Class AScalarTypeSensiCubeMeasureConfig
- 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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- com.activeviam.risk.starter.cfg.pivot.builders.sensi.AScalarTypeSensiCubeMeasureConfig
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- All Implemented Interfaces:
IGreekSensiCubeMeasureConfig
- Direct Known Subclasses:
CashGreekSensiCubeMeasureConfig
,ThetaGreekSensiCubeMeasureConfig
public abstract class AScalarTypeSensiCubeMeasureConfig extends AGreekSensiCubeMeasureConfig
This class handles single plot metrics without any maturity or other
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Field Summary
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Fields inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMeasureConfig
moneynessDefaultValue, tenorAndMaturityDefaultValue, 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 AScalarTypeSensiCubeMeasureConfig(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 fxRiskClass)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description protected com.activeviam.copper.api.CopperMeasure
dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
String
generateMarketDataDebugStringMeasureName(String marketDataMeasure)
Generates the measure name for the market data interpolation debug string measure from the name of the market data measureprotected String[]
getBucketsLevels()
PublisherUtils.GreekDimensionType
getGreekTypeDimension()
Number of dimention of this greekprotected 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)
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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
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeMarketDataMeasureConfig
buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures
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Methods inherited from class com.activeviam.risk.starter.cfg.pivot.builders.sensi.AGreekSensiCubeSensiMeasureConfig
buildRestrictedMeasures, buildScalarRestrictedMeasures
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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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Constructor Detail
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AScalarTypeSensiCubeMeasureConfig
public AScalarTypeSensiCubeMeasureConfig(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 fxRiskClass)
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Method Detail
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getGreekTypeDimension
public PublisherUtils.GreekDimensionType getGreekTypeDimension()
Description copied from interface:IGreekSensiCubeMeasureConfig
Number of dimention of this greek- Returns:
- greek dimension type
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dynamicTenorsAndMaturitiesPostProcessor
protected com.activeviam.copper.api.CopperMeasure dynamicTenorsAndMaturitiesPostProcessor(String asOfDateLevel, String sensitivityNameLevel, com.activeviam.copper.api.CopperMeasure underlyingMeasure, boolean isStandard)
- Specified by:
dynamicTenorsAndMaturitiesPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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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 classAGreekSensiCubeMarketDataMeasureConfig
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sensiMinimumLevelsPostProcessor
protected com.activeviam.copper.api.CopperMeasure sensiMinimumLevelsPostProcessor(String currencyLevel, com.activeviam.copper.api.CopperMeasure inMeasure, boolean isStandard)
- Specified by:
sensiMinimumLevelsPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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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 classAGreekSensiCubeMeasureConfig
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toPillarsExpandPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
- Specified by:
toPillarsExpandPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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toPillarsLadderExpandPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsLadderExpandPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel, String asOfDateLevel, String riskClassLevel)
- Specified by:
toPillarsLadderExpandPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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toPillarsExpandDebugStringPostProcessor
protected com.activeviam.copper.api.CopperMeasure toPillarsExpandDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure inMeasure, String sensitivityNameLevel)
- Specified by:
toPillarsExpandDebugStringPostProcessor
in classAGreekSensiCubeSensiMeasureConfig
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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 classAGreekSensiCubeMarketDataMeasureConfig
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nDimensionMarketDataDebugStringPostProcessor
protected com.activeviam.copper.api.CopperMeasure nDimensionMarketDataDebugStringPostProcessor(com.activeviam.copper.api.CopperMeasure measure, boolean unbox)
- Specified by:
nDimensionMarketDataDebugStringPostProcessor
in classAGreekSensiCubeMarketDataMeasureConfig
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generateMarketDataDebugStringMeasureName
public String generateMarketDataDebugStringMeasureName(String marketDataMeasure)
Description copied from class:AGreekSensiCubeMarketDataMeasureConfig
Generates the measure name for the market data interpolation debug string measure from the name of the market data measure- Overrides:
generateMarketDataDebugStringMeasureName
in classAGreekSensiCubeMarketDataMeasureConfig
- Parameters:
marketDataMeasure
- the name of the market data measure for which the debug string measure is created- Returns:
- market data interpolation debug string measure name
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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 classAGreekSensiCubeMeasureConfig
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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 classAGreekSensiCubeMeasureConfig
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getBucketsLevels
protected String[] getBucketsLevels()
- Specified by:
getBucketsLevels
in classAGreekSensiCubeSensiMeasureConfig
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getScalarBucketsLevels
protected String[] getScalarBucketsLevels()
- Specified by:
getScalarBucketsLevels
in classAGreekSensiCubeSensiMeasureConfig
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