AnalyticsManager Class Reference

#include <orea/app/analyticsmanager.hpp>

Collaboration diagram for AnalyticsManager:

Public Member Functions
	AnalyticsManager (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< MarketDataLoader > &marketDataLoader)
virtual	~AnalyticsManager ()
bool	hasAnalytic (const std::string &type)
	Valid analytics in the analytics manager are the union of analytics types provided by analytics_ map. More...
const std::set< std::string > &	validAnalytics ()
const std::set< std::string > &	requestedAnalytics ()
const QuantLib::ext::shared_ptr< Analytic > &	getAnalytic (const std::string &type) const
Size	numberOfAnalytics ()
const QuantLib::ext::shared_ptr< InputParameters > &	inputs ()
std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()
void	runAnalytics (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &marketCalibrationReport=nullptr)
void	addAnalytic (const std::string &label, const QuantLib::ext::shared_ptr< Analytic > &analytic)
std::map< std::string, QuantLib::ext::shared_ptr< Analytic > >	analytics ()
void	clear ()
Analytic::analytic_reports const	reports ()
Analytic::analytic_npvcubes const	npvCubes ()
Analytic::analytic_mktcubes const	mktCubes ()
Analytic::analytic_stresstests const	stressTests ()
void	toFile (const Analytic::analytic_reports &reports, const std::string &outputPath, const std::map< std::string, std::string > &reportNames={}, const char sep=',', const bool commentCharacter=false, char quoteChar='\0', const string &nullString="#N/A", const std::set< std::string > &lowerHeaderReportNames={})

Private Attributes
std::map< std::string, QuantLib::ext::shared_ptr< Analytic > >	analytics_
QuantLib::ext::shared_ptr< InputParameters >	inputs_
QuantLib::ext::shared_ptr< MarketDataLoader >	marketDataLoader_
Analytic::analytic_reports	reports_
std::set< std::string >	validAnalytics_

Detailed Description

Definition at line 35 of file analyticsmanager.hpp.

Constructor & Destructor Documentation

AnalyticsManager()

AnalyticsManager	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const QuantLib::ext::shared_ptr< MarketDataLoader > &	marketDataLoader
	)

Parameters

inputs	Container for the inputs required by the standard analytics
marketDataLoader	A market data loader object that can retrieve required data from a large repository

Definition at line 49 of file analyticsmanager.cpp.

    : inputs_(inputs), marketDataLoader_(marketDataLoader) {
 
    for (const auto& a : inputs_->analytics()) {
        auto ap = AnalyticFactory::instance().build(a, inputs);
        if (ap.second)
            addAnalytic(ap.first, ap.second);
    }
}

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~AnalyticsManager()

virtual ~AnalyticsManager ( )

virtual

Definition at line 41 of file analyticsmanager.hpp.

{};

Member Function Documentation

hasAnalytic()

bool hasAnalytic

(

const std::string &

type

)

Valid analytics in the analytics manager are the union of analytics types provided by analytics_ map.

Definition at line 89 of file analyticsmanager.cpp.

                                                        {
    const std::set<std::string>& va = validAnalytics();
    return va.find(type) != va.end();
}

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validAnalytics()

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

(

)

Definition at line 75 of file analyticsmanager.cpp.

                                                          {
    if (validAnalytics_.size() == 0) {
        for (auto a : analytics_) {
            const std::set<std::string>& types = a.second->analyticTypes();
            validAnalytics_.insert(types.begin(), types.end());
        }
    }
    return validAnalytics_;
}

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requestedAnalytics()

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

(

)

Definition at line 85 of file analyticsmanager.cpp.

                                                              {
    return inputs_->analytics();
}

getAnalytic()

const QuantLib::ext::shared_ptr< Analytic > & getAnalytic

(

const std::string &

type

)

const

Definition at line 94 of file analyticsmanager.cpp.

                                                                                                {
    for (const auto& a : analytics_) {
        const std::set<std::string>& types = a.second->analyticTypes();
        if (types.find(type) != types.end())
            return a.second;
    }
    QL_FAIL("analytic type " << type << " not found, check validAnalytics()");
}

numberOfAnalytics()

Size numberOfAnalytics

(

)

Definition at line 48 of file analyticsmanager.hpp.

