Package com.activeviam.risk.starter.utils

Class ExtendedPnLExplainFormulaProvider

java.lang.Object

com.activeviam.risk.core.utils.PnLExplainFormulaProvider

com.activeviam.risk.starter.utils.ExtendedPnLExplainFormulaProvider

All Implemented Interfaces:

IPnLExplainFormulaProvider

public class ExtendedPnLExplainFormulaProvider
extends PnLExplainFormulaProvider

Field Summary

Fields

Modifier and Type	Field	Description
static String	VARIANCE_TO_VOLATILITY
static String	VOLATILITY_TO_VARIANCE

Fields inherited from class com.activeviam.risk.core.utils.PnLExplainFormulaProvider

ABSOLUTE, DHS, FORMULA_RULE, INTERPOLATION_FLAG, RELATIVE

Constructor Summary

Constructors

Constructor	Description
ExtendedPnLExplainFormulaProvider(org.springframework.core.env.Environment environment)

Method Summary

Modifier and Type	Method	Description
com.quartetfs.fwk.impl.Pair<Double,String>	computeInterpolatedMarketDataForTriDimensionalVectorisedSensitivities(com.qfs.vector.IVector finalQuote, Map.Entry<Double,Integer> tenor, TreeMap<Double,Integer> inputTenors, Map.Entry<Double,Integer> maturity, TreeMap<Double,Integer> inputMaturities, Map.Entry<Double,Integer> moneyness, TreeMap<Double,Integer> inputMoneyness, BiFunction<Double,Double,Double> preInterpolationCalcTenors, BiFunction<Double,Double,Double> postInterpolationCalcTenors, BiFunction<Double,Double,Double> preInterpolationCalcMaturities, BiFunction<Double,Double,Double> postInterpolationCalcMaturities, BiFunction<Double,Double,Double> preInterpolationCalcMoneyness, BiFunction<Double,Double,Double> postInterpolationCalcMoneyness, boolean enableDebugString)	Computes the interpolation of market daa in the case of a vectorised 3D-sensitivity
com.quartetfs.fwk.impl.Pair<Double,String>	getMarketDataValueForScalarInterpolation(MarketPrice marketDataRecord, List<String> pos, int[] interpolationOrder)	Retrieves the market data from a MarketPrice record
BiFunction<Double,Double,Double>	getPostInterpolationFunction(String sensitivityName, String riskClass, int axis)
BiFunction<Double,Double,Double>	getPostMarketDataInterpolationFunction(com.quartetfs.biz.pivot.query.IQueryCache cache, int axisIndex, String sensitivityName, String riskClass)	Retrieves a function that performs a calculation on the market data for a given axis after interpolation of market data is done
BiFunction<Double,Double,Double>	getPreInterpolationFunction(String sensitivityName, String riskClass, int axis)
BiFunction<Double,Double,Double>	getPreMarketDataInterpolationFunction(com.quartetfs.biz.pivot.query.IQueryCache cache, int axisIndex, String sensitivityName, String riskClass)	Retrieves a function that performs a calculation on the market data for a given axis before interpolation of market data is done
protected String	getPrePostInterpolationCalculationMethod(String sensitivityName, String riskClass, String prefix, int axis)
BiFunction<Double,Double,Double>	varianceToVolatilityFunction()
BiFunction<Double,Double,Double>	volatilityToVarianceFunction()

Methods inherited from class com.activeviam.risk.core.utils.PnLExplainFormulaProvider

absoluteFunctionPnL, absoluteFunctionVaR, computeInterpolatedMarketDataForBiDimensionalVectorisedSensitivities, computeInterpolatedMarketDataForSingleDimensionalVectorisedSensitivities, dhsFunction, getCalculationMethod, getEnvironment, getMarketDataInterpolationFlag, getMarketDataInterpolationFlag, getPnlExplainFormula, getPnlExplainFormula, getVaRExplainFormula, getVaRExplainFormula, relativeFunctionPnL, relativeFunctionVaR

Methods inherited from class java.lang.Object

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

Field Detail

VOLATILITY_TO_VARIANCE

public static String VOLATILITY_TO_VARIANCE

VARIANCE_TO_VOLATILITY

public static String VARIANCE_TO_VOLATILITY

Constructor Detail

ExtendedPnLExplainFormulaProvider

public ExtendedPnLExplainFormulaProvider(org.springframework.core.env.Environment environment)

Method Detail

getPreMarketDataInterpolationFunction

public BiFunction<Double,Double,Double> getPreMarketDataInterpolationFunction(com.quartetfs.biz.pivot.query.IQueryCache cache,
                                                                                          int axisIndex,
                                                                                          String sensitivityName,
                                                                                          String riskClass)

Description copied from interface: IPnLExplainFormulaProvider

Retrieves a function that performs a calculation on the market data for a given axis before interpolation of market data is done

Specified by:

getPreMarketDataInterpolationFunction in interface IPnLExplainFormulaProvider

Overrides:

getPreMarketDataInterpolationFunction in class PnLExplainFormulaProvider

Parameters:

cache - cache

axisIndex - index of the axis

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function that takes as parameter (double market data)

getPostMarketDataInterpolationFunction

public BiFunction<Double,Double,Double> getPostMarketDataInterpolationFunction(com.quartetfs.biz.pivot.query.IQueryCache cache,
                                                                                           int axisIndex,
                                                                                           String sensitivityName,
                                                                                           String riskClass)

