#include <orea/scenario/shiftscenariogenerator.hpp>

Inheritance diagram for ShiftScenarioGenerator:

Collaboration diagram for ShiftScenarioGenerator:

Classes
class	ScenarioDescription

Public Member Functions
	ShiftScenarioGenerator (const QuantLib::ext::shared_ptr< Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::weak_ptr< ScenarioSimMarket > &simMarket)
	Constructor. More...

	~ShiftScenarioGenerator ()
	Default destructor. More...

QuantLib::ext::shared_ptr< Scenario >	next (const Date &d) override
	Scenario Generator interface. More...

void	reset () override
	Reset the generator so calls to next() return the first scenario. More...

Size	samples ()
	Inspectors. More...

const QuantLib::ext::shared_ptr< Scenario > &	baseScenario ()
	Return the base scenario, i.e. cached initial values of all relevant market points. More...

const std::vector< QuantLib::ext::shared_ptr< Scenario > > &	scenarios ()
	Return vector of sensitivity scenarios, scenario 0 is the base scenario. More...

std::vector< ScenarioDescription >	scenarioDescriptions ()
	Return vector of scenario descriptions. More...

const std::map< RiskFactorKey, std::string > &	keyToFactor ()

const std::map< std::string, RiskFactorKey > &	factorToKey ()
	Return revers map of factors to RiskFactorKeys. More...

void	applyShift (Size j, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftTimes, const vector< Real > &values, const vector< Time > &times, vector< Real > &shiftedValues, bool initialise)
	Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access. More...

void	applyShift (Size j, Size k, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftX, const vector< Time > &shiftY, const vector< Time > &dataX, const vector< Time > &dataY, const vector< vector< Real > > &data, vector< vector< Real > > &shiftedData, bool initialise)
	Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access. More...

QuantLib::ext::shared_ptr< Scenario >	baseScenario () const
	return the base scenario More...

Public Member Functions inherited from ScenarioGenerator
virtual	~ScenarioGenerator ()
	Default destructor. More...

virtual QuantLib::ext::shared_ptr< Scenario >	next (const Date &d)=0
	Return the next scenario for the given date. More...

virtual void	reset ()=0
	Reset the generator so calls to next() return the first scenario. More...

Protected Attributes
const QuantLib::ext::shared_ptr< Scenario >	baseScenario_

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

const QuantLib::ext::weak_ptr< ScenarioSimMarket >	simMarket_

std::vector< QuantLib::ext::shared_ptr< Scenario > >	scenarios_

Size	counter_

std::vector< ScenarioDescription >	scenarioDescriptions_

std::map< RiskFactorKey, std::string >	keyToFactor_

std::map< std::string, RiskFactorKey >	factorToKey_

Detailed Description

Shift Scenario Generator.

Base class for sensitivity and stress scenario generators

Definition at line 43 of file shiftscenariogenerator.hpp.

Constructor & Destructor Documentation

◆ ShiftScenarioGenerator()

ShiftScenarioGenerator	(	const QuantLib::ext::shared_ptr< Scenario > &	baseScenario,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketData,
		const QuantLib::ext::weak_ptr< ScenarioSimMarket > &	simMarket
	)

Constructor.

Definition at line 130 of file shiftscenariogenerator.cpp.

  : baseScenario_(baseScenario), simMarketData_(simMarketData), simMarket_(simMarket), counter_(0) {
    QL_REQUIRE(baseScenario_ != NULL, "ShiftScenarioGenerator: baseScenario is null");
    QL_REQUIRE(simMarketData_ != NULL, "ShiftScenarioGenerator: simMarketData is null");
    scenarios_.push_back(baseScenario_);
    scenarioDescriptions_.push_back(ScenarioDescription(ScenarioDescription::Type::Base));
}

◆ ~ShiftScenarioGenerator()

~ShiftScenarioGenerator ( )

Default destructor.

Definition at line 93 of file shiftscenariogenerator.hpp.

