Uses of Class
com.activeviam.risk.core.calc.ITailMeasureCalc.CalcType
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Packages that use ITailMeasureCalc.CalcType Package Description com.activeviam.risk.core.calc com.activeviam.risk.core.postprocessor.impl com.activeviam.risk.ref.calc.impl -
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Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.core.calc
Methods in com.activeviam.risk.core.calc that return ITailMeasureCalc.CalcType Modifier and Type Method Description static ITailMeasureCalc.CalcType
ITailMeasureCalc.CalcType. valueOf(String name)
Returns the enum constant of this type with the specified name.static ITailMeasureCalc.CalcType[]
ITailMeasureCalc.CalcType. values()
Returns an array containing the constants of this enum type, in the order they are declared.Methods in com.activeviam.risk.core.calc with parameters of type ITailMeasureCalc.CalcType Modifier and Type Method Description Integer[]
ITailMeasureCalc. 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
ITailMeasureCalc. 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
ITailMeasureCalc. 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. -
Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.core.postprocessor.impl
Methods in com.activeviam.risk.core.postprocessor.impl with parameters of type ITailMeasureCalc.CalcType Modifier and Type Method Description protected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculate the incremental VaR between two measuresprotected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Calculate the incremental VaR between two measurescom.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculates the indices for a given PnL vector.com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Calculates the indices for a given PnL vector.protected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. lEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Calculate the l-estimator VaR between two measuresprotected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. lEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Calculate the l-estimator VaR between two measuresprotected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)
Description with fixed confidence levelprotected com.activeviam.copper.api.CopperMeasure
ACopperPostProcessor. measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)
Description with parametrized confidence level confidence level -
Uses of ITailMeasureCalc.CalcType in com.activeviam.risk.ref.calc.impl
Methods in com.activeviam.risk.ref.calc.impl with parameters of type ITailMeasureCalc.CalcType Modifier and Type Method Description Integer[]
ATailMeasureCalc. 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)
Double
ATailMeasureCalc. 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 VaR or ES L-estimator of the PnL vector for the quantile, given the reference PnL vector.protected IntStream
ATailMeasureCalc. getStreamOfIndices(ITailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double rank)
The stream is not in the same order depending if the top or the bottom is requested, always ascending, but wwe want from cutoff to tail.Double
ATailMeasureCalc. 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 ES or VaR of the PnL vector for the quantile.
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