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

Class AMarketDataPostProcessor<T>

java.lang.Object

com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<T>

com.activeviam.risk.core.postprocessor.impl.AMarketDataPostProcessor<T>

All Implemented Interfaces:

ICustomParametersAware, IMarketDataRetrievalServiceAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<T>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<T>, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<T>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<T>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

Direct Known Subclasses:

MarketDataPostProcessor, ScalarMarketDataPostProcessor

public abstract class AMarketDataPostProcessor<T>
extends com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<T>
implements ICustomParametersAware, IMarketDataRetrievalServiceAware

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.BasicPostProcessorPrefetcher, com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.TransformationProcedure

Field Summary

Fields

Modifier and Type	Field	Description
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	asOfDateLevelInfo
static String	BUCKET_TYPES
protected BucketType[]	bucketTypes
protected ICustomParameters	customParameters
static String	DATE_INFO
static String	DEBUG_ID
protected String	debugId
protected Boolean	interpolation
static String	INTERPOLATION_FLAG
static String	KEY_LEAF_LEVELS
protected ICustomParameters.ILocationFunction	locationFunctionMD
protected ICustomParameters.ILocationFunction	locationFunctionSensi
static String	MARKET_DATA_STORE_NAME
protected IMarketDataRetrievalService	marketDataRetrievalService
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	marketDataSetLevelInfo
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskClassLevelInfo
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskFactorLevelInfo
static String	SENSITIVITY_NAME_PROPERTY
protected String	sensitivityKind
static String	TYPE_OF_MARKET_DATA
protected IMarketDataRetrievalService.MarketType	typeOfMarketData

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

aggregatedMeasureName, ANALYSIS_LEVELS_PROPERTY, analysisLevelsToExpand, continuousQueryHandlerKeys, derivedContextDependencies, evaluator, EVALUATOR, explicitContextDependencies, logger, measuresProvider, name, OUTPUT_TYPE, outputType, pivot, prefetchers, PRINT_TIMINGS, printTimings, properties, underlyingMeasures

Fields inherited from interface com.activeviam.risk.core.services.ICustomParametersAware

PROPERTY_NAME

Fields inherited from interface com.activeviam.risk.core.services.IMarketDataRetrievalServiceAware

PROPERTY_NAME

Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES

Constructor Summary

Constructors

Constructor	Description
AMarketDataPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)	Constructor

Method Summary

Modifier and Type	Method	Description
T	evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
protected abstract T	evaluate(com.quartetfs.biz.pivot.ILocation location, LocalDate asOfDate, String marketDataSet, String riskFactor, String riskClass, List<Object> leafCoordinatesSensi)
protected boolean	getEnableMDStringDebug()	If the service should generate debug string
protected double[]	getMarketData(com.quartetfs.biz.pivot.ILocation location, LocalDate asOfDate, String marketDataSet, String riskFactor, String riskClass, String sensitivityName, IMarketDataRetrievalService.IPillarSet[] ouputBuckets)	Call the market data service
static com.activeviam.desc.build.ICanStartBuildingMeasures.BuildablePostProcessorBuilder	getPostProcessorDescription(com.activeviam.desc.build.ICanStartBuildingMeasures builder, String plugInKey, String measureName, String underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String dateInfo, String sensitivityName, String marketDataStoreName, BucketType[] bucketTypes, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData, String interpolationDebugStringIdentifier, String formatter, String folder)	This will create a PP configuration
void	init(Properties properties)
static com.activeviam.copper.api.CopperPostProcessor	measure(String plugInKey, com.activeviam.copper.api.CopperMeasure underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String dateInfo, String sensitivityName, String marketDataStoreName, BucketType[] bucketTypes, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData, String interpolationDebugStringIdentifier)	This will create a PP configuration
void	setCustomParameters(ICustomParameters customParameters)
void	setMarketDataRetrievalService(IMarketDataRetrievalService marketDataRetrievalService)	Set the implementation of IMarketDataRetrievalService
protected LocalDate	stepDate(LocalDate date)	Step the as-of date forward or backwards according to dateProperty.

