Parametric VaR Calculator. More...

#include <orea/engine/parametricvar.hpp>

Inheritance diagram for ParametricVarReport:

Collaboration diagram for ParametricVarReport:

Public Types
typedef std::pair< RiskFactorKey, RiskFactorKey >	CrossPair

Public Member Functions
virtual	~ParametricVarReport ()

	ParametricVarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false)

	ParametricVarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false)

void	createVarCalculator () override

Public Member Functions inherited from VarReport
	VarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const vector< Real > &p, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, const bool breakdown=false)

void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override

const std::vector< Real > &	p () const

Public Member Functions inherited from MarketRiskReport
	MarketRiskReport (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false)

virtual	~MarketRiskReport ()

virtual void	initialise ()

void	initSimMarket ()
	Method to init simMarket_ for multi-threaded ctors. More...

virtual void	calculate (const QuantLib::ext::shared_ptr< Reports > &report)

void	enableCubeWrite (const std::string &cubeDir, const std::string &cubeFilename)

Public Member Functions inherited from ProgressReporter
	ProgressReporter ()

void	registerProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)

void	unregisterProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)

void	unregisterAllProgressIndicators ()

void	updateProgress (const unsigned long progress, const unsigned long total, const std::string &detail="")

void	resetProgress ()

const std::set< QuantLib::ext::shared_ptr< ProgressIndicator > > &	progressIndicators () const

Protected Attributes
const QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityConfig_

const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig_

ParametricVarCalculator::ParametricVarParams	parametricVarParams_
	The parameters to use for calculating the parametric VAR benchmark. More...

bool	salvageCovarianceMatrix_ = true

Protected Attributes inherited from VarReport
QuantLib::ext::shared_ptr< VarCalculator >	varCalculator_

Protected Attributes inherited from MarketRiskReport
bool	sensiBased_ = false

bool	fullReval_ = false

std::string	calculationCurrency_

QuantLib::ext::shared_ptr< Portfolio >	portfolio_

std::string	portfolioFilter_

boost::optional< ore::data::TimePeriod >	period_

QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	hisScenGen_

std::unique_ptr< SensiRunArgs >	sensiArgs_

std::unique_ptr< FullRevalArgs >	fullRevalArgs_

std::unique_ptr< MultiThreadArgs >	multiThreadArgs_

bool	breakdown_ = false

bool	requireTradePnl_ = false

QuantLib::ext::shared_ptr< MarketRiskGroupBaseContainer >	riskGroups_

QuantLib::ext::shared_ptr< TradeGroupBaseContainer >	tradeGroups_

std::map< std::string, std::set< std::pair< std::string, QuantLib::Size > > >	tradeIdGroups_

std::set< std::pair< std::string, QuantLib::Size > >	tradeIdIdxPairs_

std::vector< std::string >	tradeIds_

std::map< RiskFactorKey, QuantLib::Real >	deltas_

std::map< std::pair< RiskFactorKey, RiskFactorKey >, QuantLib::Real >	gammas_

QuantLib::Matrix	covarianceMatrix_

bool	writePnl_ = false

std::vector< QuantLib::ext::shared_ptr< PNLCalculator > >	pnlCalculators_

QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage >	salvage_

bool	includeDeltaMargin_ = true

bool	includeGammaMargin_ = true

QuantLib::ext::shared_ptr< ore::data::EngineFactory >	factory_

QuantLib::ext::shared_ptr< ore::analytics::HistoricalPnlGenerator >	histPnlGen_

QuantLib::ext::shared_ptr< HistoricalSensiPnlCalculator >	sensiPnlCalculator_

Additional Inherited Members
Protected Member Functions inherited from VarReport
virtual void	createVarCalculator ()=0

void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override

std::vector< ore::data::TimePeriod >	timePeriods () override

Protected Member Functions inherited from MarketRiskReport
virtual void	initialiseRiskGroups ()
	Method for shared initialisation. More...

