Logo
Fully annotated reference manual - version 1.8.12
Loading...
Searching...
No Matches
Public Member Functions | Static Public Attributes | List of all members
ParConversionAnalyticImpl Class Reference

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

+ Inheritance diagram for ParConversionAnalyticImpl:
+ Collaboration diagram for ParConversionAnalyticImpl:

Public Member Functions

 ParConversionAnalyticImpl (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 = "PARCONVERSION"
 

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 29 of file parconversionanalytic.hpp.

Constructor & Destructor Documentation

◆ ParConversionAnalyticImpl()

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

Definition at line 33 of file parconversionanalytic.hpp.

33 : Analytic::Impl(inputs) {
34 setLabel(LABEL);
35 }
ore::analytics::Analytic::Impl::setLabel
void setLabel(const string &label)
Definition: analytic.hpp:189
+ 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 54 of file parconversionanalytic.cpp.

55 {
56 if (!analytic()->match(runTypes))
57 return;
58
59 LOG("ParConversionAnalytic::runAnalytic called");
60
61 analytic()->buildMarket(loader, false);
62
63 auto parConversionAnalytic = static_cast<ParConversionAnalytic*>(analytic());
64
65 QL_REQUIRE(parConversionAnalytic, "ParConversionAnalyticImpl internal error, can not convert analytic() to ParConversionAnalytic");
66
67 auto zeroSensis = parConversionAnalytic->loadZeroSensitivities();
68
69 if (!zeroSensis.empty()) {
70 set<RiskFactorKey::KeyType> typesDisabled{RiskFactorKey::KeyType::OptionletVolatility};
71
72 auto parAnalysis = QuantLib::ext::make_shared<ParSensitivityAnalysis>(
73 inputs_->asof(), analytic()->configurations().simMarketParams,
74 *analytic()->configurations().sensiScenarioData, Market::defaultConfiguration, true, typesDisabled);
75
76 if (inputs_->parConversionAlignPillars()) {
77 LOG("Sensi analysis - align pillars (for the par conversion or because alignPillars is enabled)");
78 parAnalysis->alignPillars();
79 } else {
80 LOG("Sensi analysis - skip aligning pillars");
81 }
82
83 auto& configs = analytic()->configurations();
84
85 auto simMarket = QuantLib::ext::make_shared<ScenarioSimMarket>(
86 analytic()->market(), configs.simMarketParams, inputs_->marketConfig("pricing"),
87 configs.curveConfig ? *configs.curveConfig : ore::data::CurveConfigurations(),
88 configs.todaysMarketParams ? *configs.todaysMarketParams : ore::data::TodaysMarketParameters(), true,
89 configs.sensiScenarioData->useSpreadedTermStructures(), false, false, *inputs_->iborFallbackConfig());
90
91 auto scenarioGenerator = QuantLib::ext::make_shared<SensitivityScenarioGenerator>(
92 configs.sensiScenarioData, simMarket->baseScenario(), configs.simMarketParams, simMarket,
93 QuantLib::ext::make_shared<DeltaScenarioFactory>(simMarket->baseScenario()), true, std::string(), true,
94 simMarket->baseScenarioAbsolute());
95
96 simMarket->scenarioGenerator() = scenarioGenerator;
97
98 parAnalysis->computeParInstrumentSensitivities(simMarket);
99
100 QuantLib::ext::shared_ptr<ParSensitivityConverter> parConverter =
101 QuantLib::ext::make_shared<ParSensitivityConverter>(parAnalysis->parSensitivities(), parAnalysis->shiftSizes());
102
103 map<RiskFactorKey, Size> factorToIndex;
104
105 auto shiftSizes = parAnalysis->shiftSizes();
106
107 Size counter = 0;
108 for (auto const& k : parConverter->rawKeys()) {
109 factorToIndex[k] = counter++;
110 }
111
112 std::vector<SensitivityRecord> results;
113 std::map<RiskFactorKey, std::string> descriptions = getScenarioDescriptions(simMarket->scenarioGenerator());
114
115 for (const auto& [id, sensis] : zeroSensis) {
116 boost::numeric::ublas::vector<Real> zeroDeltas(parConverter->rawKeys().size(), 0.0);
117 std::vector<SensitivityRecord> excludedDeltas;
118 bool valid = true;
119 for (const auto& zero : sensis) {
120 if (zero.currency != configs.simMarketParams->baseCcy()) {
121 valid = false;
122 ALOG("Currency in the sensitivity input and config aren't consistent. Skip trade " << id);
123 break;
124 }
125 auto [rf, desc] = deconstructFactor(zero.riskFactor);
126 if (rf.keytype != RiskFactorKey::KeyType::None) {
127 auto it = factorToIndex.find(rf);
128 if (it == factorToIndex.end()) {
129 if (ParSensitivityAnalysis::isParType(rf.keytype) && typesDisabled.count(rf.keytype) != 1) {
130
131 StructuredAnalyticsErrorMessage("Par conversion", "",
132 "Par factor " + ore::data::to_string(rf) +
133 " not found in factorToIndex map")
134 .log();
135 } else {
136 SensitivityRecord sr;
137 sr.tradeId = id;
138 sr.isPar = true;
139 sr.key_1 = rf;
140 sr.desc_1 = desc;
141 sr.delta = zero.delta;
142 sr.baseNpv = zero.baseNpv;
143 sr.currency = zero.currency;
144 sr.shift_1 = zero.shiftSize;
145 sr.gamma = QuantLib::Null<QuantLib::Real>();
146 excludedDeltas.push_back(sr);
147 }
148 } else {
149 auto shiftSize = shiftSizes.find(rf);
150 if (shiftSize == shiftSizes.end() || !close_enough(shiftSize->second.first, zero.shiftSize)) {
151 valid = false;
152 ALOG("Shift sizes in the sensitivity input and config aren't consistent. Skip trade "
