Class SensiDatastoreDescriptionConfig
- java.lang.Object
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- com.activeviam.risk.ref.cfg.sensi.impl.SensiDatastoreDescriptionConfig
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@Configuration @Profile({"standard","scalar-sensi"}) public class SensiDatastoreDescriptionConfig extends Object
Sensitivities stores description
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Field Summary
Fields Modifier and Type Field Description static String
DYN_MATURITIES
static String
DYN_MONEYNESS
static String
DYN_TENORS
static List<String>
DYN_TENORS_STORES
static String
MATURITIES
static String
MONEYNESS
static int
NUM_HASH_PARTITIONS
static String
RISK_FACTORS
static String
SENSI__DOMAIN_1
static String
STORE_DATE_FIELD_FORMAT
static String
TENOR_SET_DEFAULT
static String
TENORS
static List<String>
TENORS_STORES
static String
TRADE_ATTRIBUTES__TRADE_ID
static String
TRADE_ATTRIBUTES_STORE_NAME
static String
TRADE_STORE
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Constructor Summary
Constructors Constructor Description SensiDatastoreDescriptionConfig()
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description static Collection<com.qfs.desc.IReferenceDescription>
commonReferences()
Creates all of the references needed for both the standard and scalar sensitivity cubestatic Collection<com.qfs.desc.IStoreDescription>
createCommonStores()
Creates all of the stores needed for the sensitivity cubestatic Set<com.qfs.desc.IStoreDescription>
createDynamicTenorsStoreDescription()
Creates a store for the superset of Sensitivity dynamic tenorsstatic com.qfs.desc.IStoreDescription
createMarketDataSetsStore()
static com.qfs.desc.IStoreDescription
createMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the vectorised market data storestatic com.qfs.desc.IStoreDescription
createScalarMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the scalar market data storestatic com.qfs.desc.IStoreDescription
createScalarTradeBaseStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates a store for the Trades with have sensitivities.static Set<com.qfs.desc.IStoreDescription>
createTenorsStoreDescription()
Creates a store for the superset of Sensitivity tenorsstatic com.qfs.desc.IStoreDescription
createTradeBaseStoreDescription()
Creates a store for the Trades with have sensitivities.static com.qfs.desc.IStoreDescription
riskFactorMarketShiftStore(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the store that contains the market shifts by scenario for all the risk pillars.Collection<com.qfs.desc.IStoreDescription>
scalarSensiStoreDescriptions()
Creates all of the stores needed for scalar-sensi data.static com.qfs.desc.IStoreDescription
sensiLadderStoreDescription()
Creates a store for the sensitivity ladder definitionsCollection<com.qfs.desc.IStoreDescription>
sensiStoreDescriptions()
Creates all of the stores needed for vectorised data.Collection<com.qfs.desc.IReferenceDescription>
sensiStoreReferences()
Creates all of the references needed for the sensitivity cube
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Field Detail
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STORE_DATE_FIELD_FORMAT
public static final String STORE_DATE_FIELD_FORMAT
- See Also:
- Constant Field Values
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TRADE_STORE
public static final String TRADE_STORE
- See Also:
- Constant Field Values
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RISK_FACTORS
public static final String RISK_FACTORS
- See Also:
- Constant Field Values
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MATURITIES
public static final String MATURITIES
- See Also:
- Constant Field Values
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TENORS
public static final String TENORS
- See Also:
- Constant Field Values
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MONEYNESS
public static final String MONEYNESS
- See Also:
- Constant Field Values
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DYN_TENORS
public static final String DYN_TENORS
- See Also:
- Constant Field Values
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DYN_MATURITIES
public static final String DYN_MATURITIES
- See Also:
- Constant Field Values
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DYN_MONEYNESS
public static final String DYN_MONEYNESS
- See Also:
- Constant Field Values
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SENSI__DOMAIN_1
public static final String SENSI__DOMAIN_1
- See Also:
- Constant Field Values
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TRADE_ATTRIBUTES_STORE_NAME
public static final String TRADE_ATTRIBUTES_STORE_NAME
- See Also:
- Constant Field Values
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TRADE_ATTRIBUTES__TRADE_ID
public static final String TRADE_ATTRIBUTES__TRADE_ID
