Package com.activeviam.risk.core.services

Interface IPnLExplainFormulaProvider

All Known Implementing Classes:

PnLExplainFormulaProvider

public interface IPnLExplainFormulaProvider

Method Summary

Modifier and Type	Method	Description
com.qfs.func.ITriFunction<Double,Double,Double,Double>	getPnlExplainFormula(com.quartetfs.biz.pivot.query.IQueryCache cache, String sensitivityKind, String sensitivityName, String riskClass)	Retrieves a function that computes pnl from a market change from T-1 to T
BinaryOperator<Double>	getVaRExplainFormula(com.quartetfs.biz.pivot.query.IQueryCache cache, String sensitivityKind, String sensitivityName, String riskClass)	Retrieves a function that computes pnl from a market change expressed as a shift that may be Absolute : shift = MtM(T)-MtM(T-1) Relative : shift = MtM(T)/MtM(T-1) - 1 DHS : shift = (MtM(T) + c)/(MtM(T-1) + c) - 1

Method Detail

getPnlExplainFormula

com.qfs.func.ITriFunction<Double,Double,Double,Double> getPnlExplainFormula(com.quartetfs.biz.pivot.query.IQueryCache cache,
                                                                                              String sensitivityKind,
                                                                                              String sensitivityName,
                                                                                              String riskClass)

Retrieves a function that computes pnl from a market change from T-1 to T

Parameters:

cache - cache

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

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function that takes as parameter (double sensi, double quoteTMinus1, double quoteT)

getVaRExplainFormula

BinaryOperator<Double> getVaRExplainFormula(com.quartetfs.biz.pivot.query.IQueryCache cache,
                                            String sensitivityKind,
                                            String sensitivityName,
                                            String riskClass)

Retrieves a function that computes pnl from a market change expressed as a shift that may be

• Absolute : shift = MtM(T)-MtM(T-1)
• Relative : shift = MtM(T)/MtM(T-1) - 1
• DHS : shift = (MtM(T) + c)/(MtM(T-1) + c) - 1

Parameters:

cache - cache

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

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function that takes as parameter (double sensi, double shift)