Package com.activeviam.risk.starter.cfg.pivot.impl

Class VarESCubeMeasuresConfig

java.lang.Object

com.activeviam.risk.starter.cfg.pivot.impl.VarESCubeMeasuresConfig

@Configuration
@Import({VarESCubeMeasureBuilders.class,IncrementalMeasureConfig.class,VaRConfiguration.class,ESConfiguration.class,VaEConfiguration.class,ETGConfiguration.class,WeightedVaRConfiguration.class,WeightedESConfiguration.class,WeightedVaEConfiguration.class,WeightedETGConfiguration.class,CopperVaRPostProcessors.class,CopperESPostProcessors.class,CopperETGPostProcessor.class,CopperVaEPostProcessor.class,CopperWVaRPostProcessor.class,CopperWEsPostProcessor.class,CopperWEtgPostProcessors.class,CopperWVaEPostProcessors.class})
public class VarESCubeMeasuresConfig
extends Object

Definition of VaR/ES measures

Field Summary

Fields

Modifier and Type	Field	Description
static String	BEST_SCENARIO
static String	ES_FOLDER
static String	EXPECTED_SHORTFALL_FOLDER
static String	EXPECTED_TAIL_GAIN_FOLDER
static String	FX_SHIFT_SUB_VECTOR
static String	FX_SHIFT_VECTOR
static String	NOTIONAL
static String	NOTIONAL_FOLDER
static String	NOTIONAL_NATIVE
static String	NOTIONAL_NATIVE_INTERMEDIATE
static String	NOTIONAL_NATIVE_SUM
static String	PNL_ACCUMULATED_DISTRIBUTION
static String	PNL_DISTRIBUTION
static String	PNL_VECTOR_COUNT
static String	PNL_VECTOR_EXPAND
static String	PNL_VECTOR_SUM
static String	PNL_VECTOR_VAE_EXPAND
static String	RISK_CLASSES_FOLDER
static String	TAIL_FOLDER
static String	TAIL_VAE
static String	TAIL_VAE_INDEX
static String	TAIL_VAR
static String	TAIL_VAR_INDEX
static String	UTILITY_FOLDER
static String	VAE_FOLDER
static String	VAE_PARAMETRIC
static String	VALUE_AT_EARNING_FOLDER
static String	VALUE_AT_RISK_FOLDER
static String	VAR_FOLDER
static String	VAR_FX_RATE
static String	VAR_FX_VECTOR
static String	VAR_PARAMETRIC
static String	VAR_SUB_VECTOR
static String	VAR_SUB_WITH_FX
static String	VECTOR_QUALITY
static String	WORST_SCENARIO

Constructor Summary

Constructors

Constructor	Description
VarESCubeMeasuresConfig()

Method Summary

Modifier and Type	Method	Description
Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure>	aggregatedMeasures()
Consumer<com.activeviam.copper.ICopperContext>	aggregatedVarEsCopperMeasures()
Consumer<com.activeviam.copper.ICopperContext>	defaultVarEsCopperMeasures()
Consumer<com.activeviam.copper.ICopperContext>	flatVarEsCopperMeasures()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

PNL_VECTOR_SUM

public static final String PNL_VECTOR_SUM

See Also:

Constant Field Values

PNL_VECTOR_COUNT

public static final String PNL_VECTOR_COUNT

See Also:

Constant Field Values

NOTIONAL_NATIVE_SUM

public static final String NOTIONAL_NATIVE_SUM

See Also:

Constant Field Values

NOTIONAL_NATIVE_INTERMEDIATE

public static final String NOTIONAL_NATIVE_INTERMEDIATE

See Also:

Constant Field Values

NOTIONAL_NATIVE

public static final String NOTIONAL_NATIVE

See Also:

Constant Field Values

NOTIONAL

public static final String NOTIONAL

See Also:

Constant Field Values

VAR_SUB_VECTOR

public static final String VAR_SUB_VECTOR

See Also:

Constant Field Values

VAR_FX_VECTOR

public static final String VAR_FX_VECTOR

See Also:

Constant Field Values

FX_SHIFT_VECTOR

public static final String FX_SHIFT_VECTOR

See Also:

