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

Class DynamicTenorsAndMaturitiesPostProcessor.EvaluationProcedure

  • All Implemented Interfaces:
    com.quartetfs.biz.pivot.cellset.IPointProcedure
    Enclosing class:
    DynamicTenorsAndMaturitiesPostProcessor
    protected class DynamicTenorsAndMaturitiesPostProcessor.EvaluationProcedure
extends Object
implements com.quartetfs.biz.pivot.cellset.IPointProcedure
    Procedure to execute over the evaluation retrieval result.

    • Field Summary

      Fields 
      Modifier and Type Field Description
      protected com.quartetfs.biz.pivot.ILocation inputLocation
      The input location
      protected int[] measureIds
      Measures ids in the readResult, aligned with underlyingMeasures, to not re-map the measure at each iteration
      protected Object[] measuresBuffer
      Buffer for storing the underlying measures at each point without the need to re-allocate an array each time
      protected com.quartetfs.biz.pivot.cellset.IAggregatesRetrievalResult result
      The shifted location result where aggregates are to be read
      protected com.quartetfs.biz.pivot.query.aggregates.IAdvancedAggregatesRetriever retriever
      Aggregate retriever

    • Constructor Summary

      Constructors 
      Constructor Description
      EvaluationProcedure​(com.quartetfs.biz.pivot.cellset.IAggregatesRetrievalResult result, com.quartetfs.biz.pivot.query.aggregates.IAdvancedAggregatesRetriever retriever, String[] dynamicSet, MaturityPillarsDTO noBuckets, com.quartetfs.biz.pivot.ILocation inputLocation)
      Constructor

    • Field Detail

      • result

        protected final com.quartetfs.biz.pivot.cellset.IAggregatesRetrievalResult result
        The shifted location result where aggregates are to be read

      • retriever

        protected final com.quartetfs.biz.pivot.query.aggregates.IAdvancedAggregatesRetriever retriever
        Aggregate retriever

      • measureIds

        protected final int[] measureIds
        Measures ids in the readResult, aligned with underlyingMeasures, to not re-map the measure at each iteration

      • measuresBuffer

        protected final Object[] measuresBuffer
        Buffer for storing the underlying measures at each point without the need to re-allocate an array each time

      • inputLocation

        protected com.quartetfs.biz.pivot.ILocation inputLocation
        The input location

    • Constructor Detail

      • EvaluationProcedure

        public EvaluationProcedure​(com.quartetfs.biz.pivot.cellset.IAggregatesRetrievalResult result,
                           com.quartetfs.biz.pivot.query.aggregates.IAdvancedAggregatesRetriever retriever,
                           String[] dynamicSet,
                           MaturityPillarsDTO noBuckets,
                           com.quartetfs.biz.pivot.ILocation inputLocation)
        Constructor
        Parameters:
        result - The retrieval result of the underlying measures
        retriever - The retriever on which to write the results of the evaluation
        dynamicSet - dynamic set
        noBuckets - no buckets
        inputLocation - The input location

    • Method Detail

      • execute

        public boolean execute​(com.quartetfs.biz.pivot.IPointLocationReader pointReader,
                       int rowId)
        Specified by:
        execute in interface com.quartetfs.biz.pivot.cellset.IPointProcedure

      • execute

        protected boolean execute​(com.quartetfs.biz.pivot.IPointLocationReader pointReader,
                          Object[] underlyingMeasures,
                          Set<MaturityPillarsDTO>[] bucketsList,
                          List<Double>[] bucketsDaysList,
                          com.quartetfs.biz.pivot.ILocation inputLocation)
        Executes the procedure for one evaluation location given the corresponding shifted underlying measures.
        Parameters:
        pointReader - The location reader on which we execute the evaluation
        underlyingMeasures - The underlying measures, at the shifted location corresponding to the unshifted pointReader
        bucketsList - A pair containing the tenor and maturities bucket lists
        bucketsDaysList - A pair containing the lists of days for the tenor and maturity bucket sets
        inputLocation - The location at which we're writing our results
        Returns:
        true