- See Also:
- Constant Field Values
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NUM_HASH_PARTITIONS
public static final int NUM_HASH_PARTITIONS
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TENOR_SET_DEFAULT
public static final String TENOR_SET_DEFAULT
- See Also:
- Constant Field Values
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Method Detail
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createTradeBaseStoreDescription
public static com.qfs.desc.IStoreDescription createTradeBaseStoreDescription()
Creates a store for the Trades with have sensitivities.- Returns:
- Trade store
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createScalarTradeBaseStoreDescription
public static com.qfs.desc.IStoreDescription createScalarTradeBaseStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates a store for the Trades with have sensitivities. This store holds scalar trades.- Parameters:
tenorAndMaturityDefaultValue
- The default value for tenors and maturitiesmoneynessDefaultValue
- The default value for moneyness- Returns:
- Trade store
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createMarketDataStoreDescription
public static com.qfs.desc.IStoreDescription createMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the vectorised market data store- Parameters:
tenorAndMaturityDefaultValue
- The default value for tenors and maturitiesmoneynessDefaultValue
- The default value for moneyness- Returns:
- market data datastore
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createScalarMarketDataStoreDescription
public static com.qfs.desc.IStoreDescription createScalarMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the scalar market data store- Parameters:
tenorAndMaturityDefaultValue
- The default value for tenors and maturitiesmoneynessDefaultValue
- The default value for moneyness- Returns:
- market data datastore
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sensiLadderStoreDescription
public static com.qfs.desc.IStoreDescription sensiLadderStoreDescription()
Creates a store for the sensitivity ladder definitions- Returns:
- Sensitivity ladder store
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createTenorsStoreDescription
public static Set<com.qfs.desc.IStoreDescription> createTenorsStoreDescription()
Creates a store for the superset of Sensitivity tenors- Returns:
- Tenor store
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createDynamicTenorsStoreDescription
public static Set<com.qfs.desc.IStoreDescription> createDynamicTenorsStoreDescription()
Creates a store for the superset of Sensitivity dynamic tenors- Returns:
- Tenor store
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riskFactorMarketShiftStore
public static com.qfs.desc.IStoreDescription riskFactorMarketShiftStore(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)
Creates the store that contains the market shifts by scenario for all the risk pillars.- Parameters:
tenorAndMaturityDefaultValue
- The default value for tenors and maturitiesmoneynessDefaultValue
- The default value for moneyness- Returns:
- riskFactorMarketShifts datastore
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createMarketDataSetsStore
public static com.qfs.desc.IStoreDescription createMarketDataSetsStore()
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createCommonStores
public static Collection<com.qfs.desc.IStoreDescription> createCommonStores()
Creates all of the stores needed for the sensitivity cube- Returns:
- sensitivity datastores
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sensiStoreDescriptions
@Bean(name="sensiStoreDescriptions") @Profile("standard") public Collection<com.qfs.desc.IStoreDescription> sensiStoreDescriptions()
Creates all of the stores needed for vectorised data.- Returns:
- The sensitivity datastores.
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scalarSensiStoreDescriptions
@Bean(name="sensiStoreDescriptions") @Profile("scalar-sensi") public Collection<com.qfs.desc.IStoreDescription> scalarSensiStoreDescriptions()
Creates all of the stores needed for scalar-sensi data.- Returns:
- The sensitivity datastores.
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commonReferences
public static Collection<com.qfs.desc.IReferenceDescription> commonReferences()
Creates all of the references needed for both the standard and scalar sensitivity cube- Returns:
- sensitivity references
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sensiStoreReferences
@Bean(name="sensiStoreReferences") @Profile({"standard","scalar-sensi"}) @DependsOn("datastoreCustomisations") public Collection<com.qfs.desc.IReferenceDescription> sensiStoreReferences()
Creates all of the references needed for the sensitivity cube- Returns:
- sensitivity references
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