Class CopperETGPostProcessor
- java.lang.Object
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- com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor
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- com.activeviam.risk.core.postprocessor.impl.CopperETGPostProcessor
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@Configuration public class CopperETGPostProcessor extends ACopperPostProcessor
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Field Summary
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Fields inherited from class com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor
tailMeasureCalc
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Constructor Summary
Constructors Constructor Description CopperETGPostProcessor()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description com.activeviam.copper.api.CopperMeasure
etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Description with parametrable confidence levelcom.activeviam.copper.api.CopperMeasure
etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Description with fixed confidence levelcom.activeviam.copper.api.CopperMeasure
etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
Calculate the incremental ETG between two measurescom.activeviam.copper.api.CopperMeasure
etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
Calculate the incremental ETG between two measurescom.activeviam.copper.api.CopperMeasure
etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Calculates the indices for a given PnL vector.com.activeviam.copper.api.CopperMeasure
etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Calculates the indices for a given PnL vector.com.activeviam.copper.api.CopperMeasure
etgLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure
etgLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure
etgQuantile()
protected double
getEtgQuantile(IETGConfidenceLevel etgConfidenceLevel)
Retrieves the confidence level from theIETGConfidenceLevel
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
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Method Detail
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etgQuantile
@Bean public com.activeviam.copper.api.CopperMeasure etgQuantile()
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getEtgQuantile
protected double getEtgQuantile(IETGConfidenceLevel etgConfidenceLevel)
Retrieves the confidence level from theIETGConfidenceLevel
context value if it has been set, the default otherwise.- Parameters:
etgConfidenceLevel
- ETG confidence level context value- Returns:
- The confidence level.
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etg
public com.activeviam.copper.api.CopperMeasure etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Description with parametrable confidence level- Parameters:
underlyingMeasure
- underlying measure- Returns:
- measure
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etg
public com.activeviam.copper.api.CopperMeasure etg(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Description with fixed confidence level- Parameters:
underlyingMeasure
- underlying measureconfidenceLevel
- confidence level in percent [0..100]- Returns:
- measure
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etgIndices
public com.activeviam.copper.api.CopperMeasure etgIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Calculates the indices for a given PnL vector. Description with fixed confidence level- Parameters:
underlyingMeasure
- underlying measureconfidenceLevel
- confidence level in percent [0..100]- Returns:
- measure
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etgIndices
public com.activeviam.copper.api.CopperMeasure etgIndices(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
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etgIncremental
public com.activeviam.copper.api.CopperMeasure etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
Calculate the incremental ETG between two measures- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measureconfidenceLevel
- confidence level- Returns:
- The ETG
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etgIncremental
public com.activeviam.copper.api.CopperMeasure etgIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
Calculate the incremental ETG between two measures- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measure- Returns:
- The ETG
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etgLEstimator
public com.activeviam.copper.api.CopperMeasure etgLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
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etgLEstimator
public com.activeviam.copper.api.CopperMeasure etgLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
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