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

Class AWeightedVaEPostProcessor<OutputType>

java.lang.Object

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

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

com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor<OutputType>

com.activeviam.risk.core.postprocessor.impl.AWeightedVaEPostProcessor<OutputType>

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:

WeightedVaEIndicesPostProcessor, WeightedVaEPostProcessor

public abstract class AWeightedVaEPostProcessor<OutputType>
extends AVaEPostProcessor<OutputType>
implements IWeightedTailMeasureCalcAware

This class handles the confidence level and the Calc IF

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 double	defaultLambda
protected boolean	isPnlOldestFirst
protected IWeightedTailMeasureCalc	weightedTailMeasureCalc

Fields inherited from class com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor

defaultConfidence, FIXED_CONFIDENCE_LEVEL_PROPERTY, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc

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.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

Fields inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalcAware

PROPERTY_NAME

Fields inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware

PROPERTY_NAME

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
double	getLambdaValue()	Retrieves the lambda value from the WeightedVaRLambda 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 of IWeightedTailMeasureCalc

Methods inherited from class com.activeviam.risk.core.postprocessor.impl.AVaEPostProcessor

getConfidenceLevel, getVaRTimePeriod, setTailMeasureCalc

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

checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, 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

weightedTailMeasureCalc

protected transient IWeightedTailMeasureCalc weightedTailMeasureCalc

defaultLambda

protected double defaultLambda

isPnlOldestFirst

protected boolean isPnlOldestFirst

Constructor Detail

AWeightedVaEPostProcessor

public AWeightedVaEPostProcessor(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

init

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

Specified by:

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

Specified by:

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

Overrides:

init in class AVaEPostProcessor<OutputType>

Throws:

com.quartetfs.fwk.QuartetException

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 vector

l - lambda value

Returns:

list of weights

getLambdaValue

public double getLambdaValue()

Retrieves the lambda value from the WeightedVaRLambda context value if it has been set, the default otherwise.

Returns:

The lambda value.

setWeightedTailMeasureCalc

public void setWeightedTailMeasureCalc(IWeightedTailMeasureCalc weightedTailMeasureCalc)

Description copied from interface: IWeightedTailMeasureCalcAware

Set the implementation of IWeightedTailMeasureCalc

Specified by:

setWeightedTailMeasureCalc in interface IWeightedTailMeasureCalcAware

Parameters:

weightedTailMeasureCalc - the implementation of IWeightedTailMeasureCalc