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

Class PnlVectorFromCrossRiskSensiPostProcessor

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.APnlVectorFromRiskSensiPostProcessor<com.qfs.vector.IVector>

com.activeviam.risk.core.postprocessor.impl.PnlVectorFromRiskSensiPostProcessor

com.activeviam.risk.core.postprocessor.impl.PnlVectorFromCrossRiskSensiPostProcessor

All Implemented Interfaces:

ITenorUtilAware, ICustomParametersAware, IInputSelectorAware, IMarketDataRetrievalServiceAware, 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="PnlVectorFromCrossRiskSensiPostProcessor")
public class PnlVectorFromCrossRiskSensiPostProcessor
extends PnlVectorFromRiskSensiPostProcessor

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
static String	PLUGIN_KEY

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

interpolate

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

BUCKET_TYPES, bucketTypes, customParameters, dateLevel, debugId, IDENTIFIER, inputSelector, ladderAvailabilityLevelInfo, locationFunction, marketDataRetrievalService, marketDataSetLevelInfo, pnLExplainFormulaProvider, riskClassLevel, riskFactorLevel, SCENARIO_LEVEL, scenarioLevel, SENSITIVITY_ORDER, sensitivityKind, sensitivityNameLevel

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.ICustomParametersAware

PROPERTY_NAME

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

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.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

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

PROPERTY_NAME

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
protected com.qfs.vector.IVector	evaluate(com.quartetfs.biz.pivot.ILocation location, com.qfs.vector.IVector sensi, com.qfs.vector.IVector sensiLadder, LocalDate date, String riskFactor1, String scenario, String marketDataSet, String riskClass, String sensitivityName, List<Object> leafCoordinates, boolean useLadder, String debugKey)
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String sensiValueMeasure, String sensiLadderMeasure, String asOfDateLevel, String riskFactorLevel, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String[] tenorAnalysisLevel, String scenarioLevel, String marketDataSetLevel, String sensitivityName, String ladderAvailabilityLevel, BucketType[] bucketTypes, 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, String asOfDateLevel, String riskFactorLevel, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String[] tenorAnalysisLevel, String scenarioLevel, String marketDataSetLevel, String sensitivityName, String ladderAvailabilityLevel, BucketType[] bucketTypes)

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

getBucketsDefinition, getLocalSensi, getOutputBuckets, getPnlToSensiMapping, getPostProcessorDescription, measure, setTenorUtil

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

evaluateLeaf, setCustomParameters, setInputSelector, setMarketDataRetrievalService, setPnLExplainFormulaProvider

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

Constructor Detail

PnlVectorFromCrossRiskSensiPostProcessor

public PnlVectorFromCrossRiskSensiPostProcessor(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 asOfDateLevel,
                                                                                                                                                              String riskFactorLevel,
                                                                                                                                                              String riskFactorLevel2,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String sensitivityNameLevel,
                                                                                                                                                              String[] tenorAnalysisLevel,
                                                                                                                                                              String scenarioLevel,
                                                                                                                                                              String marketDataSetLevel,
                                                                                                                                                              String sensitivityName,
                                                                                                                                                              String ladderAvailabilityLevel,
                                                                                                                                                              BucketType[] bucketTypes,
                                                                                                                                                              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,
                                                              String asOfDateLevel,
                                                              String riskFactorLevel,
                                                              String riskFactorLevel2,
                                                              String riskClassLevel,
                                                              String sensitivityNameLevel,
                                                              String[] tenorAnalysisLevel,
                                                              String scenarioLevel,
                                                              String marketDataSetLevel,
                                                              String sensitivityName,
                                                              String ladderAvailabilityLevel,
                                                              BucketType[] bucketTypes)

getType

public String getType()

Specified by:

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

Overrides:

getType in class PnlVectorFromRiskSensiPostProcessor

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 PnlVectorFromRiskSensiPostProcessor

Throws:

com.quartetfs.fwk.QuartetException

evaluate

protected com.qfs.vector.IVector evaluate(com.quartetfs.biz.pivot.ILocation location,
                                          com.qfs.vector.IVector sensi,
                                          com.qfs.vector.IVector sensiLadder,
                                          LocalDate date,
                                          String riskFactor1,
                                          String scenario,
                                          String marketDataSet,
                                          String riskClass,
                                          String sensitivityName,
                                          List<Object> leafCoordinates,
                                          boolean useLadder,
                                          String debugKey)

Overrides:

evaluate in class PnlVectorFromRiskSensiPostProcessor