OutputParameters Class Reference

Traditional ORE input via ore.xml and various files, output into files. More...

#include <orea/app/inputparameters.hpp>

Collaboration diagram for OutputParameters:

Public Member Functions
	OutputParameters (const QuantLib::ext::shared_ptr< Parameters > &params)
const std::map< std::string, std::string > &	fileNameMap ()
	map internal report name to the configured external file name More...
std::string	outputFileName (const std::string &internalName, const std::string &suffix)

Private Attributes
std::map< std::string, std::string >	fileNameMap_
std::string	npvOutputFileName_
std::string	cashflowOutputFileName_
std::string	curvesOutputFileName_
std::string	scenarioDumpFileName_
std::string	scenarioOutputName_
std::string	cubeFileName_
std::string	mktCubeFileName_
std::string	rawCubeFileName_
std::string	netCubeFileName_
std::string	dimEvolutionFileName_
std::vector< std::string >	dimRegressionFileNames_
std::string	sensitivityFileName_
std::string	sensitivityScenarioFileName_
std::string	parSensitivityFileName_
std::string	jacobiFileName_
std::string	jacobiInverseFileName_
std::string	stressTestFileName_
std::string	xvaStressTestFileName_
std::string	stressZeroScenarioDataFileName_
std::string	varFileName_
std::string	parConversionOutputFileName_
std::string	parConversionJacobiFileName_
std::string	parConversionJacobiInverseFileName_
std::string	pnlOutputFileName_
std::string	parStressTestConversionFile_
std::string	pnlExplainOutputFileName_
std::string	zeroToParShiftFile_

Detailed Description

Traditional ORE input via ore.xml and various files, output into files.

Definition at line 1072 of file inputparameters.hpp.

Constructor & Destructor Documentation

OutputParameters()

OutputParameters

(

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

params

)

Definition at line 591 of file inputparameters.cpp.

                                                                                  {
    LOG("OutputFileNameMap called");
    npvOutputFileName_ = params->get("npv", "outputFileName", false);
    cashflowOutputFileName_ = params->get("cashflow", "outputFileName", false);
    curvesOutputFileName_ = params->get("curves", "outputFileName", false);
    scenarioDumpFileName_ = params->get("simulation", "scenariodump", false);
    scenarioOutputName_ = params->get("scenario", "scenarioOutputFile", false);
    cubeFileName_ = params->get("simulation", "cubeFile", false);
    mktCubeFileName_ = params->get("simulation", "aggregationScenarioDataFileName", false);
    rawCubeFileName_ = params->get("xva", "rawCubeOutputFile", false);
    netCubeFileName_ = params->get("xva", "netCubeOutputFile", false);
    dimEvolutionFileName_ = params->get("xva", "dimEvolutionFile", false);    
    std::string tmp = params->get("xva", "dimRegressionFiles", false);
    if (tmp != "")
        dimRegressionFileNames_ = parseListOfValues(tmp);
    sensitivityFileName_ = params->get("sensitivity", "sensitivityOutputFile", false);    
    parSensitivityFileName_ = params->get("sensitivity", "parSensitivityOutputFile", false);    
    jacobiFileName_ = params->get("sensitivity", "jacobiOutputFile", false);    
    jacobiInverseFileName_ = params->get("sensitivity", "jacobiInverseOutputFile", false);    
    sensitivityScenarioFileName_ = params->get("sensitivity", "scenarioOutputFile", false);    
    stressTestFileName_ = params->get("stress", "scenarioOutputFile", false);
    stressZeroScenarioDataFileName_ = params->get("stress", "stressZeroScenarioDataFile", false);
    xvaStressTestFileName_ = params->get("xvaStress", "scenarioOutputFile", false);
    varFileName_ = params->get("parametricVar", "outputFile", false);
    if (varFileName_.empty())
        varFileName_ = params->get("historicalSimulationVar", "outputFile", false);
    parConversionOutputFileName_ = params->get("zeroToParSensiConversion", "outputFile", false);
    parConversionJacobiFileName_ = params->get("zeroToParSensiConversion", "jacobiOutputFile", false);
    parConversionJacobiInverseFileName_ = params->get("zeroToParSensiConversion", "jacobiInverseOutputFile", false);
    pnlOutputFileName_ = params->get("pnl", "outputFileName", false);
    parStressTestConversionFile_ = params->get("parStressConversion", "stressZeroScenarioDataFile", false);
    pnlExplainOutputFileName_ = params->get("pnlExplain", "outputFileName", false);
 
