Package com.activeviam.risk.ref.calc.impl

Class WeightedTailMeasureCalc

java.lang.Object

com.activeviam.risk.ref.calc.impl.WeightedTailMeasureCalc

All Implemented Interfaces:

IWeightedTailMeasureCalc

public class WeightedTailMeasureCalc
extends Object
implements IWeightedTailMeasureCalc

Nested Class Summary

Nested classes/interfaces inherited from interface com.activeviam.risk.core.calc.IWeightedTailMeasureCalc

IWeightedTailMeasureCalc.CalcType

Constructor Summary

Constructors

Constructor	Description
WeightedTailMeasureCalc()

Method Summary

Modifier and Type	Method	Description
double[]	calculateWeights(int n, double lambda)	Generates an array of weightings of length equal to the number of scenarios n, based on a Lambda value.
Integer[]	getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Return an array of the indices in the vector that contribute to the weighted VaR/ES.
Double	getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Calculate the contribution to the VaR, ES, VaE or ETG of the PnL vector for the quantile.
protected double[][]	getSortedWeightedPnLs(com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector originalPnLs, double[] weights, boolean reverse)
Double	getWeightedESMetric(com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate the weighted VaR of the PnL vector for the quantile.
Integer[]	getWeightedESMetricIndices(com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate indices of the scenarios that contribute to the weighted VaR of the PnL vector for the quantile.
protected com.quartetfs.fwk.impl.Pair<Double,Integer[]>	getWeightedESMetricWithIndices(com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate the weighted ES of the PnL vector for the quantile.
Double	getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot, com.qfs.store.IDatastoreVersion datastore, IWeightedTailMeasureCalc.CalcType type, com.qfs.vector.IVector pnl, double[] weights, double quantile, boolean isPnlOldestFirst)	Calculate the ES or VaR of the PnL vector for the quantile.
Double	getWeightedVaRMetric(com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate the weighted VaR of the PnL vector for the quantile.
Integer[]	getWeightedVaRMetricIndices(com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate indices of the scenarios that contribute to the weighted VaR of the PnL vector for the quantile.
com.quartetfs.fwk.impl.Pair<Double,Integer[]>	getWeightedVaRMetricWithIndices(com.qfs.vector.IVector referencePnl, com.qfs.vector.IVector originalPnLs, double[] weights, double quantile, boolean reverse, boolean isPnlOldestFirst)	Calculate the weighted VaR of the PnL vector for the quantile and also rfetrun the list of indicies that correspond to the weighted VaR.

Methods inherited from class java.lang.Object

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

Constructor Detail

WeightedTailMeasureCalc

public WeightedTailMeasureCalc()

Method Detail

getWeightedTailMeasure

public Double getWeightedTailMeasure(com.quartetfs.biz.pivot.IActivePivot activePivot,
                                     com.qfs.store.IDatastoreVersion datastore,
                                     IWeightedTailMeasureCalc.CalcType type,
                                     com.qfs.vector.IVector pnl,
                                     double[] weights,
                                     double quantile,
                                     boolean isPnlOldestFirst)

Calculate the ES or VaR of the PnL vector for the quantile.

Specified by:

getWeightedTailMeasure in interface IWeightedTailMeasureCalc

Parameters:

activePivot - activePivot

datastore - datastore

pnl - The PnL vector.

weights - weights

quantile - The quantile for the ES or VaR, between 0 and 1 (equals 1 minus the confidence level).

isPnlOldestFirst - Whether the first entry in the PnL vector corresponds to the oldest scenario or the newest.

type - "ES", "VaR", "VaE" or "ETG"

Returns:

The tail measure (i.e. VaR or ES value of the vector for the quantile).

calculateWeights

public double[] calculateWeights(int n,
                                 double lambda)

Generates an array of weightings of length equal to the number of scenarios n, based on a Lambda value.

Specified by:

calculateWeights in interface IWeightedTailMeasureCalc

Parameters:

n - number

lambda - lambda

Returns:

array of weightings.

getWeightedVaRMetric

public Double getWeightedVaRMetric(com.qfs.vector.IVector referencePnl,
                                   com.qfs.vector.IVector originalPnLs,
                                   double[] weights,
                                   double quantile,
                                   boolean reverse,
                                   boolean isPnlOldestFirst)

Calculate the weighted VaR of the PnL vector for the quantile.

Parameters:

referencePnl - The reference PnL vector used for the scenario sorting

originalPnLs - The PnL vector used for the VaR

weights - weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The weighted VaR measure

getWeightedVaRMetricIndices

public Integer[] getWeightedVaRMetricIndices(com.qfs.vector.IVector originalPnLs,
                                             double[] weights,
                                             double quantile,
                                             boolean reverse,
                                             boolean isPnlOldestFirst)

Calculate indices of the scenarios that contribute to the weighted VaR of the PnL vector for the quantile.

