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

Class CashGreekSensiCubeMeasureConfig

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.AScalarTypeSensiCubeMeasureConfig

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

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

@Configuration
public class CashGreekSensiCubeMeasureConfig
extends AScalarTypeSensiCubeMeasureConfig

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
CashGreekSensiCubeMeasureConfig(String deltaCurrencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)

Method Summary

Modifier and Type	Method	Description
protected void	cashTaylorVarCommonMetrics(com.activeviam.copper.ICopperContext context, Function<Object,Double> sensiRetrieval, com.activeviam.copper.api.CopperMeasure sensiMetric)
String	getGreekSensiCurrentDateMdFxInterpolated()
String	getGreekSensiCurrentDateMdNativeInterpolated()
String	getGreekSensiPreviousDateMdFxInterpolated()
String	getGreekSensiPreviousDateMdNativeInterpolated()
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	scalarMarketDataPostProcessor(String asOfDateLevel, String riskFactorLevel, String riskClassLevel, String dateSlicer, String sensitivityType, com.activeviam.copper.api.CopperMeasure measure, Boolean interpolation, IMarketDataRetrievalService.MarketType typeOfMarketData)
protected void	scalarTaylorVarMetrics(com.activeviam.copper.ICopperContext context)
protected void	taylorVarMetrics(com.activeviam.copper.ICopperContext context)

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

dynamicTenorsAndMaturitiesPostProcessor, generateMarketDataDebugStringMeasureName, getBucketsLevels, getGreekTypeDimension, getScalarBucketsLevels, nDimensionMarketDataDebugStringPostProcessor, pnlForVaRExplainPostProcessor, scalarPnlForVaRExplainPostProcessor, scalarPnlNextDateExplainPostProcessor, sensiMinimumLevelsPostProcessor, toPillarsExpandDebugStringPostProcessor, toPillarsExpandPostProcessor, toPillarsLadderExpandPostProcessor

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

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

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

buildNeighbourDateMarketDataMeasures, buildScalarMarketDataMeasures, buildStandardMarketDataMeasures

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, getGreekSensiCurrentDateMdNativeExpandIntermediateInterpolated, getGreekSensiCurrentDateMdNativeIntermediateFilteredInterpolated, getGreekSensiCurrentDateMdNativeIntermediateInterpolated, 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, 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

CashGreekSensiCubeMeasureConfig

public CashGreekSensiCubeMeasureConfig(@Value("${cash.currency.level}")
                                       String deltaCurrencyLevel,
                                       @Value("${risk.class.level}")
                                       String riskClassLevel,
                                       @Value("${sensitivity.name.level}")
                                       String sensitivityNameLevel,
                                       @Value("${asofdate.level}")
                                       String asOfDateLevel,
                                       @Value("${asofdate.hierarchy}")
                                       String asOfDateHierarchy,
                                       @Value("${risk.factor.level}")
                                       String riskFactorLevel,
                                       @Value("${sensi.type.cash}")
                                       String regexp,
                                       @Value("${scenario.set.level}")
                                       String scenarioSetLevel,
                                       @Value("${market.data.set.level}")
                                       String marketDataSetLevel,
                                       @Value("${sensi.ladder-shifts.level}")
                                       String ladderShiftsLevel,
                                       @Value("${sensi.ladder-availability.level}")
                                       String ladderAvailabilityLevel,
                                       @Value("${risk.class.member.fx}")
                                       String fxRiskClass)

Method Detail

getGreekSensiCurrentDateMdFxInterpolated

public String getGreekSensiCurrentDateMdFxInterpolated()

Overrides:

getGreekSensiCurrentDateMdFxInterpolated in class AGreekSensiCubeMeasureNames

getGreekSensiCurrentDateMdNativeInterpolated

public String getGreekSensiCurrentDateMdNativeInterpolated()

Overrides:

getGreekSensiCurrentDateMdNativeInterpolated in class AGreekSensiCubeMeasureNames

getGreekSensiPreviousDateMdFxInterpolated

public String getGreekSensiPreviousDateMdFxInterpolated()

Overrides:

getGreekSensiPreviousDateMdFxInterpolated in class AGreekSensiCubeMeasureNames

getGreekSensiPreviousDateMdNativeInterpolated

public String getGreekSensiPreviousDateMdNativeInterpolated()

Overrides:

getGreekSensiPreviousDateMdNativeInterpolated in class AGreekSensiCubeMeasureNames

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)

Overrides:

nDimensionMarketDataPostProcessor in class AScalarTypeSensiCubeMeasureConfig

scalarMarketDataPostProcessor

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

Overrides:

scalarMarketDataPostProcessor in class AScalarTypeSensiCubeMeasureConfig

taylorVarMetrics

protected void taylorVarMetrics(com.activeviam.copper.ICopperContext context)

Overrides:

taylorVarMetrics in class AGreekSensiCubeMeasureConfig

scalarTaylorVarMetrics

protected void scalarTaylorVarMetrics(com.activeviam.copper.ICopperContext context)

Overrides:

scalarTaylorVarMetrics in class AGreekSensiCubeMeasureConfig

cashTaylorVarCommonMetrics

protected void cashTaylorVarCommonMetrics(com.activeviam.copper.ICopperContext context,
                                          Function<Object,Double> sensiRetrieval,
                                          com.activeviam.copper.api.CopperMeasure sensiMetric)