Class AGreekSensiCubeMeasureConfig
- java.lang.Object
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureNames
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
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- All Implemented Interfaces:
IGreekSensiCubeMeasureConfig
- Direct Known Subclasses:
A3DTypeSensiCubeMeasureConfig
,AMatrixTypeSensiCubeMeasureConfig
,AScalarTypeSensiCubeMeasureConfig
,AVectorTypeSensiCubeMeasureConfig
public abstract class AGreekSensiCubeMeasureConfig extends AGreekSensiCubeMarketDataMeasureConfig
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Field Summary
Fields Modifier and Type Field Description protected String
moneynessDefaultValue
The default value for moneynessprotected String
tenorAndMaturityDefaultValue
The default value for tenor and maturityprotected CopperVaRPostProcessors
vaRPostProcessors
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Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
DEBUG_SUFFIX
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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
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Constructor Summary
Constructors Constructor Description AGreekSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftLevel, String ladderAvailabilityLevel, String[] marketDataAnalysisLevels, String fxRiskClass)
The level specific are given by the constructor
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Method Summary
All Methods Instance Methods Abstract Methods Concrete Methods Modifier and Type Method Description void
buildPnlShiftMeasures(com.activeviam.copper.ICopperContext context)
Measure builder class for combined cube measures which shift the dates of the PnL explain measures.void
buildScalarMeasures(com.activeviam.copper.ICopperContext context)
Measure builder class for scalar measures.void
buildScalarMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)
Measure builder method for scalar measures with sensitivity typevoid
buildStandardMeasures(com.activeviam.copper.ICopperContext context)
Measure builder class for standard, vectorised Greek measures.void
buildStandardMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)
Measure builder class for standard, vectorised Greek measures, with sensitivity type.protected void
commonMetrics(com.activeviam.copper.ICopperContext context)
protected void
commonPnLExplainMetrics(com.activeviam.copper.ICopperContext context, com.activeviam.copper.api.CopperMeasure intermediate)
protected void
pnLExplainMetrics(com.activeviam.copper.ICopperContext context)
protected com.activeviam.copper.api.CopperMeasure
pnlExplainNextDatePostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel)
protected abstract 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 void
scalarPnLExplainMetrics(com.activeviam.copper.ICopperContext context)
protected abstract 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 abstract com.activeviam.copper.api.CopperMeasure
scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel)
protected void
scalarTaylorVarMetrics(com.activeviam.copper.ICopperContext context)
protected void
taylorVarCommonMetrics(com.activeviam.copper.ICopperContext context, com.activeviam.copper.api.CopperMeasure pnlSubVectorForVarExplainNative)
protected void
taylorVarMetrics(com.activeviam.copper.ICopperContext context)
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures, generateMarketDataDebugStringMeasureName, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, scalarMarketDataPostProcessor, sensiMinimumLevelsPostProcessor
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig
buildRestrictedMeasures, buildScalarRestrictedMeasures, dynamicTenorsAndMaturitiesPostProcessor, getBucketsLevels, getScalarBucketsLevels, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor
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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
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Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Methods inherited from interface com.activeviam.risk.starter.cfg.pivot.builders.sensi.IGreekSensiCubeMeasureConfig
getGreekTypeDimension
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Field Detail
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tenorAndMaturityDefaultValue
@Value("${tenorAndMaturity.defaultValue}") protected String tenorAndMaturityDefaultValue
The default value for tenor and maturity
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moneynessDefaultValue
@Value("${moneyness.defaultValue}") protected String moneynessDefaultValue
The default value for moneyness
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vaRPostProcessors
@Autowired protected CopperVaRPostProcessors vaRPostProcessors
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Constructor Detail
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AGreekSensiCubeMeasureConfig
public AGreekSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftLevel, String ladderAvailabilityLevel, String[] marketDataAnalysisLevels, String fxRiskClass)
The level specific are given by the constructor- Parameters:
sensi
- sensitivity typeladderType
- ladder typeregexp
- regular expression for sensitivity typecurrencyLevel
- currency levelriskClassLevel
- risk class levelsensitivityNameLevel
- sensitivity name levelasOfDateLevel
- as of date levelasOfDateHierarchy
- as of date hierarchyriskFactorLevel
- risk factor levelscenarioSetLevel
- scenario set levelmarketDataSetLevel
- level containing the market data set levelladderShiftLevel
- ladder shift levelladderAvailabilityLevel
- ladder availability levelmarketDataAnalysisLevels
- analysis levels needed for market data (if required)fxRiskClass
- the FX risk class
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Method Detail
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scalarPnlNextDateExplainPostProcessor
protected abstract com.activeviam.copper.api.CopperMeasure scalarPnlNextDateExplainPostProcessor(String sensi, String sensiLadder, String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String sensitivityNameLevel, String ladderAvailabilityLevel)
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pnlForVaRExplainPostProcessor
protected abstract 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)
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scalarPnlForVaRExplainPostProcessor
protected abstract 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)
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buildScalarMeasures
public void buildScalarMeasures(com.activeviam.copper.ICopperContext context)
Measure builder class for scalar measures.- Parameters:
context
- the Copper context
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buildScalarMeasures
public void buildScalarMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)
Measure builder method for scalar measures with sensitivity type- Parameters:
context
- the Copper contextsensitivityType
- the type of sensitivity
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commonMetrics
protected void commonMetrics(com.activeviam.copper.ICopperContext context)
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scalarPnLExplainMetrics
protected void scalarPnLExplainMetrics(com.activeviam.copper.ICopperContext context)
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commonPnLExplainMetrics
protected void commonPnLExplainMetrics(com.activeviam.copper.ICopperContext context, com.activeviam.copper.api.CopperMeasure intermediate)
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scalarTaylorVarMetrics
protected void scalarTaylorVarMetrics(com.activeviam.copper.ICopperContext context)
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taylorVarCommonMetrics
protected void taylorVarCommonMetrics(com.activeviam.copper.ICopperContext context, com.activeviam.copper.api.CopperMeasure pnlSubVectorForVarExplainNative)
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buildStandardMeasures
public void buildStandardMeasures(com.activeviam.copper.ICopperContext context)
Measure builder class for standard, vectorised Greek measures.- Parameters:
context
- copper context
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buildStandardMeasures
public void buildStandardMeasures(com.activeviam.copper.ICopperContext context, String sensitivityType)
Measure builder class for standard, vectorised Greek measures, with sensitivity type.- Parameters:
context
- the Copper contextsensitivityType
- the sensitivity type
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pnLExplainMetrics
protected void pnLExplainMetrics(com.activeviam.copper.ICopperContext context)
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taylorVarMetrics
protected void taylorVarMetrics(com.activeviam.copper.ICopperContext context)
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buildPnlShiftMeasures
public void buildPnlShiftMeasures(com.activeviam.copper.ICopperContext context)
Description copied from interface:IGreekSensiCubeMeasureConfig
Measure builder class for combined cube measures which shift the dates of the PnL explain measures.- Parameters:
context
- copper context
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