Uses of Class
com.activeviam.risk.core.calc.IWeightedTailMeasureCalc.CalcType

Packages that use IWeightedTailMeasureCalc.CalcType

Package	Description
com.activeviam.risk.core.calc
com.activeviam.risk.core.postprocessor.impl
com.activeviam.risk.ref.calc.impl

Uses of IWeightedTailMeasureCalc.CalcType in com.activeviam.risk.core.calc

Methods in com.activeviam.risk.core.calc that return IWeightedTailMeasureCalc.CalcType

Modifier and Type	Method	Description
static IWeightedTailMeasureCalc.CalcType	IWeightedTailMeasureCalc.CalcType.valueOf(String name)	Returns the enum constant of this type with the specified name.
static IWeightedTailMeasureCalc.CalcType[]	IWeightedTailMeasureCalc.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 IWeightedTailMeasureCalc.CalcType

Modifier and Type	Method	Description
Integer[]	IWeightedTailMeasureCalc.getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Return an array of the indices in the vector that contribute to the weighted VaR/ES.
Double	IWeightedTailMeasureCalc.getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Calculate the contribution to the VaR, ES, VaE or ETG of the PnL vector for the quantile.
Double	IWeightedTailMeasureCalc.getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Calculate the VaR, ES, VaE or ETG of the PnL vector for the quantile.

Uses of IWeightedTailMeasureCalc.CalcType in com.activeviam.risk.core.postprocessor.impl

Methods in com.activeviam.risk.core.postprocessor.impl with parameters of type IWeightedTailMeasureCalc.CalcType

Modifier and Type	Method	Description
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.incremental(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure childVector, com.activeviam.copper.api.CopperMeasure parentVector, double confidenceLevel)
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.incremental(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure childVector, com.activeviam.copper.api.CopperMeasure parentVector, com.activeviam.copper.api.CopperMeasure quantile)
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.indices(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with parametrized confidence level confidence level
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.indices(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile)	Description with parametrized confidence level confidence level
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.lEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, IWeightedTailMeasureCalc.CalcType kind)	Calculate the l-estimator VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.lEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, com.activeviam.copper.api.CopperMeasure quantile, IWeightedTailMeasureCalc.CalcType kind)	Calculate the l-estimator VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.measure(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with parametrized confidence level confidence level
protected com.activeviam.copper.api.CopperMeasure	ACopperWPostProcessor.measure(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile)	Description with parametrized confidence level confidence level

Uses of IWeightedTailMeasureCalc.CalcType in com.activeviam.risk.ref.calc.impl

Methods in com.activeviam.risk.ref.calc.impl with parameters of type IWeightedTailMeasureCalc.CalcType

Modifier and Type	Method	Description
Integer[]	WeightedTailMeasureCalc.getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Double	WeightedTailMeasureCalc.getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)
Double	WeightedTailMeasureCalc.getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Calculate the ES or VaR of the PnL vector for the quantile.