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

Class CopperVaRPostProcessors

java.lang.Object

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

com.activeviam.risk.core.postprocessor.impl.CopperVaRPostProcessors

@Configuration
public class CopperVaRPostProcessors
extends ACopperPostProcessor

Field Summary

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

tailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperVaRPostProcessors()

Method Summary

Modifier and Type	Method	Description
com.activeviam.copper.api.CopperMeasure	componentVaR(com.activeviam.copper.api.CopperMeasure childPnL, com.activeviam.copper.api.CopperMeasure topPnL)
com.activeviam.copper.api.CopperMeasure	componentVaR(com.activeviam.copper.api.CopperMeasure childPnL, com.activeviam.copper.api.CopperMeasure topPnL, double confidenceLevel, String roundingMethod, String quuantile2Rank)
com.activeviam.copper.api.CopperMeasure	componentVaRDelta(com.activeviam.copper.api.CopperMeasure varDtD, com.activeviam.copper.api.CopperMeasure topPnL, com.activeviam.copper.api.CopperMeasure childPnL, com.activeviam.copper.api.CopperHierarchy asOfDataLevel)
protected double	getVaRQuantile(IVaRConfidenceLevel varConfidenceContext)	Retrieves the confidence level from the IVaRConfidenceLevel context value if it has been set, the default otherwise.
com.activeviam.copper.api.CopperMeasure	scalarVar(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	scalarVar(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with fixed confidence level
protected double	scalarVarFormula(com.qfs.vector.IVector pnl, double quantile, double timePeriod)
com.activeviam.copper.api.CopperMeasure	var(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	var(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with fixed confidence level
com.activeviam.copper.api.CopperMeasure	varIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	varIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental VaR between two measures
com.activeviam.copper.api.CopperMeasure	varIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Calculates the VaR indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	varIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Calculates the VaR indices for a given PnL vector.
com.activeviam.copper.api.CopperMeasure	varLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	varLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	varQuantile()

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

CopperVaRPostProcessors

public CopperVaRPostProcessors()

Method Detail

varQuantile

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

getVaRQuantile

protected double getVaRQuantile(IVaRConfidenceLevel varConfidenceContext)

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

Parameters:

varConfidenceContext - VaR confidence level

Returns:

The confidence level.

scalarVarFormula

protected double scalarVarFormula(com.qfs.vector.IVector pnl,
                                  double quantile,
                                  double timePeriod)

var

public com.activeviam.copper.api.CopperMeasure var(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

var

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

varIndices

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

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

Parameters:

underlyingMeasure - underlying measure

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

Returns:

measure

varIndices

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

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

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

varIncremental

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

Calculate the incremental VaR between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The VaR

varIncremental

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

Calculate the incremental VaR between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

Returns:

The VaR

varLEstimator

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

varLEstimator

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

componentVaR

public com.activeviam.copper.api.CopperMeasure componentVaR(com.activeviam.copper.api.CopperMeasure childPnL,
                                                            com.activeviam.copper.api.CopperMeasure topPnL,
                                                            double confidenceLevel,
                                                            String roundingMethod,
                                                            String quuantile2Rank)

componentVaR

public com.activeviam.copper.api.CopperMeasure componentVaR(com.activeviam.copper.api.CopperMeasure childPnL,
                                                            com.activeviam.copper.api.CopperMeasure topPnL)

componentVaRDelta

public com.activeviam.copper.api.CopperMeasure componentVaRDelta(com.activeviam.copper.api.CopperMeasure varDtD,
                                                                 com.activeviam.copper.api.CopperMeasure topPnL,
                                                                 com.activeviam.copper.api.CopperMeasure childPnL,
                                                                 com.activeviam.copper.api.CopperHierarchy asOfDataLevel)

scalarVar

public com.activeviam.copper.api.CopperMeasure scalarVar(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

scalarVar

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure