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

Class PnLExplainCrossPostProcessor

java.lang.Object

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<LeafType,OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>

com.activeviam.risk.core.postprocessor.impl.PnLExplainCrossPostProcessor

All Implemented Interfaces:

IInputSelectorAware, IPnLExplainFormulaProviderAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, 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="PNL_EXPLAIN_POSTPROCESSOR_CROSS")
public class PnLExplainCrossPostProcessor
extends com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>
implements IPnLExplainFormulaProviderAware, IInputSelectorAware

Post-processor used to get PnL approximation for Delta, Gamma and Vega.

See Also:

Serialized Form

Nested Class Summary

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

com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor.TransformationProcedure

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

com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor.DynamicAggregationPostProcessorPrefetcher

Field Summary

Fields

Modifier and Type	Field	Description
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	asOfDateLevelInfo
static String	PLUGIN_KEY
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskClassLevelInfo
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	sensitivityNameLevelInfo

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor

AGGREGATION_FUNCTION, aggregationFunction, DYNAMIC_AGGREGATION_POST_PROCESSOR_PREFETCHER, hierarchiesInfo, isPartitionedOnRangeLevels, LEAF_LEVELS, LEAF_TYPE, leafLevelsInfo, leafType, partitioningLevelsInfo

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.IInputSelectorAware

PROPERTY_NAME

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

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

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

PROPERTY_NAME

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
PnLExplainCrossPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Method Summary

Modifier and Type	Method	Description
protected com.qfs.vector.IVector	evaluateLeaf(com.quartetfs.biz.pivot.ILocation leafLocation, Object[] underlyingMeasures)	There are three underlying measures here: the Sensi value, Current date market data, Previous date market data.
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String sensiValueMeasure, String sensiLadderMeasure, String currentDateMeasure1, String previousDateMeasure1, String currentDateMeasure2, String previousDateMeasure2, String asOfDateLevel, String riskFactorLevel, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel, String sensitivityName, String formatter, String folder)
String	getType()
void	init(Properties properties)
static com.activeviam.copper.api.CopperMeasure	measure(com.activeviam.copper.api.CopperMeasure sensiValueMeasure, com.activeviam.copper.api.CopperMeasure sensiLadderMeasure, com.activeviam.copper.api.CopperMeasure currentDateMeasure1, com.activeviam.copper.api.CopperMeasure previousDateMeasure1, com.activeviam.copper.api.CopperMeasure currentDateMeasure2, com.activeviam.copper.api.CopperMeasure previousDateMeasure2, String asOfDateLevel, String riskFactorLevel, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel, String sensitivityName)
protected double	removeNaN(double v)
void	setInputSelector(IInputSelector selector)	Set the implementation of IInputSelector
void	setPnLExplainFormulaProvider(IPnLExplainFormulaProvider pnLExplainFormulaProvider)	Set the implementation of IPnLExplainFormulaProvider

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor

createLeafEvaluationProcedure, evaluateLeaf

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor

checkLeafType, checkPrefetchers, compute, computeLeafType, computeLeafTypeFromGenericType, computePartitioningLevels, computePrefetchFilter, createAggregationFunction, createPrefetchers, getAggregationFunction, getHierarchiesInfo, getLeafLevelsInfo, getLeafType, getTypeFromLiteralType, handleNoLeafLevel, initializeLeafLevels, initializeUnderlyingMeasures, reduce, reduceLeavesAndContribute, retrieveLeaves, 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

sensitivityNameLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo sensitivityNameLevelInfo

asOfDateLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo asOfDateLevelInfo

riskClassLevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskClassLevelInfo

Constructor Detail

PnLExplainCrossPostProcessor

public PnLExplainCrossPostProcessor(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 sensiValueMeasure,
                                                                                                                                                              String sensiLadderMeasure,
                                                                                                                                                              String currentDateMeasure1,
                                                                                                                                                              String previousDateMeasure1,
                                                                                                                                                              String currentDateMeasure2,
                                                                                                                                                              String previousDateMeasure2,
                                                                                                                                                              String asOfDateLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskFactorLevel2,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String sensitivityNameLevel,
                                                                                                                                                              String ladderAvailabilityLevel,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

measure

public static com.activeviam.copper.api.CopperMeasure measure(com.activeviam.copper.api.CopperMeasure sensiValueMeasure,
                                                              com.activeviam.copper.api.CopperMeasure sensiLadderMeasure,
                                                              com.activeviam.copper.api.CopperMeasure currentDateMeasure1,
                                                              com.activeviam.copper.api.CopperMeasure previousDateMeasure1,
                                                              com.activeviam.copper.api.CopperMeasure currentDateMeasure2,
                                                              com.activeviam.copper.api.CopperMeasure previousDateMeasure2,
                                                              String asOfDateLevel,
                                                              String riskFactorLevel,
                                                              String riskFactorLevel2,
                                                              String riskClassLevel,
                                                              String sensitivityNameLevel,
                                                              String ladderAvailabilityLevel,
                                                              String sensitivityName)

init

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

Specified by:

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

Overrides:

init in class com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>

Throws:

com.quartetfs.fwk.QuartetException

evaluateLeaf

protected com.qfs.vector.IVector evaluateLeaf(com.quartetfs.biz.pivot.ILocation leafLocation,
                                              Object[] underlyingMeasures)

There are three underlying measures here: the Sensi value, Current date market data, Previous date market data. The PnL explain computation is done in the method calculatePnL.

Specified by:

evaluateLeaf in class com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>

removeNaN

protected double removeNaN(double v)

getType

public String getType()

Specified by:

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

setPnLExplainFormulaProvider

public void setPnLExplainFormulaProvider(IPnLExplainFormulaProvider pnLExplainFormulaProvider)

Description copied from interface: IPnLExplainFormulaProviderAware

Set the implementation of IPnLExplainFormulaProvider

Specified by:

setPnLExplainFormulaProvider in interface IPnLExplainFormulaProviderAware

Parameters:

pnLExplainFormulaProvider - the implementation of IPnLExplainFormulaProvider

setInputSelector

public void setInputSelector(IInputSelector selector)

Description copied from interface: IInputSelectorAware

Set the implementation of IInputSelector

Specified by:

setInputSelector in interface IInputSelectorAware

Parameters:

selector - the implementation of IInputSelector