SimmAnalyticImpl Class Reference

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

Inheritance diagram for SimmAnalyticImpl:

Collaboration diagram for SimmAnalyticImpl:

Public Member Functions
	SimmAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
Public Member Functions inherited from Analytic::Impl
	Impl ()
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
virtual	~Impl ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})=0
virtual void	setUpConfigurations ()
virtual QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory ()
	build an engine factory More...
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T >
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
virtual std::vector< QuantLib::Date >	additionalMarketDates () const

Static Public Attributes
static constexpr const char *	LABEL = "SIMM"

Additional Inherited Members
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily More...
std::map< std::string, QuantLib::ext::shared_ptr< Analytic > >	dependentAnalytics_

Detailed Description

Definition at line 30 of file simmanalytic.hpp.

Constructor & Destructor Documentation

SimmAnalyticImpl()

SimmAnalyticImpl

(

const QuantLib::ext::shared_ptr< InputParameters > &

inputs

)

Definition at line 34 of file simmanalytic.hpp.

                                                                           : Analytic::Impl(inputs) {
        setLabel(LABEL);
    }

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Member Function Documentation

runAnalytic()

void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &  loader, const std::set< std::string > &  runTypes = {}  )

overridevirtual

Implements Analytic::Impl.

Definition at line 34 of file simmanalytic.cpp.

                                                                      {
    if (!analytic()->match(runTypes))
        return;
 
    LOG("SimmAnalytic::runAnalytic called");
 
    analytic()->buildMarket(loader, false);
 
    auto simmAnalytic = static_cast<SimmAnalytic*>(analytic());
    QL_REQUIRE(simmAnalytic, "Analytic must be of type SimmAnalytic");
 
    LOG("Get CRIF records from CRIF loader and fill amountUSD");        
    simmAnalytic->loadCrifRecords(loader);
 
    if (analytic()->getWriteIntermediateReports()) {
        QuantLib::ext::shared_ptr<InMemoryReport> crifReport = QuantLib::ext::make_shared<InMemoryReport>();
        ReportWriter(inputs_->reportNaString()).writeCrifReport(crifReport, simmAnalytic->crif());
        analytic()->reports()[LABEL]["crif"] = crifReport;
        LOG("CRIF report generated");
 
        Crif simmDataCrif = simmAnalytic->crif().aggregate();
        QuantLib::ext::shared_ptr<InMemoryReport> simmDataReport = QuantLib::ext::make_shared<InMemoryReport>();
        ReportWriter(inputs_->reportNaString())
            .writeSIMMData(simmAnalytic->crif(), simmDataReport);
        analytic()->reports()[LABEL]["simm_data"] = simmDataReport;
        LOG("SIMM data report generated");
    }
    MEM_LOG;
 
    LOG("Calculating SIMM");
 
    // Save SIMM calibration data to output
    if (inputs_->simmCalibrationData())
        inputs_->simmCalibrationData()->toFile((inputs_->resultsPath() / "simmcalibration.xml").string());
 
    auto simmConfig = inputs_->getSimmConfiguration();
    simmConfig->bucketMapper()->updateFromCrif(simmAnalytic->crif());
 
    // Calculate SIMM
    auto simm = QuantLib::ext::make_shared<SimmCalculator>(simmAnalytic->crif(),
                                                   simmConfig,
                                                   inputs_->simmCalculationCurrencyCall(),
                                                   inputs_->simmCalculationCurrencyPost(),
                                                   inputs_->simmResultCurrency(),
                                                   analytic()->market(),
                                                   simmAnalytic->determineWinningRegulations(),
                                                   inputs_->enforceIMRegulations());
 
    Real fxSpot = 1.0;
    if (!inputs_->simmReportingCurrency().empty()) {
        fxSpot = analytic()->market()
            ->fxRate(inputs_->simmResultCurrency() + inputs_->simmReportingCurrency())
            ->value();
        LOG("SIMM reporting currency is " << inputs_->simmReportingCurrency() << " with fxSpot " << fxSpot);
    }
 
    QuantLib::ext::shared_ptr<InMemoryReport> simmRegulationBreakdownReport = QuantLib::ext::make_shared<InMemoryReport>();
    ReportWriter(inputs_->reportNaString())
        .writeSIMMReport(simm->simmResults(), simmRegulationBreakdownReport, simmAnalytic->hasNettingSetDetails(),
                         inputs_->simmResultCurrency(), inputs_->simmCalculationCurrencyCall(),
                         inputs_->simmCalculationCurrencyPost(), inputs_->simmReportingCurrency(), false, fxSpot);
    LOG("SIMM regulation breakdown report generated");
    analytic()->reports()[LABEL]["regulation_breakdown_simm"] = simmRegulationBreakdownReport;
 
 
    QuantLib::ext::shared_ptr<InMemoryReport> simmReport = QuantLib::ext::make_shared<InMemoryReport>();
    ReportWriter(inputs_->reportNaString())
        .writeSIMMReport(simm->finalSimmResults(), simmReport, simmAnalytic->hasNettingSetDetails(),
                         inputs_->simmResultCurrency(), inputs_->simmCalculationCurrencyCall(),
                         inputs_->simmCalculationCurrencyPost(), inputs_->simmReportingCurrency(), fxSpot);
    analytic()->reports()[LABEL]["simm"] = simmReport;
    LOG("SIMM report generated");
    MEM_LOG;
 
}

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setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

Definition at line 30 of file simmanalytic.cpp.

                                           {
    analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
}

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Member Data Documentation

LABEL

constexpr const char* LABEL = "SIMM"

staticconstexpr

Definition at line 32 of file simmanalytic.hpp.