| ACopperPostProcessor |
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| ACopperWPostProcessor |
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| AESPostProcessor<OutputType> |
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| AETGPostProcessor<OutputType> |
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| AMarketDataPostProcessor<T> |
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| APnlVectorFromRiskSensiPostProcessor<T> |
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| AppendD2DDiffPostProcessor |
Post-processor used to append the day-to-day difference value to a measure
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| ApplyShiftPostProcessor |
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| AScalarPnLExplainPostProcessor |
Post-processor used to get PnL approximation for Delta, Gamma and Vega.
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| AsOfDateNeighbourValuePostProcessor<O> |
Extension of the NeighborValuePostProcessor which uses an IDayToDayDifference
context value to select the AsOfDate to shift to. |
| ATenorMaturityAndMoneynessExpand<LeafType,OutputType> |
Abstract post-processor used to expand a sensitivity/ladder along tenors, maturities and moneyness levels
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| AVaEPostProcessor<OutputType> |
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| AVaRPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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| AWeightedESPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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| AWeightedETGPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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| AWeightedVaEPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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| AWeightedVaRPostProcessor<OutputType> |
This class handles the confidence level and the Calc IF
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| ConstantZeroPostProcessor |
Returns zero at any location, to allow usage as an underlying measure for analysis hierarchy postprocessors.
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| CopperESPostProcessors |
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| CopperETGPostProcessor |
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| CopperVaEPostProcessor |
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| CopperVaRPostProcessors |
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| CopperWEsPostProcessor |
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| CopperWEtgPostProcessors |
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| CopperWVaEPostProcessors |
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| CopperWVaRPostProcessor |
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| DataCountPostProcessor |
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| DynamicTenorsAndMaturitiesPostProcessor |
Postprocessor that dynamically buckets from an input tenor and maturity to the appropriate destination tenors and maturities.
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| ESIndicesPostProcessor |
Computes the indices for a given PnL vector that contribute to the expected shortfall.
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| ESPostProcessor |
Computes expected shortfall, the average of losses greater than the VaR of a given position.
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| ETGIndicesPostProcessor |
Computes the indices for a given PnL vector that contribute to the expected tail gain.
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| ETGPostProcessor |
Computes expected tail gain, the average of gains greater than the VaE of a given position.
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| IncrementalESPostProcessor |
Computes incremental ES, a measure of the change in the ES of a parent portfolio should a
sub-portfolio be removed from it.
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| IncrementalETGPostProcessor |
Computes incremental ETG, a measure of the change in the ETG of a parent portfolio should a
sub-portfolio be removed from it.
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| IncrementalVaEPostProcessor |
Computes incremental VaE, a measure of the change in the VaE of a parent portfolio should a
sub-portfolio be removed from it.
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| IncrementalVaRPostProcessor |
Computes incremental VaR, a measure of the change in the VaR of a parent portfolio should a
sub-portfolio be removed from it.
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| LadderDisplay |
Returns the valid ladder measure at the given location, between the shift expanded value and the vector.
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| MarketDataDebugStringPostProcessor |
Post-processor used to get market data debug string for market data interpoaltion
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| MarketDataDynamicAggregationPostProcessor |
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| MarketDataPostProcessor |
Abstract Post-processor used to get market data for current and previous date values.
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| NotionalPostProcessor |
Computes the notional value without double-counting.
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| ParametricVaEPostProcessor |
Computes the parametric VaE for a given PnL vector and confidence level.
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| ParametricVaRPostProcessor |
Computes the parametric VaR for a given PnL vector and confidence level.
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| PnLDistributionPostProcessor |
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| PnLExplainCrossPostProcessor |
Post-processor used to get PnL approximation for Delta, Gamma and Vega.
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| PnLExplainPostProcessor |
Post-processor used to get PnL approximation for Delta, Gamma and Vega.