93{};

Member Function Documentation

◆ next()

QuantLib::ext::shared_ptr< Scenario > next ( const Date & d )

overridevirtual

Scenario Generator interface.

Implements ScenarioGenerator.

Definition at line 140 of file shiftscenariogenerator.cpp.

                                                                          {
    QL_REQUIRE(counter_ < scenarios_.size(), "scenario vector size " << scenarios_.size() << " exceeded");
    return scenarios_[counter_++];
}

◆ reset()

void reset ( )

overridevirtual

Reset the generator so calls to next() return the first scenario.

This allows re-generation of scenarios if required.

Implements ScenarioGenerator.

Definition at line 98 of file shiftscenariogenerator.hpp.

98{ counter_ = 0; }

◆ samples()

Size samples ( )

Inspectors.

Number of shift scenarios

Definition at line 104 of file shiftscenariogenerator.hpp.

104{ return scenarios_.size(); }

◆ baseScenario() [1/2]

const QuantLib::ext::shared_ptr< Scenario > & baseScenario ( )

Return the base scenario, i.e. cached initial values of all relevant market points.

Definition at line 106 of file shiftscenariogenerator.hpp.

106{ return scenarios_.front(); }

◆ scenarios()

const std::vector< QuantLib::ext::shared_ptr< Scenario > > & scenarios ( )

Return vector of sensitivity scenarios, scenario 0 is the base scenario.

Definition at line 108 of file shiftscenariogenerator.hpp.

108{ return scenarios_; }

◆ scenarioDescriptions()

std::vector< ScenarioDescription > scenarioDescriptions ( )

Return vector of scenario descriptions.

Definition at line 110 of file shiftscenariogenerator.hpp.

110{ return scenarioDescriptions_; }

◆ keyToFactor()

const std::map< RiskFactorKey, std::string > & keyToFactor ( )

Definition at line 112 of file shiftscenariogenerator.hpp.

112{ return keyToFactor_; }

ore::analytics::ShiftScenarioGenerator::keyToFactor_

std::map< RiskFactorKey, std::string > keyToFactor_

Definition: shiftscenariogenerator.hpp:190

◆ factorToKey()

const std::map< std::string, RiskFactorKey > & factorToKey ( )

Return revers map of factors to RiskFactorKeys.

Definition at line 114 of file shiftscenariogenerator.hpp.

114{ return factorToKey_; }

ore::analytics::ShiftScenarioGenerator::factorToKey_

std::map< std::string, RiskFactorKey > factorToKey_

Definition: shiftscenariogenerator.hpp:192

◆ applyShift() [1/2]

void applyShift	(	Size	j,
		Real	shiftSize,
		bool	up,
		ShiftType	type,
		const vector< Time > &	shiftTimes,
		const vector< Real > &	values,
		const vector< Time > &	times,
		vector< Real > &	shiftedValues,
		bool	initialise
	)

Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access.

Apply triangular shaped shifts to the underlying curve where the triangle reaches from the previous to the next shift tenor point with peak at the current shift tenor point. At the initial and final shift tenor the shape is replaced such that the full shift is applied to all curve grid points to the left of the first shift point and to the right of the last shift point, respectively. The procedure guarantees that no sensitivity to original curve points is "missed" when the shift curve is less granular, e.g. original curve |...|...|...|...|...|...|...|...|...| shift curve ......|...........|...........|......

Parameters

j	Number of the shift curve tenor point to be shifted here
shiftSize	Shift size interpreted as either absolute or relative shift
up	Upwards shift if true, otherwise downwards
type	Absolute: newValue = oldValue + shiftSize. Relative: newValue = oldValue * (1 + shiftSize)
shiftTimes	Shift tenors expressed as times
values	Input curve values such as zero rates
times	Tenor points of the input curve, expressed as times
shiftedValues	Resulting shifted curve with same tenor structure as the input curve
initialise	Initialise shiftedValues vector before applying this shift j (yes for sensitivity, no for stress)

Here is the caller graph for this function:

◆ applyShift() [2/2]

void applyShift	(	Size	j,
		Size	k,
		Real	shiftSize,
		bool	up,
		ShiftType	type,
		const vector< Time > &	shiftX,
		const vector< Time > &	shiftY,
		const vector< Time > &	dataX,
		const vector< Time > &	dataY,
		const vector< vector< Real > > &	data,
		vector< vector< Real > > &	shiftedData,
		bool	initialise
	)

Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access.

