HistoricalScenarioGenerator Class Reference

Historical Scenario Generator. More...

#include <orea/scenario/historicalscenariogenerator.hpp>

Inheritance diagram for HistoricalScenarioGenerator:

Collaboration diagram for HistoricalScenarioGenerator:

Classes
struct	HistoricalScenarioCalculationDetails

Public Member Functions
	HistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const QuantLib::Calendar &cal, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const Size mporDays=10, const bool overlapping=true, const ReturnConfiguration &returnConfiguration=ReturnConfiguration(), const std::string &labelPrefix="")
	Default constructor. More...
	HistoricalScenarioGenerator (const boost::shared_ptr< HistoricalScenarioLoader > &historicalScenarioLoader, const boost::shared_ptr< ScenarioFactory > &scenarioFactory, const boost::shared_ptr< ore::data::AdjustmentFactors > &adjFactors=nullptr, const ReturnConfiguration &returnConfiguration=ReturnConfiguration(), const std::string &labelPrefix="")
	Constructor with no mporDays/Calendar, construct historical shift scenario between each scneario. More...
QuantLib::ext::shared_ptr< Scenario > &	baseScenario ()
	Set base scenario, this also defines the asof date. More...
const QuantLib::ext::shared_ptr< Scenario > &	baseScenario () const
	Get base scenario. More...
const QuantLib::Calendar &	cal () const
	Get calendar. More...
QuantLib::Size	mporDays () const
	Get mpor days. More...
bool	overlapping () const
	Are scenarios overlapping. More...
const ReturnConfiguration &	returnConfiguration () const
	Return configuration. More...
virtual QuantLib::Real	scaling (const RiskFactorKey &key, const QuantLib::Real &keyReturn)
	Scaling. More...
QuantLib::ext::shared_ptr< Scenario >	next (const QuantLib::Date &d) override
	Return the next scenario for the given date. More...
const std::vector< HistoricalScenarioCalculationDetails > &	lastHistoricalScenarioCalculationDetails () const
	Return the calculation details of the last generated scenario *‍/. More...
void	reset () override
	Reset the generator so calls to next() return the first scenario. More...
virtual QuantLib::Size	numScenarios () const
	Number of scenarios this generator can generate. More...
virtual void	setDates ()
	set the start and end dates, can be overwritten in derived class More...
const std::vector< QuantLib::Date > &	startDates () const
	start dates from which the scenarios were generated from More...
const std::vector< QuantLib::Date > &	endDates () const
	end dates from which the scenarios were generated from More...
const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &	scenarioLoader () const
	Get the HistoricalScenarioLoader. More...
const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory () const
	Get the ScenarioFactory. More...
const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors () const
	Get the adj factors. More...
std::vector< std::pair< QuantLib::Date, QuantLib::Date > >	filteredScenarioDates (const ore::data::TimePeriod &period) const
	Get (start, end) scenario date pairs filtered on the given period. More...
const std::string &	labelPrefix () const
	Get the scenario label prefix. More...
Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor. More...
virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date. More...
virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario. More...

Protected Member Functions
std::pair< QuantLib::ext::shared_ptr< Scenario >, QuantLib::ext::shared_ptr< Scenario > >	scenarioPair ()
	The Scenario Pairs for a given index. More...
QuantLib::Real	adjustedPrice (RiskFactorKey key, QuantLib::Date d, QuantLib::Real price)
	Returns the adjusted price. More...

Protected Attributes
Size	i_
QuantLib::ext::shared_ptr< HistoricalScenarioLoader >	historicalScenarioLoader_
std::vector< QuantLib::Date >	startDates_
std::vector< QuantLib::Date >	endDates_
QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory_
QuantLib::ext::shared_ptr< Scenario >	baseScenario_
std::vector< HistoricalScenarioCalculationDetails >	calculationDetails_
QuantLib::Calendar	cal_
QuantLib::Size	mporDays_ = 10

Private Attributes
QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors >	adjFactors_
bool	overlapping_ = true
ReturnConfiguration	returnConfiguration_
std::string	labelPrefix_

Detailed Description

Historical Scenario Generator.

