#include <orea/app/analytics/imscheduleanalytic.hpp>

Inheritance diagram for IMScheduleAnalytic:

Collaboration diagram for IMScheduleAnalytic:

Public Member Functions
	IMScheduleAnalytic (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const Crif &crif=Crif(), const bool hasNettingSetDetails=false)

const QuantLib::ext::shared_ptr< IMScheduleCalculator > &	imSchedule () const

void	setImSchedule (const QuantLib::ext::shared_ptr< IMScheduleCalculator > &imSchedule)

virtual void	loadCrifRecords (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader)
	Load CRIF from external source, override to generate CRIF from the input portfolio. More...

const Crif &	crif () const

bool	hasNettingSetDetails () const

const std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > > &	hasSEC () const

const std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > > &	hasCFTC () const

Public Member Functions inherited from Analytic
	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

Private Attributes
Crif	crif_

bool	hasNettingSetDetails_ = false

std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > >	hasSEC_

std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > >	hasCFTC_

QuantLib::ext::shared_ptr< IMScheduleCalculator >	imSchedule_

Additional Inherited Members
Public Types inherited from Analytic
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

Protected Attributes inherited from Analytic
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 43 of file imscheduleanalytic.hpp.

Constructor & Destructor Documentation

◆ IMScheduleAnalytic()

IMScheduleAnalytic	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const Crif &	crif = `Crif()`,
		const bool	hasNettingSetDetails = `false`
	)

Definition at line 45 of file imscheduleanalytic.hpp.

        : Analytic(std::make_unique<IMScheduleAnalyticImpl>(inputs), {"IM_SCHEDULE"}, inputs,
                   false, false, false, false),
          crif_(crif), hasNettingSetDetails_(hasNettingSetDetails) {}

Member Function Documentation

◆ imSchedule()

const QuantLib::ext::shared_ptr< IMScheduleCalculator > & imSchedule ( ) const

Definition at line 52 of file imscheduleanalytic.hpp.

52{ return imSchedule_; }

ore::analytics::IMScheduleAnalytic::imSchedule_

QuantLib::ext::shared_ptr< IMScheduleCalculator > imSchedule_

Definition: imscheduleanalytic.hpp:71

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◆ setImSchedule()

void setImSchedule ( const QuantLib::ext::shared_ptr< IMScheduleCalculator > & imSchedule )

Definition at line 53 of file imscheduleanalytic.hpp.

53{ imSchedule_ = imSchedule; }

ore::analytics::IMScheduleAnalytic::imSchedule

const QuantLib::ext::shared_ptr< IMScheduleCalculator > & imSchedule() const

Definition: imscheduleanalytic.hpp:52

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◆ loadCrifRecords()

void loadCrifRecords ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > & loader )

virtual

Load CRIF from external source, override to generate CRIF from the input portfolio.

Definition at line 29 of file imscheduleanalytic.cpp.

                                                                                                   {
    QL_REQUIRE(inputs_, "Inputs not set");
    QL_REQUIRE(!inputs_->crif().empty(), "CRIF loader does not contain any records");
        
    crif_ = inputs_->crif();
    crif_.fillAmountUsd(market());
    hasNettingSetDetails_ = crif_.hasNettingSetDetails();
 
    // Keep record of which netting sets have SEC and CFTC
    map<string, bool> hasSECCache, hasCFTCCache;
    for (const CrifRecord& cr : crif_) {
        const NettingSetDetails& nsd = cr.nettingSetDetails;
 
        for (const SimmConfiguration::SimmSide& side : {SimmConfiguration::SimmSide::Call, SimmConfiguration::SimmSide::Post}) {
            const string& crifRegs = side == SimmConfiguration::SimmSide::Call ? cr.collectRegulations : cr.postRegulations;
            for (const string& reg : {"SEC", "CFTC"}) {
                map<string, bool>& regCache = reg == "SEC" ? hasSECCache : hasCFTCCache;
                auto& hasRegMap = reg == "SEC" ? hasSEC_ : hasCFTC_;
 
                if (hasRegMap[side].find(nsd) == hasRegMap[side].end()) {
                    bool hasReg = false;
                    if (regCache.find(crifRegs) != regCache.end()) {
                        hasReg = regCache.at(crifRegs);
                    } else {
                        set<string> regs = parseRegulationString(crifRegs);
                        hasReg = regs.find(reg) != regs.end();
                        regCache[crifRegs] = hasReg;
                    }
                    if (hasReg)
                        hasRegMap[side].insert(nsd);
                }
            }
        }
    }
}

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◆ crif()

const Crif & crif ( ) const

Definition at line 58 of file imscheduleanalytic.hpp.

58{ return crif_; }

◆ hasNettingSetDetails()

bool hasNettingSetDetails ( ) const

Definition at line 59 of file imscheduleanalytic.hpp.

59{ return hasNettingSetDetails_; }

◆ hasSEC()

const std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > > & hasSEC ( ) const

Definition at line 60 of file imscheduleanalytic.hpp.

                                                                                              {
        return hasSEC_;
    }

◆ hasCFTC()

const std::map< SimmConfiguration::SimmSide, std::set< ore::data::NettingSetDetails > > & hasCFTC ( ) const

Definition at line 63 of file imscheduleanalytic.hpp.

                                                                                               {
        return hasCFTC_;
    }

Member Data Documentation

◆ crif_

Crif crif_

private

Definition at line 67 of file imscheduleanalytic.hpp.

◆ hasNettingSetDetails_

bool hasNettingSetDetails_ = false

private

Definition at line 68 of file imscheduleanalytic.hpp.

◆ hasSEC_

std::map<SimmConfiguration::SimmSide, std::set<ore::data::NettingSetDetails> > hasSEC_

private

Definition at line 69 of file imscheduleanalytic.hpp.

◆ hasCFTC_

std::map<SimmConfiguration::SimmSide, std::set<ore::data::NettingSetDetails> > hasCFTC_

private

Definition at line 70 of file imscheduleanalytic.hpp.

◆ imSchedule_

QuantLib::ext::shared_ptr<IMScheduleCalculator> imSchedule_

private

Definition at line 71 of file imscheduleanalytic.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ IMScheduleAnalytic()

Member Function Documentation

◆ imSchedule()

◆ setImSchedule()

◆ loadCrifRecords()

◆ crif()

◆ hasNettingSetDetails()

◆ hasSEC()

◆ hasCFTC()

Member Data Documentation

◆ crif_

◆ hasNettingSetDetails_

◆ hasSEC_

◆ hasCFTC_

◆ imSchedule_