Package com.activeviam.risk.starter.cfg.pivot.builders.sensi

Class A3DTypeSensiCubeMeasureConfig

java.lang.Object

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

com.activeviam.risk.starter.cfg.pivot.builders.sensi.A3DTypeSensiCubeMeasureConfig

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

Direct Known Subclasses:

VannaGreekSensiCubeMeasureConfig, VegaGreekSensiCubeMeasureConfig, VolgaGreekSensiCubeMeasureConfig

public abstract class A3DTypeSensiCubeMeasureConfig
extends AGreekSensiCubeMeasureConfig

Field Summary

Fields

Modifier and Type	Field	Description
protected String	maturitiesAnalysisLevel
protected String	maturitiesFactLevels
protected String	moneynessAnalysisLevel
protected String	moneynessFactLevels
protected String	tenorsAnalysisLevel
protected String	tenorsFactLevels

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

moneynessDefaultValue, tenorAndMaturityDefaultValue, vaRPostProcessors

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

DEBUG_SUFFIX

Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

asOfDateHierarchy, asOfDateLevel, currencyLevel, DOUBLE_ARRAY_FORMATTER, DOUBLE_FORMATTER, DOUBLE_PERCENTAGE_FORMATTER, fxRiskClass, INT_FORMATTER, ladderAvailabilityLevel, ladderShiftLevel, marketDataAnalysisLevels, marketDataSetLevel, regexp, riskClassLevel, riskFactorLevel, scenarioSetLevel, sensiLadderValues, sensitivityNameLevel, sensiType, sensiValues, TIMESTAMP_FORMATTER

Constructor Summary

Constructors

Constructor

Description

A3DTypeSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String dynamicMoneynessHierarchy, String tenorsFactLevels, String maturitiesFactLevels, String moneynessFactLevels, String tenorsLabelsLevels, String maturitiesLabelsLevels, String moneynessLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String moneynessDatesLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String moneynessAnalysisLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftLevel, String ladderAvailabilityLevel, String fxRiskClass)

The level specific are given by the constructor

Method Summary

Modifier and Type	Method	Description
protected com.activeviam.copper.api.CopperMeasure	dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
protected String[]	getBucketsLevels()
PublisherUtils.GreekDimensionType	getGreekTypeDimension()	Number of dimention of this greek
protected String[]	getScalarBucketsLevels()
protected com.activeviam.copper.api.CopperMeasure	nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure, boolean unbox)
protected com.activeviam.copper.api.CopperMeasure	nDimensionMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure underlyingMeasure, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData)
protected com.activeviam.copper.api.CopperMeasure	pnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiVector, com.activeviam.copper.api.CopperMeasure sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String scenarioLevel, String marketDataSetLevel, String sensitivityNameLevel, String sensitivityName, String ladderAvailabilityLevel)
protected com.activeviam.copper.api.CopperMeasure	scalarMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure underlyingMeasure, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData)
protected com.activeviam.copper.api.CopperMeasure	scalarPnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiValue, com.activeviam.copper.api.CopperMeasure sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String scenarioLevel, String marketDataSetLevel, String sensitivityNameLevel, String sensitivityName, String ladderAvailabilityLevel)
protected com.activeviam.copper.api.CopperMeasure	scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel)
protected com.activeviam.copper.api.CopperMeasure	sensiMinimumLevelsPostProcessor(String currencyLevel, com.activeviam.copper.api.CopperMeasure inMeasure, boolean isStandard)
protected com.activeviam.copper.api.CopperMeasure	toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected com.activeviam.copper.api.CopperMeasure	toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
protected com.activeviam.copper.api.CopperMeasure	toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel, String asOfDateLevel, String riskClassLevel)

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig

buildPnlShiftMeasures, buildScalarMeasures, buildScalarMeasures, buildStandardMeasures, buildStandardMeasures, commonMetrics, commonPnLExplainMetrics, pnLExplainMetrics, pnlExplainNextDatePostProcessor, scalarPnLExplainMetrics, scalarTaylorVarMetrics, taylorVarCommonMetrics, taylorVarMetrics

