Sensitivity Analysis. More...

#include <orea/engine/sensitivityanalysis.hpp>

Inheritance diagram for SensitivityAnalysis:

Collaboration diagram for SensitivityAnalysis:

Public Member Functions
	SensitivityAnalysis (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams=nullptr, const bool nonShiftedBaseCurrencyConversion=false, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool continueOnError=false, bool dryRun=false)
	Constructor using single-threaded engine. More...

	SensitivityAnalysis (const Size nThreads, const Date &asof, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const bool nonShiftedBaseCurrencyConversion=false, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool continueOnError=false, bool dryRun=false, const std::string &context="sensi analysis")
	Constructor using multi-threaded engine. More...

virtual	~SensitivityAnalysis ()

void	generateSensitivities ()
	Generate the Sensitivities. More...

const QuantLib::Date	asof () const
	The ASOF date for the sensitivity analysis. More...

const std::string	marketConfiguration () const
	The market configuration string. More...

const QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket () const
	A getter for the sim market. More...

const QuantLib::ext::shared_ptr< SensitivityScenarioGenerator >	scenarioGenerator () const
	A getter for SensitivityScenarioGenerator (the main one, without possibly customized shifts) More...

const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData () const
	A getter for ScenarioSimMarketParameters. More...

const QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityData () const
	A getter for SensitivityScenarioData. More...

void	overrideTenors (const bool b)
	override shift tenors with sim market tenors More...

QuantLib::ext::shared_ptr< Portfolio >	portfolio () const
	the portfolio of trades More...

std::vector< QuantLib::ext::shared_ptr< SensitivityCube > >	sensiCubes () const
	a wrapper for the sensitivity results cubes (one per shift configuration) More...

QuantLib::ext::shared_ptr< SensitivityCube >	sensiCube () const
	a wrapper for the first sensitivity result cube (if that is unique, otherwise throws, for bwd compatibility) More...

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

Private Attributes
QuantLib::ext::shared_ptr< ore::data::Market >	market_

std::string	marketConfiguration_

Date	asof_

QuantLib::ext::shared_ptr< SensitivityScenarioGenerator >	scenarioGenerator_

QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_

QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData_

QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityData_

bool	recalibrateModels_

QuantLib::ext::shared_ptr< ore::data::CurveConfigurations >	curveConfigs_
	Optional curve configurations. Used in building the scenario sim market. More...

QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_
	Optional todays market parameters. Used in building the scenario sim market. More...

bool	overrideTenors_

bool	nonShiftedBaseCurrencyConversion_

QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager >	referenceData_

IborFallbackConfig	iborFallbackConfig_

bool	continueOnError_

QuantLib::ext::shared_ptr< EngineData >	engineData_
	the engine data (provided as input, needed to construct the engine factory) More...

QuantLib::ext::shared_ptr< Portfolio >	portfolio_
	the portfolio (provided as input) More...

bool	dryRun_
	do dry run More...

std::set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_
	model builders More...

std::vector< QuantLib::ext::shared_ptr< SensitivityCube > >	sensiCubes_
	sensitivityCube More...

bool	useSingleThreadedEngine_

Size	nThreads_

QuantLib::ext::shared_ptr< ore::data::Loader >	loader_

std::string	context_

Detailed Description

Sensitivity Analysis.

This class wraps functionality to perform a sensitivity analysis for a given portfolio. It comprises

building the "simulation" market to which sensitivity scenarios are applied
building the portfolio linked to this simulation market
generating sensitivity scenarios
running the scenario "engine" to apply these and compute the NPV impacts of all required shifts
compile first and second order sensitivities for all factors and all trades
fill result structures that can be queried

Definition at line 64 of file sensitivityanalysis.hpp.

Constructor & Destructor Documentation

◆ SensitivityAnalysis() [1/2]

SensitivityAnalysis	(	const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const string &	marketConfiguration,
		const QuantLib::ext::shared_ptr< ore::data::EngineData > &	engineData,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketData,
		const QuantLib::ext::shared_ptr< SensitivityScenarioData > &	sensitivityData,
		const bool	recalibrateModels,
		const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfigs = `nullptr`,
		const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams = `nullptr`,
		const bool	nonShiftedBaseCurrencyConversion = `false`,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		const bool	continueOnError = `false`,
		bool	dryRun = `false`
	)

Constructor using single-threaded engine.

