#include <orea/engine/varcalculator.hpp>

Inheritance diagram for VarReport:

Collaboration diagram for VarReport:

Public Member Functions
	VarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const vector< Real > &p, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, const bool breakdown=false)

void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override

const std::vector< Real > &	p () const

Public Member Functions inherited from MarketRiskReport
	MarketRiskReport (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false)

virtual	~MarketRiskReport ()

virtual void	initialise ()

void	initSimMarket ()
	Method to init simMarket_ for multi-threaded ctors. More...

virtual void	calculate (const QuantLib::ext::shared_ptr< Reports > &report)

void	enableCubeWrite (const std::string &cubeDir, const std::string &cubeFilename)

Public Member Functions inherited from ProgressReporter
	ProgressReporter ()

void	registerProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)

void	unregisterProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)

void	unregisterAllProgressIndicators ()

void	updateProgress (const unsigned long progress, const unsigned long total, const std::string &detail="")

void	resetProgress ()

const std::set< QuantLib::ext::shared_ptr< ProgressIndicator > > &	progressIndicators () const

Protected Member Functions
virtual void	createVarCalculator ()=0

void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override

std::vector< ore::data::TimePeriod >	timePeriods () override

Protected Member Functions inherited from MarketRiskReport
virtual void	initialiseRiskGroups ()
	Method for shared initialisation. More...

virtual void	registerProgressIndicators ()

virtual void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)=0

virtual bool	runTradeDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

virtual QuantLib::ext::shared_ptr< ScenarioFilter >	createScenarioFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)

virtual void	reset (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)

virtual bool	runTradeRiskGroup (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	disablesAll (const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const

virtual void	updateFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter)
	update any filters required More...

virtual std::string	portfolioId (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const

virtual std::string	tradeGroupKey (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const

virtual ore::data::TimePeriod	covariancePeriod () const

virtual void	addPnlCalculators (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

virtual void	handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual bool	includeDeltaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	includeGammaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	runFullReval (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual bool	generateCube (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual std::string	cubeFilePath (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const

virtual std::vector< ore::data::TimePeriod >	timePeriods ()

virtual void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual void	closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

Protected Attributes
QuantLib::ext::shared_ptr< VarCalculator >	varCalculator_

Protected Attributes inherited from MarketRiskReport
bool	sensiBased_ = false

bool	fullReval_ = false

std::string	calculationCurrency_

QuantLib::ext::shared_ptr< Portfolio >	portfolio_

std::string	portfolioFilter_

boost::optional< ore::data::TimePeriod >	period_

QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	hisScenGen_

std::unique_ptr< SensiRunArgs >	sensiArgs_

std::unique_ptr< FullRevalArgs >	fullRevalArgs_

std::unique_ptr< MultiThreadArgs >	multiThreadArgs_

bool	breakdown_ = false

bool	requireTradePnl_ = false

QuantLib::ext::shared_ptr< MarketRiskGroupBaseContainer >	riskGroups_

QuantLib::ext::shared_ptr< TradeGroupBaseContainer >	tradeGroups_

std::map< std::string, std::set< std::pair< std::string, QuantLib::Size > > >	tradeIdGroups_

std::set< std::pair< std::string, QuantLib::Size > >	tradeIdIdxPairs_

std::vector< std::string >	tradeIds_

std::map< RiskFactorKey, QuantLib::Real >	deltas_

std::map< std::pair< RiskFactorKey, RiskFactorKey >, QuantLib::Real >	gammas_

QuantLib::Matrix	covarianceMatrix_

bool	writePnl_ = false

std::vector< QuantLib::ext::shared_ptr< PNLCalculator > >	pnlCalculators_

QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage >	salvage_

bool	includeDeltaMargin_ = true

bool	includeGammaMargin_ = true

QuantLib::ext::shared_ptr< ore::data::EngineFactory >	factory_

QuantLib::ext::shared_ptr< ore::analytics::HistoricalPnlGenerator >	histPnlGen_

QuantLib::ext::shared_ptr< HistoricalSensiPnlCalculator >	sensiPnlCalculator_

Private Attributes
std::vector< Real >	p_

Detailed Description

Definition at line 42 of file varcalculator.hpp.

