Stress Test Analysis. More...

#include <orea/engine/stresstest.hpp>

Collaboration diagram for StressTest:

Public Member Functions
	StressTest (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< StressTestScenarioData > &stressData, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), QuantLib::ext::shared_ptr< ScenarioFactory > scenarioFactory={}, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), bool continueOnError=false)
	Constructor. More...

const std::set< std::string > &	trades ()
	Return set of trades analysed. More...

const std::set< std::string > &	stressTests ()
	Return unique set of factors shifted. More...

const std::map< std::string, Real > &	baseNPV ()
	Return base NPV by trade, before shift. More...

const std::map< std::pair< std::string, std::string >, Real > &	shiftedNPV ()
	Return shifted NPVs by trade and scenario. More...

const std::map< std::pair< std::string, std::string >, Real > &	delta ()
	Return delta NPV by trade and scenario. More...

void	writeReport (const QuantLib::ext::shared_ptr< ore::data::Report > &report, Real outputThreshold=0.0)
	Write NPV by trade/scenario to a file (base and shifted NPVs, delta) More...

Private Attributes
std::map< std::string, Real >	baseNPV_

std::map< std::pair< string, string >, Real >	shiftedNPV_

std::map< std::pair< string, string >, Real >	delta_

std::set< std::string >	labels_

std::set< std::string >	trades_

Detailed Description

Stress Test Analysis.

This class wraps functionality to perform a stress testing 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
fill result structures that can be queried
write stress test report to a file

Definition at line 55 of file stresstest.hpp.

Constructor & Destructor Documentation

◆ StressTest()

StressTest	(	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< StressTestScenarioData > &	stressData,
		const ore::data::CurveConfigurations &	curveConfigs = `ore::data::CurveConfigurations()`,
		const ore::data::TodaysMarketParameters &	todaysMarketParams = `ore::data::TodaysMarketParameters()`,
		QuantLib::ext::shared_ptr< ScenarioFactory >	scenarioFactory = `{}`,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		bool	continueOnError = `false`
	)

Constructor.

Definition at line 39 of file stresstest.cpp.

                                                                                           {
 
    LOG("Run Stress Test");
    DLOG("Build Simulation Market");
    QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket = QuantLib::ext::make_shared<ScenarioSimMarket>(
        market, simMarketData, marketConfiguration, curveConfigs, todaysMarketParams, continueOnError,
        stressData->useSpreadedTermStructures(), false, false, iborFallbackConfig, true);
 
    DLOG("Build Stress Scenario Generator");
    Date asof = market->asofDate();
    QuantLib::ext::shared_ptr<Scenario> baseScenario = simMarket->baseScenario();
    scenarioFactory = scenarioFactory ? scenarioFactory : QuantLib::ext::make_shared<CloneScenarioFactory>(baseScenario);
    QuantLib::ext::shared_ptr<StressScenarioGenerator> scenarioGenerator = QuantLib::ext::make_shared<StressScenarioGenerator>(
        stressData, baseScenario, simMarketData, simMarket, scenarioFactory, simMarket->baseScenarioAbsolute());
    simMarket->scenarioGenerator() = scenarioGenerator;
 
    DLOG("Build Engine Factory");
    map<MarketContext, string> configurations;
    configurations[MarketContext::pricing] = marketConfiguration;
    auto ed = QuantLib::ext::make_shared<EngineData>(*engineData);
    ed->globalParameters()["RunType"] = "Stress";
    QuantLib::ext::shared_ptr<EngineFactory> factory =
    QuantLib::ext::make_shared<EngineFactory>(ed, simMarket, configurations, referenceData, iborFallbackConfig);
 
    DLOG("Reset and Build Portfolio");
    portfolio->reset();
    portfolio->build(factory, "stress analysis");
 
    DLOG("Build the cube object to store sensitivities");
    QuantLib::ext::shared_ptr<NPVCube> cube = QuantLib::ext::make_shared<DoublePrecisionInMemoryCube>(
        asof, portfolio->ids(), vector<Date>(1, asof), scenarioGenerator->samples());
 
    DLOG("Run Stress Scenarios");
    QuantLib::ext::shared_ptr<DateGrid> dg = QuantLib::ext::make_shared<DateGrid>("1,0W", NullCalendar());
    vector<QuantLib::ext::shared_ptr<ValuationCalculator>> calculators;
    calculators.push_back(QuantLib::ext::make_shared<NPVCalculator>(simMarketData->baseCcy()));
    ValuationEngine engine(asof, dg, simMarket, factory->modelBuilders());
 
    engine.registerProgressIndicator(QuantLib::ext::make_shared<ProgressLog>("stress scenarios", 100, oreSeverity::notice));
    engine.buildCube(portfolio, cube, calculators);
 
    /*****************
     * Collect results
     */
    baseNPV_.clear();
    shiftedNPV_.clear();
    delta_.clear();
    labels_.clear();
    trades_.clear();
    for (auto const& [tradeId, trade] : portfolio->trades()) {
        auto index = cube->idsAndIndexes().find(tradeId);
        if (index == cube->idsAndIndexes().end()) {
            ALOG("cube does not contain tradeId '" << tradeId << "'");
            continue;
        }
        Real npv0 = cube->getT0(index->second, 0);
        trades_.insert(tradeId);
        baseNPV_[tradeId] = npv0;
        for (Size j = 0; j < scenarioGenerator->samples(); ++j) {
            const string& label = scenarioGenerator->scenarios()[j]->label();
            TLOG("Adding stress test result for trade '" << tradeId << "' and scenario #" << j << " '" << label << "'");
            Real npv = cube->get(index->second, 0, j, 0);
            pair<string, string> p(tradeId, label);
            shiftedNPV_[p] = npv;
            delta_[p] = npv - npv0;
            labels_.insert(label);
        }
    }
    LOG("Stress testing done");
}

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Member Function Documentation

◆ trades()

const std::set< std::string > & trades ( )

Return set of trades analysed.

Definition at line 71 of file stresstest.hpp.

71{ return trades_; }

◆ stressTests()

const std::set< std::string > & stressTests ( )

Return unique set of factors shifted.

Definition at line 74 of file stresstest.hpp.

74{ return labels_; }

◆ baseNPV()

const std::map< std::string, Real > & baseNPV ( )

Return base NPV by trade, before shift.

Definition at line 77 of file stresstest.hpp.

77{ return baseNPV_; }

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◆ shiftedNPV()

const std::map< std::pair< std::string, std::string >, Real > & shiftedNPV ( )

Return shifted NPVs by trade and scenario.

Definition at line 80 of file stresstest.hpp.

80{ return shiftedNPV_; }

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◆ delta()

const std::map< std::pair< std::string, std::string >, Real > & delta ( )

Return delta NPV by trade and scenario.

Definition at line 83 of file stresstest.hpp.

83{ return delta_; }

◆ writeReport()

void writeReport	(	const QuantLib::ext::shared_ptr< ore::data::Report > &	report,
		Real	outputThreshold = `0.0`
	)

Write NPV by trade/scenario to a file (base and shifted NPVs, delta)

Definition at line 118 of file stresstest.cpp.

                                                                                                     {
 
    report->addColumn("TradeId", string());
    report->addColumn("ScenarioLabel", string());
    report->addColumn("Base NPV", double(), 2);
    report->addColumn("Scenario NPV", double(), 2);
    report->addColumn("Sensitivity", double(), 2);
 
    for (auto const& [id, npv] : shiftedNPV_) {
        string tradeId = id.first;
        string factor = id.second;
        Real base = baseNPV_[tradeId];
        Real sensi = npv - base;
        TLOG("Adding stress report result for tradeId '" << tradeId << "' and scenario '" << factor << ": sensi = "
                                                         << sensi << ", threshold = " << outputThreshold);
        if (fabs(sensi) > outputThreshold || QuantLib::close_enough(sensi, outputThreshold)) {
            report->next();
            report->add(tradeId);
            report->add(factor);
            report->add(base);
            report->add(npv);
            report->add(sensi);
        }
    }
 
    report->end();
}

Member Data Documentation

◆ baseNPV_

std::map<std::string, Real> baseNPV_

private

Definition at line 90 of file stresstest.hpp.

◆ shiftedNPV_

std::map<std::pair<string, string>, Real> shiftedNPV_

private

Definition at line 92 of file stresstest.hpp.

◆ delta_

std::map<std::pair<string, string>, Real> delta_

private

Definition at line 92 of file stresstest.hpp.

◆ labels_

std::set<std::string> labels_

private

Definition at line 94 of file stresstest.hpp.

◆ trades_

std::set<std::string> trades_

private

Definition at line 94 of file stresstest.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ StressTest()

Member Function Documentation

◆ trades()

◆ stressTests()

◆ baseNPV()

◆ shiftedNPV()

◆ delta()

◆ writeReport()

Member Data Documentation

◆ baseNPV_

◆ shiftedNPV_

◆ delta_

◆ labels_

◆ trades_