153 << id);
154 break;
155 }
156
157 zeroDeltas[it->second] = zero.delta;
158 }
159 }
160 }
161 if (!sensis.empty() && valid) {
162 boost::numeric::ublas::vector<Real> parDeltas = parConverter->convertSensitivity(zeroDeltas);
163 Size counter = 0;
164 for (const auto& key : parConverter->parKeys()) {
165 if (!close(parDeltas[counter], 0.0)) {
166 SensitivityRecord sr;
167 sr.tradeId = id;
168 sr.isPar = true;
169 sr.key_1 = key;
170 sr.desc_1 = descriptions[key];
171 sr.delta = parDeltas[counter];
172 sr.baseNpv = sensis.begin()->baseNpv;
173 sr.currency = sensis.begin()->currency;
174 sr.shift_1 = shiftSizes[key].second;
175 sr.gamma = QuantLib::Null<QuantLib::Real>();
176 results.push_back(sr);
177 }
178 counter++;
179 }
180 results.insert(results.end(), excludedDeltas.begin(), excludedDeltas.end());
181 }
182 }
183
184 auto ss = QuantLib::ext::make_shared<SensitivityInMemoryStream>(results.begin(), results.end());
185 QuantLib::ext::shared_ptr<InMemoryReport> report = QuantLib::ext::make_shared<InMemoryReport>();
186 ReportWriter(inputs_->reportNaString()).writeSensitivityReport(*report, ss, inputs_->parConversionThreshold());
187 analytic()->reports()["PARCONVERSION"]["parConversionSensitivity"] = report;
188
189 if (inputs_->parConversionOutputJacobi()) {
190 QuantLib::ext::shared_ptr<InMemoryReport> jacobiReport = QuantLib::ext::make_shared<InMemoryReport>();
191 writeParConversionMatrix(parAnalysis->parSensitivities(), *jacobiReport);
192 analytic()->reports()["PARCONVERSION"]["parConversionJacobi"] = jacobiReport;
193
194 QuantLib::ext::shared_ptr<InMemoryReport> jacobiInverseReport = QuantLib::ext::make_shared<InMemoryReport>();
195 parConverter->writeConversionMatrix(*jacobiInverseReport);
196 analytic()->reports()["PARCONVERSION"]["parConversionJacobi_inverse"] = jacobiInverseReport;
197 }
198 }
199 LOG("Sensi Analysis - Completed");
200 CONSOLE("OK");
201}
ore::analytics::Analytic::Impl::analytic
Analytic * analytic() const
Definition: analytic.hpp:193
ore::analytics::Analytic::Impl::inputs_
QuantLib::ext::shared_ptr< InputParameters > inputs_
Definition: analytic.hpp:216
ore::analytics::Analytic::reports
analytic_reports & reports()
Result reports.
Definition: analytic.hpp:131
ore::analytics::Analytic::configurations
Configurations & configurations()
Definition: analytic.hpp:128
ore::analytics::Analytic::buildMarket
virtual void buildMarket(const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)
Definition: analytic.cpp:178
ore::analytics::ParSensitivityAnalysis::isParType
static bool isParType(ore::analytics::RiskFactorKey::KeyType type)
Returns true if risk factor type is applicable for par conversion.
Definition: parsensitivityanalysis.cpp:538
ore::data::Market::defaultConfiguration
static const string defaultConfiguration
LOG
#define LOG(text)
ALOG
#define ALOG(text)
CONSOLE
#define CONSOLE(text)
close_enough
Filter close_enough(const RandomVariable &x, const RandomVariable &y)
ore::analytics::close
bool close(const Real &t_1, const Real &t_2)
Definition: sensitivityscenariogenerator.cpp:79
ore::analytics::writeParConversionMatrix
void writeParConversionMatrix(const ParSensitivityAnalysis::ParContainer &parSensitivities, Report &report)
Write par instrument sensitivity report.
Definition: parsensitivityanalysis.cpp:835
ore::analytics::getScenarioDescriptions
std::map< RiskFactorKey, std::string > getScenarioDescriptions(QuantLib::ext::shared_ptr< ScenarioGenerator > scenGen)
Definition: parconversionanalytic.cpp:35
ore::analytics::deconstructFactor
pair< RiskFactorKey, string > deconstructFactor(const string &factor)
Definition: shiftscenariogenerator.cpp:154
ore::data::to_string
std::string to_string(const LocationInfo &l)
+ Here is the call graph for this function:

◆ setUpConfigurations()

void setUpConfigurations ( )
overridevirtual

Reimplemented from Analytic::Impl.

Definition at line 47 of file parconversionanalytic.cpp.

47 {
48 analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
49 analytic()->configurations().simMarketParams = inputs_->parConversionSimMarketParams();
50 analytic()->configurations().sensiScenarioData = inputs_->parConversionScenarioData();
51 analytic()->configurations().engineData = inputs_->parConversionPricingEngine();
52}
ore::analytics::Analytic::Configurations::sensiScenarioData
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > sensiScenarioData
Definition: analytic.hpp:70
ore::analytics::Analytic::Configurations::engineData
QuantLib::ext::shared_ptr< ore::data::EngineData > engineData
Definition: analytic.hpp:74
ore::analytics::Analytic::Configurations::todaysMarketParams
QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > todaysMarketParams
Definition: analytic.hpp:68
ore::analytics::Analytic::Configurations::simMarketParams
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > simMarketParams
Definition: analytic.hpp:69
+ Here is the call graph for this function:

Member Data Documentation

◆ LABEL

constexpr const char* LABEL = "PARCONVERSION"
staticconstexpr

Definition at line 31 of file parconversionanalytic.hpp.

Generated by Doxygen 1.9.5