Class CopperVaEPostProcessor
- java.lang.Object
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- com.activeviam.risk.core.postprocessor.impl.ACopperPostProcessor
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- com.activeviam.risk.core.postprocessor.impl.CopperVaEPostProcessor
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public class CopperVaEPostProcessor 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 CopperVaEPostProcessor()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected double
getVaEQuantile(IVaEConfidenceLevel vaEConfidenceLevel)
Retrieves the confidence level from theIVaEConfidenceLevel
context value if it has been set, the default otherwise.com.activeviam.copper.api.CopperMeasure
vae(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Description with parameterizable confidence levelcom.activeviam.copper.api.CopperMeasure
vae(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Description with fixed confidence levelcom.activeviam.copper.api.CopperMeasure
vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
Calculate the incremental VaR between two measurescom.activeviam.copper.api.CopperMeasure
vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
Calculate the incremental VaE between two measurescom.activeviam.copper.api.CopperMeasure
vaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Calculates the indices for a given PnL vector.com.activeviam.copper.api.CopperMeasure
vaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
Calculates the indices for a given PnL vector.com.activeviam.copper.api.CopperMeasure
vaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure
vaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure
vaeQuantile()
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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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vaeQuantile
@Bean public com.activeviam.copper.api.CopperMeasure vaeQuantile()
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getVaEQuantile
protected double getVaEQuantile(IVaEConfidenceLevel vaEConfidenceLevel)
Retrieves the confidence level from theIVaEConfidenceLevel
context value if it has been set, the default otherwise.- Parameters:
vaEConfidenceLevel
- VaE confidence level- Returns:
- The confidence level.
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vae
public com.activeviam.copper.api.CopperMeasure vae(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
Description with parameterizable confidence level- Parameters:
underlyingMeasure
- underlying measure- Returns:
- measure
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vae
public com.activeviam.copper.api.CopperMeasure vae(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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vaeIndices
public com.activeviam.copper.api.CopperMeasure vaeIndices(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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vaeIndices
public com.activeviam.copper.api.CopperMeasure vaeIndices(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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vaeIncremental
public com.activeviam.copper.api.CopperMeasure vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
Calculate the incremental VaE between two measures- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measureconfidenceLevel
- confidence level- Returns:
- The VaE
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vaeIncremental
public com.activeviam.copper.api.CopperMeasure vaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
Calculate the incremental VaR between two measures- Parameters:
underlyingMeasure
- underlying measureparentMeasure
- parent measure- Returns:
- The VaR
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vaeLEstimator
public com.activeviam.copper.api.CopperMeasure vaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
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vaeLEstimator
public com.activeviam.copper.api.CopperMeasure vaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
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