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| PnLValuesPostProcessor |
Returns the values in the PnL vector that corresponds to the indices passed as inputs
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| PnLValuesPostProcessor.ThreadLocalDecimalFormat |
Thread local wrapped number format.
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| PnlVectorFromCrossRiskSensiPostProcessor |
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| PnlVectorFromRiskSensiPostProcessor |
This postprocessor will compute an elementary PNL vector for a specific riskFactor and risk class
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| ReferenceLevelLocationShift |
Evaluate the underlying measure at the reference level.
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| RegexpFilteringPostProcessor<OutputType> |
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| RelativePnLPostProcessor |
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| RemoveDifferentValues |
This aggregator is intended to merge identical values into a single one.
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| RemoveDifferentValues.History |
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| ScalarMarketDataPostProcessor |
Post-processor used to get market data values for current and previous dates.
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| ScalarPnLExplainCrossPostProcessor |
Post-processor used to get PnL approximation for Delta, Gamma and Vega.
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| ScalarPnLExplainPostProcessor |
Post-processor used to get PnL approximation for Delta, Gamma and Vega.
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| ScalarPnlVectorFromCrossRiskSensiPostProcessor |
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| ScalarPnlVectorFromRiskSensiPostProcessor |
This postprocessor will compute an elementary PNL vector for a specific riskFactor and risk class
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| ScalarVaRPostProcessor |
Computes the VaR for a given PnL vector and confidence level.
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| ScenarioNamePostProcessor |
Queries the datastore and returns the scenario names for an array of indices.
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| ScenariosExpand |
Expand the values of the PnL vector along the 'scenario' analysis hierarchy.
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| SensiLadderExpand |
Returns the sensitivity vector for a particular sensitivity ladder shift.
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| SubVectorPostProcessor |
This post processor is intended to add Vectors that are provided in several underlying measures
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| SumVectorPostProcessor |
This post processor is intended to add Vectors that are provided in several underlying measures
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| TenorExpandStringDebug |
Post-processor used to expand a sensitivity measure along the tenor hierarchy
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| TenorMaturityAndMoneynessExpand |
Abstract post-processor used to expand a sensitivity vector along tenors, maturities and moneyness levels
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| TenorMaturityAndMoneynessLadderExpand |
Abstract post-processor used to expand a sensitivity ladder along tenors, maturities and moneyness levels
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| TenorMaturityAndMoneynessStringDebugExpand |
Post-processor used to expand a sensitivity along tenors and maturities levels
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| TopPostProcessor |
A post-processor that goes "up" along a hierarchy to fetch the value of its underlying measure for parent (or
higher level) members.
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| UnderlyingMeasureSelectorPostProcessor |
Returns the valid measure at the given location, between the tenor expansion or the dynamically bucketed value.
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| VaEIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| VaEPostProcessor |
Computes the VaE for a given PnL vector and confidence level.
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| VaRIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| VaRPostProcessor |
Computes the VaR for a given PnL vector and confidence level.
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| VaRSubVectorPostProcessor |
Generates a sub-vector based on indices from context values.
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| VectorAggregationPostProcessor |
Aggregates a vector.
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| VectorMetricPostProcessor |
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| WeightedESIndicesPostProcessor |
Computes the ES index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| WeightedESPostProcessor |
Computes the weighted ES for a given PnL vector and confidence level.
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| WeightedETGIndicesPostProcessor |
Computes the ETG index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| WeightedETGPostProcessor |
Computes the weighted ETG for a given PnL vector and confidence level.
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| WeightedVaEIndicesPostProcessor |
Computes the VaE index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| WeightedVaEPostProcessor |
Computes the weighted VaE for a given PnL vector and confidence level.
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| WeightedVaRIndicesPostProcessor |
Computes the VaR index (or indices if we are interpolating) for a given PnL vector and confidence level.
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| WeightedVaRPostProcessor |
Computes the weighted VaR for a given PnL vector and confidence level.
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