Package com.activeviam.risk.ref.services.impl

Class MarketDataRetrievalService

java.lang.Object

com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

com.activeviam.risk.ref.services.impl.MarketDataRetrievalService

All Implemented Interfaces:

IMarketDataRetrievalService

public class MarketDataRetrievalService
extends AMarketDataRetrievalService

Nested Class Summary

Nested classes/interfaces inherited from interface com.activeviam.risk.core.services.IMarketDataRetrievalService

IMarketDataRetrievalService.IPillar, IMarketDataRetrievalService.IPillarSet, IMarketDataRetrievalService.MarketType

Field Summary

Fields inherited from class com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

defaultValue, doubleInterpolation, interpolationConfiguration, vectorInterpolation

Constructor Summary

Constructors

Constructor	Description
MarketDataRetrievalService(IMaturityConverter maturityConverter, IInterpolationConfiguration interpolationConfiguration, double defaultValue)

Method Summary

Modifier and Type	Method	Description
protected Double	getNominal(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor)	Retrieve the nominal of a risk factor
protected IMarketDataset<double[],Double>	getRawMarketData(IServiceContext context, LocalDate date, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, int nrDim)	This function retrieves the data before any manipulation
protected IMarketDataset<com.qfs.vector.IVector[],com.qfs.vector.IVector>	getRawPnlVector(IServiceContext context, LocalDate date, String scenario, String marketDataSet, String sensitivityKind, String sensitivityName, String riskClass, String riskFactor, int nrDim)	This function retrieves the data before any manipulation

Methods inherited from class com.activeviam.risk.ref.services.impl.AMarketDataRetrievalService

computeShift, extractData, fillResult, findMapping, getMarketData, getMarketDataForShiftNormalization, getMarketDataInterpolationFlag, getMarketDataNoInterpolate, getPillarSets, getPillarVectorMap, getPnlVector, getShiftDataInterpolationFlag, handleAbsoluteRelativeResult, handleAbsoluteRelativeResult, recToPillar, runAsCompiledQuery

Methods inherited from class java.lang.Object

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

Constructor Detail

MarketDataRetrievalService

public MarketDataRetrievalService(IMaturityConverter maturityConverter,
                                  IInterpolationConfiguration interpolationConfiguration,
                                  double defaultValue)

Method Detail

getRawMarketData

protected IMarketDataset<double[],Double> getRawMarketData(IServiceContext context,
                                                                 LocalDate date,
                                                                 String marketDataSet,
                                                                 String sensitivityKind,
                                                                 String sensitivityName,
                                                                 String riskClass,
                                                                 String riskFactor,
                                                                 int nrDim)

Description copied from class: AMarketDataRetrievalService

This function retrieves the data before any manipulation

Specified by:

getRawMarketData in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

marketDataSet - The requested dataset

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

sensitivityName - Th underlying name

riskClass - the risk class

riskFactor - The requested name

nrDim - The number of dimension of the result

Returns:

A list of MD and its axis description

getRawPnlVector

protected IMarketDataset<com.qfs.vector.IVector[],com.qfs.vector.IVector> getRawPnlVector(IServiceContext context,
                                                                                                LocalDate date,
                                                                                                String scenario,
                                                                                                String marketDataSet,
                                                                                                String sensitivityKind,
                                                                                                String sensitivityName,
                                                                                                String riskClass,
                                                                                                String riskFactor,
                                                                                                int nrDim)

Description copied from class: AMarketDataRetrievalService

This function retrieves the data before any manipulation

Specified by:

getRawPnlVector in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

scenario - The requested dataset

marketDataSet - The requested market data set

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

sensitivityName - The underlying

riskClass - The risk class

riskFactor - The requested name

nrDim - The number of dimension of the result

Returns:

A list of pnl vector and its axis description

getNominal

protected Double getNominal(IServiceContext context,
                            LocalDate date,
                            String marketDataSet,
                            String sensitivityKind,
                            String sensitivityName,
                            String riskClass,
                            String riskFactor)

Description copied from class: AMarketDataRetrievalService

Retrieve the nominal of a risk factor

Specified by:

getNominal in class AMarketDataRetrievalService

Parameters:

context - The caller context

date - The requested date

marketDataSet - The requested dataset

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

sensitivityName - The underlying

riskClass - The risk class

riskFactor - The requested name

Returns:

The value of the Nominal