Definition at line 45 of file sensitivityanalysis.cpp.

    : market_(market), marketConfiguration_(marketConfiguration), asof_(market ? market->asofDate() : Date()),
      simMarketData_(simMarketData), sensitivityData_(sensitivityData), recalibrateModels_(recalibrateModels),
      curveConfigs_(curveConfigs), todaysMarketParams_(todaysMarketParams), overrideTenors_(false),
      nonShiftedBaseCurrencyConversion_(nonShiftedBaseCurrencyConversion), referenceData_(referenceData),
      iborFallbackConfig_(iborFallbackConfig), continueOnError_(continueOnError), engineData_(engineData),
      portfolio_(portfolio), dryRun_(dryRun), useSingleThreadedEngine_(true) {}

◆ SensitivityAnalysis() [2/2]

SensitivityAnalysis	(	const Size	nThreads,
		const Date &	asof,
		const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader,
		const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const string &	marketConfiguration,
		const QuantLib::ext::shared_ptr< ore::data::EngineData > &	engineData,
		const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	simMarketData,
		const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensitivityData,
		const bool	recalibrateModels,
		const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfigs,
		const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams,
		const bool	nonShiftedBaseCurrencyConversion = `false`,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		const bool	continueOnError = `false`,
		bool	dryRun = `false`,
		const std::string &	context = `"sensi analysis"`
	)

Constructor using multi-threaded engine.

Definition at line 61 of file sensitivityanalysis.cpp.

    : marketConfiguration_(marketConfiguration), asof_(asof), simMarketData_(simMarketData),
      sensitivityData_(sensitivityData), recalibrateModels_(recalibrateModels), curveConfigs_(curveConfigs),
      todaysMarketParams_(todaysMarketParams), overrideTenors_(false),
      nonShiftedBaseCurrencyConversion_(nonShiftedBaseCurrencyConversion), referenceData_(referenceData),
      iborFallbackConfig_(iborFallbackConfig), continueOnError_(continueOnError), engineData_(engineData),
      portfolio_(portfolio), dryRun_(dryRun), useSingleThreadedEngine_(false), nThreads_(nThreads), loader_(loader),
      context_(context) {}

◆ ~SensitivityAnalysis()

virtual ~SensitivityAnalysis ( )

virtual

Definition at line 94 of file sensitivityanalysis.hpp.

94{}

Member Function Documentation

◆ generateSensitivities()

void generateSensitivities ( )

Generate the Sensitivities.

Definition at line 105 of file sensitivityanalysis.cpp.

                                                {
 
    LOG("Sensitivity analysis started...");
 
    QL_REQUIRE(useSingleThreadedEngine_ || !nonShiftedBaseCurrencyConversion_,
               "SensitivityAnalysis::generateSensitivities(): multi-threaded engine does not support non-shifted base "
               "ccy conversion currently. This requires a small code extension. Contact Dev.");
 
    // collect the sensi template ids that are used in the sensitivity config
 
    std::set<std::string> sensiTemplateIdsFromSensiConfig = getShiftSpecKeys(*sensitivityData_);
 
    // collect the sensi template ids that are relevant for the portfolio
 
    std::set<std::string> sensiTemplateIdsFromPortfolio;
    for (auto const& [_, t] : portfolio_->trades())
        sensiTemplateIdsFromPortfolio.insert(t->sensitivityTemplate());
 
    // take the intersection of pricing engine ids and add en empty id for the default config as the first element
 
    std::vector<std::string> sensiTemplateIds{std::string()};
    std::set_intersection(sensiTemplateIdsFromSensiConfig.begin(), sensiTemplateIdsFromSensiConfig.end(),
                          sensiTemplateIdsFromPortfolio.begin(), sensiTemplateIdsFromPortfolio.end(),
                          std::back_inserter(sensiTemplateIds));
 