{ return analytics_.size(); }

inputs()

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

(

)

Definition at line 49 of file analyticsmanager.hpp.

{ return inputs_; }

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todaysMarketParams()

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

(

)

Definition at line 103 of file analyticsmanager.cpp.

                                                                                                     {
    std::vector<QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>> tmps;
    for (const auto& a : analytics_) {
        std::vector<QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>> atmps = a.second->todaysMarketParams();
        tmps.insert(end(tmps), begin(atmps), end(atmps));
    }
    return tmps;
}

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runAnalytics()

void runAnalytics

(

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

marketCalibrationReport = nullptr

)

Definition at line 112 of file analyticsmanager.cpp.

                                                                                                                     {
    if (analytics_.size() == 0)
        return;
 
    std::vector<QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>> tmps = todaysMarketParams();
    std::set<Date> marketDates;
    for (const auto& a : analytics_) {
        auto mdates = a.second->marketDates();
        marketDates.insert(mdates.begin(), mdates.end());
    }
 
    // Do we need market data
    bool requireMarketData = false;
    for (const auto& tmp : tmps) {
        if (!tmp->empty())
            requireMarketData = true;
    }
 
    LOG("AnalyticsManager::runAnalytics: requireMarketData " << (requireMarketData ? "Y" : "N"));
    
    if (requireMarketData) {
        // load the market data
        if (tmps.size() > 0) {
            LOG("AnalyticsManager::runAnalytics: populate loader for dates: " << to_string(marketDates));
            marketDataLoader_->populateLoader(tmps, marketDates);
        }
        
        QuantLib::ext::shared_ptr<InMemoryReport> mdReport = QuantLib::ext::make_shared<InMemoryReport>();
        QuantLib::ext::shared_ptr<InMemoryReport> fixingReport = QuantLib::ext::make_shared<InMemoryReport>();
        QuantLib::ext::shared_ptr<InMemoryReport> dividendReport = QuantLib::ext::make_shared<InMemoryReport>();
 
        ore::analytics::ReportWriter(inputs_->reportNaString())
            .writeMarketData(*mdReport, marketDataLoader_->loader(), inputs_->asof(),
                             marketDataLoader_->quotes()[inputs_->asof()],
                             !inputs_->entireMarket());
        ore::analytics::ReportWriter(inputs_->reportNaString())
            .writeFixings(*fixingReport, marketDataLoader_->loader());
        ore::analytics::ReportWriter(inputs_->reportNaString())
            .writeDividends(*dividendReport, marketDataLoader_->loader());
 
        reports_["MARKETDATA"]["marketdata"] = mdReport;
        reports_["FIXINGS"]["fixings"] = fixingReport;
        reports_["DIVIDENDS"]["dividends"] = dividendReport;
    }
 
    // run requested analytics
    for (auto a : analytics_) {
        LOG("run analytic with label '" << a.first << "'");
        a.second->runAnalytic(marketDataLoader_->loader(), inputs_->analytics());
        LOG("run analytic with label '" << a.first << "' finished.");
        // then populate the market calibration report if required
        if (marketCalibrationReport)
            a.second->marketCalibration(marketCalibrationReport);
    }
 
    if (inputs_->portfolio()) {
        auto pricingStatsReport = QuantLib::ext::make_shared<InMemoryReport>();
        ReportWriter(inputs_->reportNaString())
            .writePricingStats(*pricingStatsReport, inputs_->portfolio());
        reports_["STATS"]["pricingstats"] = pricingStatsReport;
    }
 
    if (marketCalibrationReport) {
        auto report = marketCalibrationReport->outputCalibrationReport();
        if (report) {
            if (auto rpt = QuantLib::ext::dynamic_pointer_cast<InMemoryReport>(report))
                reports_["MARKET"]["todaysmarketcalibration"] = rpt;
        }
    }
 
    inputs_->writeOutParameters();
}

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addAnalytic()

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

Definition at line 66 of file analyticsmanager.cpp.

                                                                                                          {
    // Label is not necessarily a valid analytics type
    // Get the latter via analytic->analyticTypes()
    LOG("register analytic with label '" << label << "' and sub-analytics " << to_string(analytic->analyticTypes()));
    analytics_[label] = analytic;
    // This forces an update of valid analytics vector with the next call to validAnalytics()
    validAnalytics_.clear();
}

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analytics()

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

(

)

Definition at line 55 of file analyticsmanager.hpp.

