ParametricVarAnalyticImpl Class Reference

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

Inheritance diagram for ParametricVarAnalyticImpl:

Collaboration diagram for ParametricVarAnalyticImpl:

Public Member Functions
	ParametricVarAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
virtual void	setUpConfigurations () override
virtual QuantLib::ext::shared_ptr< SensitivityStream >	sensiStream (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader)
Public Member Functions inherited from VarAnalyticImpl
	VarAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const string &label)
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
virtual 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 = "PARAMETRIC_VAR"

Protected Member Functions
void	setVarReport (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader) override
virtual void	setVarReport (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader)

Additional Inherited Members
Protected Attributes inherited from VarAnalyticImpl
QuantLib::ext::shared_ptr< VarReport >	varReport_
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 56 of file varanalytic.hpp.

Constructor & Destructor Documentation

ParametricVarAnalyticImpl()

ParametricVarAnalyticImpl

(

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

inputs

)

Definition at line 60 of file varanalytic.hpp.

        : VarAnalyticImpl(inputs, LABEL) {};

Member Function Documentation

setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from VarAnalyticImpl.

Definition at line 78 of file varanalytic.cpp.

                                                    {
    VarAnalyticImpl::setUpConfigurations();
    if (inputs_->covarianceData().size() == 0) {
        analytic()->configurations().sensiScenarioData = inputs_->sensiScenarioData();
        analytic()->configurations().simMarketParams = inputs_->sensiSimMarketParams();
    }
}

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sensiStream()

virtual QuantLib::ext::shared_ptr< SensitivityStream > sensiStream ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader )

virtual

Definition at line 65 of file varanalytic.hpp.

                                                                            {
        return inputs_->sensitivityStream();
    };

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setVarReport()

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

overrideprotectedvirtual

Reimplemented from VarAnalyticImpl.

Definition at line 86 of file varanalytic.cpp.

                                                                                                       {
    LOG("Build trade to portfolio id mapping");
    ParametricVarCalculator::ParametricVarParams varParams(inputs_->varMethod(), inputs_->mcVarSamples(),
                                                           inputs_->mcVarSeed());
 
    QuantLib::ext::shared_ptr<SensitivityStream> ss = sensiStream(loader);
 
    LOG("Build VaR calculator");
    if (inputs_->covarianceData().size() > 0) {
        std::unique_ptr<MarketRiskReport::SensiRunArgs> sensiArgs =
            std::make_unique<MarketRiskReport::SensiRunArgs>(ss, nullptr, 0.01, inputs_->covarianceData());
 
        varReport_ = ext::make_shared<ParametricVarReport>(
            inputs_->baseCurrency(), analytic()->portfolio(), inputs_->portfolioFilter(), inputs_->varQuantiles(),
            varParams,
            inputs_->salvageCovariance(), boost::none, std::move(sensiArgs), inputs_->varBreakDown());
    } else {
        TimePeriod benchmarkVarPeriod(parseListOfValues<Date>(inputs_->benchmarkVarPeriod(), &parseDate),
                                      inputs_->mporDays(), inputs_->mporCalendar());
 
        QuantLib::ext::shared_ptr<ore::data::AdjustmentFactors> adjFactors;
        if (auto adjLoader = QuantLib::ext::dynamic_pointer_cast<AdjustedInMemoryLoader>(loader))
            adjFactors = QuantLib::ext::make_shared<ore::data::AdjustmentFactors>(adjLoader->adjustmentFactors());
 
        auto scenarios = buildHistoricalScenarioGenerator(inputs_->historicalScenarioReader(), adjFactors,
            benchmarkVarPeriod, inputs_->mporCalendar(), inputs_->mporDays(), analytic()->configurations().simMarketParams,
            analytic()->configurations().todaysMarketParams, inputs_->mporOverlappingPeriods());
 
        if (inputs_->outputHistoricalScenarios())
            ReportWriter().writeHistoricalScenarios(
                scenarios->scenarioLoader(),
                QuantLib::ext::make_shared<CSVFileReport>(path(inputs_->resultsPath() / "backtest_histscenrios.csv").string(),
                                                  ',', false, inputs_->csvQuoteChar(), inputs_->reportNaString()));
 
        auto simMarket = QuantLib::ext::make_shared<ScenarioSimMarket>(
            analytic()->market(), analytic()->configurations().simMarketParams, Market::defaultConfiguration,
            *analytic()->configurations().curveConfig, *analytic()->configurations().todaysMarketParams, true, false,
            false, false, *inputs_->iborFallbackConfig());
        simMarket->scenarioGenerator() = scenarios;
        scenarios->baseScenario() = simMarket->baseScenario();
 
        QuantLib::ext::shared_ptr<ScenarioShiftCalculator> shiftCalculator = QuantLib::ext::make_shared<ScenarioShiftCalculator>(
            analytic()->configurations().sensiScenarioData, analytic()->configurations().simMarketParams);
 
        std::unique_ptr<MarketRiskReport::SensiRunArgs> sensiArgs =
            std::make_unique<MarketRiskReport::SensiRunArgs>(ss, shiftCalculator, 0.01, inputs_->covarianceData());
 
        varReport_ = ext::make_shared<ParametricVarReport>(
            inputs_->baseCurrency(), analytic()->portfolio(), inputs_->portfolioFilter(), scenarios,
            inputs_->varQuantiles(), varParams,
            inputs_->salvageCovariance(), benchmarkVarPeriod, std::move(sensiArgs), inputs_->varBreakDown());
    }
}

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Member Data Documentation

LABEL

constexpr const char* LABEL = "PARAMETRIC_VAR"

staticconstexpr

Definition at line 58 of file varanalytic.hpp.