#include <orea/app/xvarunner.hpp>

Collaboration diagram for XvaRunner:

Public Member Functions
virtual	~XvaRunner ()

	XvaRunner (const QuantLib::ext::shared_ptr< InputParameters > &inputs, QuantLib::Date asof, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &netting, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ScenarioGeneratorData > &scenarioGeneratorData, const QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData > &crossAssetModelData, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), QuantLib::Real dimQuantile=0.99, QuantLib::Size dimHorizonCalendarDays=14, map< string, bool > analytics={}, string calculationType="Symmetric", string dvaName="", string fvaBorrowingCurve="", string fvaLendingCurve="", bool fullInitialCollateralisation=true, bool storeFlows=false)

void	runXva (const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

const QuantLib::ext::shared_ptr< PostProcess > &	postProcess ()

void	buildCamModel (const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true)

void	bufferSimulationPaths ()

virtual void	buildSimMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const boost::optional< std::set< std::string > > &currencyFilter=boost::none, const bool continueOnErr=true)

void	buildCube (const boost::optional< std::set< std::string > > &tradeIds, bool continueOnErr=true)

QuantLib::ext::shared_ptr< NPVCube >	npvCube () const

QuantLib::ext::shared_ptr< NPVCube >	nettingCube () const

QuantLib::Handle< AggregationScenarioData >	aggregationScenarioData ()

void	generatePostProcessor (const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

std::set< std::string >	getNettingSetIds (const QuantLib::ext::shared_ptr< Portfolio > &portfolio=nullptr) const

Protected Member Functions
virtual QuantLib::ext::shared_ptr< NPVCube >	getNettingSetCube (std::vector< QuantLib::ext::shared_ptr< ValuationCalculator > > &calculators, const QuantLib::ext::shared_ptr< Portfolio > &portfolio)

virtual QuantLib::ext::shared_ptr< NPVCube >	getNpvCube (const Date &asof, const std::set< std::string > &ids, const std::vector< Date > &dates, const Size samples, const Size depth) const

virtual QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	getDimCalculator (const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpreter, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &model=nullptr, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube=nullptr, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

virtual QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	projectSsmData (const std::set< std::string > &currencyFilter) const

virtual QuantLib::ext::shared_ptr< ore::analytics::ScenarioGenerator >	getProjectedScenarioGenerator (const boost::optional< std::set< std::string > > &currencyFilter, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &projectedSsmData, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const bool continueOnErr) const

Protected Attributes
QuantLib::ext::shared_ptr< InputParameters >	inputs_

QuantLib::Date	asof_

std::string	baseCurrency_

QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_

QuantLib::ext::shared_ptr< ore::data::NettingSetManager >	netting_

QuantLib::ext::shared_ptr< ore::data::CollateralBalances >	collateralBalances_

QuantLib::ext::shared_ptr< ore::data::EngineData >	engineData_

QuantLib::ext::shared_ptr< ore::data::CurveConfigurations >	curveConfigs_

QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_

QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData_

QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_

QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData >	crossAssetModelData_

QuantLib::ext::shared_ptr< ReferenceDataManager >	referenceData_

IborFallbackConfig	iborFallbackConfig_

QuantLib::Real	dimQuantile_

QuantLib::Size	dimHorizonCalendarDays_

map< string, bool >	analytics_

string	inputCalculationType_

string	dvaName_

string	fvaBorrowingCurve_

string	fvaLendingCurve_

bool	fullInitialCollateralisation_

bool	storeFlows_

QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	model_

QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_

QuantLib::ext::shared_ptr< EngineFactory >	simFactory_

QuantLib::RelinkableHandle< AggregationScenarioData >	scenarioData_

QuantLib::ext::shared_ptr< NPVCube >	cube_

QuantLib::ext::shared_ptr< NPVCube >	nettingCube_

QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpreter_

std::string	calculationType_

QuantLib::ext::shared_ptr< PostProcess >	postProcess_

QuantLib::ext::shared_ptr< std::vector< std::vector< QuantLib::Path > > >	bufferedPaths_

Detailed Description

Definition at line 39 of file xvarunner.hpp.

