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

Class ThetaGreekSensiCubeMeasureConfig

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.ThetaGreekSensiCubeMeasureConfig

All Implemented Interfaces:

IGreekSensiCubeMeasureConfig

@Configuration
public class ThetaGreekSensiCubeMeasureConfig
extends AScalarTypeSensiCubeMeasureConfig

Field Summary

Fields

Modifier and Type	Field	Description
static String	DEFAULT_NO_MATURITY

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
ThetaGreekSensiCubeMeasureConfig(String deltaCurrencyLevel, String riskClassLevel, String sensitivityNameLevel, String asOfDateLevel, String asOfDateHierarchy, String regexp, String scenarioSetLevel, String marketDataSetLevel, String ladderShiftsLevel, String ladderAvailabilityLevel, String tradeMaturityDateLevel, String fxRiskClass, String defaultMaturity, IMaturityConverter maturityConverter)

Method Summary

Modifier and Type	Method	Description
String	getGreekSensiCurrentDateMdFxInterpolated()
String	getGreekSensiCurrentDateMdNativeInterpolated()
String	getGreekSensiPnlVectorForTaylorVarNative()
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)

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, scalarTaylorVarMetrics, taylorVarCommonMetrics, taylorVarMetrics

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, 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

Field Detail

DEFAULT_NO_MATURITY

public static final String DEFAULT_NO_MATURITY

See Also:

Constant Field Values

Constructor Detail

ThetaGreekSensiCubeMeasureConfig

public ThetaGreekSensiCubeMeasureConfig(@Value("${theta.currency.level}")
                                        String deltaCurrencyLevel,
                                        @Value("${risk.class.level}")
                                        String riskClassLevel,
                                        @Value("${sensitivity.name.level}")
                                        String sensitivityNameLevel,
                                        @Value("${asofdate.level}")
                                        String asOfDateLevel,
                                        @Value("${asofdate.hierarchy}")
                                        String asOfDateHierarchy,
                                        @Value("${sensi.type.theta}")
                                        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("${trade.maturity.date.level}")
                                        String tradeMaturityDateLevel,
                                        @Value("${risk.class.member.fx}")
                                        String fxRiskClass,
                                        @Value("${theta.default.maturity}")
                                        String defaultMaturity,
                                        IMaturityConverter maturityConverter)

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

getGreekSensiPnlVectorForTaylorVarNative

public String getGreekSensiPnlVectorForTaylorVarNative()

Specified by:

getGreekSensiPnlVectorForTaylorVarNative in interface IGreekSensiCubeMeasureConfig

Overrides:

getGreekSensiPnlVectorForTaylorVarNative 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