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

Class AScalarPnLExplainPostProcessor

java.lang.Object

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<LeafType,OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<Double,Double>

com.activeviam.risk.core.postprocessor.impl.AScalarPnLExplainPostProcessor

All Implemented Interfaces:

IInputSelectorAware, IPnLExplainFormulaProviderAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<Double>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

Direct Known Subclasses:

ScalarPnLExplainCrossPostProcessor, ScalarPnLExplainPostProcessor

public abstract class AScalarPnLExplainPostProcessor
extends com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<Double,Double>
implements IPnLExplainFormulaProviderAware, IInputSelectorAware

Post-processor used to get PnL approximation for Delta, Gamma and Vega.

See Also:

Serialized Form

Nested Class Summary

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

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor.TransformationProcedure

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor.DynamicAggregationPostProcessorPrefetcher

Field Summary

Fields

Modifier and Type	Field	Description
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	asOfDateLevelInfo
static String	DATE_LEVELS
protected IInputSelector	inputSelector
protected IPnLExplainFormulaProvider	pnLExplainFormulaProvider
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskClassLevelInfo
protected String	sensitivityKind
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	sensitivityNameLevelInfo

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

AGGREGATION_FUNCTION, aggregationFunction, DYNAMIC_AGGREGATION_POST_PROCESSOR_PREFETCHER, hierarchiesInfo, isPartitionedOnRangeLevels, LEAF_LEVELS, LEAF_TYPE, leafLevelsInfo, leafType, partitioningLevelsInfo

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.IInputSelectorAware

PROPERTY_NAME

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

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

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

PROPERTY_NAME

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

Method Summary

Modifier and Type	Method	Description
void	init(Properties properties)	The level corresponding to the risk class needs to be present in the configuration of the post-processor.
void	setInputSelector(IInputSelector selector)	Set the implementation of IInputSelector
void	setPnLExplainFormulaProvider(IPnLExplainFormulaProvider pnLExplainFormulaProvider)	Set the implementation of IPnLExplainFormulaProvider
protected static String	toStringList(String[] levels)
protected static String	toStringList(String[][] levels, CharSequence stop)

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

createLeafEvaluationProcedure, evaluateLeaf, evaluateLeaf

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

checkLeafType, checkPrefetchers, compute, computeLeafType, computeLeafTypeFromGenericType, computePartitioningLevels, computePrefetchFilter, createAggregationFunction, createPrefetchers, getAggregationFunction, getHierarchiesInfo, getLeafLevelsInfo, getLeafType, getTypeFromLiteralType, handleNoLeafLevel, initializeLeafLevels, initializeUnderlyingMeasures, reduce, reduceLeavesAndContribute, retrieveLeaves, 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_LEVELS

public static final String DATE_LEVELS

See Also:

Constant Field Values

inputSelector

protected transient IInputSelector inputSelector

pnLExplainFormulaProvider

protected transient IPnLExplainFormulaProvider pnLExplainFormulaProvider

sensitivityKind

protected String sensitivityKind

riskClassLevelInfo

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

asOfDateLevelInfo

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

sensitivityNameLevelInfo

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

Constructor Detail

AScalarPnLExplainPostProcessor

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

Method Detail

toStringList

protected static String toStringList(String[] levels)

toStringList

protected static String toStringList(String[][] levels,
                                     CharSequence stop)

init

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

The level corresponding to the risk class needs to be present in the configuration of the post-processor.

• Risk class: its value is the string risk class, e.g.
  "RiskClass@Risk Classes@Risk"

Specified by:

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

Overrides:

init in class com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<Double,Double>

Throws:

com.quartetfs.fwk.QuartetException

setPnLExplainFormulaProvider

public void setPnLExplainFormulaProvider(IPnLExplainFormulaProvider pnLExplainFormulaProvider)

Description copied from interface: IPnLExplainFormulaProviderAware

Set the implementation of IPnLExplainFormulaProvider

Specified by:

setPnLExplainFormulaProvider in interface IPnLExplainFormulaProviderAware

Parameters:

pnLExplainFormulaProvider - the implementation of IPnLExplainFormulaProvider

setInputSelector

public void setInputSelector(IInputSelector selector)

Description copied from interface: IInputSelectorAware

Set the implementation of IInputSelector

Specified by:

setInputSelector in interface IInputSelectorAware

Parameters:

selector - the implementation of IInputSelector