Package com.activeviam.risk.core.calc

Interface ITailMeasureCalc

All Known Implementing Classes:

ATailMeasureCalc, TailMeasureCalc

public interface ITailMeasureCalc

Functions for calculating tail measures. This interface is injected into the post-processors to aid in calculating the Expected Shortfall, Value at Risk and Value at Earning tail measures.

Post-processors that expect implementations of this interface to be injected implement the ITailMeasureCalcAware interface.

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static class	ITailMeasureCalc.CalcType

Method Summary

Modifier and Type	Method	Description
Integer[]	getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Return an array of the indices in the vector that contribute to the VaR/ES.
Double	getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the l-estimator (for VaR or ES) of the PnL vector for the quantile, given the reference PnL vector.
Double	getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double quantile, String roundingMethod, String quantile2Rank)	Calculate the VaR, ES or VaE of the PnL vector for the quantile.

Method Detail

getTailMeasure

Double getTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot,
                      com.qfs.store.IDatastoreVersion datastore,
                      ITailMeasureCalc.CalcType type,
                      com.qfs.vector.IVector pnl,
                      double quantile,
                      String roundingMethod,
                      String quantile2Rank)

Calculate the VaR, ES or VaE of the PnL vector for the quantile.

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES", "VaR" or "VaE"

pnl - The PnL vector.

quantile - The quantile for the ES, VaR or VaE between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The tail measure (i.e. VaR, ES or VaE value of the vector for the quantile).

getIndices

Integer[] getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot,
                     com.qfs.store.IDatastoreVersion datastore,
                     ITailMeasureCalc.CalcType type,
                     com.qfs.vector.IVector pnl,
                     double quantile,
                     String roundingMethod,
                     String quantile2Rank)

Return an array of the indices in the vector that contribute to the VaR/ES.

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES" or "VaR".

pnl - The PnL vector.

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The array of vector indices.

getLEstimator

Double getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot,
                     com.qfs.store.IDatastoreVersion datastore,
                     ITailMeasureCalc.CalcType type,
                     com.qfs.vector.IVector referencePnl,
                     com.qfs.vector.IVector pnl,
                     double quantile,
                     String roundingMethod,
                     String quantile2Rank)

Calculate the l-estimator (for VaR or ES) of the PnL vector for the quantile, given the reference PnL vector.

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES" or "VaR".

referencePnl - The aggregate PnL vector at the reference level.

pnl - The PnL vector for the current sub-portfolio.

quantile - The quantile for the ES or VaR, between 0 and 1 (equals 1 minus the confidence level).

roundingMethod - String representing the rounding for the computation of the index(es) corresponding to the confidence level

quantile2Rank - String representing the method used to compute the quantile

Returns:

The l-estimator value.