Constant Field Values

FX_SHIFT_SUB_VECTOR

public static final String FX_SHIFT_SUB_VECTOR

See Also:

Constant Field Values

VAR_SUB_WITH_FX

public static final String VAR_SUB_WITH_FX

See Also:

Constant Field Values

PNL_DISTRIBUTION

public static final String PNL_DISTRIBUTION

See Also:

Constant Field Values

PNL_ACCUMULATED_DISTRIBUTION

public static final String PNL_ACCUMULATED_DISTRIBUTION

See Also:

Constant Field Values

VAR_FX_RATE

public static final String VAR_FX_RATE

See Also:

Constant Field Values

VAR_PARAMETRIC

public static final String VAR_PARAMETRIC

See Also:

Constant Field Values

TAIL_VAR

public static final String TAIL_VAR

See Also:

Constant Field Values

TAIL_VAR_INDEX

public static final String TAIL_VAR_INDEX

See Also:

Constant Field Values

WORST_SCENARIO

public static final String WORST_SCENARIO

See Also:

Constant Field Values

TAIL_VAE

public static final String TAIL_VAE

See Also:

Constant Field Values

TAIL_VAE_INDEX

public static final String TAIL_VAE_INDEX

See Also:

Constant Field Values

BEST_SCENARIO

public static final String BEST_SCENARIO

See Also:

Constant Field Values

PNL_VECTOR_EXPAND

public static final String PNL_VECTOR_EXPAND

See Also:

Constant Field Values

PNL_VECTOR_VAE_EXPAND

public static final String PNL_VECTOR_VAE_EXPAND

See Also:

Constant Field Values

VECTOR_QUALITY

public static final String VECTOR_QUALITY

See Also:

Constant Field Values

VAE_PARAMETRIC

public static final String VAE_PARAMETRIC

See Also:

Constant Field Values

VALUE_AT_RISK_FOLDER

public static final String VALUE_AT_RISK_FOLDER

See Also:

Constant Field Values

VAR_FOLDER

public static final String VAR_FOLDER

See Also:

Constant Field Values

EXPECTED_SHORTFALL_FOLDER

public static final String EXPECTED_SHORTFALL_FOLDER

See Also:

Constant Field Values

ES_FOLDER

public static final String ES_FOLDER

See Also:

Constant Field Values

EXPECTED_TAIL_GAIN_FOLDER

public static final String EXPECTED_TAIL_GAIN_FOLDER

See Also:

Constant Field Values

RISK_CLASSES_FOLDER

public static final String RISK_CLASSES_FOLDER

See Also:

Constant Field Values

TAIL_FOLDER

public static final String TAIL_FOLDER

See Also:

Constant Field Values

NOTIONAL_FOLDER

public static final String NOTIONAL_FOLDER

See Also:

Constant Field Values

UTILITY_FOLDER

public static final String UTILITY_FOLDER

See Also:

Constant Field Values

VALUE_AT_EARNING_FOLDER

public static final String VALUE_AT_EARNING_FOLDER

See Also:

Constant Field Values

VAE_FOLDER

public static final String VAE_FOLDER

See Also:

Constant Field Values

Constructor Detail

VarESCubeMeasuresConfig

public VarESCubeMeasuresConfig()

Method Detail

aggregatedMeasures

@Bean(name="varMeasures")
@Profile({"aggregated-import","scalar-sensi-aggregated-import"})
public Function<com.activeviam.desc.build.ICanStartBuildingMeasures,com.activeviam.desc.build.IHasAtLeastOneMeasure> aggregatedMeasures()

defaultVarEsCopperMeasures

@Bean(name="varEsCopperMeasures")
@Profile({"standard","scalar-sensi"})
public Consumer<com.activeviam.copper.ICopperContext> defaultVarEsCopperMeasures()

flatVarEsCopperMeasures

@Bean(name="varEsCopperMeasures")
@Profile({"store-import","scalar-sensi-store-import"})
public Consumer<com.activeviam.copper.ICopperContext> flatVarEsCopperMeasures()

aggregatedVarEsCopperMeasures

@Bean(name="varEsCopperMeasures")
@Profile({"aggregated-import","scalar-sensi-aggregated-import"})
public Consumer<com.activeviam.copper.ICopperContext> aggregatedVarEsCopperMeasures()