    LOG("Need to process "
        << sensiTemplateIds.size() << " sensi scenario sets resulting from " << sensiTemplateIdsFromSensiConfig.size()
        << " sensi templates in sensi config (different from default config) and "
        << sensiTemplateIdsFromPortfolio.size()
        << " sensi templates in portfolio (including default config, if configured in pe config for a trade)");
 
    if (useSingleThreadedEngine_) {
 
        // handle single threaded sensi analysis
 
        LOG("SensitivitiyAnalysis::generateSensitivities(): use single-threaded engine to generate sensi cube. Using "
            "configuration '"
            << marketConfiguration_ << "'");
 
        simMarket_ = QuantLib::ext::make_shared<ScenarioSimMarket>(
            market_, simMarketData_, marketConfiguration_,
            curveConfigs_ ? *curveConfigs_ : ore::data::CurveConfigurations(),
            todaysMarketParams_ ? *todaysMarketParams_ : ore::data::TodaysMarketParameters(), continueOnError_,
            sensitivityData_->useSpreadedTermStructures(), continueOnError_, overrideTenors_, iborFallbackConfig_);
 
        std::vector<QuantLib::ext::shared_ptr<SensitivityScenarioGenerator>> scenarioGenerators(sensiTemplateIds.size());
        for (Size i = 0; i < sensiTemplateIds.size(); ++i) {
            scenarioGenerators[i] = QuantLib::ext::make_shared<SensitivityScenarioGenerator>(
                sensitivityData_, simMarket_->baseScenario(), simMarketData_, simMarket_,
                QuantLib::ext::make_shared<DeltaScenarioFactory>(simMarket_->baseScenario()), overrideTenors_,
                sensiTemplateIds[i], continueOnError_, simMarket_->baseScenarioAbsolute());
        }
        scenarioGenerator_ = scenarioGenerators.front();
 
        map<MarketContext, string> configurations;
        configurations[MarketContext::pricing] = marketConfiguration_;
        auto ed = QuantLib::ext::make_shared<EngineData>(*engineData_);
        ed->globalParameters()["RunType"] =
            std::string("Sensitivity") + (sensitivityData_->computeGamma() ? "DeltaGamma" : "Delta");
 
        QuantLib::ext::shared_ptr<DateGrid> dg = QuantLib::ext::make_shared<DateGrid>("1,0W", NullCalendar());
        vector<QuantLib::ext::shared_ptr<ValuationCalculator>> calculators;
        if (nonShiftedBaseCurrencyConversion_)
            // use "original" FX rates to convert sensi to base currency
            calculators.push_back(QuantLib::ext::make_shared<NPVCalculatorFXT0>(simMarketData_->baseCcy(), market_));
        else
            // use the scenario FX rate when converting sensi to base currency
            calculators.push_back(QuantLib::ext::make_shared<NPVCalculator>(simMarketData_->baseCcy()));
 
        sensiCubes_.clear();
        for (auto const& [pf, scenGen] :
             splitPortfolioByScenarioGenerators(portfolio_, sensiTemplateIds, scenarioGenerators)) {
            if (pf->trades().empty())
                continue;
            LOG("Run Sensitivity Scenarios for " << pf->size() << " out of " << portfolio_->size() << " trades.");
            QuantLib::ext::shared_ptr<NPVSensiCube> cube =
                QuantLib::ext::make_shared<DoublePrecisionSensiCube>(pf->ids(), asof_, scenGen->samples());
            simMarket_->scenarioGenerator() = scenGen;
            auto factory =
                QuantLib::ext::make_shared<EngineFactory>(ed, simMarket_, configurations, referenceData_, iborFallbackConfig_);
            pf->reset();
            pf->build(factory, "sensi analysis");
            if (recalibrateModels_)
                modelBuilders_ = factory->modelBuilders();
            else
                modelBuilders_.clear();
            ValuationEngine engine(asof_, dg, simMarket_, modelBuilders_);
            for (auto const& i : this->progressIndicators())
                engine.registerProgressIndicator(i);
            engine.buildCube(pf, cube, calculators, true, nullptr, nullptr, {}, dryRun_);
 
            sensiCubes_.push_back(QuantLib::ext::make_shared<SensitivityCube>(cube, scenGen->scenarioDescriptions(),
                                                                      scenarioGenerator_->shiftSizes(),
                                                                      scenGen->shiftSizes(), scenGen->shiftSchemes()));
        }
    } else {
 
