Class VannaGreekSensiCubeMeasureConfig
- 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.A3DTypeSensiCubeMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.VannaGreekSensiCubeMeasureConfig
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- All Implemented Interfaces:
IGreekSensiCubeMeasureConfig
@Configuration public class VannaGreekSensiCubeMeasureConfig extends A3DTypeSensiCubeMeasureConfig
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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.A3DTypeSensiCubeMeasureConfig
maturitiesAnalysisLevel, maturitiesFactLevels, moneynessAnalysisLevel, moneynessFactLevels, tenorsAnalysisLevel, tenorsFactLevels
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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 VannaGreekSensiCubeMeasureConfig(String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String dynamicMoneynessHierarchy, String tenorsLabelsLevels, String maturitiesLabelsLevels, String moneynessLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String moneynessDatesLevels, String tenorsFactLevels, String maturitiesFactLevels, String moneynessFactLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String moneynessAnalysisLevel, String riskFactorLevel2, String regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)
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Method Summary
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig
dynamicTenorsAndMaturitiesPostProcessor, getGreekTypeDimension, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, scalarMarketDataPostProcessor, sensiMinimumLevelsPostProcessor, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
buildPnlShiftMeasures, buildScalarMeasures, buildStandardMeasures
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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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VannaGreekSensiCubeMeasureConfig
public VannaGreekSensiCubeMeasureConfig(@Value("${vanna.currency.level}") String currencyLevel, @Value("${risk.class.level}") String riskClassLevel, @Value("${sensitivity.name.level}") String sensitivityNameLevel, @Value("${asofdate.level}") String asOfDateLevel, @Value("${asofdate.hierarchy}") String asOfDateHierarchy, @Value("${risk.factor.level}") String riskFactorLevel, @Value("${dynamic.tenors.hierarchy}") String dynamicTenorsHierarchy, @Value("${dynamic.maturities.hierarchy}") String dynamicMaturitiesHierarchy, @Value("${dynamic.moneyness.hierarchy}") String dynamicMoneynessHierarchy, @Value("${tenors.fact.levels.labels}") String tenorsLabelsLevels, @Value("${maturities.fact.levels.labels}") String maturitiesLabelsLevels, @Value("${moneyness.fact.levels.labels}") String moneynessLabelsLevels, @Value("${tenors.fact.levels.dates}") String tenorsDatesLevels, @Value("${maturities.fact.levels.dates}") String maturitiesDatesLevels, @Value("${moneyness.fact.levels.dates}") String moneynessDatesLevels, @Value("${tenors.fact.levels}") String tenorsFactLevels, @Value("${maturities.fact.levels}") String maturitiesFactLevels, @Value("${moneyness.fact.levels}") String moneynessFactLevels, @Value("${tenors.analysis.level}") String tenorsAnalysisLevel, @Value("${maturities.analysis.level}") String maturitiesAnalysisLevel, @Value("${moneyness.analysis.level}") String moneynessAnalysisLevel, @Value("${risk.factor2.level}") String riskFactorLevel2, @Value("${sensi.type.vanna}") String regexp, @Value("${scenario.set.level}") String scenarioSetLevel, @Value("${market.data.set.level}") String marketDataSetLevel, @Value("${sensi.ladder-shifts.level}") String ladderShiftsLevel, @Value("${sensi.ladder-availability.level}") String ladderAvailabilityLevel, @Value("${risk.class.member.fx}") String fxRiskClass)
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Method Detail
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getGreekSensiCurrentDateMdNativeIntermediate2Interpolated
public static String getGreekSensiCurrentDateMdNativeIntermediate2Interpolated()
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getGreekSensiCurrentDateMdNativeExpandIntermediate2Interpolated
public static String getGreekSensiCurrentDateMdNativeExpandIntermediate2Interpolated()
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getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedCount2
public static String getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedCount2()
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getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedDynAgg2
public static String getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedDynAgg2()
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getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedWithoutRiskClass2
public static String getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolatedWithoutRiskClass2()
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getGreekSensiCurrentDateMdNativeIntermediateFiltered2Interpolated
public static String getGreekSensiCurrentDateMdNativeIntermediateFiltered2Interpolated()
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getGreekSensiCurrentDateMdNative2Interpolated
public static String getGreekSensiCurrentDateMdNative2Interpolated()
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getGreekSensiCurrentDateMdFxIntermediate2
public static String getGreekSensiCurrentDateMdFxIntermediate2()
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getGreekSensiCurrentDateMdFxIntermediateInterpolatedCount2
public static String getGreekSensiCurrentDateMdFxIntermediateInterpolatedCount2()
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getGreekSensiCurrentDateMdFxIntermediateInterpolatedDynAgg2
public static String getGreekSensiCurrentDateMdFxIntermediateInterpolatedDynAgg2()
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getGreekSensiCurrentDateMdFxIntermediateInterpolatedWithoutRiskClass2
public static String getGreekSensiCurrentDateMdFxIntermediateInterpolatedWithoutRiskClass2()
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getGreekSensiCurrentDateMdFxIntermediate2Interpolated
public static String getGreekSensiCurrentDateMdFxIntermediate2Interpolated()
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getGreekSensiCurrentDateMdFx2Interpolated
public static String getGreekSensiCurrentDateMdFx2Interpolated()
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getGreekSensiPreviousDateMdNative2Interpolated
public static String getGreekSensiPreviousDateMdNative2Interpolated()
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getGreekSensiPreviousDateMdFx2Interpolated
public static String getGreekSensiPreviousDateMdFx2Interpolated()
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getGreekSensiNextDateMdNativeIntermediate2Interpolated
public static String getGreekSensiNextDateMdNativeIntermediate2Interpolated()
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getGreekSensiNextDateMdNative2Interpolated
public static String getGreekSensiNextDateMdNative2Interpolated()
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getGreekSensiNextDateMdFx2Interpolated
public static String getGreekSensiNextDateMdFx2Interpolated()
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buildStandardMeasures
public void buildStandardMeasures(com.activeviam.copper.ICopperContext context)
Description copied from class:AGreekSensiCubeMeasureConfig
Measure builder class for standard, vectorised Greek measures.- Specified by:
buildStandardMeasures
in interfaceIGreekSensiCubeMeasureConfig
- Overrides:
buildStandardMeasures
in classAGreekSensiCubeMeasureConfig
- Parameters:
context
- copper context
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buildScalarMeasures
public void buildScalarMeasures(com.activeviam.copper.ICopperContext context)
Description copied from class:AGreekSensiCubeMeasureConfig
Measure builder class for scalar measures.- Specified by:
buildScalarMeasures
in interfaceIGreekSensiCubeMeasureConfig
- Overrides:
buildScalarMeasures
in classAGreekSensiCubeMeasureConfig
- Parameters:
context
- the Copper context
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pnlExplainNextDatePostProcessor
protected com.activeviam.copper.api.CopperMeasure pnlExplainNextDatePostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)
- Overrides:
pnlExplainNextDatePostProcessor
in classAGreekSensiCubeMeasureConfig
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scalarPnlNextDateExplainPostProcessor
protected com.activeviam.copper.api.CopperMeasure scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String ladderAvailabilityLevel)
- Overrides:
scalarPnlNextDateExplainPostProcessor
in classA3DTypeSensiCubeMeasureConfig
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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)
- Overrides:
pnlForVaRExplainPostProcessor
in classA3DTypeSensiCubeMeasureConfig
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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)
- Overrides:
scalarPnlForVaRExplainPostProcessor
in classA3DTypeSensiCubeMeasureConfig
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