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

Class ScalarMarketDataPostProcessor

  • All Implemented Interfaces:
    IMaturityConverterAware, ITenorUtilAware, IPnLExplainFormulaProviderAware, 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="SCALAR_MARKET_DATA")
public class ScalarMarketDataPostProcessor
extends AScalarMarketDataPostProcessor
implements ITenorUtilAware
    Post-processor used to get market data values for current and previous dates. Works with single and bi-dimensional sensitivities.
    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

    • Constructor Summary

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

    • Method Summary

      All Methods Static Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      protected Double doEvaluate​(com.quartetfs.biz.pivot.ILocation leafLocation, LocalDate asOfDate, String marketData, String riskFactor, Object[] primaryMembers, Object[] secondaryMembers, List<BiFunction<Double,​Double,​Double>> preInterpolationCalcs, List<BiFunction<Double,​Double,​Double>> postInterpolationCalcs, int[] interpolationOrder, boolean interpolate)  
      static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName, String underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, int[] interpolationOrder, String formatter, String interpolationDebugStringIdentifier, String folder)
      Builder function for single-dimension scalar market data postprocessors.
      static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName, String underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, String[] maturityLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, int[] interpolationOrder, String interpolationDebugStringIdentifier, String formatter, String folder)
      Builder function for bi-dimensional scalar market data postprocessors.
      static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName, String underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, String[] maturityLevels, String[] moneynessLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, int[] interpolationOrder, String interpolationDebugStringIdentifier, String formatter, String folder)
      Builder function for tri-dimensional scalar market data postprocessors.
      String getType()  
      void init​(Properties properties)
      One custom property needs to be present in the configuration of the post-processor: keyLeafLevels: It's the value representing the key levels: Tenor level, risk class,, e.g.
      ""Tenor@Tenors@Risk", "RiskClass@Risk Classes@Risk" On top of those custom properties the analysisLevels property needs to be defined for the scenario level since that level is part of an analysis hierarchy, e.g.
      "Tenor@Tenors@Risk"
      static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, String interpolationDebugStringIdentifier, int[] interpolationOrder)
      Builder function for single-dimension scalar market data postprocessors.
      static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, String[] maturityLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, String interpolationDebugStringIdentifier, int[] interpolationOrder)
      Builder function for bi-dimensional scalar market data postprocessors.
      static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String[] tenorLevels, String[] maturityLevels, String[] moneynessLevels, Integer maxFallbackDays, String dateInfo, String sensitivityName, String marketDataStoreName, String quoteField, BucketType[] bucketTypes, String tenorAndMaturityDefaultValue, String moneynessDefaultValue, String interpolationDebugStringIdentifier, int[] interpolationOrder)
      Builder function for tri-dimensional scalar market data postprocessors.
      void setTenorUtil​(ITenorUtil tenorUtil)
      Set the implementation of ITenorUtil

      • 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 interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

        getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties

    • Constructor Detail

      • ScalarMarketDataPostProcessor

        public ScalarMarketDataPostProcessor​(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 underlyingMeasures,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String marketDataSetLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String[] tenorLevels,
                                                                                                                                                              Integer maxFallbackDays,
                                                                                                                                                              String dateInfo,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String marketDataStoreName,
                                                                                                                                                              String quoteField,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              String tenorAndMaturityDefaultValue,
                                                                                                                                                              String moneynessDefaultValue,
                                                                                                                                                              int[] interpolationOrder,
                                                                                                                                                              String formatter,
                                                                                                                                                              String interpolationDebugStringIdentifier,
                                                                                                                                                              String folder)
        Builder function for single-dimension scalar market data postprocessors.
        Parameters:
        measureName - The name of the resulting measure.
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - The level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        formatter - The formatter plugin key.
        folder - The folder to which the measure should belong.
        Returns:
        The builder function

      • measure

        public static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                              String asOfDateLevel,
                                                              String marketDataSetLevel,
                                                              String riskFactorLevel,
                                                              String riskClassLevel,
                                                              String[] tenorLevels,
                                                              Integer maxFallbackDays,
                                                              String dateInfo,
                                                              String sensitivityName,
                                                              String marketDataStoreName,
                                                              String quoteField,
                                                              BucketType[] bucketTypes,
                                                              String tenorAndMaturityDefaultValue,
                                                              String moneynessDefaultValue,
                                                              String interpolationDebugStringIdentifier,
                                                              int[] interpolationOrder)
        Builder function for single-dimension scalar market data postprocessors.
        Parameters:
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - Level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        Returns:
        The measure