Parameters:

originalPnLs - The PnL vector.

weights - weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The indices that contribute to the weighted VaR

getWeightedESMetric

public Double getWeightedESMetric(com.qfs.vector.IVector referencePnl,
                                  com.qfs.vector.IVector originalPnLs,
                                  double[] weights,
                                  double quantile,
                                  boolean reverse,
                                  boolean isPnlOldestFirst)

Calculate the weighted VaR of the PnL vector for the quantile.

Parameters:

referencePnl - The PnL reference vector used for the scenario sorting

originalPnLs - The PnL vector for the metric computation

weights - weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The weighted VaR measure

getWeightedESMetricIndices

public Integer[] getWeightedESMetricIndices(com.qfs.vector.IVector originalPnLs,
                                            double[] weights,
                                            double quantile,
                                            boolean reverse,
                                            boolean isPnlOldestFirst)

Calculate indices of the scenarios that contribute to the weighted VaR of the PnL vector for the quantile.

Parameters:

originalPnLs - The PnL vector.

weights - weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The indices that contribute to the weighted VaR

getWeightedESMetricWithIndices

protected com.quartetfs.fwk.impl.Pair<Double,Integer[]> getWeightedESMetricWithIndices(com.qfs.vector.IVector referencePnl,
                                                                                             com.qfs.vector.IVector originalPnLs,
                                                                                             double[] weights,
                                                                                             double quantile,
                                                                                             boolean reverse,
                                                                                             boolean isPnlOldestFirst)

Calculate the weighted ES of the PnL vector for the quantile.

Parameters:

referencePnl - The PnL reference vector used for the scenario sorting

originalPnLs - The PnL vector for the metric computation

weights - weight

quantile - The quantile for the ES, between 0 and 1 (equals 1 minus the confidence level)

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The weighted ES measure and the list of indices that correspond to the scenarios used for the computation of the weighted ES

getSortedWeightedPnLs

protected double[][] getSortedWeightedPnLs(com.qfs.vector.IVector referencePnl,
                                           com.qfs.vector.IVector originalPnLs,
                                           double[] weights,
                                           boolean reverse)

getWeightedVaRMetricWithIndices

public com.quartetfs.fwk.impl.Pair<Double,Integer[]> getWeightedVaRMetricWithIndices(com.qfs.vector.IVector referencePnl,
                                                                                           com.qfs.vector.IVector originalPnLs,
                                                                                           double[] weights,
                                                                                           double quantile,
                                                                                           boolean reverse,
                                                                                           boolean isPnlOldestFirst)

Calculate the weighted VaR of the PnL vector for the quantile and also rfetrun the list of indicies that correspond to the weighted VaR.

Parameters:

referencePnl - The PnL vector used for the scenario sorting

originalPnLs - The PnL vector used for the metric computation

weights - weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

reverse - false for negative tail measures, true for positive tail measures

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The weighted VaR measure and the list of indicies that correspond to the scenarios used for the computation of the weighted VaR

getIndices

public Integer[] getIndices(com.quartetfs.biz.pivot.IActivePivot activePivot,
                            com.qfs.store.IDatastoreVersion datastore,
                            IWeightedTailMeasureCalc.CalcType type,
                            com.qfs.vector.IVector pnl,
                            double[] weights,
                            double quantile,
                            boolean isPnlOldestFirst)

Description copied from interface: IWeightedTailMeasureCalc

Return an array of the indices in the vector that contribute to the weighted VaR/ES.

Specified by:

getIndices in interface IWeightedTailMeasureCalc

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES", "VaR", "VaE" or "ETG"

pnl - The PnL vector.

weights - the weights

quantile - The quantile for the VaR, between 0 and 1 (equals 1 minus the confidence level).

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The array of vector indices.

getLEstimator

public Double getLEstimator(com.quartetfs.biz.pivot.IActivePivot activePivot,
                            com.qfs.store.IDatastoreVersion datastore,
                            IWeightedTailMeasureCalc.CalcType type,
                            com.qfs.vector.IVector referencePnl,
                            com.qfs.vector.IVector pnl,
                            double[] weights,
                            double quantile,
                            boolean isPnlOldestFirst)

Description copied from interface: IWeightedTailMeasureCalc

Calculate the contribution to the VaR, ES, VaE or ETG of the PnL vector for the quantile.

Specified by:

getLEstimator in interface IWeightedTailMeasureCalc

Parameters:

activePivot - Active Pivot instance.

datastore - Datastore version.

type - "ES", "VaR", "VaE" or "ETG"

referencePnl - The aggregate PnL vector at the reference level.

pnl - The PnL vector for the current sub-portfolio.

weights - The weights

quantile - The quantile for the ES, VaR or VaE between 0 and 1 (equals 1 minus the confidence level).

isPnlOldestFirst - flag to indicate if the PnL values in the PnL vector are present from with the oldest value at index 0 or the most recent value at index 0. The flag is set to 'true' if the oldest PnL value is present at index 0 and to 'false' if the most recent PnL value is present at index 0.

Returns:

The tail measure (i.e. VaR, ES or VaE value of the vector for the quantile).