Class VolgaGreekSensiCubeMeasureConfig
- 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.VolgaGreekSensiCubeMeasureConfig
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- All Implemented Interfaces:
IGreekSensiCubeMeasureConfig
@Configuration public class VolgaGreekSensiCubeMeasureConfig extends A3DTypeSensiCubeMeasureConfig
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Field Summary
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Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig
env, 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 VolgaGreekSensiCubeMeasureConfig(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)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description String
getGreekSensiPnlVectorForTaylorVarNative()
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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
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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, getGreekSensiPreviousDateMdFxInterpolated, getGreekSensiPreviousDateMdNativeInterpolated, getGreekSensiPreviousVectorNativeExpand, getGreekSensiRate, getGreekSensiScalarSumTechnical, getGreekSensiScalarSumTechnicalFiltered, getGreekSensiSumTechnical, getGreekSensiSumTechnicalFiltered, getGreekSensiTaylorVar, getGreekSensiType, getGreekSensiValues, getGreekSensiVectorNativeExpand, getGreekTaylorVarFolder
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Constructor Detail
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VolgaGreekSensiCubeMeasureConfig
public VolgaGreekSensiCubeMeasureConfig(@Value("${volga.currency.level}") String currencyLevel, @Value("${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.volga}") 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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getGreekSensiPnlVectorForTaylorVarNative
public String getGreekSensiPnlVectorForTaylorVarNative()
- Specified by:
getGreekSensiPnlVectorForTaylorVarNative
in interfaceIGreekSensiCubeMeasureConfig
- Overrides:
getGreekSensiPnlVectorForTaylorVarNative
in classAGreekSensiCubeMeasureNames
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