Public API - Atoti Hub

The netting-set analytics framework exposes its public API through the api/cube/ and api/cube/measures/ packages. These interfaces allow consuming cubes and downstream code to access levels and measures by type-safe references without depending on internal strings.

What interfaces are exposed?

Interface	Accessed via	Purpose
`INettingSetAnalyticsLevels`	Extended by consuming cube level interfaces	Central levels API grouping all framework-level identifiers
`ISpecificLevels`	`INettingSetAnalyticsLevels.specific()`	Framework-specific level identifiers (time point, netting set, collateral flags)
`IExposureMeasures`	Base interface	Base interface for any measure family that provides exposure vectors
`IExposureVectorMeasures`	`IExposureMeasures.exposureVectorsMeasures()`	Exposure vectors by side (bank and counterparty)
`IExposureMetrics`	`IExposureAndMetricsMeasures.exposureMetrics()`	Scalar exposure metrics (PFE, EE, ENE, ES, scenario index and name)
`IGrossMeasures`	Base interface for gross measure families	Combines base gross exposure, exposure vectors, and inframarginal exposure
`IBaseGrossExposureMeasures`	`IGrossMeasures.baseGrossExposureMeasures()`	Initial MtM, MtF sum, cumulative cashflow, and their scenario-level variants
`INettedMeasures`	Base interface for netted measure families	Combines exposure vectors and inframarginal exposure for the netted family
`ICollateralizedMeasures`	Base interface for collateralized measure families	Groups independent amount and per-algorithm exposure measures
`IIndependentAmountMeasures`	`ICollateralizedMeasures.independentAmountMeasures()`	Independent amount measure
`INettingSetParametersMeasures`	Exposed by consuming cubes’ measures facades	Typed accessors for the built-in netting-agreement (CSA and ISDA) parameters, plus configured additional parameters by name
`ICollateralizedExposureByAlgoMeasures`	`ICollateralizedMeasures.exposureMeasuresByAlgo(algo)`	Exposure vectors, inframarginal vectors, and tech collateral measures for a specific algorithm
`ITechCollateralMeasures`	`ICollateralizedExposureByAlgoMeasures.techCollateralMeasures()`	Collateral balance vector, scenario-level balance, and raw data points
`IInframarginalExposureMeasures`	Base interface	Inframarginal exposure vector accessor
`IInframarginalExposureAndMetricsMeasures`	Extends `IInframarginalExposureMeasures`	Adds inframarginal exposure metrics and incremental contributions
`IExposureAndMetricsMeasures`	Extends `IExposureMeasures`	Adds exposure metrics to the exposure vector accessor

Accessor reference

`INettingSetAnalyticsLevels`

The central levels API. It groups all framework-level identifiers and delegates to the universal common level APIs. Consuming cubes extend INettingSetAnalyticsLevels to add their own cube-specific levels. For example, IPfeCubeLevels extends INettingSetAnalyticsLevels.

Accessor	Returns	Notes
`dates()`	`IAsOfDateLevels`	As-of date levels
`confidenceLevels()`	`IConfidenceLevelLevels`	Confidence level simulation dimension
`trades()`	`ITradeAttributesLevels`	Trade descriptor levels
`scenarios()`	`IScenariosLevels`	Scenario index and name levels
`counterparties()`	`ICounterpartiesLevels`	Counterparty hierarchy levels
`specific()`	`ISpecificLevels`	Framework-specific level identifiers

`ISpecificLevels`

Provides the framework-specific level identifiers for dimensions unique to the netting-set analytics framework.

Accessor	Returns	Notes
`timePoint()`	`LevelIdentifier`	Simulation Dates > Time Point
`isIncludedInBreakDate()`	`LevelIdentifier`	Is Included In Break Date > Included In Break Date
`independentAmountCurrency()`	`LevelIdentifier`	Collateral > Independent Amount Currency
`independentAmountMaturity()`	`LevelIdentifier`	Collateral > Independent Amount Maturity
`nettingSet()`	`LevelIdentifier`	Netting > Netting Set ID
`breakDate()`	`LevelIdentifier`	NettingAnalyticsTradeAttributes > Break Date

`IExposureMeasures`

Base interface for any measure family that provides exposure vectors.