Constructor & Destructor Documentation

◆ VarReport()

VarReport	(	const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const std::string &	portfolioFilter,
		const vector< Real > &	p,
		boost::optional< ore::data::TimePeriod >	period,
		const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &	hisScenGen = `nullptr`,
		std::unique_ptr< SensiRunArgs >	sensiArgs = `nullptr`,
		std::unique_ptr< FullRevalArgs >	fullRevalArgs = `nullptr`,
		const bool	breakdown = `false`
	)

Definition at line 25 of file varcalculator.cpp.

29 : MarketRiskReport(baseCurrency, portfolio, portfolioFilter, period, hisScenGen, std::move(sensiArgs), std::move(fullRevalArgs), nullptr, breakdown), p_(p) {

30}

ore::analytics::MarketRiskReport::MarketRiskReport

MarketRiskReport(const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false)

Definition: marketriskreport.hpp:226

ore::analytics::VarReport::p_

std::vector< Real > p_

Definition: varcalculator.hpp:67

ore::analytics::VarReport::p

const std::vector< Real > & p() const

Definition: varcalculator.hpp:54

Member Function Documentation

◆ createReports()

void createReports ( const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > & reports )

overridevirtual

Implements MarketRiskReport.

Definition at line 32 of file varcalculator.cpp.

                                                                                   {
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for VAR report");
    QuantLib::ext::shared_ptr<Report> report = reports->reports().at(0);
    // prepare report
    report->addColumn("Portfolio", string()).addColumn("RiskClass", string()).addColumn("RiskType", string());
    for (Size i = 0; i < p_.size(); ++i)
        report->addColumn("Quantile_" + std::to_string(p_[i]), double(), 6);
 
    createVarCalculator();
}

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◆ p()

const std::vector< Real > & p ( ) const

Definition at line 54 of file varcalculator.hpp.

54{ return p_; }

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◆ createVarCalculator()

virtual void createVarCalculator ( )

protectedpure virtual

Implemented in HistoricalSimulationVarReport, and ParametricVarReport.

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◆ writeReports()

void writeReports	(	const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &	report,
		const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &	riskGroup,
		const QuantLib::ext::shared_ptr< TradeGroupBase > &	tradeGroup
	)

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 43 of file varcalculator.cpp.

                                                                                 {
 
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for VAR report");
    QuantLib::ext::shared_ptr<Report> report = reports->reports().at(0);
 
    auto rg = ext::dynamic_pointer_cast<MarketRiskGroup>(riskGroup);
    auto tg = ext::dynamic_pointer_cast<TradeGroup>(tradeGroup);
 
    std::vector<Real> var;
    auto quantiles = p();
    for (auto q : quantiles)
        var.push_back(varCalculator_->var(q));
 
    if (!close_enough(QuantExt::detail::absMax(var), 0.0)) {
        report->next();
        report->add(tg->portfolioId());
        report->add(to_string(rg->riskClass()));
        report->add(to_string(rg->riskType()));
        for (auto const& v : var)
            report->add(v);
    }
}

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◆ timePeriods()

std::vector< ore::data::TimePeriod > timePeriods ( )

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

Definition at line 64 of file varcalculator.hpp.

64{ return {period_.get()}; }

ore::analytics::MarketRiskReport::period_

boost::optional< ore::data::TimePeriod > period_

Definition: marketriskreport.hpp:265

Member Data Documentation

◆ varCalculator_

QuantLib::ext::shared_ptr<VarCalculator> varCalculator_

protected

Definition at line 57 of file varcalculator.hpp.

◆ p_

std::vector<Real> p_

private

Definition at line 67 of file varcalculator.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Private Attributes