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, setPartitioningLevels, supportsAnalysisLevels

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

addContextDependency, checkInterruption, checkOutputType, computeNamePath, computeOutputType, createEvaluator, expandResult, getActivePivot, getContext, getContextDependencies, getContinuousQueryHandlerKeys, getCurrentMeasure, getDatastoreVersion, getDerivedContextDependencies, getExpansionProcedure, getGenericOutputType, getMeasuresProvider, getName, getOutputType, getOutputTypeFromGenericClassParameter, getOutputTypeFromProperties, getPrefetchers, getProperties, getQueryCache, getTypeFromClass, handleCircularDependency, handleNotSupportedAnalysisLevels, handleUnknownUnderlyingMeasure, hideEvaluator, initializeContinuousQueryHandlerKeys, removeAnalysisLevelsFromFilter, restrictLocationAnalysisLevels, retrieveAnalysisLevelsToExpand, retrieveNamedPrefetchAggregatesWithAnalysisLevels, retrievePrefetchAggregates, retrievePrefetchAggregatesWithAnalysisLevels, setAggregatedMeasureName, toString

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.quartetfs.fwk.types.IExtendedPluginValue

getType

Methods inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties

Field Detail

DATE_INFO

public static final String DATE_INFO

See Also:

Constant Field Values

MARKET_DATA_STORE_NAME

public static final String MARKET_DATA_STORE_NAME

See Also:

Constant Field Values

SENSITIVITY_NAME_PROPERTY

public static final String SENSITIVITY_NAME_PROPERTY

See Also:

Constant Field Values

DEBUG_ID

public static final String DEBUG_ID

See Also:

Constant Field Values

BUCKET_TYPES

public static final String BUCKET_TYPES

See Also:

Constant Field Values

KEY_LEAF_LEVELS

public static final String KEY_LEAF_LEVELS

See Also:

Constant Field Values

INTERPOLATION_FLAG

public static final String INTERPOLATION_FLAG

See Also:

Constant Field Values

TYPE_OF_MARKET_DATA

public static final String TYPE_OF_MARKET_DATA

See Also:

Constant Field Values

customParameters

protected transient ICustomParameters customParameters

marketDataRetrievalService

protected transient IMarketDataRetrievalService marketDataRetrievalService

locationFunctionMD

protected transient ICustomParameters.ILocationFunction locationFunctionMD

locationFunctionSensi

protected transient ICustomParameters.ILocationFunction locationFunctionSensi

sensitivityKind

protected String sensitivityKind

debugId

protected String debugId

interpolation

protected Boolean interpolation

typeOfMarketData

protected IMarketDataRetrievalService.MarketType typeOfMarketData

bucketTypes

protected BucketType[] bucketTypes

asOfDateLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo asOfDateLevelInfo

marketDataSetLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo marketDataSetLevelInfo

riskFactorLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskFactorLevelInfo

riskClassLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskClassLevelInfo

Constructor Detail

AMarketDataPostProcessor

public AMarketDataPostProcessor(String name,
                                com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Constructor

Parameters:

name - The name of the post-processor

creationContext - The creation context of this post-processor.

Method Detail

getPostProcessorDescription

public static com.activeviam.desc.build.ICanStartBuildingMeasures.BuildablePostProcessorBuilder getPostProcessorDescription(com.activeviam.desc.build.ICanStartBuildingMeasures builder,
                                                                                                                            String plugInKey,
                                                                                                                            String measureName,
                                                                                                                            String underlyingMeasures,
                                                                                                                            String asOfDateLevel,
                                                                                                                            String marketDataSetLevel,
                                                                                                                            String riskFactorLevel,
                                                                                                                            String riskClassLevel,
                                                                                                                            String dateInfo,
                                                                                                                            String sensitivityName,
                                                                                                                            String marketDataStoreName,
                                                                                                                            BucketType[] bucketTypes,
                                                                                                                            Boolean interpolation,
                                                                                                                            IMarketDataRetrievalService.MarketType typeOfMarketData,
                                                                                                                            String interpolationDebugStringIdentifier,
                                                                                                                            String formatter,
                                                                                                                            String folder)

