CovarianceCalculator Class Reference

#include <orea/engine/historicalsensipnlcalculator.hpp>

Collaboration diagram for CovarianceCalculator:

Public Member Functions
	CovarianceCalculator (ore::data::TimePeriod covariancePeriod)
void	initialise (const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &keys)
void	updateAccumulators (const QuantLib::ext::shared_ptr< NPVCube > &shiftCube, QuantLib::Date startDate, QuantLib::Date endDate, QuantLib::Size index)
void	populateCovariance (const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &keys)
const Matrix &	covariance () const

Private Types
typedef boost::accumulators::accumulator_set< QuantLib::Real, boost::accumulators::stats< boost::accumulators::tag::covariance< QuantLib::Real, boost::accumulators::tag::covariate1 > > >	accumulator

Private Attributes
std::map< std::pair< QuantLib::Size, QuantLib::Size >, accumulator >	accCov_
ore::data::TimePeriod	covariancePeriod_
QuantLib::Matrix	covariance_

Detailed Description

Definition at line 86 of file historicalsensipnlcalculator.hpp.

Member Typedef Documentation

accumulator

typedef boost::accumulators::accumulator_set< QuantLib::Real, boost::accumulators::stats<boost::accumulators::tag::covariance<QuantLib::Real, boost::accumulators::tag::covariate1> > > accumulator

private

Definition at line 98 of file historicalsensipnlcalculator.hpp.

Constructor & Destructor Documentation

CovarianceCalculator()

CovarianceCalculator

(

ore::data::TimePeriod

covariancePeriod

)

Definition at line 88 of file historicalsensipnlcalculator.hpp.

: covariancePeriod_(covariancePeriod) {}

Member Function Documentation

initialise()

void initialise

(

const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &

keys

)

Definition at line 85 of file historicalsensipnlcalculator.cpp.

                                                                                {
    // Set up the boost accumulators that will calculate the covariance between the time series of historical shifts for
    // each relevant risk factor key i.e. the risk factor keys in the set keys over the benchmark period
    
    for (auto ito = keys.begin(); ito != keys.end(); ito++) {
        accCov_[make_pair(ito->second, ito->second)] = accumulator();
        for (auto iti = keys.begin(); iti != ito; iti++) {
            accCov_[make_pair(iti->second, ito->second)] = accumulator();
        }
    }
}

updateAccumulators()

void updateAccumulators	(	const QuantLib::ext::shared_ptr< NPVCube > &	shiftCube,
		QuantLib::Date	startDate,
		QuantLib::Date	endDate,
		QuantLib::Size	index
	)

Definition at line 97 of file historicalsensipnlcalculator.cpp.

                                                                                                                               {
    TLOG("Updating Covariance accumlators for sensitivity record " << index);
    if (covariancePeriod_.contains(startDate) &&
        covariancePeriod_.contains(endDate)) {
        // Update the covariance accumulators if in benchmark period
        for (auto it = accCov_.begin(); it != accCov_.end(); it++) {
            Real oShift = shiftCube->get(it->first.first, 0, index);
            if (it->first.first == it->first.second) {
                it->second(oShift, covariate1 = oShift);
            } else {
                Real iShift = shiftCube->get(it->first.second, 0, index);
                it->second(oShift, covariate1 = iShift);
            }
        }
    }
}

Here is the call graph for this function:

populateCovariance()

void populateCovariance

(

const std::set< std::pair< RiskFactorKey, QuantLib::Size > > &

keys

)

Definition at line 114 of file historicalsensipnlcalculator.cpp.

                                                                                                      {
    LOG("Populate the covariance matrix with the calculated covariances");
    covariance_ = Matrix(keys.size(), keys.size());
    Size i = 0;
    for (auto ito = keys.begin(); ito != keys.end(); ito++) {
        covariance_[i][i] = boost::accumulators::covariance(accCov_.at(make_pair(ito->second, ito->second)));
        Size j = 0;
        for (auto iti = keys.begin(); iti != ito; iti++) {
            covariance_[i][j] = covariance_[j][i] =
                boost::accumulators::covariance(accCov_.at(make_pair(iti->second, ito->second)));
            j++;
        }
        i++;
    }
}

covariance()

const Matrix & covariance

(

)

const

Definition at line 92 of file historicalsensipnlcalculator.hpp.

{ return covariance_; }

Member Data Documentation

accCov_

std::map<std::pair<QuantLib::Size, QuantLib::Size>, accumulator> accCov_

private

Definition at line 99 of file historicalsensipnlcalculator.hpp.

covariancePeriod_

ore::data::TimePeriod covariancePeriod_

private

Definition at line 100 of file historicalsensipnlcalculator.hpp.

covariance_

QuantLib::Matrix covariance_

private

Definition at line 101 of file historicalsensipnlcalculator.hpp.