Constructor & Destructor Documentation

◆ ~XvaRunner()

virtual ~XvaRunner ( )

virtual

Definition at line 41 of file xvarunner.hpp.

41{}

◆ XvaRunner()

XvaRunner	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		QuantLib::Date	asof,
		const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &	netting,
		const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &	collateralBalances,
		const QuantLib::ext::shared_ptr< ore::data::EngineData > &	engineData,
		const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfigs,
		const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketData,
		const QuantLib::ext::shared_ptr< ScenarioGeneratorData > &	scenarioGeneratorData,
		const QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData > &	crossAssetModelData,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = `nullptr`,
		const IborFallbackConfig &	iborFallbackConfig = `IborFallbackConfig::defaultConfig()`,
		QuantLib::Real	dimQuantile = `0.99`,
		QuantLib::Size	dimHorizonCalendarDays = `14`,
		map< string, bool >	analytics = `{}`,
		string	calculationType = `"Symmetric"`,
		string	dvaName = `""`,
		string	fvaBorrowingCurve = `""`,
		string	fvaLendingCurve = `""`,
		bool	fullInitialCollateralisation = `true`,
		bool	storeFlows = `false`
	)

Definition at line 34 of file xvarunner.cpp.

    : inputs_(inputs), asof_(asof), baseCurrency_(baseCurrency), portfolio_(portfolio), netting_(netting),
      collateralBalances_(collateralBalances), engineData_(engineData),
      curveConfigs_(curveConfigs), todaysMarketParams_(todaysMarketParams), simMarketData_(simMarketData),
      scenarioGeneratorData_(scenarioGeneratorData), crossAssetModelData_(crossAssetModelData),
      referenceData_(referenceData), iborFallbackConfig_(iborFallbackConfig), dimQuantile_(dimQuantile),
      dimHorizonCalendarDays_(dimHorizonCalendarDays), analytics_(analytics), inputCalculationType_(calculationType),
      dvaName_(dvaName), fvaBorrowingCurve_(fvaBorrowingCurve), fvaLendingCurve_(fvaLendingCurve),
      fullInitialCollateralisation_(fullInitialCollateralisation), storeFlows_(storeFlows) {
 
    if (analytics_.size() == 0) {
        WLOG("post processor analytics not set, using defaults");
        analytics_["dim"] = true;
        analytics_["mva"] = true;
        analytics_["kva"] = false;
        analytics_["cvaSensi"] = true;
    }
}

Member Function Documentation

◆ runXva()

void runXva	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		bool	continueOnErr = `true`,
		const std::map< std::string, QuantLib::Real > &	currentIM = `std::map<std::string, QuantLib::Real>()`
	)

Definition at line 249 of file xvarunner.cpp.

                                                                         {
 
    LOG("XvaRunner::runXva called");
 
    buildCamModel(market);
    buildSimMarket(market, boost::none, true);
    buildCube(boost::none, continueOnErr);
    generatePostProcessor(market, npvCube(), nettingCube(), *aggregationScenarioData(), continueOnErr, currentIM);
}

Here is the call graph for this function:

◆ postProcess()

const QuantLib::ext::shared_ptr< PostProcess > & postProcess ( )

Definition at line 66 of file xvarunner.hpp.

66{ return postProcess_; }

ore::analytics::XvaRunner::postProcess_

QuantLib::ext::shared_ptr< PostProcess > postProcess_

Definition: xvarunner.hpp:161

◆ buildCamModel()

void buildCamModel	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		bool	continueOnErr = `true`
	)

Definition at line 82 of file xvarunner.cpp.

                                                                                                    {
 
    LOG("XvaRunner::buildCamModel() called");
 
    Settings::instance().evaluationDate() = asof_;
    CrossAssetModelBuilder modelBuilder(
        market, crossAssetModelData_, Market::defaultConfiguration, Market::defaultConfiguration,
        Market::defaultConfiguration, Market::defaultConfiguration, Market::defaultConfiguration,
        Market::defaultConfiguration, false, continueOnErr, "", SalvagingAlgorithm::None, "xva cam building");
    model_ = *modelBuilder.model();
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ bufferSimulationPaths()

void bufferSimulationPaths ( )

Definition at line 94 of file xvarunner.cpp.

