39 lines
1.8 KiB
Java
39 lines
1.8 KiB
Java
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package com.quantai.trader.domain;
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import static com.quantai.trader.util.TraderNumbers.*;
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import java.math.BigDecimal;
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import java.util.Map;
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public record RiskOutput(
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BigDecimal marketRiskProb,
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BigDecimal positionRiskProb,
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BigDecimal marketRiskSeverityBps,
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BigDecimal positionRiskSeverityBps,
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BigDecimal drawdownProb,
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BigDecimal expectedShortfallBps,
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BigDecimal volatilityExpansionProb,
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BigDecimal spikeProb,
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BigDecimal liquidityRiskProb,
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BigDecimal liquidityCapacityRatio,
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String modelVersion,
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String calibrationVersion,
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Map<String, Object> explanation
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) {
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public RiskOutput {
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marketRiskProb = probability(marketRiskProb, "risk.marketRiskProb");
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positionRiskProb = probability(positionRiskProb, "risk.positionRiskProb");
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marketRiskSeverityBps = nonNegative(marketRiskSeverityBps, "risk.marketRiskSeverityBps");
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positionRiskSeverityBps = nonNegative(positionRiskSeverityBps, "risk.positionRiskSeverityBps");
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drawdownProb = probability(drawdownProb, "risk.drawdownProb");
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expectedShortfallBps = nonNegative(expectedShortfallBps, "risk.expectedShortfallBps");
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volatilityExpansionProb = probability(volatilityExpansionProb, "risk.volatilityExpansionProb");
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spikeProb = probability(spikeProb, "risk.spikeProb");
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liquidityRiskProb = probability(liquidityRiskProb, "risk.liquidityRiskProb");
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liquidityCapacityRatio = nonNegative(liquidityCapacityRatio, "risk.liquidityCapacityRatio");
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modelVersion = requiredText(modelVersion, "risk.modelVersion");
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calibrationVersion = requiredText(calibrationVersion, "risk.calibrationVersion");
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explanation = Map.copyOf(explanation == null ? Map.of() : explanation);
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}
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}
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