SimmAnalytic Class Reference

#include <orea/app/analytics/simmanalytic.hpp>

Inheritance diagram for SimmAnalytic:

Collaboration diagram for SimmAnalytic:

Public Member Functions
	SimmAnalytic (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const Crif &crif=Crif(), const bool hasNettingSetDetails=false, const bool determineWinningRegulations=true)
const Crif &	crif () const
bool	hasNettingSetDetails ()
bool	determineWinningRegulations ()
virtual void	loadCrifRecords (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader)
	Load CRIF from external source, override to generate CRIF. More...
Public Member Functions inherited from Analytic
	Analytic ()
	Constructors. More...
	Analytic (std::unique_ptr< Impl > impl, const std::set< std::string > &analyticTypes, const QuantLib::ext::shared_ptr< InputParameters > &inputs, bool simulationConfig=false, bool sensitivityConfig=false, bool scenarioGeneratorConfig=false, bool crossAssetModelConfig=false)
virtual	~Analytic ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})
	Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty. More...
virtual void	buildConfigurations (const bool=false)
virtual void	setUpConfigurations ()
virtual void	buildMarket (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)
virtual void	buildPortfolio ()
virtual void	marketCalibration (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &mcr=nullptr)
virtual void	modifyPortfolio ()
virtual void	replaceTrades ()
const std::string	label () const
	Inspectors. More...
const std::set< std::string > &	analyticTypes () const
const QuantLib::ext::shared_ptr< InputParameters > &	inputs () const
const QuantLib::ext::shared_ptr< ore::data::Market > &	market () const
QuantLib::ext::shared_ptr< MarketImpl >	getMarket () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	setMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market)
void	setPortfolio (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()
const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader () const
Configurations &	configurations ()
analytic_reports &	reports ()
	Result reports. More...
analytic_npvcubes &	npvCubes ()
analytic_mktcubes &	mktCubes ()
analytic_stresstests &	stressTests ()
const bool	getWriteIntermediateReports () const
void	setWriteIntermediateReports (const bool flag)
bool	match (const std::set< std::string > &runTypes)
	Check whether any of the requested run types is covered by this analytic. More...
const std::unique_ptr< Impl > &	impl ()
std::set< QuantLib::Date >	marketDates () const
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const

Private Attributes
Crif	crif_
bool	hasNettingSetDetails_
bool	determineWinningRegulations_

Additional Inherited Members
Public Types inherited from Analytic
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	analytic_reports
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< NPVCube > > >	analytic_npvcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< AggregationScenarioData > > >	analytic_mktcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< StressTestScenarioData > > >	analytic_stresstests
Protected Attributes inherited from Analytic
std::unique_ptr< Impl >	impl_
std::set< std::string >	types_
	list of analytic types run by this analytic More...
QuantLib::ext::shared_ptr< InputParameters >	inputs_
	contains all the input parameters for the run More...
Configurations	configurations_
QuantLib::ext::shared_ptr< ore::data::Market >	market_
QuantLib::ext::shared_ptr< ore::data::Loader >	loader_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
analytic_reports	reports_
analytic_npvcubes	npvCubes_
analytic_mktcubes	mktCubes_
analytic_stresstests	stressTests_
bool	writeIntermediateReports_ = true

Detailed Description

Definition at line 42 of file simmanalytic.hpp.

Constructor & Destructor Documentation

SimmAnalytic()

SimmAnalytic	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const Crif &	crif = Crif(),
		const bool	hasNettingSetDetails = false,
		const bool	determineWinningRegulations = true
	)

Definition at line 44 of file simmanalytic.hpp.

        : Analytic(std::make_unique<SimmAnalyticImpl>(inputs), {"SIMM"}, inputs, false, false, false, false),
          crif_(crif),
          hasNettingSetDetails_(hasNettingSetDetails),
          determineWinningRegulations_(determineWinningRegulations) {
        setWriteIntermediateReports(inputs->writeSimmIntermediateReports());
    }

Member Function Documentation

crif()

const Crif & crif

(

)

const

Definition at line 54 of file simmanalytic.hpp.

{ return crif_; }

hasNettingSetDetails()

bool hasNettingSetDetails

(

)

Definition at line 55 of file simmanalytic.hpp.

{ return hasNettingSetDetails_; }

determineWinningRegulations()

bool determineWinningRegulations

(

)

Definition at line 56 of file simmanalytic.hpp.

{ return determineWinningRegulations_; }

loadCrifRecords()

void loadCrifRecords ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader )

virtual

Load CRIF from external source, override to generate CRIF.

Definition at line 111 of file simmanalytic.cpp.

                                                                                             {
    QL_REQUIRE(inputs_, "Inputs not set");
    QL_REQUIRE(!inputs_->crif().empty(), "CRIF loader does not contain any records");
        
    crif_ = inputs_->crif();
    crif_.fillAmountUsd(market());
    hasNettingSetDetails_ = crif_.hasNettingSetDetails();
}

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Member Data Documentation

crif_

Crif crif_

private

Definition at line 62 of file simmanalytic.hpp.

hasNettingSetDetails_

bool hasNettingSetDetails_

private

Definition at line 63 of file simmanalytic.hpp.

determineWinningRegulations_

bool determineWinningRegulations_

private

Definition at line 64 of file simmanalytic.hpp.