    zeroToParShiftFile_ = params->get("zeroToParShift", "parShiftsFile", false);
    // map internal report name to output file name
    fileNameMap_["npv"] = npvOutputFileName_;
    fileNameMap_["cashflow"] = cashflowOutputFileName_;
    fileNameMap_["curves"] = curvesOutputFileName_;
    fileNameMap_["cube"] = cubeFileName_;
    fileNameMap_["scenariodata"] = mktCubeFileName_;
    fileNameMap_["scenario"] = !scenarioOutputName_.empty() ? scenarioOutputName_ : scenarioDumpFileName_;
    fileNameMap_["rawcube"] = rawCubeFileName_;
    fileNameMap_["netcube"] = netCubeFileName_;
    fileNameMap_["dim_evolution"] = dimEvolutionFileName_;
    fileNameMap_["sensitivity"] = sensitivityFileName_;
    fileNameMap_["sensitivity_scenario"] = sensitivityScenarioFileName_;
    fileNameMap_["par_sensitivity"] = parSensitivityFileName_;
    fileNameMap_["jacobi"] = jacobiFileName_;
    fileNameMap_["jacobi_inverse"] = jacobiInverseFileName_;
    fileNameMap_["stress"] = stressTestFileName_;
    fileNameMap_["stress_ZeroStressData"] = stressZeroScenarioDataFileName_;
    fileNameMap_["xva_stress"] = xvaStressTestFileName_;
    fileNameMap_["var"] = varFileName_;
    fileNameMap_["parConversionSensitivity"] = parConversionOutputFileName_;
    fileNameMap_["parConversionJacobi"] = parConversionJacobiFileName_;
    fileNameMap_["parConversionJacobi_inverse"] = parConversionJacobiInverseFileName_;
    fileNameMap_["pnl"] = pnlOutputFileName_;
    fileNameMap_["parStress_ZeroStressData"] = parStressTestConversionFile_;
    fileNameMap_["pnl_explain"] = pnlExplainOutputFileName_;
    
    fileNameMap_["parshifts"] = zeroToParShiftFile_;
    vector<Size> dimOutputGridPoints;
    tmp = params->get("xva", "dimOutputGridPoints", false);
    if (tmp != "")
        dimOutputGridPoints = parseListOfValues<Size>(tmp, parseInteger);
    QL_REQUIRE(dimOutputGridPoints.size() == dimRegressionFileNames_.size(),
               "dim regression output grid points size (" << dimOutputGridPoints.size() << ") "
               << "and file names size (" << dimRegressionFileNames_.size() << ") do not match");
    for (Size i = 0; i < dimRegressionFileNames_.size(); ++i)
        fileNameMap_["dim_regression_" + std::to_string(i)] = dimRegressionFileNames_[i];
 
    tmp = params->get("xva", "creditMigrationTimeSteps", false);
    if (tmp != "") {
        auto ts = parseListOfValues<Size>(tmp, &parseInteger);
        for (auto const& t : ts) {
            fileNameMap_["credit_migration_" + std::to_string(t)] =
                params->get("xva", "creditMigrationOutputFiles") + "_" + std::to_string(t);
        }
    }
 
    LOG("OutputFileNameMap complete");
}

Here is the call graph for this function:

Member Function Documentation

fileNameMap()

const std::map< std::string, std::string > & fileNameMap

(

)

map internal report name to the configured external file name

Definition at line 1076 of file inputparameters.hpp.

