VarAnalyticImpl Class Reference

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

Inheritance diagram for VarAnalyticImpl:

Collaboration diagram for VarAnalyticImpl:

Public Member Functions
	VarAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const string &label)
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
virtual 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

Protected Member Functions
virtual void	setVarReport (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader)

Protected Attributes
QuantLib::ext::shared_ptr< VarReport >	varReport_
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 32 of file varanalytic.hpp.

Constructor & Destructor Documentation

VarAnalyticImpl()

VarAnalyticImpl	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const string &	label
	)

Definition at line 34 of file varanalytic.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 43 of file varanalytic.cpp.

                                                                 {
    MEM_LOG;
    LOG("Running parametric VaR");
 
    Settings::instance().evaluationDate() = inputs_->asof();
    ObservationMode::instance().setMode(inputs_->observationModel());
 
    LOG("VAR: Build Market");
    CONSOLEW("Risk: Build Market for VaR");
    analytic()->buildMarket(loader);
    CONSOLE("OK");
 
    CONSOLEW("Risk: Build Portfolio for VaR");
    analytic()->buildPortfolio();
    CONSOLE("OK");      
        
    setVarReport(loader);
    QL_REQUIRE(varReport_, "No Var Report created");
    
    LOG("Call VaR calculation");
    CONSOLEW("Risk: VaR Calculation");
    ext::shared_ptr<MarketRiskReport::Reports> reports = ext::make_shared<MarketRiskReport::Reports>();
    QuantLib::ext::shared_ptr<InMemoryReport> varReport = QuantLib::ext::make_shared<InMemoryReport>();
    reports->add(varReport);
 
    varReport_->calculate(reports);
    CONSOLE("OK");
        
    analytic()->reports()[label_]["var"] = varReport;
 
    LOG("VaR completed");
    MEM_LOG;
}

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setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

Reimplemented in ParametricVarAnalyticImpl, and HistoricalSimulationVarAnalyticImpl.

Definition at line 39 of file varanalytic.cpp.

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

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setVarReport()

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

protectedvirtual

Reimplemented in ParametricVarAnalyticImpl, and HistoricalSimulationVarAnalyticImpl.

Definition at line 45 of file varanalytic.hpp.

{};

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Member Data Documentation

varReport_

QuantLib::ext::shared_ptr<VarReport> varReport_

protected

Definition at line 43 of file varanalytic.hpp.