A Scenario Generator that takes historical scenarios and builds new scenarios by applying historical shifts to the base scenario (which typically comes from todays market).

This generator can be used for historical VAR and backtesting calculations, unlike a PRNG based generator it is limited in the number of scenarios it can generate.

The scenarios generated are based on the scenario differences between t and t+mpor, these differences are typically a relative change and this change is then applied to the baseScenario to give a new scenario which is asof Today or Today+mpor.

Definition at line 85 of file historicalscenariogenerator.hpp.

Constructor & Destructor Documentation

HistoricalScenarioGenerator() [1/2]

HistoricalScenarioGenerator	(	const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &	historicalScenarioLoader,
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const QuantLib::Calendar &	cal,
		const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors = nullptr,
		const Size	mporDays = 10,
		const bool	overlapping = true,
		const ReturnConfiguration &	returnConfiguration = ReturnConfiguration(),
		const std::string &	labelPrefix = ""
	)

Default constructor.

Parameters

historicalScenarioLoader	Historical Scenario Loader containing all scenarios
scenarioFactory	Scenario factory to use
cal	Calendar to use
adjFactors	optional adjustment factors for stock splits etc
mporDays	Mpor days or step size
overlapping	overlapping scenarios
returnConfiguration	return configuration
labelPrefix	string prepended to label of all scenarios generated

Definition at line 166 of file historicalscenariogenerator.cpp.

    : i_(0), historicalScenarioLoader_(historicalScenarioLoader), scenarioFactory_(scenarioFactory), 
      cal_(cal), mporDays_(mporDays), adjFactors_(adjFactors), overlapping_(overlapping),
      returnConfiguration_(returnConfiguration), labelPrefix_(labelPrefix) {
 
    QL_REQUIRE(mporDays > 0, "Invalid mpor days of 0");
    QL_REQUIRE(historicalScenarioLoader_->numScenarios() > 1,
               "HistoricalScenarioGenerator: require more than 1 scenario from historicalScenarioLoader_");
 
    // check they are in order and all before the base scenario
    // we do not make any assumptions here about the length
    for (Size i = 1; i < historicalScenarioLoader_->numScenarios(); ++i) {
        QL_REQUIRE(historicalScenarioLoader_->dates()[i] > historicalScenarioLoader_->dates()[i - 1],
                   "historical scenarios are not ordered");
    }
    setDates();
}

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HistoricalScenarioGenerator() [2/2]

HistoricalScenarioGenerator	(	const boost::shared_ptr< HistoricalScenarioLoader > &	historicalScenarioLoader,
		const boost::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const boost::shared_ptr< ore::data::AdjustmentFactors > &	adjFactors = nullptr,
		const ReturnConfiguration &	returnConfiguration = ReturnConfiguration(),
		const std::string &	labelPrefix = ""
	)

Constructor with no mporDays/Calendar, construct historical shift scenario between each scneario.

Parameters

historicalScenarioLoader	Historical Scenario Loader containing all scenarios
scenarioFactory	Scenario factory to use
adjFactors	optional adjustment factors for stock splits etc
returnConfiguration	return configuration
labelPrefix	string prepended to label of all scenarios generated

Member Function Documentation

baseScenario() [1/2]

QuantLib::ext::shared_ptr< Scenario > & baseScenario

(

)

Set base scenario, this also defines the asof date.

Definition at line 136 of file historicalscenariogenerator.hpp.

{ return baseScenario_; }

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baseScenario() [2/2]

const QuantLib::ext::shared_ptr< Scenario > & baseScenario

(

)

const

Get base scenario.

Definition at line 138 of file historicalscenariogenerator.hpp.

{ return baseScenario_; }

cal()

const QuantLib::Calendar & cal

(

)

const

Get calendar.

Definition at line 141 of file historicalscenariogenerator.hpp.

{ return cal_; }

mporDays()

QuantLib::Size mporDays

(

)

const

Get mpor days.

