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

Class AMatrixTypeSensiCubeMeasureConfig

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.AMatrixTypeSensiCubeMeasureConfig

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

public abstract class AMatrixTypeSensiCubeMeasureConfig
extends AGreekSensiCubeMeasureConfig

Field Summary

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

AMatrixTypeSensiCubeMeasureConfig(String sensi, String ladderType, String regexp, String currencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String dynamicMaturitiesHierarchy, String tenorsLabelsLevels, String maturitiesLabelsLevels, String tenorsDatesLevels, String maturitiesDatesLevels, String tenorsFactLevels, String maturitiesFactLevels, String tenorsAnalysisLevel, String maturitiesAnalysisLevel, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)

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 measure, 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

Constructor Detail

AMatrixTypeSensiCubeMeasureConfig

public AMatrixTypeSensiCubeMeasureConfig(String sensi,
                                         String ladderType,
                                         String regexp,
                                         String currencyLevel,
                                         String riskClassLevel,
                                         String sensitivityNameLevel,
                                         String asOfDateLevel,
                                         String asOfDateHierarchy,
                                         String riskFactorLevel,
                                         String dynamicTenorsHierarchy,
                                         String dynamicMaturitiesHierarchy,
                                         String tenorsLabelsLevels,
                                         String maturitiesLabelsLevels,
                                         String tenorsDatesLevels,
                                         String maturitiesDatesLevels,
                                         String tenorsFactLevels,
                                         String maturitiesFactLevels,
                                         String tenorsAnalysisLevel,
                                         String maturitiesAnalysisLevel,
                                         String scenarioSetLevel,
                                         String marketDataSetLevel,
                                         String ladderShiftsLevel,
                                         String ladderAvailabilityLevel,
                                         String fxRiskClass)

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

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 measure,
                                                                                    Boolean interpolation,
                                                                                    IMarketDataRetrievalService.MarketType typeOfMarketData)

Specified by:

nDimensionMarketDataPostProcessor 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

toPillarsExpandDebugStringPostProcessor

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

Specified by:

toPillarsExpandDebugStringPostProcessor in class AGreekSensiCubeSensiMeasureConfig

nDimensionMarketDataDebugStringPostProcessor

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

Specified by:

nDimensionMarketDataDebugStringPostProcessor in class AGreekSensiCubeMarketDataMeasureConfig

getBucketsLevels

protected String[] getBucketsLevels()

Specified by:

getBucketsLevels in class AGreekSensiCubeSensiMeasureConfig

getScalarBucketsLevels

protected String[] getScalarBucketsLevels()

Specified by:

getScalarBucketsLevels in class AGreekSensiCubeSensiMeasureConfig