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig

buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig

buildRestrictedMeasures, buildScalarRestrictedMeasures

Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames

getGreekRegexp, getGreekSensiCurrentDateMdFxInterpolated, getGreekSensiCurrentDateMdNativeExpandIntermediateInterpolated, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolated, getGreekSensiCurrentDateMdNativeIntermediateInterpolated, getGreekSensiCurrentDateMdNativeInterpolated, getGreekSensiFolder, getGreekSensiLadder, getGreekSensiLadderExpand, getGreekSensiLadderExpandTechnical, getGreekSensiLadderNativeExpand, getGreekSensiLadderNativeExpandTechnical, getGreekSensiLadderSumTechnical, getGreekSensiLadderSumTechnicalFiltered, getGreekSensiLadderValues, getGreekSensiNative, getGreekSensiNativeBucketed, getGreekSensiNativeFolder, getGreekSensiNativeIntermediate, getGreekSensiNativeVectorSum, getGreekSensiNextDateMdNativeIntermediateFilteredInterpolated, getGreekSensiNextDateMdNativeIntermediateInterpolated, getGreekSensiPnlExplain, getGreekSensiPnlExplainNative, getGreekSensiPnlExplainNativeExpandNextDate, getGreekSensiPnlExplainNativeIntermediateNextDate, getGreekSensiPnlExplainNativeNextDate, getGreekSensiPnlExplainNextDate, getGreekSensiPnlSubVectorForTaylorVar, getGreekSensiPnlSubVectorForTaylorVarWithFx, getGreekSensiPnlVectorForTaylorVar, getGreekSensiPnlVectorForTaylorVarNative, getGreekSensiPreviousDateMdFxInterpolated, getGreekSensiPreviousDateMdNativeInterpolated, getGreekSensiPreviousVectorNativeExpand, getGreekSensiRate, getGreekSensiScalarSumTechnical, getGreekSensiScalarSumTechnicalFiltered, getGreekSensiSumTechnical, getGreekSensiSumTechnicalFiltered, getGreekSensiTaylorVar, getGreekSensiType, getGreekSensiValues, getGreekSensiVectorNativeExpand, getGreekTaylorVarFolder

Methods inherited from class java.lang.Object

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

Field Detail

tenorsFactLevels

protected final String tenorsFactLevels

maturitiesFactLevels

protected final String maturitiesFactLevels

moneynessFactLevels

protected final String moneynessFactLevels

tenorsAnalysisLevel

protected final String tenorsAnalysisLevel

maturitiesAnalysisLevel

protected final String maturitiesAnalysisLevel

moneynessAnalysisLevel

protected final String moneynessAnalysisLevel

Constructor Detail

A3DTypeSensiCubeMeasureConfig

public A3DTypeSensiCubeMeasureConfig(String sensi,
                                     String ladderType,
                                     String regexp,
                                     String currencyLevel,
                                     String riskClassLevel,
                                     String sensitivityNameLevel,
                                     String asOfDateLevel,
                                     String asOfDateHierarchy,
                                     String riskFactorLevel,
                                     String dynamicTenorsHierarchy,
                                     String dynamicMaturitiesHierarchy,
                                     String dynamicMoneynessHierarchy,
                                     String tenorsFactLevels,
                                     String maturitiesFactLevels,
                                     String moneynessFactLevels,
                                     String tenorsLabelsLevels,
                                     String maturitiesLabelsLevels,
                                     String moneynessLabelsLevels,
                                     String tenorsDatesLevels,
                                     String maturitiesDatesLevels,
                                     String moneynessDatesLevels,
                                     String tenorsAnalysisLevel,
                                     String maturitiesAnalysisLevel,
                                     String moneynessAnalysisLevel,
                                     String scenarioSetLevel,
                                     String marketDataSetLevel,
                                     String ladderShiftLevel,
                                     String ladderAvailabilityLevel,
                                     String fxRiskClass)

The level specific are given by the constructor

Parameters:

sensi - sensitivity type

ladderType - ladder type

regexp - regular expression for sensitivity type

currencyLevel - currency level

riskClassLevel - risk class level

sensitivityNameLevel - sensitivity name level

asOfDateLevel - as of date level

asOfDateHierarchy - as of date hierarchy

riskFactorLevel - risk factor level

dynamicTenorsHierarchy - dynamic tenors hierarchy

dynamicMaturitiesHierarchy - dynamic maturities hierarchy

dynamicMoneynessHierarchy - dynamic moneyness hierarchy

tenorsFactLevels - tenors fact levels

maturitiesFactLevels - maturities fact levels

moneynessFactLevels - moneyness fact

tenorsLabelsLevels - tenor labels levels

maturitiesLabelsLevels - maturities labels levels

moneynessLabelsLevels - moneyness labels levels

tenorsDatesLevels - tenors dates levels

maturitiesDatesLevels - maturities dates levels

moneynessDatesLevels - moneyness dates levels

tenorsAnalysisLevel - tenors analysis level

maturitiesAnalysisLevel - maturities analysis level

moneynessAnalysisLevel - moneyness analysis level

scenarioSetLevel - scenario set level

marketDataSetLevel - level containing the market data set level

ladderShiftLevel - ladder shift level

ladderAvailabilityLevel - ladder availability level

fxRiskClass - the FX risk class

Method Detail

getGreekTypeDimension

public PublisherUtils.GreekDimensionType getGreekTypeDimension()

Description copied from interface: IGreekSensiCubeMeasureConfig

Number of dimention of this greek

Returns:

greek dimension type

dynamicTenorsAndMaturitiesPostProcessor

protected com.activeviam.copper.api.CopperMeasure dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel,
                                                                                          String sensitivityNameLevel,
                                                                                          com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                                          boolean isStandard)

