Class AMatrixTypeSensiCubeMeasureConfig
- java.lang.Object
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeRestrictedMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AMatrixTypeSensiCubeMeasureConfig
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- All Implemented Interfaces:
IGreekSensiCubeMeasureConfig
public abstract class AMatrixTypeSensiCubeMeasureConfig extends AGreekSensiCubeMeasureConfig
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Field Summary
Fields Modifier and Type Field Description org.springframework.core.env.Environment
env
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Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
moneynessDefaultValue, tenorAndMaturityDefaultValue
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Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
DEBUG_SUFFIX
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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
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Fields inherited from interface com.activeviam.risk.starter.cfg.pivot.builders.sensi.IGreekSensiCubeMeasureConfig
NOT_IMPLEMENTED, NUMBER_OF_FALLBACK_DAYS
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Constructor Summary
Constructors Constructor Description AMatrixTypeSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String tenorsLabelsLevels, String maturitiesLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String tenorsFactLevels, String maturitiesFactLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected com.activeviam.copper.api.CopperMeasure
dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
PublisherUtils.GreekDimensionType
getGreekTypeDimension()
Number of dimention of this greekprotected com.activeviam.copper.api.CopperMeasure
nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure)
protected 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 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 com.activeviam.copper.api.CopperMeasure
scalarMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure underlyingMeasure)
protected 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 com.activeviam.copper.api.CopperMeasure
scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)
protected com.activeviam.copper.api.CopperMeasure
sensiMinimumLevelsPostProcessor(String currencyLevel, com.activeviam.copper.api.CopperMeasure inMeasure, boolean isStandard)
protected com.activeviam.copper.api.CopperMeasure
toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected com.activeviam.copper.api.CopperMeasure
toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected com.activeviam.copper.api.CopperMeasure
toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel, String asOfDateLevel, String riskClassLevel)
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
buildPnlShiftMeasures, buildScalarMeasures, buildScalarMeasures, buildStandardMeasures, buildStandardMeasures, pnlExplainNextDatePostProcessor
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeRestrictedMeasureConfig
buildRestrictedMeasures, buildScalarRestrictedMeasures
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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
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Constructor Detail
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AMatrixTypeSensiCubeMeasureConfig
public AMatrixTypeSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String tenorsLabelsLevels, String maturitiesLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String tenorsFactLevels, String maturitiesFactLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)
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Method Detail
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getGreekTypeDimension
public PublisherUtils.GreekDimensionType getGreekTypeDimension()
Description copied from interface:IGreekSensiCubeMeasureConfig
Number of dimention of this greek- Returns:
- greek dimension type
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dynamicTenorsAndMaturitiesPostProcessor
protected com.activeviam.copper.api.CopperMeasure dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
- Specified by:
dynamicTenorsAndMaturitiesPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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scalarMarketDataPostProcessor
protected com.activeviam.copper.api.CopperMeasure scalarMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure underlyingMeasure)
- Specified by:
scalarMarketDataPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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sensiMinimumLevelsPostProcessor
protected com.activeviam.copper.api.CopperMeasure sensiMinimumLevelsPostProcessor(String currencyLevel, com.activeviam.copper.api.CopperMeasure inMeasure, boolean isStandard)
- Specified by:
sensiMinimumLevelsPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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scalarPnlNextDateExplainPostProcessor
protected com.activeviam.copper.api.CopperMeasure scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)
- Specified by:
scalarPnlNextDateExplainPostProcessor
in classAGreekSensiCubeMeasureConfig
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toPillarsExpandPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
- Specified by:
toPillarsExpandPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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toPillarsLadderExpandPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel, String asOfDateLevel, String riskClassLevel)
- Specified by:
toPillarsLadderExpandPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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nDimensionMarketDataPostProcessor
protected com.activeviam.copper.api.CopperMeasure nDimensionMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure measure)
- Specified by:
nDimensionMarketDataPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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pnlForVaRExplainPostProcessor
protected 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)
- Specified by:
pnlForVaRExplainPostProcessor
in classAGreekSensiCubeMeasureConfig
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scalarPnlForVaRExplainPostProcessor
protected 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)
- Specified by:
scalarPnlForVaRExplainPostProcessor
in classAGreekSensiCubeMeasureConfig
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toPillarsExpandDebugStringPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
- Specified by:
toPillarsExpandDebugStringPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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nDimensionMarketDataDebugStringPostProcessor
protected com.activeviam.copper.api.CopperMeasure nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure)
- Specified by:
nDimensionMarketDataDebugStringPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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