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

Class TriDimensionalMarketDataPostProcessor

java.lang.Object

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

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

com.activeviam.risk.core.postprocessor.impl.AMarketDataPostProcessor

com.activeviam.risk.core.postprocessor.impl.TriDimensionalMarketDataPostProcessor

All Implemented Interfaces:

IMaturityConverterAware, ITenorUtilAware, IPnLExplainFormulaProviderAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<com.qfs.vector.IVector>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<com.qfs.vector.IVector>, 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

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="3D_MARKETDATA_POSTPROCESSOR")
public class TriDimensionalMarketDataPostProcessor
extends AMarketDataPostProcessor

Post-processor used to get market data for current and previous date values for Vega. It extends the abstract market data postprocessor.

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	BUCKET_TYPE_MATURITY
static String	BUCKET_TYPE_MONEYNESS
static String	BUCKET_TYPE_TENOR
static String	PLUGIN_KEY

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

asOfDateLevelInfo, DATE_INFO, dateProperty, DEFAULT_MAX_FALLBACK_DAYS, identifier, IDENTIFIER, KEY_LEAF_LEVELS, MARKET_DATA_STORE_FIELDS, MARKET_DATA_STORE_NAME, marketDataFields, marketDataSetLevelInfo, marketDataStoreName, maturityConverter, MAX_FALLBACK_DAYS, maxFallbackDays, PERFORM_INTERPOLATION, provider, quoteField, riskClassLevelInfo, riskFactorLevelInfo, SENSITIVITY_NAME_LEVEL, SENSITIVITY_NAME_PROPERTY, sensitivityName, sensitivityNameLevelInfo, TENOR_AND_MATURITY_DEFAULT_VALUE, tenorAndMaturityDefaultValue, tenorUtil

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

Method Summary

Modifier and Type	Method	Description
protected com.qfs.vector.IVector	doEvaluate(com.quartetfs.biz.pivot.ILocation location, LocalDate asOfDate, String marketDataSet, String riskFactor, String riskClass, String sensitivityName)
boolean	getEnableMDStringDebug()
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, Integer maxFallbackDays, String dateInfo, String sensitivityName, BucketType bucketTypeTenor, BucketType bucketTypeMaturity, BucketType bucketTypeMoneyness, String marketDataStoreName, String quoteField, String tenorLabelField, String underlyingMaturityField, String moneynessField, String tenorAndMaturityDefaultValue, String sensitivityNameLevelInfo, String interpolationDebugStringIdentifier, String formatter, String folder)	This will create a PP configuration
String	getType()
void	init(Properties properties)	One custom property needs to be present in the configuration of the post-processor: keyLeafLevels: It is the value representing the key levels: Tenor level, risk class, maturity level, e.g. ""Tenor@Tenors@Risk", "RiskClass@Risk Classes@Risk", "Maturity@Maturities@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, Integer maxFallbackDays, String dateInfo, String sensitivityName, BucketType bucketTypeTenor, BucketType bucketTypeMaturity, BucketType bucketTypeMoneyness, String marketDataStoreName, String quoteField, String tenorLabelField, String underlyingMaturityField, String moneynessField, String tenorAndMaturityDefaultValue, String sensitivityNameLevelInfo, String interpolationDebugStringIdentifier)	This will create a PP configuration

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

convertBucketToMaturity, convertBucketToMaturity, evaluate, getMarketDataRecord, getPostProcessorDescription, measure, setMaturityConverter, setPnLExplainFormulaProvider, setTenorUtil, stepDate

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

BUCKET_TYPE_TENOR

public static final String BUCKET_TYPE_TENOR

See Also:

Constant Field Values

BUCKET_TYPE_MATURITY

public static final String BUCKET_TYPE_MATURITY

See Also:

Constant Field Values

BUCKET_TYPE_MONEYNESS

public static final String BUCKET_TYPE_MONEYNESS

See Also:

Constant Field Values

Constructor Detail

TriDimensionalMarketDataPostProcessor

public TriDimensionalMarketDataPostProcessor(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,
                                                                                                                                                              Integer maxFallbackDays,
                                                                                                                                                              String dateInfo,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              BucketType bucketTypeTenor,
                                                                                                                                                              BucketType bucketTypeMaturity,
                                                                                                                                                              BucketType bucketTypeMoneyness,
                                                                                                                                                              String marketDataStoreName,
                                                                                                                                                              String quoteField,
                                                                                                                                                              String tenorLabelField,
                                                                                                                                                              String underlyingMaturityField,
                                                                                                                                                              String moneynessField,
                                                                                                                                                              String tenorAndMaturityDefaultValue,
                                                                                                                                                              String sensitivityNameLevelInfo,
                                                                                                                                                              String interpolationDebugStringIdentifier,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

This will create a PP configuration

Parameters:

measureName - Name of the postprocessor

underlyingMeasures - The underlying measure

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor label

riskClassLevel - risk class label

maxFallbackDays - max fallback days

dateInfo - date info

sensitivityName - sensitivity name

bucketTypeTenor - bucket type tenor

bucketTypeMaturity - bucket type maturity

bucketTypeMoneyness - bucket type moneyness

marketDataStoreName - market data store name

quoteField - quote field

tenorLabelField - tenor label field

underlyingMaturityField - underlying maturity field

moneynessField - moneyness field

tenorAndMaturityDefaultValue - default value for tenors and maturities

sensitivityNameLevelInfo - sensitivity name level info

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 - formatter

folder - Folder name of the metric, if not provider aka null measure is invisible

Returns:

measure builder

measure

public static com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                              String asOfDateLevel,
                                                              String marketDataSetLevel,
                                                              String riskFactorLevel,
                                                              String riskClassLevel,
                                                              Integer maxFallbackDays,
                                                              String dateInfo,
                                                              String sensitivityName,
                                                              BucketType bucketTypeTenor,
                                                              BucketType bucketTypeMaturity,
                                                              BucketType bucketTypeMoneyness,
                                                              String marketDataStoreName,
                                                              String quoteField,
                                                              String tenorLabelField,
                                                              String underlyingMaturityField,
                                                              String moneynessField,
                                                              String tenorAndMaturityDefaultValue,
                                                              String sensitivityNameLevelInfo,
                                                              String interpolationDebugStringIdentifier)

This will create a PP configuration

Parameters:

underlyingMeasures - The underlying measure

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor label

riskClassLevel - risk class label

maxFallbackDays - max fallback days

dateInfo - date info

sensitivityName - sensitivity name

bucketTypeTenor - bucket type tenor

bucketTypeMaturity - bucket type maturity

bucketTypeMoneyness - bucket type moneyness

marketDataStoreName - market data store name

quoteField - quote field

tenorLabelField - tenor label field

underlyingMaturityField - underlying maturity field

moneynessField - moneyness field

tenorAndMaturityDefaultValue - default value for tenors and maturities

sensitivityNameLevelInfo - sensitivity name level info

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:

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 is the value representing the key levels: Tenor level, risk class, maturity level, e.g.
  ""Tenor@Tenors@Risk", "RiskClass@Risk Classes@Risk", "Maturity@Maturities@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<com.qfs.vector.IVector>

Specified by:

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

Overrides:

init in class AMarketDataPostProcessor

Parameters:

properties - The properties object.s

Throws:

com.quartetfs.fwk.QuartetException

doEvaluate

protected com.qfs.vector.IVector doEvaluate(com.quartetfs.biz.pivot.ILocation location,
                                            LocalDate asOfDate,
                                            String marketDataSet,
                                            String riskFactor,
                                            String riskClass,
                                            String sensitivityName)

Specified by:

doEvaluate in class AMarketDataPostProcessor

getEnableMDStringDebug

public boolean getEnableMDStringDebug()

getType

public String getType()