Analytic Class Reference

#include <orea/app/analytic.hpp>

Inheritance diagram for Analytic:

Collaboration diagram for Analytic:

Classes
struct	Configurations
class	Impl

Public Types
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	analytic_reports
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< NPVCube > > >	analytic_npvcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< AggregationScenarioData > > >	analytic_mktcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< StressTestScenarioData > > >	analytic_stresstests

Public Member Functions
	Analytic ()
	Constructors. More...
	Analytic (std::unique_ptr< Impl > impl, const std::set< std::string > &analyticTypes, const QuantLib::ext::shared_ptr< InputParameters > &inputs, bool simulationConfig=false, bool sensitivityConfig=false, bool scenarioGeneratorConfig=false, bool crossAssetModelConfig=false)
virtual	~Analytic ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})
	Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty. More...
virtual void	buildConfigurations (const bool=false)
virtual void	setUpConfigurations ()
virtual void	buildMarket (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)
virtual void	buildPortfolio ()
virtual void	marketCalibration (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &mcr=nullptr)
virtual void	modifyPortfolio ()
virtual void	replaceTrades ()
const std::string	label () const
	Inspectors. More...
const std::set< std::string > &	analyticTypes () const
const QuantLib::ext::shared_ptr< InputParameters > &	inputs () const
const QuantLib::ext::shared_ptr< ore::data::Market > &	market () const
QuantLib::ext::shared_ptr< MarketImpl >	getMarket () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	setMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market)
void	setPortfolio (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()
const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader () const
Configurations &	configurations ()
analytic_reports &	reports ()
	Result reports. More...
analytic_npvcubes &	npvCubes ()
analytic_mktcubes &	mktCubes ()
analytic_stresstests &	stressTests ()
const bool	getWriteIntermediateReports () const
void	setWriteIntermediateReports (const bool flag)
bool	match (const std::set< std::string > &runTypes)
	Check whether any of the requested run types is covered by this analytic. More...
const std::unique_ptr< Impl > &	impl ()
std::set< QuantLib::Date >	marketDates () const
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const

Protected Attributes
std::unique_ptr< Impl >	impl_
std::set< std::string >	types_
	list of analytic types run by this analytic More...
QuantLib::ext::shared_ptr< InputParameters >	inputs_
	contains all the input parameters for the run More...
Configurations	configurations_
QuantLib::ext::shared_ptr< ore::data::Market >	market_
QuantLib::ext::shared_ptr< ore::data::Loader >	loader_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
analytic_reports	reports_
analytic_npvcubes	npvCubes_
analytic_mktcubes	mktCubes_
analytic_stresstests	stressTests_
bool	writeIntermediateReports_ = true

Detailed Description

Definition at line 46 of file analytic.hpp.

Member Typedef Documentation

analytic_reports

typedef std::map<std::string, std::map<std::string, QuantLib::ext::shared_ptr<ore::data::InMemoryReport> > > analytic_reports

Definition at line 51 of file analytic.hpp.

analytic_npvcubes

typedef std::map<std::string, std::map<std::string, QuantLib::ext::shared_ptr<NPVCube> > > analytic_npvcubes

Definition at line 54 of file analytic.hpp.

analytic_mktcubes

typedef std::map<std::string, std::map<std::string, QuantLib::ext::shared_ptr<AggregationScenarioData> > > analytic_mktcubes

Definition at line 57 of file analytic.hpp.

analytic_stresstests

typedef std::map<std::string, std::map<std::string, QuantLib::ext::shared_ptr<StressTestScenarioData> > > analytic_stresstests

Definition at line 60 of file analytic.hpp.

Constructor & Destructor Documentation

Analytic() [1/2]

Analytic

(

)

Constructors.

Definition at line 79 of file analytic.hpp.

