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

Class PnlVectorFromRiskSensiPostProcessor

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

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

Direct Known Subclasses:

PnlVectorFromCrossRiskSensiPostProcessor

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

This postprocessor will compute an elementary PNL vector for a specific riskFactor and risk class

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 boolean	interpolate
static String	PLUGIN_KEY

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
PnlVectorFromRiskSensiPostProcessor(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 riskFactor, String scenario, String marketDataSet, String riskClass, String sensitivityName, List<Object> leafCoordinates, boolean useLadder, String debugKey)
protected List<Map<String,Integer>>	getBucketsDefinition(String sensitivityName)
protected com.qfs.vector.IVector	getLocalSensi(com.qfs.vector.IVector bucketsSensi, com.qfs.vector.IVector sensiLadder, com.quartetfs.fwk.IPair<Boolean,double[]> ladderScale)	The sensitivity vector or a dummy one if the ladders are activated
protected IMarketDataRetrievalService.IPillarSet[]	getOutputBuckets(com.quartetfs.biz.pivot.ILocation location, List<Map<String,Integer>> bucketsDefinition, List<Object> leafCoordinates)
protected int[]	getPnlToSensiMapping(com.quartetfs.biz.pivot.ILocation location, List<Map<String,Integer>> bucketsDefinition, int size)
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String sensiValueMeasure, String sensiLadderMeasure, String asOfDateLevel, String riskFactorLevel, 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 riskClassLevel, String sensitivityNameLevel, String[] tenorAnalysisLevel, String scenarioLevel, String marketDataSetLevel, String sensitivityName, String ladderAvailabilityLevel, BucketType[] bucketTypes)
void	setTenorUtil(ITenorUtil tenorUtil)	Set the implementation of ITenorUtil

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

interpolate

protected boolean interpolate

Constructor Detail

PnlVectorFromRiskSensiPostProcessor

public PnlVectorFromRiskSensiPostProcessor(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 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 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

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 APnlVectorFromRiskSensiPostProcessor<com.qfs.vector.IVector>

Throws:

com.quartetfs.fwk.QuartetException

getLocalSensi

protected com.qfs.vector.IVector getLocalSensi(com.qfs.vector.IVector bucketsSensi,
                                               com.qfs.vector.IVector sensiLadder,
                                               com.quartetfs.fwk.IPair<Boolean,double[]> ladderScale)

The sensitivity vector or a dummy one if the ladders are activated

Parameters:

bucketsSensi - the sensi vector

sensiLadder - the sensi ladder

ladderScale - the size of the ladder

Returns:

a sensi vector

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 riskFactor,
                                          String scenario,
                                          String marketDataSet,
                                          String riskClass,
                                          String sensitivityName,
                                          List<Object> leafCoordinates,
                                          boolean useLadder,
                                          String debugKey)

Specified by:

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

getPnlToSensiMapping

protected int[] getPnlToSensiMapping(com.quartetfs.biz.pivot.ILocation location,
                                     List<Map<String,Integer>> bucketsDefinition,
                                     int size)

getBucketsDefinition

protected List<Map<String,Integer>> getBucketsDefinition(String sensitivityName)

getOutputBuckets

protected IMarketDataRetrievalService.IPillarSet[] getOutputBuckets(com.quartetfs.biz.pivot.ILocation location,
                                                                    List<Map<String,Integer>> bucketsDefinition,
                                                                    List<Object> leafCoordinates)

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