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

Class DeltaGreekSensiCubeMeasureConfig

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.AVectorTypeSensiCubeMeasureConfig

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

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

@Configuration
public class DeltaGreekSensiCubeMeasureConfig
extends AVectorTypeSensiCubeMeasureConfig

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

DeltaGreekSensiCubeMeasureConfig(String deltaCurrencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String riskFactorLevel, String dynamicTenorsHierarchy, String tenorsLabelsLevels, String tenorsDatesLevels, String tenorsFactLevels, String tenorsAnalysisLevel, String regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String fxRiskClass)

Method Summary

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

dynamicTenorsAndMaturitiesPostProcessor, getBucketsLevels, getGreekTypeDimension, getScalarBucketsLevels, nDimensionMarketDataDebugStringPostProcessor, nDimensionMarketDataPostProcessor, pnlForVaRExplainPostProcessor, scalarMarketDataPostProcessor, 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, 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

DeltaGreekSensiCubeMeasureConfig

public DeltaGreekSensiCubeMeasureConfig(@Value("${delta.currency.level}")
                                        String deltaCurrencyLevel,
                                        @Value("${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("${dynamic.tenors.hierarchy}")
                                        String dynamicTenorsHierarchy,
                                        @Value("${tenors.fact.levels.labels}")
                                        String tenorsLabelsLevels,
                                        @Value("${tenors.fact.levels.dates}")
                                        String tenorsDatesLevels,
                                        @Value("${tenors.fact.levels}")
                                        String tenorsFactLevels,
                                        @Value("${tenors.analysis.level}")
                                        String tenorsAnalysisLevel,
                                        @Value("${sensi.type.delta}")
                                        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)