{};

Analytic() [2/2]

Analytic	(	std::unique_ptr< Impl >	impl,
		const std::set< std::string > &	analyticTypes,
		const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		bool	simulationConfig = false,
		bool	sensitivityConfig = false,
		bool	scenarioGeneratorConfig = false,
		bool	crossAssetModelConfig = false
	)

Parameters

impl	Concrete implementation of the analytic
analyticTypes	The types of all (sub) analytics covered by this Analytic object e.g. NPV, CASHFLOW, CASHFLOWNPV, etc., covered by the PricingAnalytic
inputs	Any inputs required by this Analytic
simulationConfig	Flag to indicate whether a simulation config file is required for this analytic
sensitivityConfig	Flag to indicate whether a sensitivity config file is required for this analytic
scenarioGeneratorConfig	Flag to indicate whether a scenario generator config file is required for this analytic
crossAssetModelConfig	Flag to indicate whether a cross asset model config file is required for this analytic

Definition at line 53 of file analytic.cpp.

    : impl_(std::move(impl)), types_(analyticTypes), inputs_(inputs) {
 
    configurations().asofDate = inputs->asof();
 
    // set these here, can be overwritten in setUpConfigurations
    if (inputs->curveConfigs().has())
        configurations().curveConfig = inputs->curveConfigs().get();
    if (inputs->pricingEngine())
        configurations().engineData = inputs->pricingEngine();
 
    configurations().simulationConfigRequired = simulationConfig;
    configurations().sensitivityConfigRequired = sensitivityConfig;
    configurations().scenarioGeneratorConfigRequired = scenarioGeneratorConfig;
    configurations().crossAssetModelConfigRequired = crossAssetModelConfig;
 
    if (impl_) {
        impl_->setAnalytic(this);
        impl_->setGenerateAdditionalResults(inputs_->outputAdditionalResults());
    }
 
    setUpConfigurations();
}

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~Analytic()

virtual ~Analytic ( )

virtual

Definition at line 96 of file analytic.hpp.

{}

Member Function Documentation

runAnalytic()

void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader, const std::set< std::string > &  runTypes = {}  )

virtual

Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty.

Definition at line 83 of file analytic.cpp.

                                                              {
    MEM_LOG_USING_LEVEL(ORE_WARNING)
    if (impl_) {
        impl_->runAnalytic(loader, runTypes);
        MEM_LOG_USING_LEVEL(ORE_WARNING)
    }
}

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buildConfigurations()

virtual void buildConfigurations ( const bool  = false )

virtual

Definition at line 103 of file analytic.hpp.

{};

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setUpConfigurations()

void setUpConfigurations ( )

virtual

Definition at line 92 of file analytic.cpp.

                                   {
    if (impl_)
        impl_->setUpConfigurations();
}

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buildMarket()

void buildMarket ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader, const bool  marketRequired = true  )

virtual

Definition at line 178 of file analytic.cpp.

                                                      {
    LOG("Analytic::buildMarket called");    
    cpu_timer mtimer;
 
    QL_REQUIRE(loader, "market data loader not set");
    QL_REQUIRE(configurations().curveConfig, "curve configurations not set");
    
    // first build the market if we have a todaysMarketParams
    if (configurations().todaysMarketParams) {
        try {
            // imply bond spreads (no exclusion of securities in ore, just in ore+) and add results to loader
            auto bondSpreads = implyBondSpreads(configurations().asofDate, inputs_, configurations_.todaysMarketParams,
                                                loader, configurations_.curveConfig, std::string());
 
            // Join the loaders
            loader_ = QuantLib::ext::make_shared<CompositeLoader>(loader, bondSpreads);
 
            // Check that the loader has quotes
            QL_REQUIRE(loader_->hasQuotes(configurations().asofDate),
                       "There are no quotes available for date " << configurations().asofDate);
            // Build the market
            market_ = QuantLib::ext::make_shared<TodaysMarket>(
                configurations().asofDate, configurations().todaysMarketParams, loader_, configurations().curveConfig,
                inputs()->continueOnError(), true, inputs()->lazyMarketBuilding(), inputs()->refDataManager(), false,
                *inputs()->iborFallbackConfig());
        } catch (const std::exception& e) {
            if (marketRequired)
                QL_FAIL("Failed to build market: " << e.what());
            else
                WLOG("Failed to build market: " << e.what());
        }
    } else {
        ALOG("Skip building the market due to missing today's market parameters in configurations"); 
    }
    mtimer.stop();
    LOG("Market Build time " << setprecision(2) << mtimer.format(default_places, "%w") << " sec");
}

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buildPortfolio()

void buildPortfolio ( )

virtual

Definition at line 222 of file analytic.cpp.