        // handle request to use multi-threaded engine
 
        LOG("SensitivitiyAnalysis::generateSensitivities(): use multi-threaded engine to generate sensi cube. Using "
            "configuration '"
            << marketConfiguration_ << "'");
 
        market_ =
            QuantLib::ext::make_shared<ore::data::TodaysMarket>(asof_, todaysMarketParams_, loader_, curveConfigs_, true, true,
                                                        false, referenceData_, false, iborFallbackConfig_, false);
 
        simMarket_ = QuantLib::ext::make_shared<ScenarioSimMarket>(
            market_, simMarketData_, marketConfiguration_,
            curveConfigs_ ? *curveConfigs_ : ore::data::CurveConfigurations(),
            todaysMarketParams_ ? *todaysMarketParams_ : ore::data::TodaysMarketParameters(), continueOnError_,
            sensitivityData_->useSpreadedTermStructures(), false, false, iborFallbackConfig_);
 
        std::vector<QuantLib::ext::shared_ptr<SensitivityScenarioGenerator>> scenarioGenerators(sensiTemplateIds.size());
        for (Size i = 0; i < sensiTemplateIds.size(); ++i) {
            scenarioGenerators[i] = QuantLib::ext::make_shared<SensitivityScenarioGenerator>(
                sensitivityData_, simMarket_->baseScenario(), simMarketData_, simMarket_,
                QuantLib::ext::make_shared<DeltaScenarioFactory>(simMarket_->baseScenario()), overrideTenors_,
                sensiTemplateIds[i], continueOnError_, simMarket_->baseScenarioAbsolute());
        }
        scenarioGenerator_ = scenarioGenerators.front();
 
        auto ed = QuantLib::ext::make_shared<EngineData>(*engineData_);
        ed->globalParameters()["RunType"] =
            std::string("Sensitivity") + (sensitivityData_->computeGamma() ? "DeltaGamma" : "Delta");
 
        sensiCubes_.clear();
        for (auto const& [pf, scenGen] :
             splitPortfolioByScenarioGenerators(portfolio_, sensiTemplateIds, scenarioGenerators)) {
            if (pf->trades().empty())
                continue;
 
            MultiThreadedValuationEngine engine(
                nThreads_, asof_, QuantLib::ext::make_shared<ore::analytics::DateGrid>(), scenGen->numScenarios(), loader_,
                scenGen, ed, curveConfigs_, todaysMarketParams_, marketConfiguration_, simMarketData_,
                sensitivityData_->useSpreadedTermStructures(), false,
                QuantLib::ext::make_shared<ore::analytics::ScenarioFilter>(), referenceData_, iborFallbackConfig_, true, true,
                recalibrateModels_,
                [](const QuantLib::Date& asof, const std::set<std::string>& ids, const std::vector<QuantLib::Date>&,
                   const QuantLib::Size samples) {
                    return QuantLib::ext::make_shared<ore::analytics::DoublePrecisionSensiCube>(ids, asof, samples);
                },
                {}, {}, context_);
            for (auto const& i : this->progressIndicators())
                engine.registerProgressIndicator(i);
 
            auto baseCcy = simMarketData_->baseCcy();
            engine.buildCube(
                pf,
                [&baseCcy]() -> std::vector<QuantLib::ext::shared_ptr<ValuationCalculator>> {
                    return {QuantLib::ext::make_shared<NPVCalculator>(baseCcy)};
                },
                {}, true, dryRun_);
            std::vector<QuantLib::ext::shared_ptr<NPVSensiCube>> miniCubes;
            for (auto const& c : engine.outputCubes()) {
                miniCubes.push_back(QuantLib::ext::dynamic_pointer_cast<NPVSensiCube>(c));
                QL_REQUIRE(
                    miniCubes.back() != nullptr,
                    "SensitivityAnalysis::generateSensitivities(): internal error, could not cast to NPVSensiCube.");
            }
            auto cube = QuantLib::ext::make_shared<JointNPVSensiCube>(miniCubes, pf->ids());
 