{ return analytics_; }

clear()

void clear

(

)

Definition at line 60 of file analyticsmanager.cpp.

                             {
    LOG("AnalyticsManager: Remove all analytics currently registered");
    analytics_.clear();
    validAnalytics_.clear();
}

reports()

Analytic::analytic_reports const reports

(

)

Definition at line 185 of file analyticsmanager.cpp.

                                                         {
    Analytic::analytic_reports reports = reports_;
    for (auto a : analytics_) {
        auto rs = a.second->reports();
        reports.insert(rs.begin(), rs.end());
    }
    return reports;
}

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npvCubes()

Analytic::analytic_npvcubes const npvCubes

(

)

Definition at line 194 of file analyticsmanager.cpp.

                                                           {
    Analytic::analytic_npvcubes results;
    for (auto a : analytics_) {
        auto rs = a.second->npvCubes();
        results.insert(rs.begin(), rs.end());
    }
    return results;
}

mktCubes()

Analytic::analytic_mktcubes const mktCubes

(

)

Definition at line 203 of file analyticsmanager.cpp.

                                                           {
    Analytic::analytic_mktcubes results;
    for (auto a : analytics_) {
        auto rs = a.second->mktCubes();
        results.insert(rs.begin(), rs.end());
    }
    return results;
}

stressTests()

Analytic::analytic_stresstests const stressTests

(

)

Definition at line 212 of file analyticsmanager.cpp.

                                                                 {
    Analytic::analytic_stresstests results;
    for (auto a : analytics_) {
        auto rs = a.second->stressTests();
        results.insert(rs.begin(), rs.end());
    }
    return results;
}

toFile()

void toFile	(	const Analytic::analytic_reports &	reports,
		const std::string &	outputPath,
		const std::map< std::string, std::string > &	reportNames = {},
		const char	sep = ',',
		const bool	commentCharacter = false,
		char	quoteChar = '\0',
		const string &	nullString = "#N/A",
		const std::set< std::string > &	lowerHeaderReportNames = {}
	)

Definition at line 246 of file analyticsmanager.cpp.

                                                                               {
    std::map<std::string, Size> hits = checkReportNames(rpts);    
    for (const auto& rep : rpts) {
        string analytic = rep.first;
        for (auto b : rep.second) {
            string reportName = b.first;
            QuantLib::ext::shared_ptr<InMemoryReport> report = b.second;
            string fileName;
            auto it = hits.find(reportName);
            QL_REQUIRE(it != hits.end(), "something wrong here");
            if (it->second == 1) {
                // The report name is unique, check whether we want to rename it or use the standard name
                auto it2 = reportNames.find(reportName);
                fileName = (it2 != reportNames.end() && !it2->second.empty()) ? it2->second : reportName;
            }
            else {
                ALOG("Report " << reportName << " occurs " << it->second << " times, fix report naming");
                fileName = analytic + "_" + reportName + "_" + to_string(hits[fileName]);
            }
 
            // attach a suffix only if it does not have one already
            string suffix = "";
            if (!endsWith(fileName,".csv") && !endsWith(fileName, ".txt"))
                suffix = ".csv";
            std::string fullFileName = outputPath + "/" + fileName + suffix;
 
            report->toFile(fullFileName, sep, commentCharacter, quoteChar, nullString,
                           lowerHeaderReportNames.find(reportName) != lowerHeaderReportNames.end());
            LOG("report " << reportName << " written to " << fullFileName); 
        }
    }
}

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Member Data Documentation

analytics_

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

private

Definition at line 71 of file analyticsmanager.hpp.

inputs_

QuantLib::ext::shared_ptr<InputParameters> inputs_

private

Definition at line 72 of file analyticsmanager.hpp.

marketDataLoader_

QuantLib::ext::shared_ptr<MarketDataLoader> marketDataLoader_

private

Definition at line 73 of file analyticsmanager.hpp.

reports_

Analytic::analytic_reports reports_

private

Definition at line 74 of file analyticsmanager.hpp.

validAnalytics_

std::set<std::string> validAnalytics_

private

Definition at line 75 of file analyticsmanager.hpp.