#include <orea/engine/pnlexplainreport.hpp>

Inheritance diagram for PnlExplainReport:

Collaboration diagram for PnlExplainReport:

Classes
struct	PnlExplainResults

Public Member Functions
	PnlExplainReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< Report > &pnlReport=nullptr, 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 requireTradePnl=false)

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

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

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

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

bool	includeDeltaMargin (const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) const override

bool	includeGammaMargin (const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) const override

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

Private Attributes
std::map< std::string, PnlExplainResults >	results_

QuantLib::ext::shared_ptr< Report >	pnlReport_

QuantLib::Size	pnlReportColumnSize_

Additional Inherited Members
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_

Detailed Description

Definition at line 24 of file pnlexplainreport.hpp.

Constructor & Destructor Documentation

◆ PnlExplainReport()

PnlExplainReport	(	const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const std::string &	portfolioFilter,
		boost::optional< ore::data::TimePeriod >	period,
		const QuantLib::ext::shared_ptr< Report > &	pnlReport = `nullptr`,
		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	requireTradePnl = `false`
	)

Definition at line 52 of file pnlexplainreport.hpp.

        : MarketRiskReport(baseCurrency, portfolio, portfolioFilter, period, hisScenGen, std::move(sensiArgs), std::move(fullRevalArgs), 
            std::move(multiThreadArgs), true, requireTradePnl), pnlReport_(pnlReport) {
        sensiBased_ = true;
    }

Member Function Documentation

◆ createReports()

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

overrideprotectedvirtual

Implements MarketRiskReport.

Definition at line 81 of file pnlexplainreport.cpp.

                                                                                                  {
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for PNL Explain");
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for PNL Explain");
    QuantLib::ext::shared_ptr<InMemoryReport> report =
        QuantLib::ext::dynamic_pointer_cast<ore::data::InMemoryReport>(reports->reports().at(0));
    QL_REQUIRE(report, "PNL report must be an InMemoryReport");
 
    pnlReportColumnSize_ = report->columns();
 
    report->addColumn("ScenarioPnl", double(), 6)
        .addColumn("TotalDelta", double(), 6)
        .addColumn("TotalGamma", double(), 6)
        .addColumn("TotalVega", double(), 6)
        .addColumn("IrDelta", double(), 6)
        .addColumn("IrGamma", double(), 6)
        .addColumn("IrVega", double(), 6)
        .addColumn("EqDelta", double(), 6)
        .addColumn("EqGamma", double(), 6)
        .addColumn("EqVega", double(), 6)
        .addColumn("FxDelta", double(), 6)
        .addColumn("FxGamma", double(), 6)
        .addColumn("FxVega", double(), 6)
        .addColumn("InfDelta", double(), 6)
        .addColumn("InfGamma", double(), 6)
        .addColumn("InfVega", double(), 6)
        .addColumn("CreditDelta", double(), 6)
        .addColumn("CreditGamma", double(), 6)
        .addColumn("CreditVega", double(), 6)
        .addColumn("CommDelta", double(), 6)
        .addColumn("CommGamma", double(), 6)
        .addColumn("CommVega", double(), 6)
    ;
}

◆ handleSensiResults()

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

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 115 of file pnlexplainreport.cpp.

117 {

118}

◆ addPnlCalculators()

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

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 120 of file pnlexplainreport.cpp.

                                                                                                      {
    pnlCalculators_.push_back(QuantLib::ext::make_shared<PNLCalculator>(period_.get()));
}

◆ writeReports()

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

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 124 of file pnlexplainreport.cpp.

                                                             {  
 
    std::vector<QuantLib::Real> sensiPnls = pnlCalculators_[0]->pnls();
    std::vector<QuantLib::Real> foSensiPnls = pnlCalculators_[0]->foPnls();
    TradePnLStore tradeSensiPnls = pnlCalculators_[0]->tradePnls();
    TradePnLStore foTradeSensiPnls = pnlCalculators_[0]->foTradePnls();
 