virtual void	registerProgressIndicators ()

virtual void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)=0

virtual bool	runTradeDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

virtual QuantLib::ext::shared_ptr< ScenarioFilter >	createScenarioFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)

virtual void	reset (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)

virtual bool	runTradeRiskGroup (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	disablesAll (const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const

virtual void	updateFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter)
	update any filters required More...

virtual std::string	portfolioId (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const

virtual std::string	tradeGroupKey (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const

virtual ore::data::TimePeriod	covariancePeriod () const

virtual void	addPnlCalculators (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

virtual void	handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual bool	includeDeltaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	includeGammaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	runFullReval (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	generateCube (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual std::string	cubeFilePath (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual std::vector< ore::data::TimePeriod >	timePeriods ()

virtual void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual void	closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

Detailed Description

Parametric VaR Calculator.

This class takes sensitivity data and a covariance matrix as an input and computes a parametric value at risk. The output can be broken down by portfolios, risk classes (IR, FX, EQ, ...) and risk types (delta-gamma, vega, ...).

Definition at line 95 of file parametricvar.hpp.

Member Typedef Documentation

◆ CrossPair

typedef std::pair<RiskFactorKey, RiskFactorKey> CrossPair

Definition at line 119 of file parametricvar.hpp.

Constructor & Destructor Documentation

◆ ~ParametricVarReport()

virtual ~ParametricVarReport ( )

virtual

Definition at line 97 of file parametricvar.hpp.

97{}

◆ ParametricVarReport() [1/2]

ParametricVarReport	(	const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const std::string &	portfolioFilter,
		const std::vector< QuantLib::Real > &	p,
		const ParametricVarCalculator::ParametricVarParams &	parametricVarParams,
		const bool	salvageCovarianceMatrix,
		boost::optional< ore::data::TimePeriod >	period,
		std::unique_ptr< SensiRunArgs >	sensiArgs = `nullptr`,
		const bool	breakdown = `false`
	)

◆ ParametricVarReport() [2/2]

ParametricVarReport	(	const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const std::string &	portfolioFilter,
		const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &	hisScenGen,
		const std::vector< QuantLib::Real > &	p,
		const ParametricVarCalculator::ParametricVarParams &	parametricVarParams,
		const bool	salvageCovarianceMatrix,
		boost::optional< ore::data::TimePeriod >	period,
		std::unique_ptr< SensiRunArgs >	sensiArgs = `nullptr`,
		const bool	breakdown = `false`
	)

Member Function Documentation

◆ createVarCalculator()

void createVarCalculator ( )

overridevirtual

Implements VarReport.

Definition at line 167 of file parametricvar.cpp.

                                              {
    varCalculator_ = QuantLib::ext::make_shared<ParametricVarCalculator>(
        parametricVarParams_, covarianceMatrix_, deltas_, gammas_, salvage_, includeGammaMargin_, includeDeltaMargin_);
}

Member Data Documentation

◆ sensitivityConfig_

const QuantLib::ext::shared_ptr<SensitivityScenarioData> sensitivityConfig_

protected

Definition at line 122 of file parametricvar.hpp.

◆ simMarketConfig_

const QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketConfig_

protected

Definition at line 123 of file parametricvar.hpp.

◆ parametricVarParams_

ParametricVarCalculator::ParametricVarParams parametricVarParams_

protected

The parameters to use for calculating the parametric VAR benchmark.

Definition at line 126 of file parametricvar.hpp.

◆ salvageCovarianceMatrix_

bool salvageCovarianceMatrix_ = true

protected

Definition at line 127 of file parametricvar.hpp.

Public Types

Public Member Functions

Protected Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ CrossPair

Constructor & Destructor Documentation

◆ ~ParametricVarReport()

◆ ParametricVarReport() [1/2]

◆ ParametricVarReport() [2/2]

Member Function Documentation

◆ createVarCalculator()

Member Data Documentation

◆ sensitivityConfig_

◆ simMarketConfig_

◆ parametricVarParams_

◆ salvageCovarianceMatrix_