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

Inheritance diagram for IMScheduleAnalyticImpl:

Collaboration diagram for IMScheduleAnalyticImpl:

Public Member Functions
	IMScheduleAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)

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

void	setUpConfigurations () override

Public Member Functions inherited from Analytic::Impl
	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

Static Public Attributes
static constexpr const char *	LABEL = "IM_SCHEDULE"

Additional Inherited Members
Protected Attributes inherited from Analytic::Impl
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_

Detailed Description

Definition at line 31 of file imscheduleanalytic.hpp.

Constructor & Destructor Documentation

◆ IMScheduleAnalyticImpl()

IMScheduleAnalyticImpl ( const QuantLib::ext::shared_ptr< InputParameters > & inputs )

Definition at line 35 of file imscheduleanalytic.hpp.

                                                                                 : Analytic::Impl(inputs) {
        setLabel(LABEL);
    }

Here is the call graph for this function:

Member Function Documentation

◆ runAnalytic()

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

overridevirtual

Implements Analytic::Impl.

Definition at line 65 of file imscheduleanalytic.cpp.

                                                                            {
 
    if (!analytic()->match(runTypes))
        return;
 
    LOG("IMScheduleAnalytic::runAnalytic called");
 
    analytic()->buildMarket(loader, false);
 
    auto imAnalytic = static_cast<IMScheduleAnalytic*>(analytic());
    QL_REQUIRE(imAnalytic, "Analytic must be of type IMScheduleAnalytic");
 
    
    imAnalytic->loadCrifRecords(loader);
 
    // Calculate IMSchedule
    LOG("Calculating Schedule IM")
    auto imSchedule = QuantLib::ext::make_shared<IMScheduleCalculator>(
        imAnalytic->crif(), inputs_->simmResultCurrency(), analytic()->market(),
        true, inputs_->enforceIMRegulations(), false, imAnalytic->hasSEC(),
        imAnalytic->hasCFTC());
    imAnalytic->setImSchedule(imSchedule);
 
    Real fxSpotReport = 1.0;
    if (!inputs_->simmReportingCurrency().empty()) {
        fxSpotReport = analytic()
                ->market()
                ->fxRate(inputs_->simmResultCurrency() + inputs_->simmReportingCurrency())
                ->value();
        DLOG("SIMM reporting currency is " << inputs_->simmReportingCurrency() << " with fxSpot "
                                            << fxSpotReport);
    }
 
    QuantLib::ext::shared_ptr<InMemoryReport> imScheduleSummaryReport = QuantLib::ext::make_shared<InMemoryReport>();
    QuantLib::ext::shared_ptr<InMemoryReport> imScheduleTradeReport = QuantLib::ext::make_shared<InMemoryReport>();
 
    // Populate the trade-level IM Schedule report
    LOG("Generating Schedule IM reports")
    ore::analytics::ReportWriter(inputs_->reportNaString())
            .writeIMScheduleTradeReport(imSchedule->imScheduleTradeResults(), imScheduleTradeReport,
                                        imAnalytic->hasNettingSetDetails());
 
    // Populate the netting set level IM Schedule report
    ore::analytics::ReportWriter(inputs_->reportNaString())
            .writeIMScheduleSummaryReport(imSchedule->finalImScheduleSummaryResults(), imScheduleSummaryReport,
                                          imAnalytic->hasNettingSetDetails(), inputs_->simmResultCurrency(),
                                          inputs_->simmReportingCurrency(), fxSpotReport);
 
    LOG("Schedule IM reports generated");
    MEM_LOG;
 
    analytic()->reports()["IM_SCHEDULE"]["im_schedule"] = imScheduleSummaryReport;
    analytic()->reports()["IM_SCHEDULE"]["im_schedule_trade"] = imScheduleTradeReport;
}

Here is the call graph for this function:

◆ setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

Definition at line 40 of file imscheduleanalytic.hpp.

40{}

Member Data Documentation

◆ LABEL

constexpr const char* LABEL = "IM_SCHEDULE"

staticconstexpr

Definition at line 33 of file imscheduleanalytic.hpp.

Public Member Functions

Static Public Attributes

Additional Inherited Members