Definition at line 143 of file historicalscenariogenerator.hpp.

{ return mporDays_; }

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overlapping()

bool overlapping

(

)

const

Are scenarios overlapping.

Definition at line 145 of file historicalscenariogenerator.hpp.

{ return overlapping_; }

returnConfiguration()

const ReturnConfiguration & returnConfiguration

(

)

const

Return configuration.

Definition at line 148 of file historicalscenariogenerator.hpp.

{ return returnConfiguration_; }

scaling()

virtual QuantLib::Real scaling ( const RiskFactorKey &  key, const QuantLib::Real &  keyReturn  )

virtual

Scaling.

Definition at line 151 of file historicalscenariogenerator.hpp.

{ return 1; };

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next()

QuantLib::ext::shared_ptr< Scenario > next ( const QuantLib::Date &  d )

override

Return the next scenario for the given date.

Date should be asof or asof+mporDays, this class only checks that date is >= the asof date. Whatever you put in here will be in the returned scenario.

Generator returns scenarios in order of shifts and throws if we have run out of historicals

If Mpor > 1 than the scenarios will overlap.

Definition at line 253 of file historicalscenariogenerator.cpp.

                                                                               {
 
    QL_REQUIRE(baseScenario_ != nullptr, "HistoricalScenarioGenerator: base scenario not set");
 
    std::pair<QuantLib::ext::shared_ptr<Scenario>, QuantLib::ext::shared_ptr<Scenario>> scens = scenarioPair();
    QuantLib::ext::shared_ptr<Scenario> s1 = scens.first;
    QuantLib::ext::shared_ptr<Scenario> s2 = scens.second;
 
    // build the scenarios
    QL_REQUIRE(d >= baseScenario_->asof(), "Cannot generate a scenario in the past");
    QuantLib::ext::shared_ptr<Scenario> scen = scenarioFactory_->buildScenario(d, true, std::string(), 1.0);
 
    // loop over all keys
    calculationDetails_.resize(baseScenario_->keys().size());
    Size calcDetailsCounter = 0;
    for (auto const& key : baseScenario_->keys()) {
        Real base = baseScenario_->get(key);
        Real v1 = 1.0, v2 = 1.0;
        if (!s1->has(key) || !s2->has(key)) {
            DLOG("Missing key in historical scenario (" << io::iso_date(s1->asof()) << "," << io::iso_date(s2->asof())
                                                        << "): " << key << " => no move in this factor");
        } else {
            v1 = adjustedPrice(key, s1->asof(), s1->get(key));
            v2 = adjustedPrice(key, s2->asof(), s2->get(key));
        }
        Real value = 0.0;
 
        // Calculate the returned value
        Real returnVal = returnConfiguration_.returnValue(key, v1, v2, s1->asof(), s2->asof());
        // Adjust return for any scaling
        Real scaling = this->scaling(key, returnVal);
        returnVal = returnVal * scaling;
        // Calculate the shifted value
        value = returnConfiguration_.applyReturn(key, base, returnVal);
        if (std::isinf(value)) {
            ALOG("Value is inf for " << key << " from date " << s1->asof() << " to " << s2->asof());
        }
        // Add it
        scen->add(key, value);
        // Populate calculation details
        calculationDetails_[calcDetailsCounter].scenarioDate1 = s1->asof();
        calculationDetails_[calcDetailsCounter].scenarioDate2 = s2->asof();
        calculationDetails_[calcDetailsCounter].key = key;
        calculationDetails_[calcDetailsCounter].baseValue = base;
        calculationDetails_[calcDetailsCounter].adjustmentFactor1 =
            adjFactors_ ? adjFactors_->getFactor(key.name, s1->asof()) : 1.0;
        calculationDetails_[calcDetailsCounter].adjustmentFactor2 =
            adjFactors_ ? adjFactors_->getFactor(key.name, s2->asof()) : 1.0;
        calculationDetails_[calcDetailsCounter].scenarioValue1 = v1;
        calculationDetails_[calcDetailsCounter].scenarioValue2 = v2;
        calculationDetails_[calcDetailsCounter].returnType = returnConfiguration_.returnTypes().at(key.keytype);
        calculationDetails_[calcDetailsCounter].scaling = scaling;
        calculationDetails_[calcDetailsCounter].returnValue = returnVal;
        calculationDetails_[calcDetailsCounter].scenarioValue = value;
        ++calcDetailsCounter;
    }
 