This is the 2d generalisation of the 1d version of applyShift()

Parameters

j	Index of the shift tenor in "expiry" direction
k	Index of the shift tenor in "term" (Swaptions) or "strike" (Caps) direction
shiftSize	Shift size interpreted as either absolute or relative shift
up	Upwards shift if true, otherwise downwards
type	Absolute: newValue = oldValue + shiftSize. Relative: newValue = oldValue * (1 + shiftSize)
shiftX	Coordinate time in "expiry" direction of the shift curve
shiftY	Coordinate time in "term" or "strike" direction of the shift curve
dataX	Coordinate time in "expiry" direction of the underlying data
dataY	Coordinate time in "term" or "strike" direction of the underlying data
data	Matrix of input data
shiftedData	Matrix of shifted result data
initialise	Initialise shiftedData vector before applying this shift j/k (yes for sensitivity, no for stress)

Definition at line 277 of file shiftscenariogenerator.cpp.

                                                         {
    QL_REQUIRE(shiftX.size() >= 1 && shiftY.size() >= 1, "shift vector size >= 1 required");
    QL_REQUIRE(i < shiftX.size(), "index i out of range");
    QL_REQUIRE(j < shiftY.size(), "index j out of range");
 
    // initialise the shifted data
    if (initialise) {
        for (Size k = 0; k < dataX.size(); ++k) {
            for (Size l = 0; l < dataY.size(); ++l)
                shiftedData[k][l] = data[k][l];
        }
    }
 
    // single shift point means parallel shift
    if (shiftX.size() == 1 && shiftY.size() == 1) {
        Real w = up ? 1.0 : -1.0;
        for (Size k = 0; k < dataX.size(); ++k) {
            for (Size l = 0; l < dataY.size(); ++l) {
                if (shiftType == ShiftType::Absolute)
                    shiftedData[k][l] += w * shiftSize;
                else
                    shiftedData[k][l] *= (1.0 + w * shiftSize);
            }
        }
        return;
    }
 
    Size iMax = shiftX.size() - 1;
    Size jMax = shiftY.size() - 1;
    Real tx = shiftX[i];
    Real ty = shiftY[j];
    Real tx1 = i > 0 ? shiftX[i - 1] : QL_MAX_REAL;
    Real ty1 = j > 0 ? shiftY[j - 1] : QL_MAX_REAL;
    Real tx2 = i < iMax ? shiftX[i + 1] : -QL_MAX_REAL;
    Real ty2 = j < jMax ? shiftY[j + 1] : -QL_MAX_REAL;
 
