Class VaRPostProcessor
- java.lang.Object
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- com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>
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- com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<OutputType>
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- com.activeviam.risk.core.postprocessor.impl.AVaRPostProcessor<Double>
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- com.activeviam.risk.core.postprocessor.impl.VaRPostProcessor
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- All Implemented Interfaces:
ITailMeasureCalcAware
,com.quartetfs.biz.pivot.postprocessing.IAggregatedMeasureAware
,com.quartetfs.biz.pivot.postprocessing.IBasicPostProcessor<Double>
,com.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>
,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="VaRPostProcessor") public class VaRPostProcessor extends AVaRPostProcessor<Double>
Computes the VaR for a given PnL vector and confidence level.
Dependent on theVaRConfidenceLevel
context value to define the confidence level to use in the calculation.- Author:
- ActiveViam
- See Also:
- Serialized Form
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Field Summary
Fields Modifier and Type Field Description static String
PLUGIN_KEY
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Fields inherited from class com.activeviam.risk.core.postprocessor.impl.AVaRPostProcessor
defaultConfidence, FIXED_CONFIDENCE_LEVEL_PROPERTY, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc
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Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels
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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.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor
DEFAULT_PARTITIONING_ON_RANGE_LEVELS
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Fields inherited from interface com.quartetfs.biz.pivot.postprocessing.IPostProcessor
CONTINUOUS_QUERY_HANDLER_KEYS, IS_PARTITIONED_ON_RANGE_LEVELS_PROPERTY, SEPARATOR, UNDERLYING_MEASURES
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Fields inherited from interface com.activeviam.risk.core.calc.ITailMeasureCalcAware
PROPERTY_NAME
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Constructor Summary
Constructors Constructor Description VaRPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description Double
evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
Calculates the VaR for a given PnL vector.static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>
getPostProcessorDescription(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, String confidenceLevel, String description, String formatter, String folder)
Description with fixed confidence levelstatic Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>
getPostProcessorDescription(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with parametrable confidence levelString
getType()
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Methods inherited from class com.activeviam.risk.core.postprocessor.impl.AVaRPostProcessor
getConfidenceLevel, getVaRTimePeriod, getVaRTimePeriod, init, setTailMeasureCalc
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Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor
checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, 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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Constructor Detail
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VaRPostProcessor
public VaRPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)
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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 underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, String confidenceLevel, String description, String formatter, String folder)
Description with fixed confidence level- Parameters:
measureName
- measure nameunderlyingMeasure
- underlying measureroundingMethodLevel
- rounding method levelquantile2RankLevel
- quantile method levelconfidenceLevel
- confidence leveldescription
- descriptionformatter
- formatterfolder
- folder- Returns:
- measure builder
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getPostProcessorDescription
public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName, String underlyingMeasure, String roundingMethodLevel, String quantile2RankLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)
Description with parametrable confidence level- Parameters:
measureName
- measure nameunderlyingMeasure
- underlying measureroundingMethodLevel
- rounding method levelquantile2RankLevel
- quantile method levelenv
- environmentdescription
- descriptionformatter
- formatterfolder
- folder- Returns:
- measure builder
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evaluate
public Double evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)
Calculates the VaR for a given PnL vector. Takes one underlying measure:- The PnL vector.
- Specified by:
evaluate
in interfacecom.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>
- Specified by:
evaluate
in classcom.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Double>
- Parameters:
location
- The cube location.underlyingMeasures
- The underlying measures.- Returns:
- The VaR value.
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getType
public String getType()
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