#include <orea/app/sensitivityrunner.hpp>

Collaboration diagram for SensitivityRunner:

Public Member Functions
	SensitivityRunner (QuantLib::ext::shared_ptr< Parameters > params, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool continueOnError=false)

virtual	~SensitivityRunner ()

virtual void	runSensitivityAnalysis (QuantLib::ext::shared_ptr< ore::data::Market > market, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams)

virtual void	sensiInputInitialize (QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensiData, QuantLib::ext::shared_ptr< EngineData > &engineData, QuantLib::ext::shared_ptr< Portfolio > &sensiPortfolio)
	Initialize input parameters to the sensitivities analysis. More...

virtual void	sensiOutputReports (const QuantLib::ext::shared_ptr< SensitivityAnalysis > &sensiAnalysis)
	Write out some standard sensitivities reports. More...

Inspectors
QuantLib::ext::shared_ptr< Parameters >	params_

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

IborFallbackConfig	iborFallbackConfig_

const bool	continueOnError_

QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_
	Scenario simulation market that is bumped for the sensitivity run. More...

QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensiData_
	Sensitivity configuration data used for the sensitivity run. More...

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

const QuantLib::ext::shared_ptr< SensitivityScenarioData > &	sensiData () const

Detailed Description

Definition at line 38 of file sensitivityrunner.hpp.

Constructor & Destructor Documentation

◆ SensitivityRunner()

SensitivityRunner	(	QuantLib::ext::shared_ptr< Parameters >	params,
		const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		const bool	continueOnError = `false`
	)

Definition at line 40 of file sensitivityrunner.hpp.

44 : params_(params), referenceData_(referenceData), iborFallbackConfig_(iborFallbackConfig),

45 continueOnError_(continueOnError) {}

ore::analytics::SensitivityRunner::continueOnError_

const bool continueOnError_

Definition: sensitivityrunner.hpp:72

ore::analytics::SensitivityRunner::params_

QuantLib::ext::shared_ptr< Parameters > params_

Definition: sensitivityrunner.hpp:69

ore::analytics::SensitivityRunner::referenceData_

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

Definition: sensitivityrunner.hpp:70

ore::analytics::SensitivityRunner::iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

Definition: sensitivityrunner.hpp:71

◆ ~SensitivityRunner()

virtual ~SensitivityRunner ( )

virtual

Definition at line 47 of file sensitivityrunner.hpp.

47{};

Member Function Documentation

◆ runSensitivityAnalysis()

void runSensitivityAnalysis	(	QuantLib::ext::shared_ptr< ore::data::Market >	market,
		const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfigs,
		const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams
	)

virtual

Definition at line 45 of file sensitivityrunner.cpp.

                                                                                                                        {
 
    MEM_LOG;
    LOG("Running sensitivity analysis");
 
    QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketData(new ScenarioSimMarketParameters);
    sensiData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    QuantLib::ext::shared_ptr<EngineData> engineData = QuantLib::ext::make_shared<EngineData>();
    QuantLib::ext::shared_ptr<Portfolio> sensiPortfolio = QuantLib::ext::make_shared<Portfolio>();
    string marketConfiguration = params_->get("markets", "sensitivity");
 
    sensiInputInitialize(simMarketData, sensiData_, engineData, sensiPortfolio);
 
    bool recalibrateModels =
        params_->has("sensitivity", "recalibrateModels") && parseBool(params_->get("sensitivity", "recalibrateModels"));
 
    bool analyticFxSensis = false;
    if (params_->has("sensitivity", "analyticFxSensis")) {
        analyticFxSensis = parseBool(params_->get("sensitivity", "analyticFxSensis"));
    }
 
    QuantLib::ext::shared_ptr<SensitivityAnalysis> sensiAnalysis = QuantLib::ext::make_shared<SensitivityAnalysis>(
        sensiPortfolio, market, marketConfiguration, engineData, simMarketData, sensiData_, recalibrateModels,
        curveConfigs, todaysMarketParams, false, referenceData_, iborFallbackConfig_, continueOnError_,
        analyticFxSensis);
    sensiAnalysis->generateSensitivities();
 
    simMarket_ = sensiAnalysis->simMarket();
 
    sensiOutputReports(sensiAnalysis);
 
    LOG("Sensitivity analysis completed");
    MEM_LOG;
}

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◆ sensiInputInitialize()

void sensiInputInitialize	(	QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketData,
		QuantLib::ext::shared_ptr< SensitivityScenarioData > &	sensiData,
		QuantLib::ext::shared_ptr< EngineData > &	engineData,
		QuantLib::ext::shared_ptr< Portfolio > &	sensiPortfolio
	)

virtual

Initialize input parameters to the sensitivities analysis.

