Class WeightedVaEPostProcessor
- java.lang.Object
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- com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>
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- com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<OutputType>
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- com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor<OutputType>
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- com.activeviam.risk.core.postprocessor.impl.AWeightedVaEPostProcessor<Double>
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- com.activeviam.risk.core.postprocessor.impl.WeightedVaEPostProcessor
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- All Implemented Interfaces:
ITailMeasureCalcAware
,IWeightedTailMeasureCalcAware
,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="WeightedVaEPostProcessor") public class WeightedVaEPostProcessor extends AWeightedVaEPostProcessor<Double> implements IWeightedTailMeasureCalcAware
Computes the weighted VaE for a given PnL vector and confidence level.
Dependent on theVaEConfidenceLevel
context value to define the confidence level to use in the calculation. Dependend on theWeightedVaRLambda
context value to define the lambda value to use in the calculation.- Author:
- ActiveViam
- See Also:
- Serialized Form
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Field Summary
Fields Modifier and Type Field Description static String
FIXED_CONFIDENCE_LEVEL_PROPERTY
static String
PLUGIN_KEY
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Fields inherited from class com.activeviam.risk.core.postprocessor.impl.AWeightedVaEPostProcessor
defaultLambda, isPnlOldestFirst, weightedTailMeasureCalc
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Fields inherited from class com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor
defaultConfidence, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc
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Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels
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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
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor
DEFAULT_PARTITIONING_ON_RANGE_LEVELS
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor
CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES
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Fields inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalcAware
PROPERTY_NAME
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Fields inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware
PROPERTY_NAME
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Constructor Summary
Constructors Constructor Description WeightedVaEPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description Double
evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
Calculates the weighted VaE for a given PnL vector.static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>
getPostProcessorDescription(String measureName, String underlyingMeasure, String confidenceLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with fixed confidence levelstatic Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>
getPostProcessorDescription(String measureName, String underlyingMeasure, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with parametrable confidence levelString
getType()
void
init(Properties properties)
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Methods inherited from class com.activeviam.risk.core.postprocessor.impl.AWeightedVaEPostProcessor
getLambdaValue, getWeights, setWeightedTailMeasureCalc
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Methods inherited from class com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor
getConfidenceLevel, getVaRTimePeriod, setTailMeasureCalc
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Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, setPartitioningLevels, supportsAnalysisLevels
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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
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Methods inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor
getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties
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Methods inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware
setWeightedTailMeasureCalc
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Field Detail
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PLUGIN_KEY
public static final String PLUGIN_KEY
- See Also:
- Constant Field Values
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FIXED_CONFIDENCE_LEVEL_PROPERTY
public static final String FIXED_CONFIDENCE_LEVEL_PROPERTY
- See Also:
- Constant Field Values
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Constructor Detail
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WeightedVaEPostProcessor
public WeightedVaEPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
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Method Detail
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getPostProcessorDescription
public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName, String underlyingMeasure, String confidenceLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with fixed confidence level- Parameters:
measureName
- measure nameunderlyingMeasure
- underlying measureconfidenceLevel
- confidence levelenv
- Spring environment]description
- descriptionformatter
- formatterfolder
- folder- Returns:
- measure builder
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getPostProcessorDescription
public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName, String underlyingMeasure, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with parametrable confidence level- Parameters:
measureName
- measure nameunderlyingMeasure
- underlying measureenv
- environmentdescription
- descriptionformatter
- formatterfolder
- folder- Returns:
- measure builder
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init
public void init(Properties properties) throws com.quartetfs.fwk.QuartetException
- Specified by:
init
in interfacecom.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>
- Specified by:
init
in interfacecom.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>
- Overrides:
init
in classAWeightedVaEPostProcessor<Double>
- Throws:
com.quartetfs.fwk.QuartetException
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evaluate
public Double evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
Calculates the weighted VaE for a given PnL vector. Takes one underlying measure:- The PnL vector.
- Specified by:
evaluate
in interfacecom.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>
- Specified by:
evaluate
in classcom.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Double>
- Parameters:
location
- The location in the cube.underlyingMeasures
- The underlying measures.- Returns:
- The weighted VaE.
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getType
public String getType()
- Specified by:
getType
in interfacecom.quartetfs.fwk.types.IExtendedPluginValue
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