Interface IInputSelector
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- All Known Implementing Classes:
InputSelector
public interface IInputSelector
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description String
getFormulaInput(String sensitivityName)
Returns the configured input for the PnLExplain or TaylorVaR calculations.boolean
hasSecondOrderLadder(String sensitivityName)
Returns whether the sensitivity ladder is second order, depending on the sensitivity name.
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Method Detail
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getFormulaInput
String getFormulaInput(String sensitivityName)
Returns the configured input for the PnLExplain or TaylorVaR calculations. The "formula.input" property should take the following case-insensitive values: "formula.input.vanna=SENSI-ONLY" "formula.input.delta=LADDER-ONLY" "formula.input.gamma="LADDER-FIRST" An empty property, or no setting, should default to "LADDER-FIRST", which will attempt to calculate the input from the sensitivity ladder or revert to the standard sensitivity if the ladder does not exist.- Parameters:
sensitivityName
- The name of the sensitivity.- Returns:
- The formula input property.
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hasSecondOrderLadder
boolean hasSecondOrderLadder(String sensitivityName)
Returns whether the sensitivity ladder is second order, depending on the sensitivity name.- Parameters:
sensitivityName
- The sensitivity name.- Returns:
- True if the sensitivity ladder is second order, false otherwise.
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