Package com.activeviam.risk.core.utils

Class PnLExplainFormulaProvider

java.lang.Object

com.activeviam.risk.core.utils.PnLExplainFormulaProvider

All Implemented Interfaces:

IPnLExplainFormulaProvider

public class PnLExplainFormulaProvider
extends Object
implements IPnLExplainFormulaProvider

Field Summary

Fields

Modifier and Type	Field	Description
static String	ABSOLUTE
static String	DHS
static String	FX_RELATIVE
static String	RELATIVE

Constructor Summary

Constructors

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

Method Summary

Modifier and Type	Method	Description
com.qfs.func.ITriFunction<Double,Double,Double,Double>	absoluteFunctionPnL(double priceFactor, Integer derivativeOrder)	Lambda function for the PNL of absolute sensitivity
BinaryOperator<Double>	absoluteFunctionVaR(double priceFactor, Integer derivativeOrder)	Lambda function for the VaR return of absolute sensitivity
com.qfs.func.ITriFunction<Double,Double,Double,Double>	dhsFunction(double priceFactor, Integer derivativeOrder, double shift)	Lambda function for the PNL of relative sensitivity shifted from zero (dx/(x+shift))
com.qfs.func.ITriFunction<Double,Double,Double,Double>	fxRelativeFunctionPnL(Integer derivativeOrder)	Lambda function for the PNL of relative sensitivity (dx/x)
BinaryOperator<Double>	fxRelativeFunctionVaR(Integer derivativeOrder)	Lambda function for the VaR of relative sensitivity (dx/x)
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
com.qfs.func.ITriFunction<Double,Double,Double,Double>	getPnlExplainFormula(String sensitivityKind, String sensitivityName, String riskClass)	Retrieve a PNL formula
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
BinaryOperator<Double>	getVaRExplainFormula(String sensitivityKind, String sensitivityName, String riskClass)	Retrieve a VaR formula
com.qfs.func.ITriFunction<Double,Double,Double,Double>	relativeFunctionPnL(Integer derivativeOrder)	Lambda function for the PNL of relative sensitivity (dx/x)
BinaryOperator<Double>	relativeFunctionVaR(Integer derivativeOrder)	Lambda function for the VaR of relative sensitivity (dx/x)

Methods inherited from class java.lang.Object

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

Field Detail

ABSOLUTE

public static final String ABSOLUTE

See Also:

Constant Field Values

RELATIVE

public static final String RELATIVE

See Also:

Constant Field Values

FX_RELATIVE

public static final String FX_RELATIVE

See Also:

Constant Field Values

DHS

public static final String DHS

See Also:

Constant Field Values

Constructor Detail

PnLExplainFormulaProvider

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

Method Detail

absoluteFunctionPnL

public com.qfs.func.ITriFunction<Double,Double,Double,Double> absoluteFunctionPnL(double priceFactor,
                                                                                                    Integer derivativeOrder)

Lambda function for the PNL of absolute sensitivity

Parameters:

priceFactor - A coefficient to apply to the sensitivity

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

absoluteFunctionVaR

public BinaryOperator<Double> absoluteFunctionVaR(double priceFactor,
                                                  Integer derivativeOrder)

Lambda function for the VaR return of absolute sensitivity

Parameters:

priceFactor - A coefficient to apply to the sensitivity

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

relativeFunctionPnL

public com.qfs.func.ITriFunction<Double,Double,Double,Double> relativeFunctionPnL(Integer derivativeOrder)

Lambda function for the PNL of relative sensitivity (dx/x)

Parameters:

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

fxRelativeFunctionPnL

public com.qfs.func.ITriFunction<Double,Double,Double,Double> fxRelativeFunctionPnL(Integer derivativeOrder)

Lambda function for the PNL of relative sensitivity (dx/x)

Parameters:

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

relativeFunctionVaR

public BinaryOperator<Double> relativeFunctionVaR(Integer derivativeOrder)

Lambda function for the VaR of relative sensitivity (dx/x)

Parameters:

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

fxRelativeFunctionVaR

public BinaryOperator<Double> fxRelativeFunctionVaR(Integer derivativeOrder)

Lambda function for the VaR of relative sensitivity (dx/x)

Parameters:

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

Returns:

A formula

dhsFunction

public com.qfs.func.ITriFunction<Double,Double,Double,Double> dhsFunction(double priceFactor,
                                                                                            Integer derivativeOrder,
                                                                                            double shift)

Lambda function for the PNL of relative sensitivity shifted from zero (dx/(x+shift))

Parameters:

priceFactor - A coefficient to apply to the sensitivity

derivativeOrder - The derivative order of the sensitivity, aka delta = 1, gamma = 2

shift - The shifted zero of the relative sensitivity

Returns:

A formula

getPnlExplainFormula

public com.qfs.func.ITriFunction<Double,Double,Double,Double> getPnlExplainFormula(String sensitivityKind,
                                                                                                     String sensitivityName,
                                                                                                     String riskClass)

Retrieve a PNL formula

Parameters:

sensitivityKind - The king of the sensi : delta / vega / gamma / ...

sensitivityName - The name of the sensi : inflation / ir-gamma / ...

riskClass - The risk class of the sensi : FX / GIRR / ...

Returns:

A lambda formula

getVaRExplainFormula

public BinaryOperator<Double> getVaRExplainFormula(String sensitivityKind,
                                                   String sensitivityName,
                                                   String riskClass)

Retrieve a VaR formula

Parameters:

sensitivityKind - The king of the sensi : delta / vega / gamma / ...

sensitivityName - The name of the sensi : inflation / ir-gamma / ...

riskClass - The risk class of the sensi : FX / GIRR / ...

Returns:

A lambda formula

getPnlExplainFormula

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

Description copied from interface: IPnLExplainFormulaProvider

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

Specified by:

getPnlExplainFormula in interface IPnLExplainFormulaProvider

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

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

Description copied from interface: IPnLExplainFormulaProvider

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

Specified by:

getVaRExplainFormula in interface IPnLExplainFormulaProvider

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)