java.lang.Object
- com.activeviam.risk.starter.utils.InterpolationConfiguration

All Implemented Interfaces:: IInterpolationConfiguration

public class InterpolationConfiguration
extends Object
implements IInterpolationConfiguration

Field Summary

Fields
Modifier and Type Field Description

static String INTERPOLATION_FLAG

static String VARIANCE_TO_VOLATILITY

static String VOLATILITY_TO_VARIANCE

Constructor Summary

Constructors
Constructor Description

InterpolationConfiguration(org.springframework.core.env.Environment environment)

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`DoubleBinaryOperator`	`absoluteToRelativeMarketDataOperator(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	The way to convert absolute MD to relative MD
`DoubleBinaryOperator`	`absoluteToRelativeShiftOperator(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	The way to convert absolute shift to relative shift
`IMarketDataRetrievalService.IPillarSet`	`fixPillarSet(IServiceContext context, IMarketDataRetrievalService.IPillarSet pillarSet, int axisIndex, String sensitivityKing, String sensitivityName, String riskClass)`	Can modify on the fly the input pillar set before retrieval if you want to modify the equality condition check the class `ModifiedPillarSetOfPillar` that could encapsulate the provided pillars
`int[]`	`getInterpolationOrder(IServiceContext context, int maxDeep, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves an arrays that gives the order in which the interpolation of market data is performed.
`boolean`	`getMarketDataInterpolationFlag(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves the flag that specifies whether interpolation of the market data is used for the computation of PnL explain
`boolean`	`getMarketDataInterpolationFlag(String sensitivityKind, String sensitivityName, String riskClass)`
`BinaryOperator<Double>`	`getPostInterpolationFunction(String sensitivityName, String riskClass, int axis)`
`BinaryOperator<Double>`	`getPostMarketDataInterpolationFunction(IServiceContext context, int axisIndex, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves a function that performs a calculation on the market data for a given axis after interpolation of market data is done
`BinaryOperator<Double>`	`getPostShiftDataInterpolationFunction(IServiceContext context, int axisIndex, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves a function that performs a calculation on the shift data vector for a given axis after interpolation of shift data is done
`BinaryOperator<Double>`	`getPreInterpolationFunction(String sensitivityName, String riskClass, int axis)`
`BinaryOperator<Double>`	`getPreMarketDataInterpolationFunction(IServiceContext context, int axisIndex, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves a function that performs a calculation on the market data for a given axis before interpolation of market data is done
`protected String`	`getPrePostInterpolationCalculationMethod(String sensitivityName, String riskClass, String prefix, int axis)`
`BinaryOperator<Double>`	`getPreShiftDataInterpolationFunction(IServiceContext context, int axisIndex, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves a function that performs a calculation on the shift data vector for a given axis before interpolation of shift data is done
`boolean`	`getShiftDataInterpolationFlag(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	Retrieves the flag that specifies whether interpolation of the shift data vector is used for the computation of VaR
`boolean`	`isRelativeMarketData(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	Tells if the retrieved MD is absolute or relative
`boolean`	`isRelativeShiftData(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	Tells if the retrieved shift is absolute or relative
`DoubleBinaryOperator`	`relativeToAbsoluteMarketDataOperator(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	The way to convert relative MD to absolute MD
`DoubleBinaryOperator`	`relativeToAbsoluteShiftOperator(IServiceContext context, String sensitivityKind, String sensitivityName, String riskClass)`	The way to convert relative shift to absolute shift
`BinaryOperator<Double>`	`varianceToVolatilityFunction()`
`BinaryOperator<Double>`	`volatilityToVarianceFunction()`

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail
- VOLATILITY_TO_VARIANCE
```
public static final String VOLATILITY_TO_VARIANCE
```
  See Also:
  
  Constant Field Values
- VARIANCE_TO_VOLATILITY
```
public static final String VARIANCE_TO_VOLATILITY
```
  See Also:
  
  Constant Field Values
- INTERPOLATION_FLAG
```
public static final String INTERPOLATION_FLAG
```
  See Also:
  
  Constant Field Values

Constructor Detail

InterpolationConfiguration

public InterpolationConfiguration(org.springframework.core.env.Environment environment)

Method Detail

getMarketDataInterpolationFlag
```
public boolean getMarketDataInterpolationFlag(IServiceContext context,
                                              String sensitivityKind,
                                              String sensitivityName,
                                              String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves the flag that specifies whether interpolation of the market data is used for the computation of PnL explain

Specified by:

getMarketDataInterpolationFlag in interface IInterpolationConfiguration

Parameters:

context - The caller context

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - the sensitivity name

riskClass - the risk class

Returns:

A boolean flag that is true if interpolation is used and false otherwise

getMarketDataInterpolationFlag

public boolean getMarketDataInterpolationFlag(String sensitivityKind,
                                              String sensitivityName,
                                              String riskClass)

getPreMarketDataInterpolationFunction
```
public BinaryOperator<Double> getPreMarketDataInterpolationFunction(IServiceContext context,
                                                                    int axisIndex,
                                                                    String sensitivityKind,
                                                                    String sensitivityName,
                                                                    String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves a function that performs a calculation on the market data for a given axis before interpolation of market data is done