This will create a PP configuration

Parameters:

builder - measure builder

plugInKey - The key of the PP

measureName - Name of the postprocessor

underlyingMeasures - The input measure for location reference

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor level

riskClassLevel - risk class level

dateInfo - date info

sensitivityName - sensitivity name

marketDataStoreName - market data store name

bucketTypes - bucket types

interpolation - force interpolation or not, can be null, for configured interpolation

typeOfMarketData - type of the returned market data : absolute, relative, raw(as is)

interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location

formatter - formatter

folder - Folder name of the metric, if not provider aka null measure is invisible

Returns:

post processor description

measure

public static com.activeviam.copper.api.CopperPostProcessor measure(String plugInKey,
                                                                    com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                                    String asOfDateLevel,
                                                                    String marketDataSetLevel,
                                                                    String riskFactorLevel,
                                                                    String riskClassLevel,
                                                                    String dateInfo,
                                                                    String sensitivityName,
                                                                    String marketDataStoreName,
                                                                    BucketType[] bucketTypes,
                                                                    Boolean interpolation,
                                                                    IMarketDataRetrievalService.MarketType typeOfMarketData,
                                                                    String interpolationDebugStringIdentifier)

This will create a PP configuration

Parameters:

plugInKey - The key of the PP

underlyingMeasures - The underlying measure

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor level

riskClassLevel - risk class level

dateInfo - date info

sensitivityName - sensitivity name

marketDataStoreName - market data store name

bucketTypes - bucket types

interpolation - force interpolation or not, can be null, for configured interpolation

typeOfMarketData - type of the returned market data : absolute, relative, raw(as is)

interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location

Returns:

measure builder

init

public void init(Properties properties)
          throws com.quartetfs.fwk.QuartetException

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<T>

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor<T>

Overrides:

init in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<T>

Throws:

com.quartetfs.fwk.QuartetException

stepDate

protected LocalDate stepDate(LocalDate date)

Step the as-of date forward or backwards according to dateProperty.

Parameters:

date - input date

Returns:

the target date

getEnableMDStringDebug

protected boolean getEnableMDStringDebug()

If the service should generate debug string

Returns:

true for debug string

evaluate

public T evaluate(com.quartetfs.biz.pivot.ILocation location,
                  Object[] underlyingMeasures)

Specified by:

evaluate in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<T>

Specified by:

evaluate in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<T>

evaluate

protected abstract T evaluate(com.quartetfs.biz.pivot.ILocation location,
                              LocalDate asOfDate,
                              String marketDataSet,
                              String riskFactor,
                              String riskClass,
                              List<Object> leafCoordinatesSensi)

getMarketData

protected double[] getMarketData(com.quartetfs.biz.pivot.ILocation location,
                                 LocalDate asOfDate,
                                 String marketDataSet,
                                 String riskFactor,
                                 String riskClass,
                                 String sensitivityName,
                                 IMarketDataRetrievalService.IPillarSet[] ouputBuckets)

Call the market data service

Parameters:

location - The current location

asOfDate - The current date

marketDataSet - The requested market data set

riskFactor - The requested risk factor / underlying

riskClass - The risk class of the risk factor

sensitivityName - The sensitivity name of the current evaluated sensi

ouputBuckets - The requested buckets map / pillars sets

Returns:

A vector of MD

setCustomParameters

public void setCustomParameters(ICustomParameters customParameters)

Specified by:

setCustomParameters in interface ICustomParametersAware

setMarketDataRetrievalService

public void setMarketDataRetrievalService(IMarketDataRetrievalService marketDataRetrievalService)

Description copied from interface: IMarketDataRetrievalServiceAware

Set the implementation of IMarketDataRetrievalService

Specified by:

setMarketDataRetrievalService in interface IMarketDataRetrievalServiceAware

Parameters:

marketDataRetrievalService - The service that will be injected