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

Class WeightedVaRIndicesPostProcessor

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.AVaRPostProcessor<OutputType>

com.activeviam.risk.core.postprocessor.impl.AWeightedVaRPostProcessor<Integer[]>

com.activeviam.risk.core.postprocessor.impl.WeightedVaRIndicesPostProcessor

All Implemented Interfaces:

ITailMeasureCalcAware, IWeightedTailMeasureCalcAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Integer[]>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="WeightedVaRIndicesPostProcessor")
public class WeightedVaRIndicesPostProcessor
extends AWeightedVaRPostProcessor<Integer[]>

Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.

Dependent on the VaRConfidenceLevel 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.AWeightedVaRPostProcessor

defaultLambda, isPnlOldestFirst, weightedTailMeasureCalc

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

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

Fields inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware

PROPERTY_NAME

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
Integer[]	evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)	Calculates the VaR indices 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 folder)
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, org.springframework.core.env.Environment env, String folder)
String	getType()

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

getLambdaValue, getWeights, init, setWeightedTailMeasureCalc

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

getConfidenceLevel, getVaRTimePeriod, 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

WeightedVaRIndicesPostProcessor

public WeightedVaRIndicesPostProcessor(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 confidenceLevel,
                                                                                                                                                              org.springframework.core.env.Environment env,
                                                                                                                                                              String folder)

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 folder)

evaluate

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

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

• The PnL vector.

Specified by:

evaluate in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<Integer[]>

Specified by:

evaluate in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Integer[]>

Parameters:

location - The location in the cube.

underlyingMeasures - The underlying measures.

Returns:

The VaR indices.

getType

public String getType()