Class ScalarPnlVectorFromRiskSensiPostProcessor
- java.lang.Object
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- com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputT>
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- com.quartetfs.biz.pivot.postprocessing.impl.ABaseDynamicAggregationPostProcessor<LeafType,OutputType>
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- com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor<com.qfs.vector.IVector,com.qfs.vector.IVector>
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- com.activeviam.risk.core.postprocessor.impl.APnlVectorFromRiskSensiPostProcessor<Double>
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- com.activeviam.risk.core.postprocessor.impl.ScalarPnlVectorFromRiskSensiPostProcessor
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- All Implemented Interfaces:
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:
ScalarPnlVectorFromCrossRiskSensiPostProcessor
@QuartetExtendedPluginValue(intf=com.quartetfs.biz.pivot.postprocessing.IPostProcessor.class, key="ScalarPnlVectorFromRiskSensiPostProcessor") public class ScalarPnlVectorFromRiskSensiPostProcessor extends APnlVectorFromRiskSensiPostProcessor<Double>
This postprocessor will compute an elementary PNL vector for a specific riskFactor and risk class- See Also:
- Serialized Form
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Field Summary
Fields Modifier and Type Field Description static String
DATE_LEVELS
protected boolean
interpolate
static String
PLUGIN_KEY
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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
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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
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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
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Fields inherited from interface com.activeviam.risk.core.services.ICustomParametersAware
PROPERTY_NAME
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Fields inherited from interface com.activeviam.risk.core.services.IInputSelectorAware
PROPERTY_NAME
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Fields inherited from interface com.activeviam.risk.core.services.IMarketDataRetrievalServiceAware
PROPERTY_NAME
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor
DEFAULT_PARTITIONING_ON_RANGE_LEVELS
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Fields inherited from interface com.activeviam.risk.core.services.IPnLExplainFormulaProviderAware
PROPERTY_NAME
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Constructor Summary
Constructors Constructor Description ScalarPnlVectorFromRiskSensiPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
Constructor
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description protected com.qfs.vector.IVector
evaluate(com.quartetfs.biz.pivot.ILocation location, Double 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 IMarketDataRetrievalService.IPillarSet[]
getOutputBuckets(com.quartetfs.biz.pivot.ILocation leafLocation, List<Object> leafCoordinatesSensi)
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 scenarioLevel, String marketDataSetLevel, String sensitivityName, BucketType[] bucketTypes, String[][] datesLevel, String ladderAvailabilityLevel, 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 scenarioLevel, String marketDataSetLevel, String sensitivityName, BucketType[] bucketTypes, String[][] datesLevel, String ladderAvailabilityLevel)
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Methods inherited from class com.activeviam.risk.core.postprocessor.impl.APnlVectorFromRiskSensiPostProcessor
evaluateLeaf, setCustomParameters, setInputSelector, setMarketDataRetrievalService, setPnLExplainFormulaProvider
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Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ADynamicAggregationPostProcessor
createLeafEvaluationProcedure, evaluateLeaf
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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
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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
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Field Detail
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PLUGIN_KEY
public static final String PLUGIN_KEY
- See Also:
- Constant Field Values
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DATE_LEVELS
public static final String DATE_LEVELS
- See Also:
- Constant Field Values
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interpolate
protected boolean interpolate
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Constructor Detail
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ScalarPnlVectorFromRiskSensiPostProcessor
public ScalarPnlVectorFromRiskSensiPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
Constructor- Parameters:
name
- The name of the post-processorcreationContext
- Thecreation context
of this post-processor.
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Method Detail
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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 scenarioLevel, String marketDataSetLevel, String sensitivityName, BucketType[] bucketTypes, String[][] datesLevel, String ladderAvailabilityLevel, String formatter, String folder)
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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 scenarioLevel, String marketDataSetLevel, String sensitivityName, BucketType[] bucketTypes, String[][] datesLevel, String ladderAvailabilityLevel)
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getType
public String getType()
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init
public void init(Properties properties) throws com.quartetfs.fwk.QuartetException
- Specified by:
init
in interfacecom.quartetfs.biz.pivot.postprocessing.IPostProcessor<com.qfs.vector.IVector>
- Overrides:
init
in classAPnlVectorFromRiskSensiPostProcessor<Double>
- Throws:
com.quartetfs.fwk.QuartetException
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evaluate
protected com.qfs.vector.IVector evaluate(com.quartetfs.biz.pivot.ILocation location, Double 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 classAPnlVectorFromRiskSensiPostProcessor<Double>
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getOutputBuckets
protected IMarketDataRetrievalService.IPillarSet[] getOutputBuckets(com.quartetfs.biz.pivot.ILocation leafLocation, List<Object> leafCoordinatesSensi)
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