Accessor	Returns	Description
`exposureVectorsMeasures()`	`IExposureVectorMeasures`	Access to exposure vectors by side

`IExposureVectorMeasures`

Provides access to exposure vectors by side.

Accessor	Returns	Description
`getExposureVectors(Side side)`	`NamedCopperMeasure`	Exposure vector for the given side
`getExposureVectorsScenarioLevel(Side side)`	`NamedCopperMeasure`	Scenario-level exposure vector for the given side
`getBankExposureVector()`	`NamedCopperMeasure`	Convenience method for the bank-side exposure vector
`getCptyExposureVector()`	`NamedCopperMeasure`	Convenience method for the counterparty-side exposure vector
`getBankExposureVectorScenarioLevel()`	`NamedCopperMeasure`	Convenience method for the bank-side scenario-level vector
`getCptyExposureVectorScenarioLevel()`	`NamedCopperMeasure`	Convenience method for the counterparty-side scenario-level vector

`IExposureMetrics`

Provides access to scalar exposure metrics.

Accessor	Returns	Description
`getExposureMetric(ExposureMetric exposureMetric)`	`NamedCopperMeasure`	Metric for the given `ExposureMetric` enum value
`getPotentialFutureExposure()`	`NamedCopperMeasure`	PFE metric
`getExpectedExposure()`	`NamedCopperMeasure`	EE metric
`getExpectedNegativeExposure()`	`NamedCopperMeasure`	ENE metric
`getExpectedShortfall()`	`NamedCopperMeasure`	ES metric
`getPfeIndex()`	`NamedCopperMeasure`	PFE Scenario Index metric
`getPfeScenarioName()`	`NamedCopperMeasure`	PFE Scenario Name metric

All convenience methods return null if the underlying metric is not registered.

`IGrossMeasures`

Combines exposure vectors and inframarginal exposure for the gross measure family. IGrossMeasures extends IExposureMeasures and IInframarginalExposureMeasures, providing:

Base gross exposure accessors via baseGrossExposureMeasures().
Exposure vector accessors via the inherited exposureVectorsMeasures().
Inframarginal exposure vector accessors via the inherited inframarginalExposureVectorsMeasures().

Accessor	Returns	Description
`baseGrossExposureMeasures()`	`IBaseGrossExposureMeasures`	Initial MtM, MtF sum, cumulative cashflow, and scenario-level variants

`IBaseGrossExposureMeasures`

Provides the base gross exposure measures.

Accessor	Returns	Description
`initialMtm()`	`NamedCopperMeasure`	Initial mark-to-market value
`mtmSum()`	`NamedCopperMeasure`	Sum of MtF values
`cumulativeCashflow()`	`NamedCopperMeasure`	Cumulative cashflow
`mtmSumScenarioLevel()`	`NamedCopperMeasure`	MtF sum at scenario level
`cumulativeCashflowScenarioLevel()`	`NamedCopperMeasure`	Cumulative cashflow at scenario level

`INettedMeasures`

Combines exposure vectors and inframarginal exposure for the netted measure family. INettedMeasures extends IExposureMeasures and IInframarginalExposureMeasures, providing:

Exposure vector accessors via the inherited exposureVectorsMeasures().
Inframarginal exposure vector accessors via the inherited inframarginalExposureVectorsMeasures().

INettedMeasures has no own-method accessors beyond the inherited groups.

`ICollateralizedMeasures`

Groups all collateral-related measures. ICollateralizedMeasures<A> is a generic interface where A is the per-algorithm measure type.

Accessor	Returns	Description
`independentAmountMeasures()`	`IIndependentAmountMeasures`	Independent amount measure
`collateralizedExposuresByAlgoMeasures()`	`Map<String, A>`	All per-algorithm exposure measures keyed by algorithm name
`exposureMeasuresByAlgo(String algo)`	`A`	Collateralized exposure measures for the named algorithm

`INettingSetParametersMeasures`

Provides typed accessors for the netting-agreement (CSA and ISDA) parameters. The built-in parameters each have a dedicated accessor; configured, non-default parameters are reached by name through additionalParameters(String).

