Package com.activeviam.risk.core.postprocessor.impl

Class ACopperPostProcessor

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor

Direct Known Subclasses:

CopperESPostProcessors, CopperETGPostProcessor, CopperVaEPostProcessor, CopperVaRPostProcessors

@Configuration
public class ACopperPostProcessor
extends Object

Field Summary

Fields

Modifier and Type	Field	Description
protected ITailMeasureCalc	tailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
ACopperPostProcessor()

Method Summary

Modifier and Type	Method	Description
protected double	getVaRTimePeriod(IVaRTimePeriod varTimePeriodContext)
protected com.activeviam.copper.api.CopperMeasure	incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Calculate the incremental VaR between two measures
protected com.activeviam.copper.api.CopperMeasure	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 measures
com.activeviam.copper.api.CopperMeasure	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	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	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 measures
protected com.activeviam.copper.api.CopperMeasure	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 measures
protected com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel, ITailMeasureCalc.CalcType kind)	Description with fixed confidence level
protected com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile, ITailMeasureCalc.CalcType kind)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	timePeriod()

Methods inherited from class java.lang.Object

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

Field Detail

tailMeasureCalc

@Autowired
protected ITailMeasureCalc tailMeasureCalc

Constructor Detail

ACopperPostProcessor

public ACopperPostProcessor()

Method Detail

timePeriod

@Bean
public com.activeviam.copper.api.CopperMeasure timePeriod()

getVaRTimePeriod

protected double getVaRTimePeriod(IVaRTimePeriod varTimePeriodContext)

measure

protected com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          double confidenceLevel,
                                                          ITailMeasureCalc.CalcType kind)

Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

kind - type of computation

Returns:

measure

measure

protected com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          com.activeviam.copper.api.CopperMeasure quantile,
                                                          ITailMeasureCalc.CalcType kind)

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

quantile - quantile

kind - type of computation

Returns:

measure

indices

public com.activeviam.copper.api.CopperMeasure indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                       double confidenceLevel,
                                                       ITailMeasureCalc.CalcType kind)

Calculates the indices for a given PnL vector. Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

kind - type of computation

Returns:

measure

indices

public com.activeviam.copper.api.CopperMeasure indices(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                       com.activeviam.copper.api.CopperMeasure quantile,
                                                       ITailMeasureCalc.CalcType kind)

Calculates the indices for a given PnL vector. Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

quantile - quantile

kind - type of computation

Returns:

measure

incremental

protected com.activeviam.copper.api.CopperMeasure incremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                              com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                              double confidenceLevel,
                                                              ITailMeasureCalc.CalcType kind)

Calculate the incremental VaR between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

kind - type of computation

Returns:

The VaR

incremental

protected com.activeviam.copper.api.CopperMeasure 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 measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

quantile - quantile

kind - type of computation

Returns:

The VaR

lEstimator

protected com.activeviam.copper.api.CopperMeasure 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 measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

kind - type of computation

Returns:

The VaR

lEstimator

protected com.activeviam.copper.api.CopperMeasure 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 measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

quantile - quantile

kind - type of computation

Returns:

The VaR