            sensiCubes_.push_back(QuantLib::ext::make_shared<SensitivityCube>(cube, scenGen->scenarioDescriptions(),
                                                                      scenarioGenerator_->shiftSizes(),
                                                                      scenGen->shiftSizes(), scenGen->shiftSchemes()));
        }
    }
 
    simMarket_->scenarioGenerator() = scenarioGenerator_;
 
    LOG("Sensitivity analysis completed");
}

Here is the call graph for this function:

◆ asof()

const QuantLib::Date asof ( ) const

The ASOF date for the sensitivity analysis.

Definition at line 100 of file sensitivityanalysis.hpp.

100{ return asof_; }

Here is the caller graph for this function:

◆ marketConfiguration()

const std::string marketConfiguration ( ) const

The market configuration string.

Definition at line 103 of file sensitivityanalysis.hpp.

103{ return marketConfiguration_; }

◆ simMarket()

const QuantLib::ext::shared_ptr< ScenarioSimMarket > simMarket ( ) const

A getter for the sim market.

Definition at line 106 of file sensitivityanalysis.hpp.

106{ return simMarket_; }

◆ scenarioGenerator()

const QuantLib::ext::shared_ptr< SensitivityScenarioGenerator > scenarioGenerator ( ) const

A getter for SensitivityScenarioGenerator (the main one, without possibly customized shifts)

Definition at line 109 of file sensitivityanalysis.hpp.

109{ return scenarioGenerator_; }

◆ simMarketData()

const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > simMarketData ( ) const

A getter for ScenarioSimMarketParameters.

Definition at line 112 of file sensitivityanalysis.hpp.

112{ return simMarketData_; }

◆ sensitivityData()

const QuantLib::ext::shared_ptr< SensitivityScenarioData > sensitivityData ( ) const

A getter for SensitivityScenarioData.

Definition at line 115 of file sensitivityanalysis.hpp.

115{ return sensitivityData_; }

◆ overrideTenors()

void overrideTenors ( const bool b )

override shift tenors with sim market tenors

Definition at line 118 of file sensitivityanalysis.hpp.

118{ overrideTenors_ = b; }

◆ portfolio()

QuantLib::ext::shared_ptr< Portfolio > portfolio ( ) const

the portfolio of trades

Definition at line 121 of file sensitivityanalysis.hpp.

121{ return portfolio_; }

◆ sensiCubes()

std::vector< QuantLib::ext::shared_ptr< SensitivityCube > > sensiCubes ( ) const

a wrapper for the sensitivity results cubes (one per shift configuration)

Definition at line 124 of file sensitivityanalysis.hpp.

124{ return sensiCubes_; }

◆ sensiCube()

QuantLib::ext::shared_ptr< SensitivityCube > sensiCube ( ) const

a wrapper for the first sensitivity result cube (if that is unique, otherwise throws, for bwd compatibility)

Definition at line 127 of file sensitivityanalysis.hpp.

                                                             {
        QL_REQUIRE(sensiCubes_.size() == 1, "SensitivityAnalysis: sensiCube() called, but got "
                                                << sensiCubes_.size() << " sensi cubes. Check the calling code.");
        return sensiCubes_.front();
    }

Member Data Documentation

◆ market_

QuantLib::ext::shared_ptr<ore::data::Market> market_

private

Definition at line 134 of file sensitivityanalysis.hpp.

◆ marketConfiguration_

std::string marketConfiguration_

private

Definition at line 135 of file sensitivityanalysis.hpp.

◆ asof_

Date asof_

private

Definition at line 136 of file sensitivityanalysis.hpp.

◆ scenarioGenerator_

QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator_

private

Definition at line 137 of file sensitivityanalysis.hpp.

◆ simMarket_

QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_

private

Definition at line 138 of file sensitivityanalysis.hpp.

