Package com.activeviam.risk.starter.cfg.pivot.builders.sensi

Class AGreekSensiCubeMarketDataMeasureConfig

java.lang.Object

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeRestrictedMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

Direct Known Subclasses:

AGreekSensiCubeMeasureConfig

public abstract class AGreekSensiCubeMarketDataMeasureConfig
extends AGreekSensiCubeSensiMeasureConfig

Field Summary

Fields

Modifier and Type	Field	Description
protected String	DEBUG_SUFFIX
org.springframework.core.env.Environment	env

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

asOfDateHierarchy, asOfDateLevel, currencyLevel, DOUBLE_ARRAY_FORMATTER, DOUBLE_FORMATTER, DOUBLE_PERCENTAGE_FORMATTER, fxRiskClass, INT_FORMATTER, ladderAvailabilityLevel, ladderShiftLevel, marketDataAnalysisLevels, marketDataSetLevel, regexp, riskClassLevel, riskFactorLevel, scenarioSetLevel, sensitivityNameLevel, TIMESTAMP_FORMATTER

Fields inherited from interface com.activeviam.risk.starter.cfg.pivot.builders.sensi.IGreekSensiCubeMeasureConfig

NOT_IMPLEMENTED, NUMBER_OF_FALLBACK_DAYS

Constructor Summary

Constructors

Constructor	Description
AGreekSensiCubeMarketDataMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftLevel, String ladderAvailabilityLevel, String[] marketDataAnalysisLevels, String fxRiskClass)	The level specific are given by the constructor

Method Summary

Modifier and Type	Method	Description
protected void	buildNeighbourDateMarketDataMeasures(com.activeviam.copper.ICopperContext context, String greekSensiCurrentDateMdFxInterpolated, String greekSensiNeighbourDateMdFxInterpolated, String greekSensiCurrentDateMdNativeInterpolated, String greekSensiNeighbourDateMdNativeInterpolated, String direction)
protected void	buildScalarMarketDataMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType, String riskFactorLevel, String riskClassLevel, String dateReference, String greekSensiMdNativeIntermediateInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolatedCount, String greekSensiMdNativeInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolatedDynAgg, String greekSensiMdFxIntermediateInterpolated, String greekSensiMdFxIntermediateInterpolatedCount, String greekSensiMdFxIntermediateInterpolatedDynAgg, String greekSensiMdNativeIntermediateFilteredInterpolatedWithoutRiskClass, String greekSensiMdFxIntermediateInterpolatedWithoutRiskClass, String greekSensiMdFxInterpolated)
protected void	buildStandardMarketDataMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType, String riskFactorLevel, String riskClassLevel, String dateReference, String greekSensiMdNativeIntermediateInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolatedCount, String greekSensiMdNativeInterpolated, String greekSensiMdNativeIntermediateFilteredInterpolatedDynAgg, String greekSensiMdFxIntermediateInterpolated, String greekSensiMdFxIntermediateInterpolatedCount, String greekSensiMdFxIntermediateInterpolatedDynAgg, String greekSensiMdNativeIntermediateFilteredInterpolatedWithoutRiskClass, String greekSensiMdFxIntermediateInterpolatedWithoutRiskClass, String greekSensiMdFxInterpolated, String greekSensiMdNativeExpandIntermediateInterpolated)
String	generateMarketDataDebugStringMeasureName(String marketDataMeasure)	Generates the measure name for the market data interpolation debug string measure from the name of the market data measure
protected abstract com.activeviam.copper.api.CopperMeasure	nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure)
protected abstract com.activeviam.copper.api.CopperMeasure	nDimensionMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure measure)
protected abstract com.activeviam.copper.api.CopperMeasure	scalarMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure underlyingMeasure)
protected abstract com.activeviam.copper.api.CopperMeasure	sensiMinimumLevelsPostProcessor(String currencyLevel, com.activeviam.copper.api.CopperMeasure inMeasure, boolean isStandard)

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

dynamicTenorsAndMaturitiesPostProcessor, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeRestrictedMeasureConfig

buildRestrictedMeasures, buildScalarRestrictedMeasures

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

getGreekRegexp, getGreekSensiCurrentDateMdFxIntermediateInterpolated, getGreekSensiCurrentDateMdFxIntermediateInterpolatedCount, getGreekSensiCurrentDateMdFxIntermediateInterpolatedDynAgg, getGreekSensiCurrentDateMdFxIntermediateInterpolatedWithoutRiskClass, getGreekSensiCurrentDateMdFxInterpolated, getGreekSensiCurrentDateMdNativeExpandIntermediateInterpolated, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolated, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedCount, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedDynAgg, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedWithoutRiskClass, getGreekSensiCurrentDateMdNativeIntermediateInterpolated, getGreekSensiCurrentDateMdNativeInterpolated, getGreekSensiFolder, getGreekSensiLadder, getGreekSensiLadderExpand, getGreekSensiLadderExpandTechnical, getGreekSensiLadderNativeExpand, getGreekSensiLadderNativeExpandTechnical, getGreekSensiLadderSumTechnical, getGreekSensiLadderSumTechnicalFiltered, getGreekSensiLadderValues, getGreekSensiNative, getGreekSensiNativeBucketed, getGreekSensiNativeFolder, getGreekSensiNativeIntermediate, getGreekSensiNativeVectorSum, getGreekSensiNextDateMdFxInterpolated, getGreekSensiNextDateMdNativeIntermediateInterpolated, getGreekSensiNextDateMdNativeInterpolated, getGreekSensiPnlExplain, getGreekSensiPnlExplainNative, getGreekSensiPnlExplainNativeExpandNextDate, getGreekSensiPnlExplainNativeIntermediateNextDate, getGreekSensiPnlExplainNativeNextDate, getGreekSensiPnlExplainNextDate, getGreekSensiPnlSubVectorForTaylorVar, getGreekSensiPnlSubVectorForTaylorVarWithFx, getGreekSensiPnlVectorForTaylorVar, getGreekSensiPnlVectorForTaylorVarNative, getGreekSensiPreviousDateMdFxInterpolated, getGreekSensiPreviousDateMdNativeInterpolated, getGreekSensiPreviousVectorNativeExpand, getGreekSensiRate, getGreekSensiScalarSumTechnical, getGreekSensiScalarSumTechnicalFiltered, getGreekSensiSumTechnical, getGreekSensiSumTechnicalFiltered, getGreekSensiTaylorVar, getGreekSensiType, getGreekSensiValues, getGreekSensiVectorNativeExpand, getGreekTaylorVarFolder

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.activeviam.risk.starter.cfg.pivot.builders.sensi.IGreekSensiCubeMeasureConfig

buildPnlShiftMeasures, buildScalarMeasures, buildStandardMeasures, getGreekTypeDimension

Field Detail

env

@Autowired
public org.springframework.core.env.Environment env

DEBUG_SUFFIX

protected String DEBUG_SUFFIX

Constructor Detail

AGreekSensiCubeMarketDataMeasureConfig

public AGreekSensiCubeMarketDataMeasureConfig(String sensi,
                                              String ladderType,
                                              String regexp,
                                              String currencyLevel,
                                              String riskClassLevel,
                                              String sensitivityNameLevel,
                                              String asOfDateLevel,
                                              String asOfDateHierarchy,
                                              String riskFactorLevel,
                                              String scenarioSetLevel,
                                              String marketDataSetLevel,
                                              String ladderShiftLevel,
                                              String ladderAvailabilityLevel,
                                              String[] marketDataAnalysisLevels,
                                              String fxRiskClass)