    QL_REQUIRE(sensiPnls.size() == 1, "PNLExplainReport::writeReports - should have exactly 1 sensi pnl");
    QL_REQUIRE(foSensiPnls.size() == 1, "PNLExplainReport::writeReports - should have exactly 1 fo sensi pnl");
    Real pnl = sensiPnls[0];
    Real deltaPnl = foSensiPnls[0];
    Real gammaPnl = pnl - deltaPnl;
 
    auto pId = portfolioId(tradeGroup);
    auto it = results_.find(pId);
    if (it == results_.end())
        results_[pId] = PnlExplainResults();
 
    auto mrg = ext::dynamic_pointer_cast<MarketRiskGroup>(riskGroup);
    QL_REQUIRE(mrg, "Require a group of type MarketRiskGroup");
 
    populateResults(mrg, results_[pId], deltaPnl, gammaPnl, pnl);
 
    if (runTradeDetail(reports)) {
        QL_REQUIRE(tradeSensiPnls.size() == 1,
                   "PNLExplainReport::writeReports - should have exactly 1 sensi pnl for each trade");
        QL_REQUIRE(foTradeSensiPnls.size() == 1,
                   "PNLExplainReport::writeReports - should have exactly 1 fo sensi pnl for each trade");
        QL_REQUIRE(tradeSensiPnls[0].size() == tradeIds_.size(),
                   "PNLExplainReport::writeReports - tradeSensiPNLs do not match portfolio size");
        QL_REQUIRE(foTradeSensiPnls[0].size() == tradeIds_.size(),
                   "PNLExplainReport::writeReports - foTradeSensiPNLs do not match portfolio size");
 
        for (QuantLib::Size i = 0; i < tradeIds_.size(); i++) {  
            auto tId = tradeIds_.at(i);
            Real tpnl = tradeSensiPnls[0].at(i);
            Real tdeltaPnl = foTradeSensiPnls[0].at(i);
            Real tgammaPnl = tpnl - tdeltaPnl;
            auto itt = results_.find(tId);
            if (itt == results_.end())
                results_[tId] = PnlExplainResults();
            
            populateResults(mrg, results_[tId], tdeltaPnl, tgammaPnl, tpnl);
        }
    }
}

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◆ includeDeltaMargin()

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

overrideprotected

Definition at line 173 of file pnlexplainreport.cpp.

                                                                                   {
    return true;
}

◆ includeGammaMargin()

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

overrideprotected

Definition at line 177 of file pnlexplainreport.cpp.

                                                                                   {
    return true;
}

◆ closeReports()

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

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 182 of file pnlexplainreport.cpp.

                                                                                                 {
    QuantLib::ext::shared_ptr<InMemoryReport> report =
        QuantLib::ext::dynamic_pointer_cast<ore::data::InMemoryReport>(reports->reports().at(0));  
    
    const vector<ore::data::Report::ReportType>& tradeIds = report->data(0);
    for (Size j = 0; j < tradeIds.size(); j++) {
        string tradeId = QuantLib::ext::get<std::string>(tradeIds[j]);
        const auto& r = results_.find(tradeId);
        if (r == results_.end()) {
            StructuredAnalyticsWarningMessage("Pnl Explain", "Failed to generate Pnl Explain Records",
                                              "Could not find Pnl Explain record for trade ID: " + tradeId)
                .log();
        } else {
            report->next();
            report->jumpToColumn(pnlReportColumnSize_);
            report->add(r->second.pnl)
                .add(r->second.delta)
                .add(r->second.gamma)
                .add(r->second.vega)
                .add(r->second.irDelta)
                .add(r->second.irGamma)
                .add(r->second.irVega)
                .add(r->second.eqDelta)
                .add(r->second.eqGamma)
                .add(r->second.eqVega)
                .add(r->second.fxDelta)
                .add(r->second.fxGamma)
                .add(r->second.fxVega)
                .add(r->second.infDelta)
                .add(r->second.infGamma)
                .add(r->second.infVega)
                .add(r->second.creditDelta)
                .add(r->second.creditGamma)
                .add(r->second.creditVega)
                .add(r->second.comDelta)
                .add(r->second.comGamma)
                .add(r->second.comVega);
        }
    }
 
    MarketRiskReport::closeReports(reports);
}

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Member Data Documentation

◆ results_

std::map<std::string, PnlExplainResults> results_

private

Definition at line 81 of file pnlexplainreport.hpp.

◆ pnlReport_

QuantLib::ext::shared_ptr<Report> pnlReport_

private

Definition at line 82 of file pnlexplainreport.hpp.

◆ pnlReportColumnSize_

QuantLib::Size pnlReportColumnSize_

private

Definition at line 83 of file pnlexplainreport.hpp.

Classes

Public Member Functions

Protected Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ PnlExplainReport()

Member Function Documentation

◆ createReports()

◆ handleSensiResults()

◆ addPnlCalculators()

◆ writeReports()

◆ includeDeltaMargin()

◆ includeGammaMargin()

◆ closeReports()

Member Data Documentation

◆ results_

◆ pnlReport_

◆ pnlReportColumnSize_