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

Class VarESCubeMeasureBuilders

java.lang.Object

com.activeviam.risk.starter.cfg.pivot.builders.var.VarESCubeMeasureBuilders

@Configuration
public class VarESCubeMeasureBuilders
extends Object

Helper methods for the definition of VaR and ES measures

Constructor Summary

Constructors

Constructor	Description
VarESCubeMeasureBuilders()

Method Summary

Modifier and Type	Method	Description
void	buildBookCountMeasure(com.activeviam.copper.ICopperContext context)
void	buildContextualMeasures(com.activeviam.copper.ICopperContext context, MetricConfiguration configuration, boolean isTradeLevel)
void	buildContextualRiskClassDistributionMeasures(com.activeviam.copper.ICopperContext context, String riskClass)
void	buildContextualRiskClassMeasures(com.activeviam.copper.ICopperContext context, MetricConfiguration configuration, String riskClass)
void	buildContextualVaEMeasures(com.activeviam.copper.ICopperContext context)
void	buildFixedConfidenceMeasures(com.activeviam.copper.ICopperContext context, MetricConfiguration configuration, String confidenceLevel)
void	buildRiskClassFixedConfidenceMeasures(com.activeviam.copper.ICopperContext context, MetricConfiguration configuration, String riskClass, String confidenceLevel)
void	buildTradeCountMeasure(com.activeviam.copper.ICopperContext context)
void	buildVaRFXVectorParentValueMeasure(com.activeviam.copper.ICopperContext context, String name, String hierarchy)
void	buildVaRRiskClassVectorMeasure(com.activeviam.copper.ICopperContext context, String riskClass)
com.activeviam.copper.api.CopperMeasure	getComponent(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	getComponent(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, String roundingMethod, String quantile2Rank)
com.activeviam.copper.api.CopperMeasure	getComponentDelta(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure varDtD, com.activeviam.copper.api.CopperMeasure topPnL, com.activeviam.copper.api.CopperMeasure childPnL, com.activeviam.copper.api.CopperHierarchy asOfDataLevel)
com.activeviam.copper.api.CopperMeasure	getIncrementalPostProcessor(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	getIncrementalPostProcessor(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	getIndicesPostProcessor(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure varFxVector)
com.activeviam.copper.api.CopperMeasure	getIndicesPostProcessor(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure varFxVector, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	getLeEstimator(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	getLeEstimator(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	getTailMeasure(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure)
com.activeviam.copper.api.CopperMeasure	getTailMeasure(MetricConfiguration.MetricKind kind, com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

VarESCubeMeasureBuilders

public VarESCubeMeasureBuilders()

Method Detail

buildVaRFXVectorParentValueMeasure

public void buildVaRFXVectorParentValueMeasure(com.activeviam.copper.ICopperContext context,
                                               String name,
                                               String hierarchy)

buildVaRRiskClassVectorMeasure

public void buildVaRRiskClassVectorMeasure(com.activeviam.copper.ICopperContext context,
                                           String riskClass)

buildContextualRiskClassDistributionMeasures

public void buildContextualRiskClassDistributionMeasures(com.activeviam.copper.ICopperContext context,
                                                         String riskClass)

buildContextualVaEMeasures

public void buildContextualVaEMeasures(com.activeviam.copper.ICopperContext context)

buildTradeCountMeasure

public void buildTradeCountMeasure(com.activeviam.copper.ICopperContext context)

buildBookCountMeasure

public void buildBookCountMeasure(com.activeviam.copper.ICopperContext context)

buildContextualMeasures

public void buildContextualMeasures(com.activeviam.copper.ICopperContext context,
                                    MetricConfiguration configuration,
                                    boolean isTradeLevel)

buildContextualRiskClassMeasures

public void buildContextualRiskClassMeasures(com.activeviam.copper.ICopperContext context,
                                             MetricConfiguration configuration,
                                             String riskClass)

buildFixedConfidenceMeasures

public void buildFixedConfidenceMeasures(com.activeviam.copper.ICopperContext context,
                                         MetricConfiguration configuration,
                                         String confidenceLevel)

buildRiskClassFixedConfidenceMeasures

public void buildRiskClassFixedConfidenceMeasures(com.activeviam.copper.ICopperContext context,
                                                  MetricConfiguration configuration,
                                                  String riskClass,
                                                  String confidenceLevel)

getTailMeasure

public com.activeviam.copper.api.CopperMeasure getTailMeasure(MetricConfiguration.MetricKind kind,
                                                              com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              double confidenceLevel)

getTailMeasure

public com.activeviam.copper.api.CopperMeasure getTailMeasure(MetricConfiguration.MetricKind kind,
                                                              com.activeviam.copper.api.CopperMeasure underlyingMeasure)

getIndicesPostProcessor

public com.activeviam.copper.api.CopperMeasure getIndicesPostProcessor(MetricConfiguration.MetricKind kind,
                                                                       com.activeviam.copper.api.CopperMeasure varFxVector,
                                                                       double confidenceLevel)

getIndicesPostProcessor

public com.activeviam.copper.api.CopperMeasure getIndicesPostProcessor(MetricConfiguration.MetricKind kind,
                                                                       com.activeviam.copper.api.CopperMeasure varFxVector)

getIncrementalPostProcessor

public com.activeviam.copper.api.CopperMeasure getIncrementalPostProcessor(MetricConfiguration.MetricKind kind,
                                                                           com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                           com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                                           double confidenceLevel)

getIncrementalPostProcessor

public com.activeviam.copper.api.CopperMeasure getIncrementalPostProcessor(MetricConfiguration.MetricKind kind,
                                                                           com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                           com.activeviam.copper.api.CopperMeasure parentMeasure)

getLeEstimator

public com.activeviam.copper.api.CopperMeasure getLeEstimator(MetricConfiguration.MetricKind kind,
                                                              com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                              double confidenceLevel)

getLeEstimator

public com.activeviam.copper.api.CopperMeasure getLeEstimator(MetricConfiguration.MetricKind kind,
                                                              com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure)

getComponent

public com.activeviam.copper.api.CopperMeasure getComponent(MetricConfiguration.MetricKind kind,
                                                            com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                            com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                            double confidenceLevel,
                                                            String roundingMethod,
                                                            String quantile2Rank)

getComponent

public com.activeviam.copper.api.CopperMeasure getComponent(MetricConfiguration.MetricKind kind,
                                                            com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                            com.activeviam.copper.api.CopperMeasure parentMeasure)

getComponentDelta

public com.activeviam.copper.api.CopperMeasure getComponentDelta(MetricConfiguration.MetricKind kind,
                                                                 com.activeviam.copper.api.CopperMeasure varDtD,
                                                                 com.activeviam.copper.api.CopperMeasure topPnL,
                                                                 com.activeviam.copper.api.CopperMeasure childPnL,
                                                                 com.activeviam.copper.api.CopperHierarchy asOfDataLevel)