Accessor	Returns	Description
`initialCollateral()`	`NamedCopperMeasure`	Initial collateral balance
`bankThreshold()` / `cptyThreshold()`	`NamedCopperMeasure`	Bank-side / counterparty-side collateral threshold
`bankMinTransferAmount()` / `cptyMinTransferAmount()`	`NamedCopperMeasure`	Bank-side / counterparty-side minimum transfer amount
`bankHoldingPeriod()` / `cptyHoldingPeriod()`	`NamedCopperMeasure`	Bank-side / counterparty-side margin period of risk, in days
`bankIndependentAmount()`, `bankScaleFactor()`, `bankFloor()`	`NamedCopperMeasure`	Bank-side independent amount constant, scale factor, and floor
`cptyIndependentAmount()`, `cptyScaleFactor()`, `cptyFloor()`	`NamedCopperMeasure`	Counterparty-side independent amount constant, scale factor, and floor
`hairCut()`	`NamedCopperMeasure`	Haircut scale factor applied to exposure values
`parametersCurrency()`	`NamedCopperMeasure`	Currency of the CSA threshold and minimum-transfer-amount parameters
`hasNettingAgreement()`	`NamedCopperMeasure`	Whether the netting set has an actual agreement (`false` for the default `N/A` id)
`additionalParameters(String name)`	`NamedCopperMeasure`	Measure for a configured, non-default parameter, by its field name; throws `IllegalArgumentException` otherwise

`IIndependentAmountMeasures`

Provides the independent amount measure.

Accessor	Returns	Description
`independentAmount()`	`NamedCopperMeasure`	Independent amount

`ICollateralizedExposureByAlgoMeasures`

Provides exposure vectors, inframarginal vectors, and technical collateral measures for a specific collateral algorithm. ICollateralizedExposureByAlgoMeasures extends IExposureMeasures and IInframarginalExposureMeasures, providing:

Exposure vector accessors via the inherited exposureVectorsMeasures().
Inframarginal exposure vector accessors via the inherited inframarginalExposureVectorsMeasures().
Technical collateral measures via techCollateralMeasures().

Accessor	Returns	Description
`techCollateralMeasures()`	`ITechCollateralMeasures`	Collateral balance vector, scenario-level balance, and raw collateral data points

`ITechCollateralMeasures`

Provides internal technical collateral measures.

Accessor	Returns	Description
`collateralBalance()`	`NamedCopperMeasure`	Collateral balance vector
`collateralBalanceScenarioLevel()`	`NamedCopperMeasure`	Scenario-level collateral balance
`collateralDataPoints()`	`NamedCopperMeasure`	Raw collateral data points

`IInframarginalExposureMeasures`

Base interface providing inframarginal exposure vector access.

Accessor	Returns	Description
`inframarginalExposureVectorsMeasures()`	`IExposureVectorMeasures`	Inframarginal exposure vectors

`IInframarginalExposureAndMetricsMeasures`

Extends IInframarginalExposureMeasures with inframarginal metrics and incremental contributions. In addition to the inherited inframarginalExposureVectorsMeasures(), it provides:

Accessor	Returns	Description
`inframarginalExposureMetrics()`	`IExposureMetrics`	Inframarginal exposure metrics
`incrementalContributions()`	`IExposureMetrics`	Incremental contribution metrics

`IExposureAndMetricsMeasures`

Extends IExposureMeasures with exposure metrics. In addition to the inherited exposureVectorsMeasures(), it provides:

Accessor	Returns	Description
`exposureMetrics()`	`IExposureMetrics`	Scalar exposure metrics (PFE, EE, ENE, ES, scenario index and name)

​What interfaces are exposed?

​Accessor reference

​INettingSetAnalyticsLevels

​ISpecificLevels

​IExposureMeasures

​IExposureVectorMeasures

​IExposureMetrics

​IGrossMeasures

​IBaseGrossExposureMeasures

​INettedMeasures

​ICollateralizedMeasures

​INettingSetParametersMeasures

​IIndependentAmountMeasures

​ICollateralizedExposureByAlgoMeasures

​ITechCollateralMeasures

​IInframarginalExposureMeasures

​IInframarginalExposureAndMetricsMeasures

​IExposureAndMetricsMeasures

​Related pages