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

Class ScalarPnLExplainCrossPostProcessor

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<Double,Double>

com.activeviam.risk.core.postprocessor.impl.AScalarPnLExplainPostProcessor

com.activeviam.risk.core.postprocessor.impl.ScalarPnLExplainCrossPostProcessor

All Implemented Interfaces:

IInputSelectorAware, IPnLExplainFormulaProviderAware, com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware, com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor<Double>, com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>, com.quartetfs.fwk.types.IExtendedPluginValue, Serializable

@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class,
                            key="SCALAR_PNL_EXPLAIN_CROSS_POSTPROCESSOR")
public class ScalarPnLExplainCrossPostProcessor
extends AScalarPnLExplainPostProcessor

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
static String	PLUGIN_KEY
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskFactor1LevelInfo
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo	riskFactor2LevelInfo

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

asOfDateLevelInfo, DATE_LEVELS, inputSelector, pnLExplainFormulaProvider, riskClassLevelInfo, sensitivityKind, 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
ScalarPnLExplainCrossPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Method Summary

Modifier and Type	Method	Description
protected Double	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 riskFactorLevel1, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String[][] datesLevel, String ladderAvailabilityLevel, String sensitivityName, String formatter, String folder)
String	getType()
void	init(Properties properties)	The level corresponding to the risk class needs to be present in the configuration of the post-processor.
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 riskFactorLevel1, String riskFactorLevel2, String riskClassLevel, String sensitivityNameLevel, String[][] datesLevel, String ladderAvailabilityLevel, String sensitivityName)

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

setInputSelector, setPnLExplainFormulaProvider, toStringList, toStringList

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

riskFactor1LevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskFactor1LevelInfo

riskFactor2LevelInfo

protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskFactor2LevelInfo

Constructor Detail

ScalarPnLExplainCrossPostProcessor

public ScalarPnLExplainCrossPostProcessor(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 riskFactorLevel1,
                                                                                                                                                              String riskFactorLevel2,
                                                                                                                                                              String riskClassLevel,
                                                                                                                                                              String sensitivityNameLevel,
                                                                                                                                                              String[][] datesLevel,
                                                                                                                                                              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 riskFactorLevel1,
                                                              String riskFactorLevel2,
                                                              String riskClassLevel,
                                                              String sensitivityNameLevel,
                                                              String[][] datesLevel,
                                                              String ladderAvailabilityLevel,
                                                              String sensitivityName)

init

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

Description copied from class: AScalarPnLExplainPostProcessor

The level corresponding to the risk class needs to be present in the configuration of the post-processor.

• Risk class: its value is the string risk class, e.g.
  "RiskClass@Risk Classes@Risk"

Specified by:

init in interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>

Overrides:

init in class AScalarPnLExplainPostProcessor

Throws:

com.quartetfs.fwk.QuartetException

evaluateLeaf

protected Double 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<Double,Double>

Parameters:

leafLocation - current location

underlyingMeasures - sensiValue, currentDate, previousDate or just sensiValue

Returns:

The pnl explain

getType

public String getType()