Specified by:

dynamicTenorsAndMaturitiesPostProcessor in class AGreekSensiCubeSensiMeasureConfig

scalarMarketDataPostProcessor

protected com.activeviam.copper.api.CopperMeasure scalarMarketDataPostProcessor(String asOfDateLevel,
                                                                                String riskFactorLevel,
                                                                                String riskClassLevel,
                                                                                String dateSlicer,
                                                                                String sensitivityType,
                                                                                com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                                Boolean interpolation,
                                                                                IMarketDataRetrievalService.MarketType typeOfMarketData)

Specified by:

scalarMarketDataPostProcessor in class AGreekSensiCubeMarketDataMeasureConfig

sensiMinimumLevelsPostProcessor

protected com.activeviam.copper.api.CopperMeasure sensiMinimumLevelsPostProcessor(String currencyLevel,
                                                                                  com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                  boolean isStandard)

Specified by:

sensiMinimumLevelsPostProcessor in class AGreekSensiCubeMarketDataMeasureConfig

scalarPnlNextDateExplainPostProcessor

protected com.activeviam.copper.api.CopperMeasure scalarPnlNextDateExplainPostProcessor(String sensi,
                                                                                        String sensiLadder,
                                                                                        String asOfDateLevel,
                                                                                        String riskFactorLevel,
                                                                                        String riskClassLevel,
                                                                                        String sensitivityNameLevel,
                                                                                        String ladderAvailabilityLevel)

Specified by:

scalarPnlNextDateExplainPostProcessor in class AGreekSensiCubeMeasureConfig

toPillarsExpandPostProcessor

protected com.activeviam.copper.api.CopperMeasure toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                               String sensitivityNameLevel)

Specified by:

toPillarsExpandPostProcessor in class AGreekSensiCubeSensiMeasureConfig

toPillarsExpandDebugStringPostProcessor

protected com.activeviam.copper.api.CopperMeasure toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                          String sensitivityNameLevel)

Specified by:

toPillarsExpandDebugStringPostProcessor in class AGreekSensiCubeSensiMeasureConfig

toPillarsLadderExpandPostProcessor

protected com.activeviam.copper.api.CopperMeasure toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure,
                                                                                     String sensitivityNameLevel,
                                                                                     String asOfDateLevel,
                                                                                     String riskClassLevel)

Specified by:

toPillarsLadderExpandPostProcessor in class AGreekSensiCubeSensiMeasureConfig

nDimensionMarketDataPostProcessor

protected com.activeviam.copper.api.CopperMeasure nDimensionMarketDataPostProcessor(String asOfDateLevel,
                                                                                    String riskFactorLevel,
                                                                                    String riskClassLevel,
                                                                                    String sensitivityNameLevel,
                                                                                    String dateSlicer,
                                                                                    String sensitivityType,
                                                                                    com.activeviam.copper.api.CopperMeasure underlyingMeasure,
                                                                                    Boolean interpolation,
                                                                                    IMarketDataRetrievalService.MarketType typeOfMarketData)

Specified by:

nDimensionMarketDataPostProcessor in class AGreekSensiCubeMarketDataMeasureConfig

nDimensionMarketDataDebugStringPostProcessor

protected com.activeviam.copper.api.CopperMeasure nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure,
                                                                                               boolean unbox)

Specified by:

nDimensionMarketDataDebugStringPostProcessor in class AGreekSensiCubeMarketDataMeasureConfig

pnlForVaRExplainPostProcessor

protected com.activeviam.copper.api.CopperMeasure pnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiVector,
                                                                                com.activeviam.copper.api.CopperMeasure sensiLadder,
                                                                                String asOfDateLevel,
                                                                                String riskFactorLevel,
                                                                                String riskClassLevel,
                                                                                String scenarioLevel,
                                                                                String marketDataSetLevel,
                                                                                String sensitivityNameLevel,
                                                                                String sensitivityName,
                                                                                String ladderAvailabilityLevel)

Specified by:

pnlForVaRExplainPostProcessor in class AGreekSensiCubeMeasureConfig

scalarPnlForVaRExplainPostProcessor

protected com.activeviam.copper.api.CopperMeasure scalarPnlForVaRExplainPostProcessor(com.activeviam.copper.api.CopperMeasure sensiValue,
                                                                                      com.activeviam.copper.api.CopperMeasure sensiLadder,
                                                                                      String asOfDateLevel,
                                                                                      String riskFactorLevel,
                                                                                      String riskClassLevel,
                                                                                      String scenarioLevel,
                                                                                      String marketDataSetLevel,
                                                                                      String sensitivityNameLevel,
                                                                                      String sensitivityName,
                                                                                      String ladderAvailabilityLevel)

Specified by:

scalarPnlForVaRExplainPostProcessor in class AGreekSensiCubeMeasureConfig

getBucketsLevels

protected String[] getBucketsLevels()

Specified by:

getBucketsLevels in class AGreekSensiCubeSensiMeasureConfig

getScalarBucketsLevels

protected String[] getScalarBucketsLevels()

Specified by:

getScalarBucketsLevels in class AGreekSensiCubeSensiMeasureConfig