    for (Size ix = 0; ix < dataX.size(); ++ix) {
        Real x = dataX[ix];
        for (Size iy = 0; iy < dataY.size(); ++iy) {
            Real y = dataY[iy];
            Real wx = 0.0;
            Real wy = 0.0;
            if (x >= tx && x <= tx2 && y >= ty && y <= ty2) {
                wx = (tx2 - x) / (tx2 - tx);
                wy = (ty2 - y) / (ty2 - ty);
            } else if (x >= tx && x <= tx2 && y >= ty1 && y <= ty) {
                wx = (tx2 - x) / (tx2 - tx);
                wy = (y - ty1) / (ty - ty1);
            } else if (x >= tx1 && x <= tx && y >= ty1 && y <= ty) {
                wx = (x - tx1) / (tx - tx1);
                wy = (y - ty1) / (ty - ty1);
            } else if (x >= tx1 && x <= tx && y >= ty && y <= ty2) {
                wx = (x - tx1) / (tx - tx1);
                wy = (ty2 - y) / (ty2 - ty);
            } else if ((x <= tx && i == 0 && y < ty && j == 0) || (x <= tx && i == 0 && y >= ty && j == jMax) ||
                       (x >= tx && i == iMax && y >= ty && j == jMax) || (x >= tx && i == iMax && y < ty && j == 0)) {
                wx = 1.0;
                wy = 1.0;
            } else if (((x <= tx && i == 0) || (x >= tx && i == iMax)) && y >= ty1 && y <= ty) {
                wx = 1.0;
                wy = (y - ty1) / (ty - ty1);
            } else if (((x <= tx && i == 0) || (x >= tx && i == iMax)) && y >= ty && y <= ty2) {
                wx = 1.0;
                wy = (ty2 - y) / (ty2 - ty);
            } else if (x >= tx1 && x <= tx && ((y < ty && j == 0) || (y >= ty && j == jMax))) {
                wx = (x - tx1) / (tx - tx1);
                wy = 1.0;
            } else if (x >= tx && x <= tx2 && ((y < ty && j == 0) || (y >= ty && j == jMax))) {
                wx = (tx2 - x) / (tx2 - tx);
                wy = 1.0;
            }
            QL_REQUIRE(wx >= 0.0 && wx <= 1.0, "wx out of range");
            QL_REQUIRE(wy >= 0.0 && wy <= 1.0, "wy out of range");
 
            Real w = up ? 1.0 : -1.0;
            if (shiftType == ShiftType::Absolute)
                shiftedData[ix][iy] += w * wx * wy * shiftSize;
            else
                shiftedData[ix][iy] *= (1.0 + w * wx * wy * shiftSize);
        }
    }
}

◆ baseScenario() [2/2]

QuantLib::ext::shared_ptr< Scenario > baseScenario ( ) const

return the base scenario

Definition at line 180 of file shiftscenariogenerator.hpp.

180{ return scenarios_.front(); }

Member Data Documentation

◆ baseScenario_

const QuantLib::ext::shared_ptr<Scenario> baseScenario_

protected

Definition at line 183 of file shiftscenariogenerator.hpp.

◆ simMarketData_

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

protected

Definition at line 184 of file shiftscenariogenerator.hpp.

◆ simMarket_

const QuantLib::ext::weak_ptr<ScenarioSimMarket> simMarket_

protected

Definition at line 185 of file shiftscenariogenerator.hpp.

◆ scenarios_

std::vector<QuantLib::ext::shared_ptr<Scenario> > scenarios_

protected

Definition at line 186 of file shiftscenariogenerator.hpp.

◆ counter_

Size counter_

protected

Definition at line 187 of file shiftscenariogenerator.hpp.

◆ scenarioDescriptions_

std::vector<ScenarioDescription> scenarioDescriptions_

protected

Definition at line 188 of file shiftscenariogenerator.hpp.

◆ keyToFactor_

std::map<RiskFactorKey, std::string> keyToFactor_

protected

Definition at line 190 of file shiftscenariogenerator.hpp.

◆ factorToKey_

std::map<std::string, RiskFactorKey> factorToKey_

protected

Definition at line 192 of file shiftscenariogenerator.hpp.

Classes

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ ShiftScenarioGenerator()

◆ ~ShiftScenarioGenerator()

Member Function Documentation

◆ next()

◆ reset()

◆ samples()

◆ baseScenario() [1/2]

◆ scenarios()

◆ scenarioDescriptions()

◆ keyToFactor()

◆ factorToKey()

◆ applyShift() [1/2]

◆ applyShift() [2/2]

◆ baseScenario() [2/2]

Member Data Documentation

◆ baseScenario_

◆ simMarketData_

◆ simMarket_

◆ scenarios_

◆ counter_

◆ scenarioDescriptions_

◆ keyToFactor_

◆ factorToKey_