Class AWeightedESPostProcessor<OutputType>
- java.lang.Object
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- com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>
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- com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<OutputType>
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- com.activeviam.risk.core.postprocessor.impl.AESPostProcessor<OutputType>
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- com.activeviam.risk.core.postprocessor.impl.AWeightedESPostProcessor<OutputType>
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- All Implemented Interfaces:
ITailMeasureCalcAware
,IWeightedTailMeasureCalcAware
,com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware
,com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<OutputType>
,com.quartetfs.biz.pivot.postprocessing.IEvaluator<OutputType>
,com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<OutputType>
,com.quartetfs.biz.pivot.postprocessing.IPostProcessor<OutputType>
,com.quartetfs.fwk.types.IExtendedPluginValue
,Serializable
- Direct Known Subclasses:
WeightedESIndicesPostProcessor
,WeightedESPostProcessor
public abstract class AWeightedESPostProcessor<OutputType> extends AESPostProcessor<OutputType> implements IWeightedTailMeasureCalcAware
This class handles the confidence level and the Calc IF- See Also:
- Serialized Form
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Field Summary
Fields Modifier and Type Field Description protected double
defaultLambda
protected boolean
isPnlOldestFirst
protected IWeightedTailMeasureCalc
weightedTailMeasureCalc
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Fields inherited from class com.activeviam.risk.core.postprocessor.impl.AESPostProcessor
defaultConfidence, FIXED_CONFIDENCE_LEVEL_PROPERTY, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc
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Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels
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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
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor
DEFAULT_PARTITIONING_ON_RANGE_LEVELS
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor
CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES
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Fields inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalcAware
PROPERTY_NAME
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Fields inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware
PROPERTY_NAME
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Constructor Summary
Constructors Constructor Description AWeightedESPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
Constructor
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description double
getLambdaValue()
Retrieves the lambda value from theWeightedVaRLambda
context value if it has been set, the default otherwise.double[]
getWeights(com.qfs.vector.IVector originalPnLs, double l)
Get array of weightings: Retrieve from query cache, or calculate based on lambda value.void
init(Properties properties)
void
setWeightedTailMeasureCalc(IWeightedTailMeasureCalc weightedTailMeasureCalc)
Set the implementation ofIWeightedTailMeasureCalc
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Methods inherited from class com.activeviam.risk.core.postprocessor.impl.AESPostProcessor
getConfidenceLevel, getVaRTimePeriod, setTailMeasureCalc
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Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, evaluate, initializeUnderlyingMeasures, reduce, setPartitioningLevels, supportsAnalysisLevels
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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
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Field Detail
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weightedTailMeasureCalc
protected transient IWeightedTailMeasureCalc weightedTailMeasureCalc
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defaultLambda
protected double defaultLambda
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isPnlOldestFirst
protected boolean isPnlOldestFirst
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Constructor Detail
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AWeightedESPostProcessor
public AWeightedESPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
Constructor- Parameters:
name
- The name of the post-processorcreationContext
- Thecreation context
of this post-processor.
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Method Detail
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init
public void init(Properties properties) throws com.quartetfs.fwk.QuartetException
- Specified by:
init
in interfacecom.quartetfs.biz.pivot.postprocessing.IEvaluator<OutputType>
- Specified by:
init
in interfacecom.quartetfs.biz.pivot.postprocessing.IPostProcessor<OutputType>
- Overrides:
init
in classAESPostProcessor<OutputType>
- Throws:
com.quartetfs.fwk.QuartetException
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getWeights
public double[] getWeights(com.qfs.vector.IVector originalPnLs, double l)
Get array of weightings: Retrieve from query cache, or calculate based on lambda value.- Parameters:
originalPnLs
- pnl vectorl
- lambda value- Returns:
- list of weights
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getLambdaValue
public double getLambdaValue()
Retrieves the lambda value from theWeightedVaRLambda
context value if it has been set, the default otherwise.- Returns:
- The lambda value.
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setWeightedTailMeasureCalc
public void setWeightedTailMeasureCalc(IWeightedTailMeasureCalc weightedTailMeasureCalc)
Description copied from interface:IWeightedTailMeasureCalcAware
Set the implementation ofIWeightedTailMeasureCalc
- Specified by:
setWeightedTailMeasureCalc
in interfaceIWeightedTailMeasureCalcAware
- Parameters:
weightedTailMeasureCalc
- the implementation ofIWeightedTailMeasureCalc
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