                              {
    QuantLib::ext::shared_ptr<Portfolio> tmp = portfolio_ ? portfolio_ : inputs()->portfolio();
        
    // create a new empty portfolio
    portfolio_ = QuantLib::ext::make_shared<Portfolio>(inputs()->buildFailedTrades());
 
    tmp->reset();
    // populate with trades
    for (const auto& [tradeId, trade] : tmp->trades())
        // If portfolio was already provided to the analytic, make sure to only process those given trades.
        portfolio()->add(trade);
    
    if (market_) {
        replaceTrades();
 
        LOG("Build the portfolio");
        QuantLib::ext::shared_ptr<EngineFactory> factory = impl()->engineFactory();
        portfolio()->build(factory, "analytic/" + label());
 
        // remove dates that will have matured
        Date maturityDate = inputs()->asof();
        if (inputs()->portfolioFilterDate() != Null<Date>())
            maturityDate = inputs()->portfolioFilterDate();
 
        LOG("Filter trades that expire before " << maturityDate);
        portfolio()->removeMatured(maturityDate);
    } else {
        ALOG("Skip building the portfolio, because market not set");
    }
}

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marketCalibration()

void marketCalibration ( const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &  mcr = nullptr )

virtual

Definition at line 217 of file analytic.cpp.

                                                                                              {
    if (mcr)
        mcr->populateReport(market_, configurations().todaysMarketParams);
}

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modifyPortfolio()

virtual void modifyPortfolio ( )

virtual

Definition at line 110 of file analytic.hpp.

{}

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replaceTrades()

virtual void replaceTrades ( )

virtual

Definition at line 111 of file analytic.hpp.

{}

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label()

const std::string label

(

)

const

Inspectors.

Definition at line 113 of file analytic.cpp.

                                      { 
    return impl_ ? impl_->label() : string(); 
}

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analyticTypes()

const std::set< std::string > & analyticTypes

(

)

const

Definition at line 115 of file analytic.hpp.

{ return types_; }

inputs()

const QuantLib::ext::shared_ptr< InputParameters > & inputs

(

)

const

Definition at line 116 of file analytic.hpp.

{ return inputs_; }

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market()

const QuantLib::ext::shared_ptr< ore::data::Market > & market

(

)

const

Definition at line 117 of file analytic.hpp.

{ return market_; };

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getMarket()

QuantLib::ext::shared_ptr< MarketImpl > getMarket

(

)

const

Definition at line 119 of file analytic.hpp.

                                                        {        
        return QuantLib::ext::dynamic_pointer_cast<MarketImpl>(market_);
    }

portfolio()

const QuantLib::ext::shared_ptr< ore::data::Portfolio > & portfolio

(

)

const

Definition at line 122 of file analytic.hpp.

{ return portfolio_; };

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setInputs()

void setInputs

(

const QuantLib::ext::shared_ptr< InputParameters > &

inputs

)

Definition at line 123 of file analytic.hpp.

{ inputs_ = inputs; }

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setMarket()

void setMarket

(

const QuantLib::ext::shared_ptr< ore::data::Market > &

market

)

Definition at line 124 of file analytic.hpp.

{ market_ = market; };

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setPortfolio()

void setPortfolio

(

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &

portfolio

)

Definition at line 125 of file analytic.hpp.

{ portfolio_ = portfolio; };

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todaysMarketParams()

std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > > todaysMarketParams

(

)

Definition at line 147 of file analytic.cpp.

                                                                                             {
    buildConfigurations();
    std::vector<QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>> tmps;
    if (configurations().todaysMarketParams)
        tmps.push_back(configurations().todaysMarketParams);
 
    for (const auto& a : impl_->dependentAnalytics()) {
        auto ctmps = a.second->todaysMarketParams();
        tmps.insert(end(tmps), begin(ctmps), end(ctmps));
    }
 
    return tmps;
}

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loader()

const QuantLib::ext::shared_ptr< ore::data::Loader > & loader

(

)

const

Definition at line 127 of file analytic.hpp.

