Package com.activeviam.risk.core.constants

Class RiskConfigProperties

  • public class RiskConfigProperties
extends Object
    Properties used in MRA config

    • Field Detail

      • VAR_CONFIDENCE_DEFAULT_VALUE

        public static final String VAR_CONFIDENCE_DEFAULT_VALUE
        Default value of VaR confidence level
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      • WEIGHTED_VAR_LAMBDA_DEFAULT_VALUE

        public static final String WEIGHTED_VAR_LAMBDA_DEFAULT_VALUE
        Default value of weighted VaR lambda value
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      • VAE_CONFIDENCE_DEFAULT_VALUE

        public static final String VAE_CONFIDENCE_DEFAULT_VALUE
        Default value of VaE confidence level
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      • ES_CONFIDENCE_DEFAULT_VALUE

        public static final String ES_CONFIDENCE_DEFAULT_VALUE
        Default value of ES confidence level
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      • ETG_CONFIDENCE_DEFAULT_VALUE

        public static final String ETG_CONFIDENCE_DEFAULT_VALUE
        Default value of ETG confidence level
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      • CVAR_REGRESSION_LENGTH

        public static final String CVAR_REGRESSION_LENGTH
        Default value of regression length for component VaR
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      • AVAILABLE_TENOR_SETS_PROPERTY

        public static final String AVAILABLE_TENOR_SETS_PROPERTY
        Property defining the available sets of tenors for dynamic bucketing. Must match input in DynamicTenors.csv
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      • AVAILABLE_MATURITY_SETS_PROPERTY

        public static final String AVAILABLE_MATURITY_SETS_PROPERTY
        Property defining the available sets of maturities for dynamic bucketing. Must match input in DynamicMaturities.csv
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      • AVAILABLE_MONEYNESS_SETS_PROPERTY

        public static final String AVAILABLE_MONEYNESS_SETS_PROPERTY
        Property defining the available sets of maturities for dynamic bucketing. Must match input in DynamicMaturities.csv
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      • DAYS_IN_WEEK_PROPERTY

        public static final String DAYS_IN_WEEK_PROPERTY
        Property defining the number of days in a week for bucketing purposes.
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      • MARKET_DATA_SET_PROPERTY

        public static final String MARKET_DATA_SET_PROPERTY
        Property defining the default market data set.
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      • ROUNDING_DEFAULT_VALUE_PROPERTY

        public static final String ROUNDING_DEFAULT_VALUE_PROPERTY
        Property defining the default rounding method
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      • QUANTILE_2_RANK_DEFAULT_VALUE_PROPERTY

        public static final String QUANTILE_2_RANK_DEFAULT_VALUE_PROPERTY
        Property defining the default quantile2Rank
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      • DAYS_IN_MONTH_PROPERTY

        public static final String DAYS_IN_MONTH_PROPERTY
        Property defining the number of days in a month for bucketing purposes.
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      • DAYS_IN_YEAR_PROPERTY

        public static final String DAYS_IN_YEAR_PROPERTY
        Property defining the number of days in a year for bucketing purposes.
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      • PNL_VECTOR_SIZE

        public static final String PNL_VECTOR_SIZE
        Property defining the PnL vector size for setting context value maximum values.
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      • WEIGHTED_VAR_PNL_OLDEST_FIRST

        public static final String WEIGHTED_VAR_PNL_OLDEST_FIRST
        Flag for weighted measures to specify whether the historical PnL vectors input contain the oldest PnL data at index 0 (in that case the flag is set to: true) or whether it contains the most recent PnL data at index 0 (in that case the flag is set to: false)
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      • INTERPOLATE_MARKET_SHIFTS

        public static final String INTERPOLATE_MARKET_SHIFTS
        Flag used to enable or disable interpolation of market data for Taylor VaR
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    • Constructor Detail

      • RiskConfigProperties

        public RiskConfigProperties()