Package com.activeviam.risk.ref.calc.impl

Class ATailMeasureCalc

java.lang.Object

com.activeviam.risk.ref.calc.impl.ATailMeasureCalc

All Implemented Interfaces:

ITailMeasureCalc

Direct Known Subclasses:

TailMeasureCalc

public abstract class ATailMeasureCalc
extends Object
implements ITailMeasureCalc

Abstract base class for ITailMeasureCalc where:

• The VaR measure is the element in the sorted vector at position (with interpolation)
• The ES measure is average in the sorted vector of the first elements (with partial weighting in the last element).

Nested Class Summary

Nested classes/interfaces inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalc

ITailMeasureCalc.CalcType

Field Summary

Fields

Modifier and Type	Field	Description
static Logger	LOGGER

Constructor Summary

Constructors

Constructor	Description
ATailMeasureCalc()

Method Summary

Modifier and Type	Method	Description
protected Integer[]	getESIndices(double rank, IntStream stream)
protected double	getESMetric(double rank, PrimitiveIterator.OfDouble it)
Integer[]	getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Return an array of the indices in the vector that contribute to the VaR/ES.
Double	getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the VaR or ES L-Estimator of the PnL vector for the quantile, given the reference PnL vector.
protected abstract double	getRank(int vectorSize, double quantile, String roundingMethod, String quantile2Rank)	The position in the (sorted) PnL vector to use.
protected IntStream	getStreamOfIndices(ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double rank)	The stream is not in the same order depending if the top or the bottom is requested, always ascending, but wwe want from cutoff to tail.
Double	getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the ES or VaR of the PnL vector for the quantile.
protected Integer[]	getVaRIndices(double rank, IntStream stream)
protected double	getVaRMetric(double rank, PrimitiveIterator.OfDouble it)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

LOGGER

public static final Logger LOGGER

Constructor Detail

ATailMeasureCalc

public ATailMeasureCalc()

Method Detail

getRank

protected abstract double getRank(int vectorSize,
                                  double quantile,
                                  String roundingMethod,
                                  String quantile2Rank)

The position in the (sorted) PnL vector to use. If the returned value is not an integer, the two values either side are interpolated.

Parameters:

vectorSize - The size of the PnL vector.

quantile - the quantile, between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - rounding method level

quantile2Rank - quantile method level

Returns:

The position in the vector.

getVaRMetric

protected double getVaRMetric(double rank,
                              PrimitiveIterator.OfDouble it)

getVaRIndices

protected Integer[] getVaRIndices(double rank,
                                  IntStream stream)

getESMetric

protected double getESMetric(double rank,
                             PrimitiveIterator.OfDouble it)

getESIndices

protected Integer[] getESIndices(double rank,
                                 IntStream stream)

getStreamOfIndices

protected IntStream getStreamOfIndices(ITailMeasureCalc.CalcType type,
                                       com.qfs.vector.IVector pnl,
                                       double rank)

The stream is not in the same order depending if the top or the bottom is requested, always ascending, but wwe want from cutoff to tail.

Parameters:

type - type

pnl - pnl vector

rank - rank

Returns:

stream

getTailMeasure

public Double getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot,
                             com.qfs.store.IDatastoreVersion datastore,
                             ITailMeasureCalc.CalcType type,
                             com.qfs.vector.IVector pnl,
                             double quantile,
                             String roundingMethod,
                             String quantile2Rank)

Calculate the ES or VaR of the PnL vector for the quantile.

Specified by:

getTailMeasure in interface ITailMeasureCalc

Parameters:

pnl - The PnL vector.

quantile - The quantile for the ES or VaR, between 0 and 1 (equals 1 minus the confidence level).

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES", "VaR" or "VaE"

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The tail measure (i.e. VaR or ES value of the vector for the quantile).

getIndices

public Integer[] getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot,
                            com.qfs.store.IDatastoreVersion datastore,
                            ITailMeasureCalc.CalcType type,
                            com.qfs.vector.IVector pnl,
                            double quantile,
                            String roundingMethod,
                            String quantile2Rank)

Description copied from interface: ITailMeasureCalc

Return an array of the indices in the vector that contribute to the VaR/ES.

Specified by:

getIndices in interface ITailMeasureCalc

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES" or "VaR".

pnl - The PnL vector.

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The array of vector indices.

getLEstimator

public Double getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot,
                            com.qfs.store.IDatastoreVersion datastore,
                            ITailMeasureCalc.CalcType type,
                            com.qfs.vector.IVector referencePnl,
                            com.qfs.vector.IVector pnl,
                            double quantile,
                            String roundingMethod,
                            String quantile2Rank)

Calculate the VaR or ES L-Estimator of the PnL vector for the quantile, given the reference PnL vector.

Specified by:

getLEstimator in interface ITailMeasureCalc

Parameters:

referencePnl - The aggregate PnL vector at the reference level.

pnl - The PnL vector for the current sub-portfolio.

quantile - The quantile for the ES or VaR, between 0 and 1 (equals 1 minus the confidence level).

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES" or "VaR".

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The VaR L-Estimator value.