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

Class CopperESPostProcessors

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor

com.activeviam.risk.core.postprocessor.impl.CopperESPostProcessors

@Configuration
public class CopperESPostProcessors
extends ACopperPostProcessor

Field Summary

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

tailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperESPostProcessors()

Method Summary

Modifier and Type	Method	Description
com.activeviam.copper.api.CopperMeasure	es(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrable confidence level
com.activeviam.copper.api.CopperMeasure	es(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with fixed confidence level
com.activeviam.copper.api.CopperMeasure	esIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental es between two measures
com.activeviam.copper.api.CopperMeasure	esIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental es between two measures
com.activeviam.copper.api.CopperMeasure	esIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	esIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Calculates the indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	esLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	esLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	esQuantile()
protected double	getEsQuantile(IESConfidenceLevel esConfidenceContext)	Retrieves the confidence level from the IESConfidenceLevel context value if it has been set, the default otherwise.

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

getVaRTimePeriod, incremental, incremental, indices, indices, lEstimator, lEstimator, measure, measure, timePeriod

Methods inherited from class java.lang.Object

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

Constructor Detail

CopperESPostProcessors

public CopperESPostProcessors()

Method Detail

esQuantile

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

getEsQuantile

protected double getEsQuantile(IESConfidenceLevel esConfidenceContext)

Retrieves the confidence level from the IESConfidenceLevel context value if it has been set, the default otherwise.

Parameters:

esConfidenceContext - the confidence level context value

Returns:

The confidence level.

es

public com.activeviam.copper.api.CopperMeasure es(com.activeviam.copper.api.CopperMeasure underlyingMeasure)

Description with parametrable confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

es

public com.activeviam.copper.api.CopperMeasure es(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                  double confidenceLevel)

Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

Returns:

measure

esIndices

public com.activeviam.copper.api.CopperMeasure esIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                         double confidenceLevel)

Calculates the indices for a given PnL vector. Description with fixed confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level in percent [0..100]

Returns:

measure

esIndices

public com.activeviam.copper.api.CopperMeasure esIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)

Calculates the indices for a given PnL vector. Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

esIncremental

public com.activeviam.copper.api.CopperMeasure esIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                             com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                             double confidenceLevel)

Calculate the incremental es between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The ES

esIncremental

public com.activeviam.copper.api.CopperMeasure esIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                             com.activeviam.copper.api.CopperMeasure parentMeasure)

Calculate the incremental es between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

Returns:

The ES

esLEstimator

public com.activeviam.copper.api.CopperMeasure esLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                            com.activeviam.copper.api.CopperMeasure parentMeasure,
                                                            double confidenceLevel)

esLEstimator

public com.activeviam.copper.api.CopperMeasure esLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                            com.activeviam.copper.api.CopperMeasure parentMeasure)