Definition at line 82 of file sensitivityrunner.cpp.

                                                                                               {
 
    DLOG("sensiInputInitialize called");
 
    LOG("Get Simulation Market Parameters");
    string inputPath = params_->get("setup", "inputPath");
    string marketConfigFile = inputPath + "/" + params_->get("sensitivity", "marketConfigFile");
    simMarketData->fromFile(marketConfigFile);
 
    LOG("Get Sensitivity Parameters");
    string sensitivityConfigFile = inputPath + "/" + params_->get("sensitivity", "sensitivityConfigFile");
    sensiData->fromFile(sensitivityConfigFile);
 
    LOG("Get Engine Data");
    string sensiPricingEnginesFile = inputPath + "/" + params_->get("sensitivity", "pricingEnginesFile");
    engineData->fromFile(sensiPricingEnginesFile);
 
    LOG("Get Portfolio");
    string portfoliosString = params_->get("setup", "portfolioFile");
    vector<string> portfolioFiles = getFilenames(portfoliosString, inputPath);
    // Just load here. We build the portfolio in SensitivityAnalysis, after building SimMarket.
    for (auto portfolioFile : portfolioFiles) {
        sensiPortfolio->fromFile(portfolioFile);
    }
 
    DLOG("sensiInputInitialize done");
}

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◆ sensiOutputReports()

void sensiOutputReports ( const QuantLib::ext::shared_ptr< SensitivityAnalysis > & sensiAnalysis )

virtual

Write out some standard sensitivities reports.

Definition at line 113 of file sensitivityrunner.cpp.

                                                                                                          {
 
    string outputPath = params_->get("setup", "outputPath");
    Real sensiThreshold = parseReal(params_->get("sensitivity", "outputSensitivityThreshold"));
 
    string outputFile = outputPath + "/" + params_->get("sensitivity", "scenarioOutputFile");
    CSVFileReport scenReport(outputFile);
    ReportWriter().writeScenarioReport(scenReport, sensiAnalysis->sensiCubes(), sensiThreshold);
 
    // Create a stream from the sensitivity cube
    auto baseCurrency = sensiAnalysis->simMarketData()->baseCcy();
    auto ss = QuantLib::ext::make_shared<SensitivityCubeStream>(sensiAnalysis->sensiCube(), baseCurrency);
 
    Size outputPrecision = 2;
    if (params_->has("sensitivity", "outputPrecision")) {
        outputPrecision = parseInteger(params_->get("sensitivity", "outputPrecision"));
    }
 
    outputFile = outputPath + "/" + params_->get("sensitivity", "sensitivityOutputFile");
    CSVFileReport sensiReport(outputFile);
    ReportWriter().writeSensitivityReport(sensiReport, ss, sensiThreshold, outputPrecision);
 
    CSVFileReport pricingStatsReport(params_->get("setup", "outputPath") + "/pricingstats_sensi.csv");
    ore::analytics::ReportWriter().writePricingStats(pricingStatsReport, sensiAnalysis->portfolio());
}

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◆ simMarket()

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

Definition at line 64 of file sensitivityrunner.hpp.

64{ return simMarket_; }

◆ sensiData()

const QuantLib::ext::shared_ptr< SensitivityScenarioData > & sensiData ( ) const

Definition at line 65 of file sensitivityrunner.hpp.

65{ return sensiData_; }

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Member Data Documentation

◆ params_

QuantLib::ext::shared_ptr<Parameters> params_

protected

Definition at line 69 of file sensitivityrunner.hpp.

◆ referenceData_

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

protected

Definition at line 70 of file sensitivityrunner.hpp.

◆ iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

protected

Definition at line 71 of file sensitivityrunner.hpp.

◆ continueOnError_

const bool continueOnError_

protected

Definition at line 72 of file sensitivityrunner.hpp.

◆ simMarket_

QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_

protected

Scenario simulation market that is bumped for the sensitivity run.

Definition at line 75 of file sensitivityrunner.hpp.

◆ sensiData_

QuantLib::ext::shared_ptr<SensitivityScenarioData> sensiData_

protected

Sensitivity configuration data used for the sensitivity run.

Definition at line 78 of file sensitivityrunner.hpp.

Public Member Functions

Inspectors

Detailed Description

Constructor & Destructor Documentation

◆ SensitivityRunner()

◆ ~SensitivityRunner()

Member Function Documentation

◆ runSensitivityAnalysis()

◆ sensiInputInitialize()

◆ sensiOutputReports()

◆ simMarket()

◆ sensiData()

Member Data Documentation

◆ params_

◆ referenceData_

◆ iborFallbackConfig_

◆ continueOnError_

◆ simMarket_

◆ sensiData_