Class ScalarPnLExplainPostProcessor
- 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.ScalarPnLExplainPostProcessor
-
- 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_POSTPROCESSOR") public class ScalarPnLExplainPostProcessor extends AScalarPnLExplainPostProcessor
Post-processor used to get PnL approximation for Delta, Gamma and Vega.- See Also:
- Serialized Form
-
-
Field Summary
Fields Modifier and Type Field Description static String
PLUGIN_KEY
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo
riskFactorLevelInfo
-
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
-
-
Constructor Summary
Constructors Constructor Description ScalarPnLExplainPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
-
Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description protected Double
evaluateLeaf(com.quartetfs.biz.pivot.ILocation leafLocation, Object[] underlyingMeasures)
There are four underlying measures here: the Sensi value, the Sensi ladder, 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 currentDateMeasure, String previousDateMeasure, String asOfDateLevel, String riskFactorLevel, 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 currentDateMeasure, com.activeviam.copper.api.CopperMeasure previousDateMeasure, String asOfDateLevel, String riskFactorLevel, 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
-
-
-
-
Field Detail
-
PLUGIN_KEY
public static final String PLUGIN_KEY
- See Also:
- Constant Field Values
-
riskFactorLevelInfo
protected com.quartetfs.biz.pivot.cube.hierarchy.ILevelInfo riskFactorLevelInfo
-
-
Constructor Detail
-
ScalarPnLExplainPostProcessor
public ScalarPnLExplainPostProcessor(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 currentDateMeasure, String previousDateMeasure, String asOfDateLevel, String riskFactorLevel, 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 currentDateMeasure, com.activeviam.copper.api.CopperMeasure previousDateMeasure, String asOfDateLevel, String riskFactorLevel, 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 interfacecom.quartetfs.biz.pivot.postprocessing.IPostProcessor<Double>
- Overrides:
init
in classAScalarPnLExplainPostProcessor
- Throws:
com.quartetfs.fwk.QuartetException
- Risk class: its value is the string risk class, e.g.
-
evaluateLeaf
protected Double evaluateLeaf(com.quartetfs.biz.pivot.ILocation leafLocation, Object[] underlyingMeasures)
There are four underlying measures here: the Sensi value, the Sensi ladder, Current date market data, Previous date market data. The PnL explain computation is done in the method calculatePnL.
-
getType
public String getType()
-
-