Package com.activeviam.risk.core.services

Interface IMarketDataRetrievalService

All Known Implementing Classes:

AMarketDataRetrievalService, MarketDataRetrievalService, ScalarMarketDataRetrievalService

public interface IMarketDataRetrievalService

Nested Class Summary

Nested Classes

Modifier and Type	Interface	Description
static interface	IMarketDataRetrievalService.IPillar	One pillar
static interface	IMarketDataRetrievalService.IPillarSet	This interface describes an set of pillar allong an axis
static class	IMarketDataRetrievalService.MarketType	The returned type of the market data

Method Summary

Modifier and Type	Method	Description
double[]	getMarketData(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, IMarketDataRetrievalService.IPillarSet[] requestedPillars, boolean interpolate, IMarketDataRetrievalService.MarketType type, String debugKey)	Get some market data
boolean	getMarketDataInterpolationFlag(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)	Retrieves the flag that specifies whether interpolation of the market data is used for the computation of PnL explain
com.qfs.vector.IVector[]	getPnlVector(IServiceContext context, LocalDate date, String scenario, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, IMarketDataRetrievalService.IPillarSet[] requestedPillars, boolean interpolate, IMarketDataRetrievalService.MarketType type, String debugKey)	Get some market data
boolean	getShiftDataInterpolationFlag(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)	Retrieves the flag that specifies whether interpolation of the shift data vector is used for the computation of VaR

Method Detail

getMarketData

double[] getMarketData(IServiceContext context,
                       LocalDate date,
                       String marketDataSet,
                       String sensitivityKind,
                       String sensitivityName,
                       String riskClass,
                       String riskFactor,
                       IMarketDataRetrievalService.IPillarSet[] requestedPillars,
                       boolean interpolate,
                       IMarketDataRetrievalService.MarketType type,
                       String debugKey)

Get some market data

Parameters:

context - The caller context

date - The as of date of the market data

marketDataSet - The set of data to look for

sensitivityKind - the type of sensitivity delta / gamma /vega / ....

sensitivityName - The kind of sensi

riskClass - The risk class of the requested market data

riskFactor - The name of the market data

requestedPillars - The list of the requested pillar. For instance IPillarSets[0] for tenor, IPillarSets[1] for maturity, IPillarSets[2] for moneyness

interpolate - Is the interpolation allowed

type - The type of the returned market data : absolute means the market price in currency (for bonds price x nominal), relative to the nominal, raw aka as it is normally used / store

debugKey - If not null will store debug info in the cache at the ket location

Returns:

A list of values describing a vector / map / cube depending of the requested dimensions, coordinates are (i * size(j) + j) * size(k) + k

getPnlVector

com.qfs.vector.IVector[] getPnlVector(IServiceContext context,
                                      LocalDate date,
                                      String scenario,
                                      String marketDataSet,
                                      String sensitivityKind,
                                      String sensitivityName,
                                      String riskClass,
                                      String riskFactor,
                                      IMarketDataRetrievalService.IPillarSet[] requestedPillars,
                                      boolean interpolate,
                                      IMarketDataRetrievalService.MarketType type,
                                      String debugKey)

Get some market data

Parameters:

context - The caller context

date - The as of date of the market data

scenario - The VaR scenario to look for

marketDataSet - The set of data to look for

sensitivityKind - the type of sensitivity delta / gamma /vega / ....

sensitivityName - The kind of sensi

riskClass - The risk class of the requested market data

riskFactor - The name of the market data

requestedPillars - The list of the requested pillar. For instance IPillarSets[0] for tenor, IPillarSets[1] for maturity, IPillarSets[2] for moneyness

interpolate - Is the interpolation allowed

type - The type of the returned market data : absolute means the market price in currency, relative to the nominal (current configuration for VaR computation), raw aka as it is normally used / store

debugKey - If not null will store debug info in the cache at the ket location

Returns:

A list of values describing a vector / map / cube depending of the requested dimensions, coordinates are (i * size(j) + j) * size(k) + k

getMarketDataInterpolationFlag

boolean getMarketDataInterpolationFlag(IServiceContext context,
                                       String sensitivityKind,
                                       String sensitivityName,
                                       String riskClass)

Retrieves the flag that specifies whether interpolation of the market data is used for the computation of PnL explain

Parameters:

context - The caller context

sensitivityKind - the type of sensitivity delta / gamma /vega / ....

sensitivityName - the sensitivity name

riskClass - the risk class

Returns:

A boolean flag that is true if interpolation is used and false otherwise

getShiftDataInterpolationFlag

boolean getShiftDataInterpolationFlag(IServiceContext context,
                                      String sensitivityKind,
                                      String sensitivityName,
                                      String riskClass)

Retrieves the flag that specifies whether interpolation of the shift data vector is used for the computation of VaR

Parameters:

context - The caller context

sensitivityKind - the type of sensitivity delta / gamma /vega / ....

sensitivityName - the sensitivity name

riskClass - the risk class

Returns:

A boolean flag that is true if interpolation is used and false otherwise