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

Class VegaGreekSensiCubeMeasureConfig

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

com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

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

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

@Configuration
public class VegaGreekSensiCubeMeasureConfig
extends A3DTypeSensiCubeMeasureConfig

Field Summary

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

env, maturitiesAnalysisLevel, maturitiesFactLevels, moneynessAnalysisLevel, moneynessFactLevels, tenorsAnalysisLevel, tenorsFactLevels

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

moneynessDefaultValue, tenorAndMaturityDefaultValue

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

DEBUG_SUFFIX

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

VegaGreekSensiCubeMeasureConfig(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 regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)

Method Summary

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

dynamicTenorsAndMaturitiesPostProcessor, getGreekTypeDimension, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, pnlForVaRExplainPostProcessor, scalarMarketDataPostProcessor, scalarPnlForVaRExplainPostProcessor, scalarPnlNextDateExplainPostProcessor, sensiMinimumLevelsPostProcessor, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor

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

buildPnlShiftMeasures, buildScalarMeasures, buildScalarMeasures, buildStandardMeasures, buildStandardMeasures, pnlExplainNextDatePostProcessor

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

buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName

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

Constructor Detail

VegaGreekSensiCubeMeasureConfig

public VegaGreekSensiCubeMeasureConfig(@Value("${vega.currency.level}")
                                       String currencyLevel,
                                       @Value("${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("${moneyness.analysis.level}")
                                       String moneynessAnalysisLevel,
                                       @Value("${sensi.type.vega}")
                                       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)