StressTestAnalyticImpl Class Reference

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

Inheritance diagram for StressTestAnalyticImpl:

Collaboration diagram for StressTestAnalyticImpl:

Public Member Functions
	StressTestAnalyticImpl (const boost::shared_ptr< InputParameters > &inputs)
void	runAnalytic (const boost::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 = "STRESS"

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 29 of file stresstestanalytic.hpp.

Constructor & Destructor Documentation

StressTestAnalyticImpl()

StressTestAnalyticImpl

(

const boost::shared_ptr< InputParameters > &

inputs

)

Definition at line 33 of file stresstestanalytic.hpp.

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

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Member Function Documentation

runAnalytic()

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

override

Definition at line 48 of file stresstestanalytic.cpp.

                                                                            {
    if (!analytic()->match(runTypes))
        return;
 
    LOG("StressTestAnalytic::runAnalytic called");
 
    Settings::instance().evaluationDate() = inputs_->asof();
    ObservationMode::instance().setMode(inputs_->observationModel());
    QL_REQUIRE(inputs_->portfolio(), "StressTestAnalytic::run: No portfolio loaded.");
 
    CONSOLEW("StressTestAnalytic: Build Market");
    analytic()->buildMarket(loader);
    CONSOLE("OK");
 
    CONSOLEW("StressTestAnalytic: Build Portfolio");
    analytic()->buildPortfolio();
    CONSOLE("OK");
    QuantLib::ext::shared_ptr<InMemoryReport> report = QuantLib::ext::make_shared<InMemoryReport>();
    // This hook allows modifying the portfolio in derived classes before running the analytics below,
    // e.g. to apply SIMM exemptions.
    analytic()->modifyPortfolio();
    CONSOLEW("Risk: Stress Test Report");
    LOG("Stress Test Analysis called");
    QuantLib::ext::shared_ptr<StressTestScenarioData> scenarioData = inputs_->stressScenarioData();
    if (scenarioData != nullptr && scenarioData->hasScenarioWithParShifts()) {
        try{
            ParStressTestConverter converter(
            inputs_->asof(), analytic()->configurations().todaysMarketParams,
            analytic()->configurations().simMarketParams, analytic()->configurations().sensiScenarioData,
            analytic()->configurations().curveConfig, analytic()->market(), inputs_->iborFallbackConfig());
            scenarioData = converter.convertStressScenarioData(scenarioData);
            analytic()->stressTests()[label()]["stress_ZeroStressData"] = scenarioData;
        } catch(const std::exception& e){
            StructuredAnalyticsErrorMessage(label(), "ParConversionFailed", e.what()).log();
        }
    }
 
    Settings::instance().evaluationDate() = inputs_->asof();
 
    std::string marketConfig = inputs_->marketConfig("pricing");
    std::vector<QuantLib::ext::shared_ptr<ore::data::EngineBuilder>> extraEngineBuilders;
    std::vector<QuantLib::ext::shared_ptr<ore::data::LegBuilder>> extraLegBuilders;
    QuantLib::ext::shared_ptr<StressTest> stressTest = QuantLib::ext::make_shared<StressTest>(
        analytic()->portfolio(), analytic()->market(), marketConfig, inputs_->pricingEngine(),
        analytic()->configurations().simMarketParams, scenarioData, *analytic()->configurations().curveConfig,
        *analytic()->configurations().todaysMarketParams, nullptr, inputs_->refDataManager(),
        *inputs_->iborFallbackConfig(), inputs_->continueOnError());
    stressTest->writeReport(report, inputs_->stressThreshold());
    analytic()->reports()[label()]["stress"] = report;
    CONSOLE("OK");
}

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setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

Definition at line 34 of file stresstestanalytic.cpp.

                                                 {
    const auto stressData =  inputs_->stressScenarioData();
    analytic()->configurations().simulationConfigRequired = true;
    if (stressData != nullptr) {
        analytic()->configurations().sensitivityConfigRequired = stressData->hasScenarioWithParShifts();
    } else {
        analytic()->configurations().sensitivityConfigRequired = false;
    }
    analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
    analytic()->configurations().simMarketParams = inputs_->stressSimMarketParams();
    analytic()->configurations().sensiScenarioData = inputs_->stressSensitivityScenarioData();
    setGenerateAdditionalResults(true);
}

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Member Data Documentation

LABEL

constexpr const char* LABEL = "STRESS"

staticconstexpr

Definition at line 31 of file stresstestanalytic.hpp.