Description copied from interface: IPnLExplainFormulaProvider

Retrieves a function that performs a calculation on the market data for a given axis after interpolation of market data is done

Specified by:

getPostMarketDataInterpolationFunction in interface IPnLExplainFormulaProvider

Overrides:

getPostMarketDataInterpolationFunction in class PnLExplainFormulaProvider

Parameters:

cache - cache

axisIndex - index of the axis

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function that takes as parameter (double market data)

getPrePostInterpolationCalculationMethod

protected String getPrePostInterpolationCalculationMethod(String sensitivityName,
                                                          String riskClass,
                                                          String prefix,
                                                          int axis)

getPreInterpolationFunction

public BiFunction<Double,Double,Double> getPreInterpolationFunction(String sensitivityName,
                                                                                String riskClass,
                                                                                int axis)

getPostInterpolationFunction

public BiFunction<Double,Double,Double> getPostInterpolationFunction(String sensitivityName,
                                                                                 String riskClass,
                                                                                 int axis)

volatilityToVarianceFunction

public BiFunction<Double,Double,Double> volatilityToVarianceFunction()

varianceToVolatilityFunction

public BiFunction<Double,Double,Double> varianceToVolatilityFunction()

computeInterpolatedMarketDataForTriDimensionalVectorisedSensitivities

public com.quartetfs.fwk.impl.Pair<Double,String> computeInterpolatedMarketDataForTriDimensionalVectorisedSensitivities(com.qfs.vector.IVector finalQuote,
                                                                                                                              Map.Entry<Double,Integer> tenor,
                                                                                                                              TreeMap<Double,Integer> inputTenors,
                                                                                                                              Map.Entry<Double,Integer> maturity,
                                                                                                                              TreeMap<Double,Integer> inputMaturities,
                                                                                                                              Map.Entry<Double,Integer> moneyness,
                                                                                                                              TreeMap<Double,Integer> inputMoneyness,
                                                                                                                              BiFunction<Double,Double,Double> preInterpolationCalcTenors,
                                                                                                                              BiFunction<Double,Double,Double> postInterpolationCalcTenors,
                                                                                                                              BiFunction<Double,Double,Double> preInterpolationCalcMaturities,
                                                                                                                              BiFunction<Double,Double,Double> postInterpolationCalcMaturities,
                                                                                                                              BiFunction<Double,Double,Double> preInterpolationCalcMoneyness,
                                                                                                                              BiFunction<Double,Double,Double> postInterpolationCalcMoneyness,
                                                                                                                              boolean enableDebugString)

Description copied from interface: IPnLExplainFormulaProvider

Computes the interpolation of market daa in the case of a vectorised 3D-sensitivity

Specified by:

computeInterpolatedMarketDataForTriDimensionalVectorisedSensitivities in interface IPnLExplainFormulaProvider

Overrides:

computeInterpolatedMarketDataForTriDimensionalVectorisedSensitivities in class PnLExplainFormulaProvider

Parameters:

finalQuote - The IVector containing the market data

tenor - The map of all the tenors

inputTenors - The map of tenors corresponding to the market data entry

maturity - The map of all the maturities

inputMaturities - The map of maturities corresponding to the market data entry

moneyness - The map of all the moneyness values

inputMoneyness - The map of moneyness values corresponding to the market data entry

preInterpolationCalcTenors - The function computed before the interpolation of market data is performed on the tenor axis

postInterpolationCalcTenors - The function computed after the interpolation of market data is performed on the tenor axis

preInterpolationCalcMaturities - The function computed before the interpolation of market data is performed on the maturity axis

postInterpolationCalcMaturities - The function computed after the interpolation of market data is performed on the maturity axis

preInterpolationCalcMoneyness - The function computed before the interpolation of market data is performed on the moneyness axis

postInterpolationCalcMoneyness - The function computed after the interpolation of market data is performed on the moneyness axis

enableDebugString - Flag used to enable the generation of a debug string for market data interpolation. If set to 'true', the string is generated, if set to 'false', it is not generated

Returns:

A Pair<Double, String> containing the interpolated market data on the left-hand side and the interpolation debug string on the right-hand side

getMarketDataValueForScalarInterpolation

public com.quartetfs.fwk.impl.Pair<Double,String> getMarketDataValueForScalarInterpolation(MarketPrice marketDataRecord,
                                                                                                 List<String> pos,
                                                                                                 int[] interpolationOrder)

Description copied from interface: IPnLExplainFormulaProvider

Retrieves the market data from a MarketPrice record

Specified by:

getMarketDataValueForScalarInterpolation in interface IPnLExplainFormulaProvider

Overrides:

getMarketDataValueForScalarInterpolation in class PnLExplainFormulaProvider

Parameters:

marketDataRecord - The market price record

pos - A list representing the position of the market daa to retrieve on each axis

interpolationOrder - Order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.

Returns:

A Pair<Double, String> containing the market data (interpolated if interpolation is enabled) on the left-hand side and the interpolation debug string on the right-hand side