Specified by:

getPreMarketDataInterpolationFunction in interface IInterpolationConfiguration

Parameters:

context - The caller context

axisIndex - index of the axis

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function with that prototype (pillar, md) -> intermediate, pillar is the current location of the md, interpolation will be made on intermediate Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, md) = (pillar, md) -> md

getPostMarketDataInterpolationFunction
```
public BinaryOperator<Double> getPostMarketDataInterpolationFunction(IServiceContext context,
                                                                     int axisIndex,
                                                                     String sensitivityKind,
                                                                     String sensitivityName,
                                                                     String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves a function that performs a calculation on the market data for a given axis after interpolation of market data is done

Specified by:

getPostMarketDataInterpolationFunction in interface IInterpolationConfiguration

Parameters:

context - The caller context

axisIndex - index of the axis

sensitivityKind - The type of sensitivity delta / gamma /vega / ....

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function with that prototype (pillar, intermediate) -> md, pillar is the target location of the md, intermediate is the interpolated value Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, md) = (pillar, md) -> md

getShiftDataInterpolationFlag
```
public boolean getShiftDataInterpolationFlag(IServiceContext context,
                                             String sensitivityKind,
                                             String sensitivityName,
                                             String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves the flag that specifies whether interpolation of the shift data vector is used for the computation of VaR

Specified by:

getShiftDataInterpolationFlag in interface IInterpolationConfiguration

Parameters:

context - The caller context

sensitivityKind - The type of sensitivity delta / gamma /vega / ...

sensitivityName - the sensitivity name

riskClass - the risk class

Returns:

A boolean flag that is true if interpolation is used and false otherwise

getPreShiftDataInterpolationFunction
```
public BinaryOperator<Double> getPreShiftDataInterpolationFunction(IServiceContext context,
                                                                   int axisIndex,
                                                                   String sensitivityKind,
                                                                   String sensitivityName,
                                                                   String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves a function that performs a calculation on the shift data vector for a given axis before interpolation of shift data is done

Specified by:

getPreShiftDataInterpolationFunction in interface IInterpolationConfiguration

Parameters:

context - The caller context

axisIndex - index of the axis

sensitivityKind - The type of sensitivity delta / gamma /vega / ...

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function with that prototype (pillar, shift) -> intermediate, pillar is the current location of the shift, interpolation will be made on intermediate Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, shift) = (pillar, shift) -> shift

getPostShiftDataInterpolationFunction
```
public BinaryOperator<Double> getPostShiftDataInterpolationFunction(IServiceContext context,
                                                                    int axisIndex,
                                                                    String sensitivityKind,
                                                                    String sensitivityName,
                                                                    String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves a function that performs a calculation on the shift data vector for a given axis after interpolation of shift data is done

Specified by:

getPostShiftDataInterpolationFunction in interface IInterpolationConfiguration

Parameters:

context - The caller context

axisIndex - index of the axis

sensitivityKind - The type of sensitivity delta / gamma /vega / ...

sensitivityName - sensitivity name

riskClass - risk class

Returns:

A function with that prototype (pillar, intermediate) -> shift, pillar is the target location of the shift, intermediate is the interpolated value Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, shift) = (pillar, shift) -> shift

getPrePostInterpolationCalculationMethod

protected String getPrePostInterpolationCalculationMethod(String sensitivityName,
                                                          String riskClass,
                                                          String prefix,
                                                          int axis)

getPreInterpolationFunction

public BinaryOperator<Double> getPreInterpolationFunction(String sensitivityName,
                                                          String riskClass,
                                                          int axis)

getPostInterpolationFunction

public BinaryOperator<Double> getPostInterpolationFunction(String sensitivityName,
                                                           String riskClass,
                                                           int axis)

volatilityToVarianceFunction

public BinaryOperator<Double> volatilityToVarianceFunction()

varianceToVolatilityFunction

public BinaryOperator<Double> varianceToVolatilityFunction()

getInterpolationOrder
```
public int[] getInterpolationOrder(IServiceContext context,
                                   int maxDeep,
                                   String sensitivityKind,
                                   String sensitivityName,
                                   String riskClass)
```
Description copied from interface: IInterpolationConfiguration

Retrieves an arrays that gives the order in which the interpolation of market data is performed. That order is defined as an int[] in which each index indicates the order in which each of the axis defined in the bucketTypes parameter is processed during the interpolation calculation, starting at the value 0. Ex: if there are three elements defined in bucketTypes like: {BucketType.TENOR_INPUT, BucketType.MATURITY_INPUT, BucketType.MONEYNESS_INPUT} and if the interpolation order is defined as: 0,1,2, the interpolation will first be done on the tenors axis, then on the maturity axis, and then on the moneyness axis.

Specified by:

getInterpolationOrder in interface IInterpolationConfiguration

Parameters:

context - The caller context

maxDeep - number of axis

sensitivityKind - The type of sensitivity delta / gamma /vega / ...

sensitivityName - sensitivity name

riskClass - risk class

Returns:

An array with the axis number from the last to the first