                                      {
 
    LOG("XvaRunner::bufferSimulationPaths() called");
 
    auto stateProcess = model_->stateProcess();
    if (auto tmp = QuantLib::ext::dynamic_pointer_cast<CrossAssetStateProcess>(stateProcess)) {
        tmp->resetCache(scenarioGeneratorData_->getGrid()->timeGrid().size() - 1);
    }
    auto pathGen = MultiPathGeneratorFactory().build(scenarioGeneratorData_->sequenceType(), stateProcess,
                                                     scenarioGeneratorData_->getGrid()->timeGrid(),
                                                     scenarioGeneratorData_->seed(), scenarioGeneratorData_->ordering(),
                                                     scenarioGeneratorData_->directionIntegers());
 
    if (!bufferedPaths_) {
        bufferedPaths_ = QuantLib::ext::make_shared<std::vector<std::vector<Path>>>(
            scenarioGeneratorData_->samples(), std::vector<Path>(stateProcess->size(), TimeGrid()));
    }
 
    for (Size p = 0; p < scenarioGeneratorData_->samples(); ++p) {
        const MultiPath& path = pathGen->next().value;
        for (Size d = 0; d < stateProcess->size(); ++d) {
            (*bufferedPaths_)[p][d] = path[d];
        }
    }
 
    LOG("XvaRunner::bufferSimulationPaths() finished");
}

Here is the call graph for this function:

◆ buildSimMarket()

void buildSimMarket	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const boost::optional< std::set< std::string > > &	currencyFilter = `boost::none`,
		const bool	continueOnErr = `true`
	)

virtual

Definition at line 122 of file xvarunner.cpp.

                                                                                      {
    LOG("XvaRunner::buildSimMarket() called");
 
    Settings::instance().evaluationDate() = asof_;
 
    QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> projectedSsmData;
    if (currencyFilter) {
        projectedSsmData = projectSsmData(*currencyFilter);
    }
    else {
        projectedSsmData = simMarketData_;
    }
 
    QuantLib::ext::shared_ptr<ScenarioFactory> sf = QuantLib::ext::make_shared<SimpleScenarioFactory>(true);
    QuantLib::ext::shared_ptr<ScenarioGenerator> sg =
        getProjectedScenarioGenerator(currencyFilter, market, projectedSsmData, sf, continueOnErr);
    simMarket_ = QuantLib::ext::make_shared<ScenarioSimMarket>(market, projectedSsmData, Market::defaultConfiguration,
                                                       *curveConfigs_, *todaysMarketParams_, true, false, true, false,
                                                       iborFallbackConfig_, false);
    simMarket_->scenarioGenerator() = sg;
 
    DLOG("build scenario data");
 
    scenarioData_.linkTo(QuantLib::ext::make_shared<InMemoryAggregationScenarioData>(
        scenarioGeneratorData_->getGrid()->valuationDates().size(), scenarioGeneratorData_->samples()));
    simMarket_->aggregationScenarioData() = *scenarioData_;
 
    auto ed = QuantLib::ext::make_shared<EngineData>(*engineData_);
    ed->globalParameters()["RunType"] = "Exposure";
    simFactory_ = QuantLib::ext::make_shared<EngineFactory>(ed, simMarket_, map<MarketContext, string>(), referenceData_,
                                                    iborFallbackConfig_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ buildCube()

void buildCube	(	const boost::optional< std::set< std::string > > &	tradeIds,
		bool	continueOnErr = `true`
	)

Definition at line 156 of file xvarunner.cpp.