    // Label the scenario
    string label = labelPrefix_ + ore::data::to_string(io::iso_date(s1->asof())) + "_" +
        ore::data::to_string(io::iso_date(s2->asof()));
    scen->label(label);
 
    // return it.
    ++i_;
    return scen;
}

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lastHistoricalScenarioCalculationDetails()

const std::vector< HistoricalScenarioGenerator::HistoricalScenarioCalculationDetails > & lastHistoricalScenarioCalculationDetails

(

)

const

Return the calculation details of the last generated scenario *‍/.

Definition at line 321 of file historicalscenariogenerator.cpp.

                                                                            {
    return calculationDetails_;
}

reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.

Reimplemented in HistoricalScenarioGeneratorRandom, and HistoricalScenarioGeneratorWithFilteredDates.

Definition at line 168 of file historicalscenariogenerator.hpp.

{ i_ = 0; }

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numScenarios()

Size numScenarios ( ) const

virtual

Number of scenarios this generator can generate.

Definition at line 325 of file historicalscenariogenerator.cpp.

                                                     {
    // We have a start date for each valid scenario
    return startDates_.size();
}

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setDates()

void setDates ( )

virtual

set the start and end dates, can be overwritten in derived class

Definition at line 189 of file historicalscenariogenerator.cpp.

                                           {
    // construct the vectors of start and end dates
    for (Size i = 0; i < historicalScenarioLoader_->numScenarios();) {
        Date sDate = historicalScenarioLoader_->dates()[i];
        Date eDate = cal_.advance(sDate, mporDays_ * Days);
        auto it =
            std::find(historicalScenarioLoader_->dates().begin(), historicalScenarioLoader_->dates().end(), eDate);
        if (it != historicalScenarioLoader_->dates().end()) {
            startDates_.push_back(sDate);
            endDates_.push_back(eDate);
        }
        if (overlapping_) {
            ++i;
        } else {
            if (it != historicalScenarioLoader_->dates().end()) {
                i = std::distance(historicalScenarioLoader_->dates().begin(), it);
            } else {
                i = std::distance(historicalScenarioLoader_->dates().begin(),
                                  std::upper_bound(historicalScenarioLoader_->dates().begin(),
                                                   historicalScenarioLoader_->dates().end(), eDate));
            }
        }
    }
}

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startDates()

const std::vector< QuantLib::Date > & startDates

(

)

const

start dates from which the scenarios were generated from

Definition at line 177 of file historicalscenariogenerator.hpp.

{ return startDates_; }

endDates()

const std::vector< QuantLib::Date > & endDates

(

)

const

end dates from which the scenarios were generated from

Definition at line 179 of file historicalscenariogenerator.hpp.

{ return endDates_; }

scenarioLoader()

const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > & scenarioLoader

(

)

const

Get the HistoricalScenarioLoader.

Definition at line 182 of file historicalscenariogenerator.hpp.

{ return historicalScenarioLoader_; }

scenarioFactory()

const QuantLib::ext::shared_ptr< ScenarioFactory > & scenarioFactory

(

)

const

Get the ScenarioFactory.

Definition at line 185 of file historicalscenariogenerator.hpp.

{ return scenarioFactory_; }

adjFactors()

const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > & adjFactors

(

)

const

Get the adj factors.

Definition at line 188 of file historicalscenariogenerator.hpp.

{ return adjFactors_; }

filteredScenarioDates()

std::vector< std::pair< Date, Date > > filteredScenarioDates

(

const ore::data::TimePeriod &

period

)

const

Get (start, end) scenario date pairs filtered on the given period.

Definition at line 330 of file historicalscenariogenerator.cpp.