{ return loader_; };

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configurations()

Configurations & configurations

(

)

Definition at line 128 of file analytic.hpp.

{ return configurations_; }

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reports()

analytic_reports & reports

(

)

Result reports.

Definition at line 131 of file analytic.hpp.

{ return reports_; };

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npvCubes()

analytic_npvcubes & npvCubes

(

)

Definition at line 132 of file analytic.hpp.

{ return npvCubes_; };

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mktCubes()

analytic_mktcubes & mktCubes

(

)

Definition at line 133 of file analytic.hpp.

{ return mktCubes_; };

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stressTests()

analytic_stresstests & stressTests

(

)

Definition at line 134 of file analytic.hpp.

{ return stressTests_;}

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getWriteIntermediateReports()

const bool getWriteIntermediateReports

(

)

const

Definition at line 136 of file analytic.hpp.

{ return writeIntermediateReports_; }

setWriteIntermediateReports()

void setWriteIntermediateReports

(

const bool

flag

)

Definition at line 137 of file analytic.hpp.

{ writeIntermediateReports_ = flag; }

match()

bool match

(

const std::set< std::string > &

runTypes

)

Check whether any of the requested run types is covered by this analytic.

Definition at line 118 of file analytic.cpp.

                                                      {
    if (runTypes.size() == 0)
        return true;
    
    for (const auto& rt : runTypes) {
        if (types_.find(rt) != types_.end()) {
            LOG("Requested analytics " <<  to_string(runTypes) << " match analytic class " << label());
            return true;
        }
    }
    return false;
}

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impl()

const std::unique_ptr< Impl > & impl

(

)

Definition at line 142 of file analytic.hpp.

                                      { 
        return impl_;
    }

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marketDates()

std::set< QuantLib::Date > marketDates

(

)

const

Definition at line 135 of file analytic.cpp.

                                                 {
    std::set<QuantLib::Date> mds = {inputs_->asof()};
    auto addDates = impl_->additionalMarketDates();
    mds.insert(addDates.begin(), addDates.end());
 
    for (const auto& a : impl_->dependentAnalytics()) {
        addDates = a.second->impl()->additionalMarketDates();
        mds.insert(addDates.begin(), addDates.end());
    }
    return mds;
}

allDependentAnalytics()

std::vector< QuantLib::ext::shared_ptr< Analytic > > allDependentAnalytics

(

)

const

Definition at line 131 of file analytic.cpp.

                                                                                 {
    return impl_->allDependentAnalytics();
}

Member Data Documentation

impl_

std::unique_ptr<Impl> impl_

protected

Definition at line 151 of file analytic.hpp.

types_

std::set<std::string> types_

protected

list of analytic types run by this analytic

Definition at line 154 of file analytic.hpp.

inputs_

QuantLib::ext::shared_ptr<InputParameters> inputs_

protected

contains all the input parameters for the run

Definition at line 156 of file analytic.hpp.

configurations_

Configurations configurations_

protected

Definition at line 158 of file analytic.hpp.

market_

QuantLib::ext::shared_ptr<ore::data::Market> market_

protected

Definition at line 159 of file analytic.hpp.

loader_

QuantLib::ext::shared_ptr<ore::data::Loader> loader_

protected

Definition at line 160 of file analytic.hpp.

portfolio_

QuantLib::ext::shared_ptr<ore::data::Portfolio> portfolio_

protected

Definition at line 161 of file analytic.hpp.

reports_

analytic_reports reports_

protected

Definition at line 163 of file analytic.hpp.

npvCubes_

analytic_npvcubes npvCubes_

protected

Definition at line 164 of file analytic.hpp.

mktCubes_

analytic_mktcubes mktCubes_

protected

Definition at line 165 of file analytic.hpp.

stressTests_

analytic_stresstests stressTests_

protected

Definition at line 166 of file analytic.hpp.

writeIntermediateReports_

bool writeIntermediateReports_ = true

protected

Whether to write intermediate reports or not. This would typically be used when the analytic is being called by another analytic and that parent/calling analytic will be writing its own set of intermediate reports

Definition at line 171 of file analytic.hpp.