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

Class MarketDataPostProcessor

java.lang.Object

com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<T>

com.activeviam.risk.core.postprocessor.impl.AMarketDataPostProcessor<com.qfs.vector.IVector>

com.activeviam.risk.core.postprocessor.impl.MarketDataPostProcessor

All Implemented Interfaces:

ITenorUtilAware, ICustomParametersAware, IMarketDataRetrievalServiceAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<com.qfs.vector.IVector>, com.quartetfs.biz.pivot.postprocessing.IEvaluator<com.qfs.vector.IVector>, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<com.qfs.vector.IVector>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<com.qfs.vector.IVector>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="MARKETDATA_POSTPROCESSOR")
public class MarketDataPostProcessor
extends AMarketDataPostProcessor<com.qfs.vector.IVector>
implements ITenorUtilAware

Abstract Post-processor used to get market data for current and previous date values. It is implemented by DeltaGamma and Vega market data postprocessors.

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
static String	SENSITIVITY_NAME_LEVEL

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

asOfDateLevelInfo, BUCKET_TYPES, bucketTypes, customParameters, DATE_INFO, DEBUG_ID, debugId, interpolation, INTERPOLATION_FLAG, KEY_LEAF_LEVELS, locationFunctionMD, locationFunctionSensi, MARKET_DATA_STORE_NAME, marketDataRetrievalService, marketDataSetLevelInfo, riskClassLevelInfo, riskFactorLevelInfo, SENSITIVITY_NAME_PROPERTY, sensitivityKind, TYPE_OF_MARKET_DATA, typeOfMarketData

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.activeviam.risk.core.services.ICustomParametersAware

PROPERTY_NAME

Fields inherited from interface com.activeviam.risk.core.services.IMarketDataRetrievalServiceAware

PROPERTY_NAME

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

Fields inherited from interface com.activeviam.risk.core.dates.ITenorUtilAware

PROPERTY_NAME

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
com.qfs.vector.IVector	evaluate(com.quartetfs.biz.pivot.ILocation location, LocalDate asOfDate, String marketDataSet, String riskFactor, String riskClass, List<Object> leafCoordinatesSensi)	There is only one underlying measure here: the Double Sensi Value .
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String dateInfo, String sensitivityName, BucketType[] bucketTypes, String marketDataStoreName, String sensitivityNameLevelInfo, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData, String interpolationDebugStringIdentifier, String formatter, String folder)	This will create a PP configuration
String	getType()
void	init(Properties properties)
static com.activeviam.copper.api.CopperPostProcessor	measure(com.activeviam.copper.api.CopperMeasure underlyingMeasures, String asOfDateLevel, String marketDataSetLevel, String riskFactorLevel, String riskClassLevel, String dateInfo, String sensitivityName, BucketType[] bucketTypes, String marketDataStoreName, String sensitivityNameLevelInfo, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData, String interpolationDebugStringIdentifier)	This will create a PP configuration
void	setTenorUtil(ITenorUtil tenorUtil)	Set the implementation of ITenorUtil

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

evaluate, getEnableMDStringDebug, getMarketData, getPostProcessorDescription, measure, setCustomParameters, setMarketDataRetrievalService, stepDate

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 class java.lang.Object

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

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

getContextDependencies, getContinuousQueryHandlerKeys, getName, getOutputType, getPrefetchers, getProperties

Field Detail

PLUGIN_KEY

public static final String PLUGIN_KEY

See Also:

Constant Field Values

SENSITIVITY_NAME_LEVEL

public static final String SENSITIVITY_NAME_LEVEL

See Also:

Constant Field Values

Constructor Detail

MarketDataPostProcessor

public MarketDataPostProcessor(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 underlyingMeasures,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String marketDataSetLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String dateInfo,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              String marketDataStoreName,
                                                                                                                                                              String sensitivityNameLevelInfo,
                                                                                                                                                              Boolean interpolation,
                                                                                                                                                              IMarketDataRetrievalService.MarketType typeOfMarketData,
                                                                                                                                                              String interpolationDebugStringIdentifier,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

This will create a PP configuration

Parameters:

measureName - Name of the postprocessor

underlyingMeasures - The underlying measure

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor level

riskClassLevel - risk class level

dateInfo - date info

sensitivityName - sensitivity name

bucketTypes - bucket types

marketDataStoreName - market data store name

sensitivityNameLevelInfo - sensitivity name level info

interpolation - force interpolation or not, can be null, for configured interpolation

typeOfMarketData - type of the returned market data : absolute, relative, raw(as is)

interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location

formatter - formatter

folder - Folder name of the metric, if not provider aka null measure is invisible

Returns:

post processor description

measure

public static com.activeviam.copper.api.CopperPostProcessor measure(com.activeviam.copper.api.CopperMeasure underlyingMeasures,
                                                                    String asOfDateLevel,
                                                                    String marketDataSetLevel,
                                                                    String riskFactorLevel,
                                                                    String riskClassLevel,
                                                                    String dateInfo,
                                                                    String sensitivityName,
                                                                    BucketType[] bucketTypes,
                                                                    String marketDataStoreName,
                                                                    String sensitivityNameLevelInfo,
                                                                    Boolean interpolation,
                                                                    IMarketDataRetrievalService.MarketType typeOfMarketData,
                                                                    String interpolationDebugStringIdentifier)

This will create a PP configuration

Parameters:

underlyingMeasures - The underlying measure

asOfDateLevel - Level containing the asOfSDate

marketDataSetLevel - Level containing the market data set level

riskFactorLevel - risk factor level

riskClassLevel - risk class level

dateInfo - date info

sensitivityName - sensitivity name

bucketTypes - bucket types

marketDataStoreName - market data store name

sensitivityNameLevelInfo - sensitivity name level info

interpolation - force interpolation or not, can be null, for configured interpolation

typeOfMarketData - type of the returned market data : absolute, relative, raw(as is)

interpolationDebugStringIdentifier - internal identifier used in the query cache. The keys in the query cache that will be used have the following pattern: measure name + identifier + location

Returns:

post processor description

init

public void init(Properties properties)
          throws com.quartetfs.fwk.QuartetException

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<com.qfs.vector.IVector>

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor<com.qfs.vector.IVector>

Overrides:

init in class AMarketDataPostProcessor<com.qfs.vector.IVector>

Throws:

com.quartetfs.fwk.QuartetException

evaluate

public com.qfs.vector.IVector evaluate(com.quartetfs.biz.pivot.ILocation location,
                                       LocalDate asOfDate,
                                       String marketDataSet,
                                       String riskFactor,
                                       String riskClass,
                                       List<Object> leafCoordinatesSensi)

There is only one underlying measure here: the Double Sensi Value .

Specified by:

evaluate in class AMarketDataPostProcessor<com.qfs.vector.IVector>

setTenorUtil

public void setTenorUtil(ITenorUtil tenorUtil)

Description copied from interface: ITenorUtilAware

Set the implementation of ITenorUtil

Specified by:

setTenorUtil in interface ITenorUtilAware

Parameters:

tenorUtil - the implementation of ITenorUtil

getType

public String getType()

Specified by:

getType in interface com.quartetfs.fwk.types.IExtendedPluginValue