                                                                                                                {
    std::vector<std::pair<Date, Date>> result;
    for (Size s = 0; s < startDates_.size(); ++s) {
        if (period.contains(startDates_[s]) && period.contains(endDates_[s])) {
            result.push_back(std::make_pair(startDates_[s], endDates_[s]));
        }
    }
    return result;
}

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labelPrefix()

const std::string & labelPrefix

(

)

const

Get the scenario label prefix.

Definition at line 194 of file historicalscenariogenerator.hpp.

{ return labelPrefix_; }

scenarioPair()

std::pair< QuantLib::ext::shared_ptr< Scenario >, QuantLib::ext::shared_ptr< Scenario > > scenarioPair ( )

protected

The Scenario Pairs for a given index.

Definition at line 234 of file historicalscenariogenerator.cpp.

                                                                                                                    {
    // Get the two historicals we are using
    QL_REQUIRE(i_ < numScenarios(),
               "Cannot generate any more scenarios (i=" << i_ << " numScenarios=" << numScenarios() << ")");
    QuantLib::ext::shared_ptr<Scenario> s1 = historicalScenarioLoader_->getHistoricalScenario(startDates_[i_]);
    QuantLib::ext::shared_ptr<Scenario> s2 = historicalScenarioLoader_->getHistoricalScenario(endDates_[i_]);
    return std::pair<QuantLib::ext::shared_ptr<Scenario>, QuantLib::ext::shared_ptr<Scenario>>(s1, s2);
}

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adjustedPrice()

Real adjustedPrice ( RiskFactorKey  key, QuantLib::Date  d, QuantLib::Real  price  )

protected

Returns the adjusted price.

Scenarios may contian unadjusted market prices e.g equity spot prices, apply adjustment factors to ensure no jumps between 2 scenarios Only handles equity spot adjustments at the moment

Definition at line 243 of file historicalscenariogenerator.cpp.

                                                                                     {
    if (adjFactors_) {
        if (key.keytype == RiskFactorKey::KeyType::EquitySpot) {
            // uses the ORE Fixing name convention
            return price * adjFactors_->getFactor(key.name, d);
        }
    }
    return price;
}

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Member Data Documentation

i_

Size i_

protected

Definition at line 198 of file historicalscenariogenerator.hpp.

historicalScenarioLoader_

QuantLib::ext::shared_ptr<HistoricalScenarioLoader> historicalScenarioLoader_

protected

Definition at line 200 of file historicalscenariogenerator.hpp.

startDates_

std::vector<QuantLib::Date> startDates_

protected

Definition at line 201 of file historicalscenariogenerator.hpp.

endDates_

std::vector<QuantLib::Date> endDates_

protected

Definition at line 201 of file historicalscenariogenerator.hpp.

scenarioFactory_

QuantLib::ext::shared_ptr<ScenarioFactory> scenarioFactory_

protected

Definition at line 203 of file historicalscenariogenerator.hpp.

baseScenario_

QuantLib::ext::shared_ptr<Scenario> baseScenario_

protected

Definition at line 204 of file historicalscenariogenerator.hpp.

calculationDetails_

std::vector<HistoricalScenarioCalculationDetails> calculationDetails_

protected

Definition at line 216 of file historicalscenariogenerator.hpp.

cal_

QuantLib::Calendar cal_

protected

Definition at line 219 of file historicalscenariogenerator.hpp.

mporDays_

QuantLib::Size mporDays_ = 10

protected

Definition at line 220 of file historicalscenariogenerator.hpp.

adjFactors_

QuantLib::ext::shared_ptr<ore::data::AdjustmentFactors> adjFactors_

private

Definition at line 223 of file historicalscenariogenerator.hpp.

overlapping_

bool overlapping_ = true

private

Definition at line 224 of file historicalscenariogenerator.hpp.

returnConfiguration_

ReturnConfiguration returnConfiguration_

private

Definition at line 225 of file historicalscenariogenerator.hpp.

labelPrefix_

std::string labelPrefix_

private

Definition at line 226 of file historicalscenariogenerator.hpp.