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

Class ESIndicesPostProcessor

  • All Implemented Interfaces:
    ITailMeasureCalcAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<Integer[]>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Integer[]>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable
    @QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="ESIndicesProcessor")
public class ESIndicesPostProcessor
extends AESPostProcessor<Integer[]>
    Computes the indices for a given PnL vector that contribute to the expected shortfall.

    Dependent on the IESConfidenceLevel context value to define the confidence level to use in the calculation.
    Author:
    ActiveViam
    See Also:
    Serialized Form

    • Nested Class Summary

      • Nested classes/interfaces inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

        com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.BasicPostProcessorPrefetcher, com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.TransformationProcedure

    • Field Summary

      Fields 
      Modifier and Type Field Description
      static String PLUGIN_KEY  

      • Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

        BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels

      • Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

        aggregatedMeasureName, ANALYSIS_LEVELS_PROPERTY, analysisLevelsToExpand, continuousQueryHandlerKeys, derivedContextDependencies, evaluator, EVALUATOR, explicitContextDependencies, logger, measuresProvider, name, OUTPUT_TYPE, outputType, pivot, prefetchers, PRINT_TIMINGS, printTimings, properties, underlyingMeasures

      • Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor

        DEFAULT_PARTITIONING_ON_RANGE_LEVELS

      • Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

        CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES

    • Constructor Summary

      Constructors 
      Constructor Description
      ESIndicesPostProcessor​(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)  

    • Method Summary

      All Methods Static Methods Instance Methods Concrete Methods 
      Modifier and Type Method Description
      Integer[] evaluate​(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
      Calculates the expected shortfall indices from a given PnL vector.
      static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, String confidenceLevel, String folder)
      Description with fixed confidence level
      static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String folder)
      Description with parametrable confidence level
      String getType()  

      • Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

        checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, setPartitioningLevels, supportsAnalysisLevels

      • Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor

        addContextDependency, checkInterruption, checkOutputType, computeNamePath, computeOutputType, createEvaluator, expandResult, getActivePivot, getContext, getContextDependencies, getContinuousQueryHandlerKeys, getCurrentMeasure, getDatastoreVersion, getDerivedContextDependencies, getExpansionProcedure, getGenericOutputType, getMeasuresProvider, getName, getOutputType, getOutputTypeFromGenericClassParameter, getOutputTypeFromProperties, getPrefetchers, getProperties, getQueryCache, getTypeFromClass, handleCircularDependency, handleNotSupportedAnalysisLevels, handleUnknownUnderlyingMeasure, hideEvaluator, initializeContinuousQueryHandlerKeys, removeAnalysisLevelsFromFilter, restrictLocationAnalysisLevels, retrieveAnalysisLevelsToExpand, retrieveNamedPrefetchAggregatesWithAnalysisLevels, retrievePrefetchAggregates, retrievePrefetchAggregatesWithAnalysisLevels, setAggregatedMeasureName, toString

      • Methods inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor

        getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties

    • Constructor Detail

      • ESIndicesPostProcessor

        public ESIndicesPostProcessor​(String name,
                              com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

    • Method Detail

      • getPostProcessorDescription

        public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName,
                                                                                                                                                              String underlyingMeasure,
                                                                                                                                                              String roundingMethodLevel,
                                                                                                                                                              String quantile2RankLevel,
                                                                                                                                                              String confidenceLevel,
                                                                                                                                                              String folder)
        Description with fixed confidence level
        Parameters:
        measureName - measure name
        underlyingMeasure - underlying measure
        roundingMethodLevel - rounding method level
        quantile2RankLevel - quantile method level
        confidenceLevel - confidence level
        folder - folder
        Returns:
        measure builder

      • getPostProcessorDescription

        public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,​com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription​(String measureName,
                                                                                                                                                              String underlyingMeasure,
                                                                                                                                                              String roundingMethodLevel,
                                                                                                                                                              String quantile2RankLevel,
                                                                                                                                                              org.springframework.core.env.Environment env,
                                                                                                                                                              String folder)
        Description with parametrable confidence level
        Parameters:
        measureName - measure name
        underlyingMeasure - underlying measure
        roundingMethodLevel - rounding method level
        quantile2RankLevel - quantile method level
        env - environment
        folder - folder
        Returns:
        measure builder

      • evaluate

        public Integer[] evaluate​(com.quartetfs.biz.pivot.ILocation location,
                          Object[] underlyingMeasures)
        Calculates the expected shortfall indices from a given PnL vector. Takes one underlying measure:
        • The PnL vector.
        Specified by:
        evaluate in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<Integer[]>
        Specified by:
        evaluate in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Integer[]>

      • getType

        public String getType()