PNLCalculator Class Reference

#include <orea/engine/historicalsensipnlcalculator.hpp>

Inheritance diagram for PNLCalculator:

Collaboration diagram for PNLCalculator:

Public Types
using	TradePnLStore = std::vector< std::vector< QuantLib::Real > >

Public Member Functions
	PNLCalculator (ore::data::TimePeriod pnlPeriod)
virtual	~PNLCalculator ()
virtual void	writePNL (QuantLib::Size scenarioIdx, bool isCall, const RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, Real gammaPnl, const RiskFactorKey &key_2=RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="")
const bool	isInTimePeriod (QuantLib::Date startDate, QuantLib::Date endDate)
void	populatePNLs (const std::vector< QuantLib::Real > &allPnls, const std::vector< QuantLib::Real > &foPnls, const std::vector< QuantLib::Date > &startDates, const std::vector< QuantLib::Date > &endDates)
void	populateTradePNLs (const TradePnLStore &allPnls, const TradePnLStore &foPnls)
const std::vector< QuantLib::Real > &	pnls ()
const std::vector< QuantLib::Real > &	foPnls ()
const TradePnLStore &	tradePnls ()
const TradePnLStore &	foTradePnls ()
void	clear ()

Protected Attributes
std::vector< QuantLib::Real >	pnls_
std::vector< QuantLib::Real >	foPnls_
ore::data::TimePeriod	pnlPeriod_
TradePnLStore	tradePnls_
TradePnLStore	foTradePnls_

Detailed Description

Definition at line 49 of file historicalsensipnlcalculator.hpp.

Member Typedef Documentation

TradePnLStore

using TradePnLStore = std::vector<std::vector<QuantLib::Real> >

Definition at line 63 of file historicalsensipnlcalculator.hpp.

Constructor & Destructor Documentation

PNLCalculator()

PNLCalculator

(

ore::data::TimePeriod

pnlPeriod

)

Definition at line 51 of file historicalsensipnlcalculator.hpp.

: pnlPeriod_(pnlPeriod) {}

~PNLCalculator()

virtual ~PNLCalculator ( )

virtual

Definition at line 52 of file historicalsensipnlcalculator.hpp.

{}

Member Function Documentation

writePNL()

virtual void writePNL ( QuantLib::Size  scenarioIdx, bool  isCall, const RiskFactorKey &  key_1, QuantLib::Real  shift_1, QuantLib::Real  delta, QuantLib::Real  gamma, QuantLib::Real  deltaPnl, Real  gammaPnl, const RiskFactorKey &  key_2 = RiskFactorKey(), QuantLib::Real  shift_2 = 0.0, const std::string &  tradeId = ""  )

virtual

Definition at line 53 of file historicalsensipnlcalculator.hpp.

                                                                                     {}

isInTimePeriod()

const bool isInTimePeriod	(	QuantLib::Date	startDate,
		QuantLib::Date	endDate
	)

Definition at line 155 of file historicalsensipnlcalculator.cpp.

                                                                      {
    return pnlPeriod_.contains(startDate) && pnlPeriod_.contains(endDate);
}

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populatePNLs()

void populatePNLs	(	const std::vector< QuantLib::Real > &	allPnls,
		const std::vector< QuantLib::Real > &	foPnls,
		const std::vector< QuantLib::Date > &	startDates,
		const std::vector< QuantLib::Date > &	endDates
	)

Definition at line 130 of file historicalsensipnlcalculator.cpp.

                                                                  {
    QL_REQUIRE(allPnls.size() == allFoPnls.size(), "PNLs and first order PNLs must be the same size");
 
    pnls_.reserve(allPnls.size());
    foPnls_.reserve(allPnls.size());
 
    for (Size i = 0; i < allPnls.size(); i++) {
        // Backtesting P&L vectors
        if (pnlPeriod_.contains(startDates[i]) && pnlPeriod_.contains(endDates[i])) {
            pnls_.push_back(allPnls[i]);
            foPnls_.push_back(allFoPnls[i]);
        }
    }
    pnls_.shrink_to_fit();
    foPnls_.shrink_to_fit();
}

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populateTradePNLs()

void populateTradePNLs	(	const TradePnLStore &	allPnls,
		const TradePnLStore &	foPnls
	)

Definition at line 150 of file historicalsensipnlcalculator.cpp.

                                                                                               {
    tradePnls_ = allPnls;
    foTradePnls_ = foPnls;
}

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pnls()

const std::vector< QuantLib::Real > & pnls

(

)

Definition at line 66 of file historicalsensipnlcalculator.hpp.

{ return pnls_; };

foPnls()

const std::vector< QuantLib::Real > & foPnls

(

)

Definition at line 67 of file historicalsensipnlcalculator.hpp.

{ return foPnls_; };

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tradePnls()

const TradePnLStore & tradePnls

(

)

Definition at line 69 of file historicalsensipnlcalculator.hpp.

{ return tradePnls_; }

foTradePnls()

const TradePnLStore & foTradePnls

(

)

Definition at line 70 of file historicalsensipnlcalculator.hpp.

{ return foTradePnls_; }

clear()

void clear

(

)

Definition at line 72 of file historicalsensipnlcalculator.hpp.

                 { 
        pnls_.clear();
        foPnls_.clear();
        tradePnls_.clear();
        foTradePnls_.clear();
    }

Member Data Documentation

pnls_

std::vector<QuantLib::Real> pnls_

protected

Definition at line 80 of file historicalsensipnlcalculator.hpp.

foPnls_

std::vector<QuantLib::Real> foPnls_

protected

Definition at line 81 of file historicalsensipnlcalculator.hpp.

pnlPeriod_

ore::data::TimePeriod pnlPeriod_

protected

Definition at line 82 of file historicalsensipnlcalculator.hpp.

tradePnls_

TradePnLStore tradePnls_

protected

Definition at line 83 of file historicalsensipnlcalculator.hpp.

foTradePnls_

TradePnLStore foTradePnls_

protected

Definition at line 83 of file historicalsensipnlcalculator.hpp.