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

Class WeightedVaRPostProcessor

java.lang.Object

com.quartetfs.biz.pivot.postprocessing.impl.AAdvancedPostProcessor<OutputType>

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<OutputType>

com.activeviam.risk.core.postprocessor.impl.AVaRPostProcessor<OutputType>

com.activeviam.risk.core.postprocessor.impl.AWeightedVaRPostProcessor<Double>

com.activeviam.risk.core.postprocessor.impl.WeightedVaRPostProcessor

All Implemented Interfaces:

ITailMeasureCalcAware, IWeightedTailMeasureCalcAware, 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="WeightedVaRPostProcessor")
public class WeightedVaRPostProcessor
extends AWeightedVaRPostProcessor<Double>
implements IWeightedTailMeasureCalcAware

Computes the weighted VaR for a given PnL vector and confidence level.

Dependent on the VaRConfidenceLevel context value to define the confidence level to use in the calculation. Dependend on the WeightedVaRLambda context value to define the lambda value to use in the calculation.

Author:

ActiveViam

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.BasicPostProcessorPrefetcher, com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor.TransformationProcedure

Field Summary

Fields

Modifier and Type	Field	Description
static String	FIXED_CONFIDENCE_LEVEL_PROPERTY
static String	PLUGIN_KEY

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

defaultLambda, isPnlOldestFirst, weightedTailMeasureCalc

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

defaultConfidence, fixedConfidence, quantile2RankLevelInfo, roundingLevelInfo, tailMeasureCalc

Fields inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

BASIC_POST_PROCESSOR_PREFETCHER, isPartitionedOnRangeLevels

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.quartetfs.biz.pivot.postprocessing.IPartitionedPostProcessor

DEFAULT_PARTITIONING_ON_RANGE_LEVELS

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.calc.ITailMeasureCalcAware

PROPERTY_NAME

Fields inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware

PROPERTY_NAME

Constructor Summary

Constructors

Constructor	Description
WeightedVaRPostProcessor(String name, com.quartetfs.biz.pivot.cube.hierarchy.measures.IPostProcessorCreationContext creationContext)

Method Summary

Modifier and Type	Method	Description
Double	evaluate(com.quartetfs.biz.pivot.ILocation location, Object[] underlyingMeasures)	Calculates the weighted VaR for a given PnL vector.
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, String confidenceLevel, org.springframework.core.env.Environment env, String description, String formatter, String folder)	Description with fixed confidence level
static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	getPostProcessorDescription(String measureName, String underlyingMeasure, org.springframework.core.env.Environment env, String description, String formatter, String folder)	Description with parametrable confidence level
String	getType()
void	init(Properties properties)

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

getLambdaValue, getWeights, setWeightedTailMeasureCalc

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

getConfidenceLevel, getVaRTimePeriod, getVaRTimePeriod, setTailMeasureCalc

Methods inherited from class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor

checkPrefetchers, compute, computePrefetchFilter, createPrefetchers, createProcedure, evaluate, initializeUnderlyingMeasures, reduce, 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

Methods inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalcAware

setWeightedTailMeasureCalc

Field Detail

PLUGIN_KEY

public static final String PLUGIN_KEY

See Also:

Constant Field Values

FIXED_CONFIDENCE_LEVEL_PROPERTY

public static final String FIXED_CONFIDENCE_LEVEL_PROPERTY

See Also:

Constant Field Values

Constructor Detail

WeightedVaRPostProcessor

public WeightedVaRPostProcessor(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 underlyingMeasure,
                                                                                                                                                              String confidenceLevel,
                                                                                                                                                              org.springframework.core.env.Environment env,
                                                                                                                                                              String description,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

Description with fixed confidence level

Parameters:

measureName - measure name

underlyingMeasure - underlying measure

confidenceLevel - confidence level

env - Spring environment

description - description

formatter - formatter

folder - folder

Returns:

measure builder

getPostProcessorDescription

public static Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> getPostProcessorDescription(String measureName,
                                                                                                                                                              String underlyingMeasure,
                                                                                                                                                              org.springframework.core.env.Environment env,
                                                                                                                                                              String description,
                                                                                                                                                              String formatter,
                                                                                                                                                              String folder)

Description with parametrable confidence level

Parameters:

measureName - measure name

underlyingMeasure - underlying measure

env - environment

description - description

formatter - formatter

folder - folder

Returns:

measure builder

init

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

Specified by:

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

Specified by:

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

Overrides:

init in class AWeightedVaRPostProcessor<Double>

Throws:

com.quartetfs.fwk.QuartetException

evaluate

public Double evaluate(com.quartetfs.biz.pivot.ILocation location,
                       Object[] underlyingMeasures)

Calculates the weighted VaR for a given PnL vector. Takes one underlying measure:

• The PnL vector.

Specified by:

evaluate in interface com.quartetfs.biz.pivot.postprocessing.IEvaluator<Double>

Specified by:

evaluate in class com.quartetfs.biz.pivot.postprocessing.impl.ABasicPostProcessor<Double>

Parameters:

location - The cube location.

underlyingMeasures - The underlying measures.

Returns:

The weighted VaR.

getType

public String getType()

Specified by:

getType in interface com.quartetfs.fwk.types.IExtendedPluginValue