{ return fileNameMap_; }

outputFileName()

std::string outputFileName	(	const std::string &	internalName,
		const std::string &	suffix
	)

Definition at line 674 of file inputparameters.cpp.

                                                                                                 {
    auto it = fileNameMap_.find(internalName);
    if (it == fileNameMap_.end() || it->second == "")
        return internalName + "." + suffix;
    else        
        return it->second; // contains suffix
}

Member Data Documentation

fileNameMap_

std::map<std::string, std::string> fileNameMap_

private

Definition at line 1080 of file inputparameters.hpp.

npvOutputFileName_

std::string npvOutputFileName_

private

Definition at line 1081 of file inputparameters.hpp.

cashflowOutputFileName_

std::string cashflowOutputFileName_

private

Definition at line 1082 of file inputparameters.hpp.

curvesOutputFileName_

std::string curvesOutputFileName_

private

Definition at line 1083 of file inputparameters.hpp.

scenarioDumpFileName_

std::string scenarioDumpFileName_

private

Definition at line 1084 of file inputparameters.hpp.

scenarioOutputName_

std::string scenarioOutputName_

private

Definition at line 1085 of file inputparameters.hpp.

cubeFileName_

std::string cubeFileName_

private

Definition at line 1086 of file inputparameters.hpp.

mktCubeFileName_

std::string mktCubeFileName_

private

Definition at line 1087 of file inputparameters.hpp.

rawCubeFileName_

std::string rawCubeFileName_

private

Definition at line 1088 of file inputparameters.hpp.

netCubeFileName_

std::string netCubeFileName_

private

Definition at line 1089 of file inputparameters.hpp.

dimEvolutionFileName_

std::string dimEvolutionFileName_

private

Definition at line 1090 of file inputparameters.hpp.

dimRegressionFileNames_

std::vector<std::string> dimRegressionFileNames_

private

Definition at line 1091 of file inputparameters.hpp.

sensitivityFileName_

std::string sensitivityFileName_

private

Definition at line 1092 of file inputparameters.hpp.

sensitivityScenarioFileName_

std::string sensitivityScenarioFileName_

private

Definition at line 1093 of file inputparameters.hpp.

parSensitivityFileName_

std::string parSensitivityFileName_

private

Definition at line 1094 of file inputparameters.hpp.

jacobiFileName_

std::string jacobiFileName_

private

Definition at line 1095 of file inputparameters.hpp.

jacobiInverseFileName_

std::string jacobiInverseFileName_

private

Definition at line 1096 of file inputparameters.hpp.

stressTestFileName_

std::string stressTestFileName_

private

Definition at line 1097 of file inputparameters.hpp.

xvaStressTestFileName_

std::string xvaStressTestFileName_

private

Definition at line 1098 of file inputparameters.hpp.

stressZeroScenarioDataFileName_

std::string stressZeroScenarioDataFileName_

private

Definition at line 1099 of file inputparameters.hpp.

varFileName_

std::string varFileName_

private

Definition at line 1100 of file inputparameters.hpp.

parConversionOutputFileName_

std::string parConversionOutputFileName_

private

Definition at line 1101 of file inputparameters.hpp.

parConversionJacobiFileName_

std::string parConversionJacobiFileName_

private

Definition at line 1102 of file inputparameters.hpp.

parConversionJacobiInverseFileName_

std::string parConversionJacobiInverseFileName_

private

Definition at line 1103 of file inputparameters.hpp.

pnlOutputFileName_

std::string pnlOutputFileName_

private

Definition at line 1104 of file inputparameters.hpp.

parStressTestConversionFile_

std::string parStressTestConversionFile_

private

Definition at line 1105 of file inputparameters.hpp.

pnlExplainOutputFileName_

std::string pnlExplainOutputFileName_

private

Definition at line 1106 of file inputparameters.hpp.

zeroToParShiftFile_

std::string zeroToParShiftFile_

private

Definition at line 1107 of file inputparameters.hpp.