Analytic::Impl Class Reference

#include <orea/app/analytic.hpp>

Inheritance diagram for Analytic::Impl:

Collaboration diagram for Analytic::Impl:

Public Member Functions
	Impl ()
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
virtual	~Impl ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})=0
virtual void	setUpConfigurations ()
virtual QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory ()
	build an engine factory More...
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T >
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
virtual std::vector< QuantLib::Date >	additionalMarketDates () const

Protected Attributes
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily More...
std::map< std::string, QuantLib::ext::shared_ptr< Analytic > >	dependentAnalytics_

Private Attributes
Analytic *	analytic_
bool	generateAdditionalResults_ = false

Detailed Description

Definition at line 174 of file analytic.hpp.

Constructor & Destructor Documentation

Impl() [1/2]

Impl

(

)

Definition at line 176 of file analytic.hpp.

{}

Impl() [2/2]

Impl

(

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

inputs

)

Definition at line 177 of file analytic.hpp.

: inputs_(inputs) {}

~Impl()

virtual ~Impl ( )

virtual

Definition at line 178 of file analytic.hpp.

{}

Member Function Documentation

runAnalytic()

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

pure virtual

Implemented in MarketDataAnalyticImpl, IMScheduleAnalyticImpl, ParConversionAnalyticImpl, PnlAnalyticImpl, PnlExplainAnalyticImpl, PricingAnalyticImpl, ScenarioAnalyticImpl, ScenarioStatisticsAnalyticImpl, SimmAnalyticImpl, VarAnalyticImpl, XvaAnalyticImpl, XvaSensitivityAnalyticImpl, and XvaStressAnalyticImpl.

setUpConfigurations()

virtual void setUpConfigurations ( )

virtual

Reimplemented in MarketDataAnalyticImpl, IMScheduleAnalyticImpl, ParConversionAnalyticImpl, ParStressConversionAnalyticImpl, PnlAnalyticImpl, PnlExplainAnalyticImpl, PricingAnalyticImpl, ScenarioAnalyticImpl, ScenarioStatisticsAnalyticImpl, SimmAnalyticImpl, StressTestAnalyticImpl, VarAnalyticImpl, ParametricVarAnalyticImpl, HistoricalSimulationVarAnalyticImpl, XvaAnalyticImpl, XvaSensitivityAnalyticImpl, XvaStressAnalyticImpl, and ZeroToParShiftAnalyticImpl.

Definition at line 184 of file analytic.hpp.

{};

engineFactory()

QuantLib::ext::shared_ptr< EngineFactory > engineFactory ( )

virtual

build an engine factory

Reimplemented in XvaAnalyticImpl.

Definition at line 161 of file analytic.cpp.

                                                                 {
    LOG("Analytic::engineFactory() called");
    // Note: Calling the constructor here with empty extry builders
    // Override this function in case you have got extra ones
    QuantLib::ext::shared_ptr<EngineData> edCopy = QuantLib::ext::make_shared<EngineData>(*inputs_->pricingEngine());
    edCopy->globalParameters()["GenerateAdditionalResults"] = to_string(generateAdditionalResults());
    edCopy->globalParameters()["RunType"] = "NPV";
    map<MarketContext, string> configurations;
    configurations[MarketContext::irCalibration] = inputs_->marketConfig("lgmcalibration");    
    configurations[MarketContext::fxCalibration] = inputs_->marketConfig("fxcalibration");
    configurations[MarketContext::pricing] = inputs_->marketConfig("pricing");
    LOG("MarketContext::pricing = " << inputs_->marketConfig("pricing"));
    return QuantLib::ext::make_shared<EngineFactory>(edCopy, analytic()->market(), configurations,
                                             inputs_->refDataManager(),
                                             *inputs_->iborFallbackConfig());
}

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setLabel()

void setLabel

(

const string &

label

)

Definition at line 189 of file analytic.hpp.

{ label_ = label; }

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label()

const std::string & label

(

)

const

Definition at line 190 of file analytic.hpp.

