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

Class CopperWVaEPostProcessors

java.lang.Object

com.activeviam.risk.core.postprocessor.impl.ACopperWPostProcessor

com.activeviam.risk.core.postprocessor.impl.CopperWVaEPostProcessors

public class CopperWVaEPostProcessors
extends ACopperWPostProcessor

Field Summary

Fields

Modifier and Type	Field	Description
protected com.activeviam.copper.api.CopperMeasure	vaeQuantile

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

weightedTailMeasureCalc

Constructor Summary

Constructors

Constructor	Description
CopperWVaEPostProcessors()

Method Summary

Modifier and Type	Method	Description
com.activeviam.copper.api.CopperMeasure	wVae(com.activeviam.copper.api.CopperMeasure underlyingMeasure)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	wVae(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)	Description with parametrized confidence level confidence level
com.activeviam.copper.api.CopperMeasure	wVaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)	Calculate the incremental VaE between two measures
com.activeviam.copper.api.CopperMeasure	wVaeIncremental(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)	Calculate the incremental VaE between two measures
com.activeviam.copper.api.CopperMeasure	wVaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure)
com.activeviam.copper.api.CopperMeasure	wVaeIndices(com.activeviam.copper.api.CopperMeasure underlyingMeasure, double confidenceLevel)
com.activeviam.copper.api.CopperMeasure	wVaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure)
com.activeviam.copper.api.CopperMeasure	wVaeLEstimator(com.activeviam.copper.api.CopperMeasure underlyingMeasure, com.activeviam.copper.api.CopperMeasure parentMeasure, double confidenceLevel)

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

incremental, incremental, indices, indices, lambdaValue, lEstimator, lEstimator, measure, measure

Methods inherited from class java.lang.Object

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

Field Detail

vaeQuantile

@Autowired
protected com.activeviam.copper.api.CopperMeasure vaeQuantile

Constructor Detail

CopperWVaEPostProcessors

public CopperWVaEPostProcessors()

Method Detail

wVae

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

Returns:

measure

wVae

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

Description with parametrized confidence level confidence level

Parameters:

underlyingMeasure - underlying measure

confidenceLevel - confidence level

Returns:

measure

wVaeIndices

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

wVaeIndices

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

wVaeIncremental

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

Calculate the incremental VaE between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

confidenceLevel - confidence level

Returns:

The VaE

wVaeIncremental

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

Calculate the incremental VaE between two measures

Parameters:

underlyingMeasure - underlying measure

parentMeasure - parent measure

Returns:

The VaE

wVaeLEstimator

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

wVaeLEstimator

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