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

Class AGreekSensiCubeMeasureConfig

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

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

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

Direct Known Subclasses:

A3DTypeSensiCubeMeasureConfig, AMatrixTypeSensiCubeMeasureConfig, AVectorTypeSensiCubeMeasureConfig

public abstract class AGreekSensiCubeMeasureConfig
extends AGreekSensiCubeMarketDataMeasureConfig

Field Summary

Fields

Modifier and Type	Field	Description
protected String	moneynessDefaultValue	The default value for moneyness
protected String	tenorAndMaturityDefaultValue	The default value for tenor and maturity

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

DEBUG_SUFFIX, 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
AGreekSensiCubeMeasureConfig(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
void	buildPnlShiftMeasures(com.activeviam.copper.ICopperContext context)	Measure builder class for combined cube measures which shift the dates of the PnL explain measures.
void	buildScalarMeasures(com.activeviam.copper.ICopperContext context)	Measure builder class for scalar measures.
void	buildScalarMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)	Measure builder method for scalar measures with sensitivity type
void	buildStandardMeasures(com.activeviam.copper.ICopperContext context)	Measure builder class for standard, vectorised Greek measures.
void	buildStandardMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)	Measure builder class for standard, vectorised Greek measures, with sensitivity type.
protected com.activeviam.copper.api.CopperMeasure	pnlExplainNextDatePostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)
protected abstract com.activeviam.copper.api.CopperMeasure	pnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiVector, com.activeviam.copper.api.CopperMeasure sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String scenarioLevel, String sensitivityNameLevel, String sensitivityName, String ladderAvailabilityLevel)
protected abstract com.activeviam.copper.api.CopperMeasure	scalarPnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiValue, com.activeviam.copper.api.CopperMeasure sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String scenarioLevel, String sensitivityName, String ladderAvailabilityLevel)
protected abstract com.activeviam.copper.api.CopperMeasure	scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)

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

buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, scalarMarketDataPostProcessor, sensiMinimumLevelsPostProcessor

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

getGreekTypeDimension

Field Detail

tenorAndMaturityDefaultValue

@Value("${tenorAndMaturity.defaultValue}")
protected String tenorAndMaturityDefaultValue

The default value for tenor and maturity

moneynessDefaultValue

@Value("${moneyness.defaultValue}")
protected String moneynessDefaultValue

The default value for moneyness

Constructor Detail

AGreekSensiCubeMeasureConfig

public AGreekSensiCubeMeasureConfig(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

scalarPnlNextDateExplainPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure scalarPnlNextDateExplainPostProcessor(String sensi,
                                                                                                 String sensiLadder,
                                                                                                 String asOfDateLevel,
                                                                                                 String riskFactorLevel,
                                                                                                 String riskClassLevel,
                                                                                                 String ladderAvailabilityLevel)

pnlForVaRExplainPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure pnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiVector,
                                                                                         com.activeviam.copper.api.CopperMeasure sensiLadder,
                                                                                         String asOfDateLevel,
                                                                                         String riskFactorLevel,
                                                                                         String riskClassLevel,
                                                                                         String scenarioLevel,
                                                                                         String sensitivityNameLevel,
                                                                                         String sensitivityName,
                                                                                         String ladderAvailabilityLevel)

scalarPnlForVaRExplainPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure scalarPnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiValue,
                                                                                               com.activeviam.copper.api.CopperMeasure sensiLadder,
                                                                                               String asOfDateLevel,
                                                                                               String riskFactorLevel,
                                                                                               String riskClassLevel,
                                                                                               String scenarioLevel,
                                                                                               String sensitivityName,
                                                                                               String ladderAvailabilityLevel)

buildScalarMeasures

public void buildScalarMeasures(com.activeviam.copper.ICopperContext context)

Measure builder class for scalar measures.

Parameters:

context - the Copper context

buildScalarMeasures

public void buildScalarMeasures(com.activeviam.copper.ICopperContext context,
                                String sensitivityType)

Measure builder method for scalar measures with sensitivity type

Parameters:

context - the Copper context

sensitivityType - the type of sensitivity

buildStandardMeasures

public void buildStandardMeasures(com.activeviam.copper.ICopperContext context)

Measure builder class for standard, vectorised Greek measures.

Parameters:

context - copper context

buildStandardMeasures

public void buildStandardMeasures(com.activeviam.copper.ICopperContext context,
                                  String sensitivityType)

Measure builder class for standard, vectorised Greek measures, with sensitivity type.

Parameters:

context - the Copper context

sensitivityType - the sensitivity type

buildPnlShiftMeasures

public void buildPnlShiftMeasures(com.activeviam.copper.ICopperContext context)

Description copied from interface: IGreekSensiCubeMeasureConfig

Measure builder class for combined cube measures which shift the dates of the PnL explain measures.
Note: this builds the same measures as IGreekSensiCubeMeasureConfig.buildPnlShiftMeasures(ICopperContext)

Parameters:

context - copper context

pnlExplainNextDatePostProcessor

protected com.activeviam.copper.api.CopperMeasure pnlExplainNextDatePostProcessor(String sensi,
                                                                                  String sensiLadder,
                                                                                  String asOfDateLevel,
                                                                                  String riskFactorLevel,
                                                                                  String riskClassLevel,
                                                                                  String ladderAvailabilityLevel)