{ return label_; };

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setAnalytic()

void setAnalytic

(

Analytic *

analytic

)

Definition at line 192 of file analytic.hpp.

{ analytic_ = analytic; }

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analytic()

Analytic * analytic

(

)

const

Definition at line 193 of file analytic.hpp.

{ return analytic_; }

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setInputs()

void setInputs

(

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

inputs

)

Definition at line 194 of file analytic.hpp.

{ inputs_ = inputs; }

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generateAdditionalResults()

bool generateAdditionalResults

(

)

const

Definition at line 196 of file analytic.hpp.

{ return generateAdditionalResults_; }

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setGenerateAdditionalResults()

void setGenerateAdditionalResults

(

const bool

generateAdditionalResults

)

Definition at line 197 of file analytic.hpp.

                                                                            {
        generateAdditionalResults_ = generateAdditionalResults;
    }

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hasDependentAnalytic()

bool hasDependentAnalytic

(

const std::string &

key

)

Definition at line 201 of file analytic.hpp.

                                                    {
        return dependentAnalytics_.find(key) != dependentAnalytics_.end();
    }

dependentAnalytic() [1/2]

QuantLib::ext::shared_ptr< T > dependentAnalytic

(

const std::string &

key

)

const

Definition at line 251 of file analytic.hpp.

                                                                                                             {
    auto it = dependentAnalytics_.find(key);
    QL_REQUIRE(it != dependentAnalytics_.end(), "Could not find dependent Analytic " << key);
    QuantLib::ext::shared_ptr<T> analytic = QuantLib::ext::dynamic_pointer_cast<T>(it->second);
    QL_REQUIRE(analytic, "Could not cast analytic for key " << key);
    return analytic;
}

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dependentAnalytic() [2/2]

QuantLib::ext::shared_ptr< Analytic > dependentAnalytic

(

const std::string &

key

)

const

Definition at line 107 of file analytic.cpp.

                                                                                          {
    auto it = dependentAnalytics_.find(key);
    QL_REQUIRE(it != dependentAnalytics_.end(), "Could not find dependent Analytic " << key);
    return it->second;
}

dependentAnalytics()

const std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > & dependentAnalytics

(

)

const

Definition at line 206 of file analytic.hpp.

                                                                                         {
        return dependentAnalytics_;
    }

addDependentAnalytic()

void addDependentAnalytic	(	const std::string &	key,
		const QuantLib::ext::shared_ptr< Analytic > &	analytic
	)

Definition at line 209 of file analytic.hpp.

                                                                                                     {
        dependentAnalytics_[key] = analytic;
    }

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allDependentAnalytics()

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

(

)

const

Definition at line 97 of file analytic.cpp.

                                                                                     {
    std::vector<QuantLib::ext::shared_ptr<Analytic>> analytics;
    for (const auto& [_, a] : dependentAnalytics_) {
        analytics.push_back(a);
        auto das = a->allDependentAnalytics();
        analytics.insert(end(analytics), begin(das), end(das));
    }
    return analytics;
}

additionalMarketDates()

virtual std::vector< QuantLib::Date > additionalMarketDates ( ) const

virtual

Reimplemented in PnlAnalyticImpl.

Definition at line 213 of file analytic.hpp.

{ return {}; }

Member Data Documentation

inputs_

QuantLib::ext::shared_ptr<InputParameters> inputs_

protected

Definition at line 216 of file analytic.hpp.

label_

std::string label_

protected

label for logging purposes primarily

Definition at line 219 of file analytic.hpp.

dependentAnalytics_

std::map<std::string, QuantLib::ext::shared_ptr<Analytic> > dependentAnalytics_

protected

Definition at line 221 of file analytic.hpp.

analytic_

Analytic* analytic_

private

Definition at line 224 of file analytic.hpp.

generateAdditionalResults_

bool generateAdditionalResults_ = false

private

Definition at line 225 of file analytic.hpp.