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

Class ACopperWPostProcessor

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperWPostProcessor

Direct Known Subclasses:

CopperWEsPostProcessor, CopperWEtgPostProcessors, CopperWVaEPostProcessors, CopperWVaRPostProcessor

@Configuration
public class ACopperWPostProcessor
extends Object

Field Summary

Fields

Modifier and Type	Field	Description
protected IWeightedTailMeasureCalc	weightedTailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
ACopperWPostProcessor()

Method Summary

Modifier and Type	Method	Description
protected com.activeviam.copper.api.CopperMeasure	incremental(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure childVector, com.activeviam.copper.api.CopperMeasure parentVector, double confidenceLevel)
protected com.activeviam.copper.api.CopperMeasure	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	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	indices(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	lambdaValue()
protected com.activeviam.copper.api.CopperMeasure	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	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	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	measure(IWeightedTailMeasureCalc.CalcType type, com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure quantile)	Description with parametrized confidence level confidence level

Methods inherited from class java.lang.Object

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

Field Detail

weightedTailMeasureCalc

@Autowired
protected IWeightedTailMeasureCalc weightedTailMeasureCalc

Constructor Detail

ACopperWPostProcessor

public ACopperWPostProcessor()

Method Detail

lambdaValue

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

measure

protected com.activeviam.copper.api.CopperMeasure measure(IWeightedTailMeasureCalc.CalcType type,
                                                          com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          com.activeviam.copper.api.CopperMeasure quantile)

Description with parametrized confidence level confidence level

Parameters:

type - calculation type

underlyingMeasure - underlying measure

quantile - the quantile measure

Returns:

measure

measure

protected com.activeviam.copper.api.CopperMeasure measure(IWeightedTailMeasureCalc.CalcType type,
                                                          com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          double confidenceLevel)

Description with parametrized confidence level confidence level

Parameters:

type - calculation type

underlyingMeasure - underlying measure

confidenceLevel - confidence level value

Returns:

measure

indices

protected com.activeviam.copper.api.CopperMeasure indices(IWeightedTailMeasureCalc.CalcType type,
                                                          com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          com.activeviam.copper.api.CopperMeasure quantile)

Description with parametrized confidence level confidence level

Parameters:

type - calculation type

underlyingMeasure - underlying measure

quantile - the quantile measure

Returns:

measure

indices

protected com.activeviam.copper.api.CopperMeasure indices(IWeightedTailMeasureCalc.CalcType type,
                                                          com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                          double confidenceLevel)

Description with parametrized confidence level confidence level

Parameters:

type - calculation type

underlyingMeasure - underlying measure

confidenceLevel - confidence level value

Returns:

measure

incremental

protected com.activeviam.copper.api.CopperMeasure incremental(IWeightedTailMeasureCalc.CalcType type,
                                                              com.activeviam.copper.api.CopperMeasure childVector,
                                                              com.activeviam.copper.api.CopperMeasure parentVector,
                                                              com.activeviam.copper.api.CopperMeasure quantile)

incremental

protected com.activeviam.copper.api.CopperMeasure incremental(IWeightedTailMeasureCalc.CalcType type,
                                                              com.activeviam.copper.api.CopperMeasure childVector,
                                                              com.activeviam.copper.api.CopperMeasure parentVector,
                                                              double confidenceLevel)

lEstimator

protected com.activeviam.copper.api.CopperMeasure 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

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,
                                                             IWeightedTailMeasureCalc.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