The level specific are given by the constructor

Parameters:

sensi - sensitivity type

ladderType - ladder type

regexp - regular expression for sensitivity type

currencyLevel - currency level

riskClassLevel - risk class level

sensitivityNameLevel - sensitivity name level

asOfDateLevel - as of date level

asOfDateHierarchy - as of date hierarchy

riskFactorLevel - risk factor level

scenarioSetLevel - scenario set level

marketDataSetLevel - level containing the market data set level

ladderShiftLevel - ladder shift level

ladderAvailabilityLevel - ladder availability level

marketDataAnalysisLevels - analysis levels needed for market data (if required)

fxRiskClass - the FX risk class

Method Detail

scalarMarketDataPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure scalarMarketDataPostProcessor(String asOfDateLevel,
                                                                                         String riskFactorLevel,
                                                                                         String riskClassLevel,
                                                                                         String dateSlicer,
                                                                                         String sensitivityType,
                                                                                         com.activeviam.copper.api.CopperMeasure underlyingMeasure)

sensiMinimumLevelsPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure sensiMinimumLevelsPostProcessor(String currencyLevel,
                                                                                           com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                           boolean isStandard)

nDimensionMarketDataPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure nDimensionMarketDataPostProcessor(String asOfDateLevel,
                                                                                             String riskFactorLevel,
                                                                                             String riskClassLevel,
                                                                                             String sensitivityNameLevel,
                                                                                             String dateSlicer,
                                                                                             String sensitivityType,
                                                                                             com.activeviam.copper.api.CopperMeasure measure)

nDimensionMarketDataDebugStringPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure)

buildScalarMarketDataMeasures

protected void buildScalarMarketDataMeasures(com.activeviam.copper.ICopperContext context,
                                             String sensitivityType,
                                             String riskFactorLevel,
                                             String riskClassLevel,
                                             String dateReference,
                                             String greekSensiMdNativeIntermediateInterpolated,
                                             String greekSensiMdNativeIntermediateFilteredInterpolated,
                                             String greekSensiMdNativeIntermediateFilteredInterpolatedCount,
                                             String greekSensiMdNativeInterpolated,
                                             String greekSensiMdNativeIntermediateFilteredInterpolatedDynAgg,
                                             String greekSensiMdFxIntermediateInterpolated,
                                             String greekSensiMdFxIntermediateInterpolatedCount,
                                             String greekSensiMdFxIntermediateInterpolatedDynAgg,
                                             String greekSensiMdNativeIntermediateFilteredInterpolatedWithoutRiskClass,
                                             String greekSensiMdFxIntermediateInterpolatedWithoutRiskClass,
                                             String greekSensiMdFxInterpolated)

buildStandardMarketDataMeasures

protected void buildStandardMarketDataMeasures(com.activeviam.copper.ICopperContext context,
                                               String sensitivityType,
                                               String riskFactorLevel,
                                               String riskClassLevel,
                                               String dateReference,
                                               String greekSensiMdNativeIntermediateInterpolated,
                                               String greekSensiMdNativeIntermediateFilteredInterpolated,
                                               String greekSensiMdNativeIntermediateFilteredInterpolatedCount,
                                               String greekSensiMdNativeInterpolated,
                                               String greekSensiMdNativeIntermediateFilteredInterpolatedDynAgg,
                                               String greekSensiMdFxIntermediateInterpolated,
                                               String greekSensiMdFxIntermediateInterpolatedCount,
                                               String greekSensiMdFxIntermediateInterpolatedDynAgg,
                                               String greekSensiMdNativeIntermediateFilteredInterpolatedWithoutRiskClass,
                                               String greekSensiMdFxIntermediateInterpolatedWithoutRiskClass,
                                               String greekSensiMdFxInterpolated,
                                               String greekSensiMdNativeExpandIntermediateInterpolated)

buildNeighbourDateMarketDataMeasures

protected void buildNeighbourDateMarketDataMeasures(com.activeviam.copper.ICopperContext context,
                                                    String greekSensiCurrentDateMdFxInterpolated,
                                                    String greekSensiNeighbourDateMdFxInterpolated,
                                                    String greekSensiCurrentDateMdNativeInterpolated,
                                                    String greekSensiNeighbourDateMdNativeInterpolated,
                                                    String direction)

generateMarketDataDebugStringMeasureName

public String generateMarketDataDebugStringMeasureName(String marketDataMeasure)

Generates the measure name for the market data interpolation debug string measure from the name of the market data measure

Parameters:

marketDataMeasure - the name of the market data measure for which the debug string measure is created

Returns:

market data interpolation debug string measure name