                                                                                                    {
 
    LOG("XvaRunner::buildCube called");
 
    Settings::instance().evaluationDate() = asof_;    
 
    QuantLib::ext::shared_ptr<Portfolio> portfolio = QuantLib::ext::make_shared<Portfolio>();
    if (tradeIds) {
        for (auto const& t : *tradeIds) {
            QL_REQUIRE(portfolio_->has(t), "XvaRunner::buildCube(): portfolio does not contain trade with id '"
                                               << t << "' specified in the filter");
            portfolio->add(portfolio_->get(t));
        }
    } else {
        portfolio = portfolio_;
    }
 
    DLOG("build portfolio");
 
    // FIXME why do we need this? portfolio_->reset() is not sufficient to ensure XVA simulation run fast (and this is
    // called before)
    for (auto const& [tid, t] : portfolio_->trades()) {
        try {
            t->build(simFactory_);
        } catch (...) {
            // we don't care, this is just to reset the portfolio, the real build is below
        }
    }
 
    portfolio->build(simFactory_);
 
    DLOG("build calculators");
 
    std::vector<QuantLib::ext::shared_ptr<ValuationCalculator>> calculators;
    QuantLib::ext::shared_ptr<NPVCalculator> npvCalculator = QuantLib::ext::make_shared<NPVCalculator>(baseCurrency_);
    cubeInterpreter_ = QuantLib::ext::make_shared<CubeInterpretation>(storeFlows_, scenarioGeneratorData_->withCloseOutLag(),
                                                              scenarioData_, scenarioGeneratorData_->getGrid());
    if (scenarioGeneratorData_->withCloseOutLag()) {
        // depth 2: NPV and close-out NPV
        cube_ = getNpvCube(asof_, portfolio->ids(), scenarioGeneratorData_->getGrid()->valuationDates(),
                           scenarioGeneratorData_->samples(), 2);
        calculators.push_back(QuantLib::ext::make_shared<MPORCalculator>(npvCalculator, cubeInterpreter_->defaultDateNpvIndex(),
                                                                 cubeInterpreter_->closeOutDateNpvIndex()));
        calculationType_ = "NoLag";
        if (calculationType_ != inputCalculationType_) {
            ALOG("Forcing calculation type " << calculationType_ << " for simulations with close-out grid");
        }
    } else {
        if (storeFlows_) {
            // regular, depth 2: NPV and cash flow
            cube_ = getNpvCube(asof_, portfolio->ids(), scenarioGeneratorData_->getGrid()->dates(),
                               scenarioGeneratorData_->samples(), 2);
            calculators.push_back(QuantLib::ext::make_shared<CashflowCalculator>(
                baseCurrency_, asof_, scenarioGeneratorData_->getGrid(), cubeInterpreter_->mporFlowsIndex()));
        } else
            // regular, depth 1
            cube_ = getNpvCube(asof_, portfolio->ids(), scenarioGeneratorData_->getGrid()->dates(),
                               scenarioGeneratorData_->samples(), 1);
        calculators.push_back(npvCalculator);
        calculationType_ = inputCalculationType_;
    }
 
    DLOG("get netting cube");
 
    nettingCube_ = getNettingSetCube(calculators, portfolio);
 
    DLOG("run valuation engine");
 
    ValuationEngine engine(asof_, scenarioGeneratorData_->getGrid(), simMarket_);
    engine.buildCube(portfolio, cube_, calculators, scenarioGeneratorData_->withMporStickyDate(), nettingCube_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ npvCube()

QuantLib::ext::shared_ptr< NPVCube > npvCube ( ) const

Definition at line 83 of file xvarunner.hpp.

83{ return cube_; }

Here is the caller graph for this function:

◆ nettingCube()

QuantLib::ext::shared_ptr< NPVCube > nettingCube ( ) const

Definition at line 86 of file xvarunner.hpp.

86{ return nettingCube_; }

Here is the caller graph for this function:

◆ aggregationScenarioData()

QuantLib::Handle< AggregationScenarioData > aggregationScenarioData ( )

Definition at line 89 of file xvarunner.hpp.

