Package com.activeviam.risk.core.utils

Class InputSelector

java.lang.Object

com.activeviam.risk.core.utils.InputSelector

All Implemented Interfaces:

IInputSelector

public class InputSelector
extends Object
implements IInputSelector

Field Summary

Fields

Modifier and Type	Field	Description
static String	FIRST_ORDER
static String	FORMULA_INPUT
static String	FORMULA_LADDER_ORDER
static String	SECOND_ORDER
static String	SENSI_TYPE

Constructor Summary

Constructors

Constructor	Description
InputSelector(org.springframework.core.env.Environment environment)

Method Summary

Modifier and Type	Method	Description
String	getFormulaInput(String sensitivityName)	Returns the configured input for the PnLExplain or TaylorVaR calculations.
boolean	hasSecondOrderLadder(String sensitivityName)	Returns whether the sensitivity ladder is second order, depending on the sensitivity name.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

FORMULA_INPUT

public static final String FORMULA_INPUT

See Also:

Constant Field Values

FORMULA_LADDER_ORDER

public static final String FORMULA_LADDER_ORDER

See Also:

Constant Field Values

SENSI_TYPE

public static final String SENSI_TYPE

See Also:

Constant Field Values

FIRST_ORDER

public static final String FIRST_ORDER

See Also:

Constant Field Values

SECOND_ORDER

public static final String SECOND_ORDER

See Also:

Constant Field Values

Constructor Detail

InputSelector

public InputSelector(org.springframework.core.env.Environment environment)

Method Detail

getFormulaInput

public String getFormulaInput(String sensitivityName)

Description copied from interface: IInputSelector

Returns the configured input for the PnLExplain or TaylorVaR calculations. The "formula.input" property should take the following case-insensitive values: "formula.input.vanna=SENSI-ONLY" "formula.input.delta=LADDER-ONLY" "formula.input.gamma="LADDER-FIRST" An empty property, or no setting, should default to "LADDER-FIRST", which will attempt to calculate the input from the sensitivity ladder or revert to the standard sensitivity if the ladder does not exist.

Specified by:

getFormulaInput in interface IInputSelector

Parameters:

sensitivityName - The name of the sensitivity.

Returns:

The formula input property.

hasSecondOrderLadder

public boolean hasSecondOrderLadder(String sensitivityName)

Description copied from interface: IInputSelector

Returns whether the sensitivity ladder is second order, depending on the sensitivity name.

Specified by:

hasSecondOrderLadder in interface IInputSelector

Parameters:

sensitivityName - The sensitivity name.

Returns:

True if the sensitivity ladder is second order, false otherwise.