesInfo, isPartitionedOnRangeLevels, LEAF_LEVELS, LEAF_TYPE, leafLevelsInfo, leafType, partitioningLevelsInfo

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.activeviam.risk.core.services.IInputSelectorAware

PROPERTY_NAME

Fields inherited from interface com.activeviam.risk.core.dates.IMaturityConverterAware

PROPERTY_NAME

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

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

Fields inherited from interface com.activeviam.risk.core.services.IPnLExplainFormulaProviderAware

PROPERTY_NAME

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.dates.ITenorUtilAware

PROPERTY_NAME

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
protected com.qfs.vector.IVector	evaluateLeaf(com.quartetfs.biz.pivot.ILocation iLocation, Object[] underlyingMeasures)
protected Double[][]	getMaturityList(BucketType[] bucketType, LocalDate asOfDate, String sensitivityName)	This will return the description of the sensitivity vector content.
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String sensiValueMeasure, String sensiLadderMeasure, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String[] tenorAnalysisLevel, String scenarioLevel, String sensitivityName, String ladderAvailabilityLevel, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String marketShiftStoreName, String[] marketShiftStoreDataFields, String formatter, String folder, boolean interpolate)
String	getType()
void	init(Properties properties)
static com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure sensiValueMeasure, com.activeviam.copper.api.CopperMeasure sensiLadderMeasure, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String[] tenorAnalysisLevel, String scenarioLevel, String sensitivityName, String ladderAvailabilityLevel, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String marketShiftStoreName, String[] marketShiftStoreDataFields, boolean interpolate)
void	setTenorUtil(ITenorUtil tenorUtil)	Set the implementation of ITenorUtil

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

setInputSelector, setMaturityConverter, setPnLExplainFormulaProvider

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

createLeafEvaluationProcedure, evaluateLeaf

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

checkLeafType, checkPrefetchers, compute, computeLeafType, computeLeafTypeFromGenericType, computePartitioningLevels, computePrefetchFilter, createAggregationFunction, createPrefetchers, getAggregationFunction, getHierarchiesInfo, getLeafLevelsInfo, getLeafType, getTypeFromLiteralType, handleNoLeafLevel, initializeLeafLevels, initializeUnderlyingMeasures, reduce, reduceLeavesAndContribute, retrieveLeaves, 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

TENOR_AND_MATURITY_DEFAULT_VALUE

public static final String TENOR_AND_MATURITY_DEFAULT_VALUE

See Also:

Constant Field Values

sensitivityNameLevel

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo sensitivityNameLevel

interpolate

protected boolean interpolate

Constructor Detail

PnlVectorFromRiskSensiPostProcessor

public PnlVectorFromRiskSensiPostProcessor(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 sensiValueMeasure,
                                                                                                                                                              String sensiLadderMeasure,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String sensitivityNameLevel,
                                                                                                                                                              String[] tenorAnalysisLevel,
                                                                                                                                                              String scenarioLevel,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String ladderAvailabilityLevel,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              String tenorAndMaturityDefaultValue,
                                                                                                                                                              String marketShiftStoreName,
                                                                                                                                                              String[] marketShiftStoreDataFields,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder,
                                                                                                                                                              boolean interpolate)

measure

public static com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure sensiValueMeasure,
                                                              com.activeviam.copper.api.CopperMeasure sensiLadderMeasure,
                                                              String asOfDateLevel,
                                                              String riskFactorLevel,
                                                              String riskClassLevel,
                                                              String sensitivityNameLevel,
                                                              String[] tenorAnalysisLevel,
                                                              String scenarioLevel,
                                                              String sensitivityName,
                                                              String ladderAvailabilityLevel,
                                                              BucketType[] bucketTypes,
                                                              String tenorAndMaturityDefaultValue,
                                                              String marketShiftStoreName,
                                                              String[] marketShiftStoreDataFields,
                                                              boolean interpolate)

getType

public String getType()

Specified by:

getType in interface com.quartetfs.fwk.types.IExtendedPluginValue

init

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

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor<com.qfs.vector.IVector>

Overrides:

init in class APnlVectorFromRiskSensiPostProcessor

Throws:

com.quartetfs.fwk.QuartetException

getMaturityList

protected Double[][] getMaturityList(BucketType[] bucketType,
                                     LocalDate asOfDate,
                                     String sensitivityName)

This will return the description of the sensitivity vector content.

Parameters:

bucketType - Type of bucket for each axis

asOfDate - Date

sensitivityName - Sensi name

Returns:

Axis x Durations

evaluateLeaf

protected com.qfs.vector.IVector evaluateLeaf(com.quartetfs.biz.pivot.ILocation iLocation,
                                              Object[] underlyingMeasures)

Specified by:

evaluateLeaf in class com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>

setTenorUtil

public void setTenorUtil(ITenorUtil tenorUtil)

Description copied from interface: ITenorUtilAware

Set the implementation of ITenorUtil

Specified by:

setTenorUtil in interface ITenorUtilAware

Parameters:

tenorUtil - the implementation of ITenorUtil