      • getPostProcessorDescription

        public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName,
                                                                                                                                                              String underlyingMeasures,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String marketDataSetLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String[] tenorLevels,
                                                                                                                                                              String[] maturityLevels,
                                                                                                                                                              Integer maxFallbackDays,
                                                                                                                                                              String dateInfo,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String marketDataStoreName,
                                                                                                                                                              String quoteField,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              String tenorAndMaturityDefaultValue,
                                                                                                                                                              String moneynessDefaultValue,
                                                                                                                                                              int[] interpolationOrder,
                                                                                                                                                              String interpolationDebugStringIdentifier,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)
        Builder function for bi-dimensional scalar market data postprocessors.
        Parameters:
        measureName - The name of the resulting measure.
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - Level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maturityLevels - The levels containing the maturity pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        formatter - The formatter plugin key.
        folder - The folder to which the measure should belong.
        Returns:
        The builder function

      • measure

        public static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                              String asOfDateLevel,
                                                              String marketDataSetLevel,
                                                              String riskFactorLevel,
                                                              String riskClassLevel,
                                                              String[] tenorLevels,
                                                              String[] maturityLevels,
                                                              Integer maxFallbackDays,
                                                              String dateInfo,
                                                              String sensitivityName,
                                                              String marketDataStoreName,
                                                              String quoteField,
                                                              BucketType[] bucketTypes,
                                                              String tenorAndMaturityDefaultValue,
                                                              String moneynessDefaultValue,
                                                              String interpolationDebugStringIdentifier,
                                                              int[] interpolationOrder)
        Builder function for bi-dimensional scalar market data postprocessors.
        Parameters:
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - The level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maturityLevels - The levels containing the maturity pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        Returns:
        The measure

      • getPostProcessorDescription

        public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName,
                                                                                                                                                              String underlyingMeasures,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String marketDataSetLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String[] tenorLevels,
                                                                                                                                                              String[] maturityLevels,
                                                                                                                                                              String[] moneynessLevels,
                                                                                                                                                              Integer maxFallbackDays,
                                                                                                                                                              String dateInfo,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String marketDataStoreName,
                                                                                                                                                              String quoteField,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              String tenorAndMaturityDefaultValue,
                                                                                                                                                              String moneynessDefaultValue,
                                                                                                                                                              int[] interpolationOrder,
                                                                                                                                                              String interpolationDebugStringIdentifier,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)
        Builder function for tri-dimensional scalar market data postprocessors.
        Parameters:
        measureName - The name of the resulting measure.
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - The level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maturityLevels - The levels containing the maturity pillars.
        moneynessLevels - The levels containing the moneyness pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        formatter - The formatter plugin key.
        folder - The folder to which the measure should belong.
        Returns:
        The builder function

      • measure

        public static com.activeviam.copper.api.CopperMeasure measure​(com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                              String asOfDateLevel,
                                                              String marketDataSetLevel,
                                                              String riskFactorLevel,
                                                              String riskClassLevel,
                                                              String[] tenorLevels,
                                                              String[] maturityLevels,
                                                              String[] moneynessLevels,
                                                              Integer maxFallbackDays,
                                                              String dateInfo,
                                                              String sensitivityName,
                                                              String marketDataStoreName,
                                                              String quoteField,
                                                              BucketType[] bucketTypes,
                                                              String tenorAndMaturityDefaultValue,
                                                              String moneynessDefaultValue,
                                                              String interpolationDebugStringIdentifier,
                                                              int[] interpolationOrder)
        Builder function for tri-dimensional scalar market data postprocessors.
        Parameters:
        underlyingMeasures - The list of underlying measures, in String form.
        asOfDateLevel - The level containing as-of dates.
        marketDataSetLevel - The level containing the market data set level
        riskFactorLevel - The level containing risk factors.
        riskClassLevel - The level containing risk classes.
        tenorLevels - The levels containing the tenor pillars.
        maturityLevels - The levels containing the maturity pillars.
        moneynessLevels - The levels containing the moneyness pillars.
        maxFallbackDays - The maximum number of fallback days.
        dateInfo - The date information.
        sensitivityName - The name of the sensitivity.
        marketDataStoreName - The name of the market data store.
        quoteField - The name of the market data quote field.
        bucketTypes - The bucket types available in the system.
        tenorAndMaturityDefaultValue - The default value for tenors and maturities
        moneynessDefaultValue - The default value for moneyness
        interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location
        interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.
        Returns:
        The measure

      • init

        public void init​(Properties properties)
          throws com.quartetfs.fwk.QuartetException
        One custom property needs to be present in the configuration of the post-processor:
        • keyLeafLevels: It's the value representing the key levels: Tenor level, risk class,, e.g.
          ""Tenor@Tenors@Risk", "RiskClass@Risk Classes@Risk"
        On top of those custom properties the analysisLevels property needs to be defined for the scenario level since that level is part of an analysis hierarchy, e.g.
        "Tenor@Tenors@Risk"
        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 AScalarMarketDataPostProcessor
        Throws:
        com.quartetfs.fwk.QuartetException

      • getType

        public String getType()
        Specified by:
        getType in interface com.quartetfs.fwk.types.IExtendedPluginValue