Package com.activeviam.risk.ref.cfg.sensi.impl

Class SensiDatastoreDescriptionConfig

java.lang.Object

com.activeviam.risk.ref.cfg.sensi.impl.SensiDatastoreDescriptionConfig

@Configuration
@Profile({"standard","scalar-sensi"})
public class SensiDatastoreDescriptionConfig
extends Object

Sensitivities stores description

Field Summary

Fields

Modifier and Type	Field	Description
static String	DYN_MATURITIES
static String	DYN_MONEYNESS
static String	DYN_TENORS
static List<String>	DYN_TENORS_STORES
static String	MATURITIES
static String	MONEYNESS
static int	NUM_HASH_PARTITIONS
static String	RISK_FACTORS
static String	SENSI__DOMAIN_1
static String	STORE_DATE_FIELD_FORMAT
static String	TENOR_SET_DEFAULT
static String	TENORS
static List<String>	TENORS_STORES
static String	TRADE_ATTRIBUTES__TRADE_ID
static String	TRADE_ATTRIBUTES_STORE_NAME
static String	TRADE_STORE

Constructor Summary

Constructors

Constructor	Description
SensiDatastoreDescriptionConfig()

Method Summary

Modifier and Type	Method	Description
static Collection<com.qfs.desc.IReferenceDescription>	commonReferences()	Creates all of the references needed for both the standard and scalar sensitivity cube
static Collection<com.qfs.desc.IStoreDescription>	createCommonStores()	Creates all of the stores needed for the sensitivity cube
static Set<com.qfs.desc.IStoreDescription>	createDynamicTenorsStoreDescription()	Creates a store for the superset of Sensitivity dynamic tenors
static com.qfs.desc.IStoreDescription	createMarketDataSetsStore()
static com.qfs.desc.IStoreDescription	createMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)	Creates the vectorised market data store
static com.qfs.desc.IStoreDescription	createScalarMarketDataStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)	Creates the scalar market data store
static com.qfs.desc.IStoreDescription	createScalarTradeBaseStoreDescription(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)	Creates a store for the Trades with have sensitivities.
static Set<com.qfs.desc.IStoreDescription>	createTenorsStoreDescription()	Creates a store for the superset of Sensitivity tenors
static com.qfs.desc.IStoreDescription	createTradeBaseStoreDescription()	Creates a store for the Trades with have sensitivities.
static com.qfs.desc.IStoreDescription	riskFactorMarketShiftStore(String tenorAndMaturityDefaultValue, String moneynessDefaultValue)	Creates the store that contains the market shifts by scenario for all the risk pillars.
Collection<com.qfs.desc.IStoreDescription>	scalarSensiStoreDescriptions()	Creates all of the stores needed for scalar-sensi data.
static com.qfs.desc.IStoreDescription	sensiLadderStoreDescription()	Creates a store for the sensitivity ladder definitions
Collection<com.qfs.desc.IStoreDescription>	sensiStoreDescriptions()	Creates all of the stores needed for vectorised data.
Collection<com.qfs.desc.IReferenceDescription>	sensiStoreReferences()	Creates all of the references needed for the sensitivity cube

Methods inherited from class java.lang.Object

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

Field Detail

STORE_DATE_FIELD_FORMAT

public static final String STORE_DATE_FIELD_FORMAT

See Also:

Constant Field Values

TRADE_STORE

public static final String TRADE_STORE

See Also:

Constant Field Values

RISK_FACTORS

public static final String RISK_FACTORS

See Also:

Constant Field Values

MATURITIES

public static final String MATURITIES

See Also:

Constant Field Values

TENORS

public static final String TENORS

See Also:

Constant Field Values

MONEYNESS

public static final String MONEYNESS

See Also:

Constant Field Values

DYN_TENORS

public static final String DYN_TENORS

See Also:

Constant Field Values

DYN_MATURITIES

public static final String DYN_MATURITIES

See Also:

Constant Field Values

DYN_MONEYNESS

public static final String DYN_MONEYNESS

See Also:

Constant Field Values

SENSI__DOMAIN_1

public static final String SENSI__DOMAIN_1

See Also:

Constant Field Values

TRADE_ATTRIBUTES_STORE_NAME

public static final String TRADE_ATTRIBUTES_STORE_NAME

See Also:

Constant Field Values

TRADE_ATTRIBUTES__TRADE_ID

public static final String TRADE_ATTRIBUTES__TRADE_ID

See Also:

Constant Field Values

NUM_HASH_PARTITIONS

public static final int NUM_HASH_PARTITIONS

TENOR_SET_DEFAULT

public static final String TENOR_SET_DEFAULT

See Also:

Constant Field Values

TENORS_STORES

public static List<String> TENORS_STORES

DYN_TENORS_STORES

public static List<String> DYN_TENORS_STORES

Constructor Detail

SensiDatastoreDescriptionConfig

public SensiDatastoreDescriptionConfig()

Method Detail

createTradeBaseStoreDescription

public static com.qfs.desc.IStoreDescription createTradeBaseStoreDescription()

Creates a store for the Trades with have sensitivities.

Returns:

Trade store

createScalarTradeBaseStoreDescription

public static com.qfs.desc.IStoreDescription createScalarTradeBaseStoreDescription(String tenorAndMaturityDefaultValue,
                                                                                   String moneynessDefaultValue)

Creates a store for the Trades with have sensitivities. This store holds scalar trades.

Parameters:

tenorAndMaturityDefaultValue - The default value for tenors and maturities

moneynessDefaultValue - The default value for moneyness

Returns:

Trade store

createMarketDataStoreDescription

public static com.qfs.desc.IStoreDescription createMarketDataStoreDescription(String tenorAndMaturityDefaultValue,
                                                                              String moneynessDefaultValue)

Creates the vectorised market data store

Parameters:

tenorAndMaturityDefaultValue - The default value for tenors and maturities

moneynessDefaultValue - The default value for moneyness

Returns:

market data datastore

createScalarMarketDataStoreDescription

public static com.qfs.desc.IStoreDescription createScalarMarketDataStoreDescription(String tenorAndMaturityDefaultValue,
                                                                                    String moneynessDefaultValue)

Creates the scalar market data store

Parameters:

tenorAndMaturityDefaultValue - The default value for tenors and maturities

moneynessDefaultValue - The default value for moneyness

Returns:

market data datastore

sensiLadderStoreDescription

public static com.qfs.desc.IStoreDescription sensiLadderStoreDescription()

Creates a store for the sensitivity ladder definitions

Returns:

Sensitivity ladder store

createTenorsStoreDescription

public static Set<com.qfs.desc.IStoreDescription> createTenorsStoreDescription()

Creates a store for the superset of Sensitivity tenors

Returns:

Tenor store

createDynamicTenorsStoreDescription

public static Set<com.qfs.desc.IStoreDescription> createDynamicTenorsStoreDescription()

Creates a store for the superset of Sensitivity dynamic tenors

Returns:

Tenor store

riskFactorMarketShiftStore

public static com.qfs.desc.IStoreDescription riskFactorMarketShiftStore(String tenorAndMaturityDefaultValue,
                                                                        String moneynessDefaultValue)

Creates the store that contains the market shifts by scenario for all the risk pillars.

Parameters:

tenorAndMaturityDefaultValue - The default value for tenors and maturities

moneynessDefaultValue - The default value for moneyness

Returns:

riskFactorMarketShifts datastore

createMarketDataSetsStore

public static com.qfs.desc.IStoreDescription createMarketDataSetsStore()

createCommonStores

public static Collection<com.qfs.desc.IStoreDescription> createCommonStores()

Creates all of the stores needed for the sensitivity cube

Returns:

sensitivity datastores

sensiStoreDescriptions

@Bean(name="sensiStoreDescriptions")
@Profile("standard")
public Collection<com.qfs.desc.IStoreDescription> sensiStoreDescriptions()

Creates all of the stores needed for vectorised data.

Returns:

The sensitivity datastores.

scalarSensiStoreDescriptions

@Bean(name="sensiStoreDescriptions")
@Profile("scalar-sensi")
public Collection<com.qfs.desc.IStoreDescription> scalarSensiStoreDescriptions()

Creates all of the stores needed for scalar-sensi data.

Returns:

The sensitivity datastores.

commonReferences

public static Collection<com.qfs.desc.IReferenceDescription> commonReferences()

Creates all of the references needed for both the standard and scalar sensitivity cube

Returns:

sensitivity references

sensiStoreReferences

@Bean(name="sensiStoreReferences")
@Profile({"standard","scalar-sensi"})
@DependsOn("datastoreCustomisations")
public Collection<com.qfs.desc.IReferenceDescription> sensiStoreReferences()

Creates all of the references needed for the sensitivity cube

Returns:

sensitivity references