Skip to content

Instantly share code, notes, and snippets.

@deenar

deenar/pla.scala

Created August 24, 2016 12:02
Show Gist options
  • Star 0 You must be signed in to star a gist
  • Fork 0 You must be signed in to fork a gist
  • Save deenar/5440b2c3fc085e6d29e85cc55a3cb0d9 to your computer and use it in GitHub Desktop.
Save deenar/5440b2c3fc085e6d29e85cc55a3cb0d9 to your computer and use it in GitHub Desktop.
Download ZIP
PlaReport
Raw
pla.scala
case class PlaRow (period: String, meanOverStdDev : Double, varianceOverVariance : Double, platTest : Boolean )
case class PlaSet (desk : String, hypoPnlType:String, riskPnlType: String, plaRows :Seq[PlaRow], plaTest: Boolean, average: PlaRow)
case class PlaReport (plaSets : Seq[PlaSet])
Raw
plaReport.json
{"desk":"Desk01","plaSets":[{"plaTest":false,"hypoPnlType":"MT-100k-224, Full","plaRows":[{"period":"Month 1","meanOverStdDev":0.47532979550662535,"varianceOverVariance":0.7862706797602215,"platTest":true},{"period":"Month 2","meanOverStdDev":0.1668344727691924,"varianceOverVariance":0.3730354255065582,"platTest":true},{"period":"Month 3","meanOverStdDev":0.5454420907232826,"varianceOverVariance":0.028266071817279026,"platTest":true},{"period":"Month 4","meanOverStdDev":0.5826577660598689,"varianceOverVariance":0.013798464667283517,"platTest":false},{"period":"Month 5","meanOverStdDev":0.12214544758464507,"varianceOverVariance":0.30205133409091833,"platTest":true},{"period":"Month 6","meanOverStdDev":0.04015277032710307,"varianceOverVariance":0.9746942606432695,"platTest":false},{"period":"Month 7","meanOverStdDev":0.3108229090607896,"varianceOverVariance":0.8835613127084473,"platTest":false},{"period":"Month 8","meanOverStdDev":0.5993289996204368,"varianceOverVariance":0.057813563486847075,"platTest":false},{"period":"Month 9","meanOverStdDev":0.07439419827056248,"varianceOverVariance":0.506834338644177,"platTest":false},{"period":"Month 10","meanOverStdDev":0.5386330919937637,"varianceOverVariance":0.8154272190487811,"platTest":true},{"period":"Month 11","meanOverStdDev":0.3234145223098426,"varianceOverVariance":0.5248549189428631,"platTest":false},{"period":"Month 12","meanOverStdDev":0.6792029275426618,"varianceOverVariance":0.6029749367817857,"platTest":true}],"riskPnlType":"Taylor 1st Order, FRTB-SA","average":{"period":"Average","meanOverStdDev":0.3715299159807312,"varianceOverVariance":0.48913187717486933,"platTest":false}},{"plaTest":false,"hypoPnlType":"MT-100k-224, Full","plaRows":[{"period":"Month 1","meanOverStdDev":0.47532979550662535,"varianceOverVariance":0.7862706797602215,"platTest":true},{"period":"Month 2","meanOverStdDev":0.1668344727691924,"varianceOverVariance":0.3730354255065582,"platTest":true},{"period":"Month 3","meanOverStdDev":0.5454420907232826,"varianceOverVariance":0.028266071817279026,"platTest":true},{"period":"Month 4","meanOverStdDev":0.5826577660598689,"varianceOverVariance":0.013798464667283517,"platTest":false},{"period":"Month 5","meanOverStdDev":0.12214544758464507,"varianceOverVariance":0.30205133409091833,"platTest":true},{"period":"Month 6","meanOverStdDev":0.04015277032710307,"varianceOverVariance":0.9746942606432695,"platTest":false},{"period":"Month 7","meanOverStdDev":0.3108229090607896,"varianceOverVariance":0.8835613127084473,"platTest":false},{"period":"Month 8","meanOverStdDev":0.5993289996204368,"varianceOverVariance":0.057813563486847075,"platTest":false},{"period":"Month 9","meanOverStdDev":0.07439419827056248,"varianceOverVariance":0.506834338644177,"platTest":false},{"period":"Month 10","meanOverStdDev":0.5386330919937637,"varianceOverVariance":0.8154272190487811,"platTest":true},{"period":"Month 11","meanOverStdDev":0.3234145223098426,"varianceOverVariance":0.5248549189428631,"platTest":false},{"period":"Month 12","meanOverStdDev":0.6792029275426618,"varianceOverVariance":0.6029749367817857,"platTest":true}],"riskPnlType":"Taylor 1st Order, FRTB-SA","average":{"period":"Average","meanOverStdDev":0.3715299159807312,"varianceOverVariance":0.48913187717486933,"platTest":false}}]}
Raw
plaSet.json
{"plaTest":false,"hypoPnlType":"MT-100k-224, Full","desk":"Desk01","plaRows":[{"period":"Month 1","meanOverStdDev":0.6052324605265215,"varianceOverVariance":0.4818295551214846,"platTest":true},{"period":"Month 2","meanOverStdDev":0.1455088889443602,"varianceOverVariance":0.33470881553775067,"platTest":true},{"period":"Month 3","meanOverStdDev":0.23392399672888398,"varianceOverVariance":0.7656436649679417,"platTest":false},{"period":"Month 4","meanOverStdDev":0.5370742906716907,"varianceOverVariance":0.6599284515206648,"platTest":true},{"period":"Month 5","meanOverStdDev":0.3501643647425011,"varianceOverVariance":0.12927543224133142,"platTest":false},{"period":"Month 6","meanOverStdDev":0.1423542514486228,"varianceOverVariance":0.2798523235606466,"platTest":true},{"period":"Month 7","meanOverStdDev":0.3993954255332479,"varianceOverVariance":0.7488291689620735,"platTest":false},{"period":"Month 8","meanOverStdDev":0.859979466720346,"varianceOverVariance":0.7938750404400177,"platTest":false},{"period":"Month 9","meanOverStdDev":0.9312039358529296,"varianceOverVariance":0.14660828634289558,"platTest":false},{"period":"Month 10","meanOverStdDev":0.6937714884703231,"varianceOverVariance":0.07389131948395711,"platTest":true},{"period":"Month 11","meanOverStdDev":0.6932484540519842,"varianceOverVariance":0.5911583220627525,"platTest":true},{"period":"Month 12","meanOverStdDev":0.5463021236103832,"varianceOverVariance":0.24887372431114774,"platTest":false}],"riskPnlType":"Taylor 1st Order, FRTB-SA","average":{"period":"Average","meanOverStdDev":0.5115132622751495,"varianceOverVariance":0.43787284204605537,"platTest":false}}
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment