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

Class AGreekSensiCubeSensiMeasureConfig

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

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

Direct Known Subclasses:

AGreekSensiCubeMarketDataMeasureConfig

public abstract class AGreekSensiCubeSensiMeasureConfig
extends AGreekSensiCubeRestrictedMeasureConfig

Field Summary

Fields

Modifier and Type	Field	Description
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
AGreekSensiCubeSensiMeasureConfig(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 abstract com.activeviam.copper.api.CopperMeasure	dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
protected abstract com.activeviam.copper.api.CopperMeasure	toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected abstract com.activeviam.copper.api.CopperMeasure	toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected abstract com.activeviam.copper.api.CopperMeasure	toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel, String asOfDateLevel, String riskClassLevel)

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

Constructor Detail

AGreekSensiCubeSensiMeasureConfig

public AGreekSensiCubeSensiMeasureConfig(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

dynamicTenorsAndMaturitiesPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel,
                                                                                                   String sensitivityNameLevel,
                                                                                                   com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                                                   boolean isStandard)

toPillarsExpandPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                        String sensitivityNameLevel)

toPillarsExpandDebugStringPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                                   String sensitivityNameLevel)

toPillarsLadderExpandPostProcessor

protected abstract com.activeviam.copper.api.CopperMeasure toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                              String sensitivityNameLevel,
                                                                                              String asOfDateLevel,
                                                                                              String riskClassLevel)