◆ simMarketData_

QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketData_

private

Definition at line 139 of file sensitivityanalysis.hpp.

◆ sensitivityData_

QuantLib::ext::shared_ptr<SensitivityScenarioData> sensitivityData_

private

Definition at line 140 of file sensitivityanalysis.hpp.

◆ recalibrateModels_

bool recalibrateModels_

private

Definition at line 141 of file sensitivityanalysis.hpp.

◆ curveConfigs_

QuantLib::ext::shared_ptr<ore::data::CurveConfigurations> curveConfigs_

private

Optional curve configurations. Used in building the scenario sim market.

Definition at line 143 of file sensitivityanalysis.hpp.

◆ todaysMarketParams_

QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters> todaysMarketParams_

private

Optional todays market parameters. Used in building the scenario sim market.

Definition at line 145 of file sensitivityanalysis.hpp.

◆ overrideTenors_

bool overrideTenors_

private

Definition at line 146 of file sensitivityanalysis.hpp.

◆ nonShiftedBaseCurrencyConversion_

bool nonShiftedBaseCurrencyConversion_

private

Definition at line 149 of file sensitivityanalysis.hpp.

◆ referenceData_

QuantLib::ext::shared_ptr<ore::data::ReferenceDataManager> referenceData_

private

Definition at line 150 of file sensitivityanalysis.hpp.

◆ iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

private

Definition at line 151 of file sensitivityanalysis.hpp.

◆ continueOnError_

bool continueOnError_

private

Definition at line 153 of file sensitivityanalysis.hpp.

◆ engineData_

QuantLib::ext::shared_ptr<EngineData> engineData_

private

the engine data (provided as input, needed to construct the engine factory)

Definition at line 155 of file sensitivityanalysis.hpp.

◆ portfolio_

QuantLib::ext::shared_ptr<Portfolio> portfolio_

private

the portfolio (provided as input)

Definition at line 157 of file sensitivityanalysis.hpp.

◆ dryRun_

bool dryRun_

private

do dry run

Definition at line 159 of file sensitivityanalysis.hpp.

◆ modelBuilders_

std::set<std::pair<string, QuantLib::ext::shared_ptr<QuantExt::ModelBuilder> > > modelBuilders_

private

model builders

Definition at line 162 of file sensitivityanalysis.hpp.

◆ sensiCubes_

std::vector<QuantLib::ext::shared_ptr<SensitivityCube> > sensiCubes_

private

sensitivityCube

Definition at line 164 of file sensitivityanalysis.hpp.

◆ useSingleThreadedEngine_

bool useSingleThreadedEngine_

private

Definition at line 166 of file sensitivityanalysis.hpp.

◆ nThreads_

Size nThreads_

private

Definition at line 168 of file sensitivityanalysis.hpp.

◆ loader_

QuantLib::ext::shared_ptr<ore::data::Loader> loader_

private

Definition at line 169 of file sensitivityanalysis.hpp.

◆ context_

std::string context_

private

Definition at line 170 of file sensitivityanalysis.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ SensitivityAnalysis() [1/2]

◆ SensitivityAnalysis() [2/2]

◆ ~SensitivityAnalysis()

Member Function Documentation

◆ generateSensitivities()

◆ asof()

◆ marketConfiguration()

◆ simMarket()

◆ scenarioGenerator()

◆ simMarketData()

◆ sensitivityData()

◆ overrideTenors()

◆ portfolio()

◆ sensiCubes()

◆ sensiCube()

Member Data Documentation

◆ market_

◆ marketConfiguration_

◆ asof_

◆ scenarioGenerator_

◆ simMarket_

◆ simMarketData_

◆ sensitivityData_

◆ recalibrateModels_

◆ curveConfigs_

◆ todaysMarketParams_

◆ overrideTenors_

◆ nonShiftedBaseCurrencyConversion_

◆ referenceData_

◆ iborFallbackConfig_

◆ continueOnError_

◆ engineData_

◆ portfolio_

◆ dryRun_

◆ modelBuilders_

◆ sensiCubes_

◆ useSingleThreadedEngine_

◆ nThreads_

◆ loader_

◆ context_