89{ return scenarioData_; }

Here is the caller graph for this function:

◆ generatePostProcessor()

void generatePostProcessor	(	const QuantLib::ext::shared_ptr< Market > &	market,
		const QuantLib::ext::shared_ptr< NPVCube > &	npvCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettingCube,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	scenarioData,
		const bool	continueOnErr = `true`,
		const std::map< std::string, QuantLib::Real > &	currentIM = `std::map<std::string, QuantLib::Real>()`
	)

Definition at line 228 of file xvarunner.cpp.

                                                                                        {
 
    LOG("XvaRunner::generatePostProcessor called");
 
    QL_REQUIRE(analytics_.size() > 0, "analytics map not set");
 
    QuantLib::ext::shared_ptr<DynamicInitialMarginCalculator> dimCalculator =
        getDimCalculator(npvCube, cubeInterpreter_, *scenarioData_, model_, nettingCube, currentIM);
 
    postProcess_ = QuantLib::ext::make_shared<PostProcess>(portfolio_, netting_, collateralBalances_,
                                                   market, "", npvCube, scenarioData, analytics_,
                                                   baseCurrency_, "None", 1.0, 0.95, calculationType_, dvaName_,
                                                   fvaBorrowingCurve_, fvaLendingCurve_, dimCalculator,
                                                   cubeInterpreter_, fullInitialCollateralisation_);
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ getNettingSetIds()

std::set< std::string > getNettingSetIds ( const QuantLib::ext::shared_ptr< Portfolio > & portfolio = nullptr ) const

Definition at line 279 of file xvarunner.cpp.

                                                                                                     {
    // collect netting set ids from portfolio
    std::set<std::string> nettingSetIds;
    for (auto const& [tradeId,trade] : portfolio == nullptr ? portfolio_->trades() : portfolio->trades())
        nettingSetIds.insert(trade->envelope().nettingSetId());
    return nettingSetIds;
}

◆ getNettingSetCube()

virtual QuantLib::ext::shared_ptr< NPVCube > getNettingSetCube	(	std::vector< QuantLib::ext::shared_ptr< ValuationCalculator > > &	calculators,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio
	)

protectedvirtual

Definition at line 104 of file xvarunner.hpp.

                                                                         {
        return nullptr;
    };

Here is the caller graph for this function:

◆ getNpvCube()

QuantLib::ext::shared_ptr< NPVCube > getNpvCube	(	const Date &	asof,
		const std::set< std::string > &	ids,
		const std::vector< Date > &	dates,
		const Size	samples,
		const Size	depth
	)		const

protectedvirtual

Definition at line 287 of file xvarunner.cpp.

                                                                         {
    if (depth == 1) {
        return QuantLib::ext::make_shared<SinglePrecisionInMemoryCube>(asof, ids, dates, samples, 0.0f);
    } else {
        return QuantLib::ext::make_shared<SinglePrecisionInMemoryCubeN>(asof, ids, dates, samples, depth, 0.0f);
    }
}

Here is the call graph for this function:

Here is the caller graph for this function:

◆ getDimCalculator()

QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > getDimCalculator	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< CubeInterpretation > &	cubeInterpreter,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	scenarioData,
		const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &	model = `nullptr`,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettingCube = `nullptr`,
		const std::map< std::string, QuantLib::Real > &	currentIM = `std::map<std::string, QuantLib::Real>()`
	)

protectedvirtual

Definition at line 260 of file xvarunner.cpp.

                                                      {
 
    QuantLib::ext::shared_ptr<DynamicInitialMarginCalculator> dimCalculator;
    Size dimRegressionOrder = 0;
    vector<string> dimRegressors;           // FIXME: empty vector means regression vs netting set NPV
    Size dimLocalRegressionEvaluations = 0; // skip local regression
    Real dimLocalRegressionBandwidth = 0.25;
 
    dimCalculator = QuantLib::ext::make_shared<RegressionDynamicInitialMarginCalculator>(
        inputs_, portfolio_, cube, cubeInterpreter, scenarioData, dimQuantile_, dimHorizonCalendarDays_, dimRegressionOrder,
        dimRegressors, dimLocalRegressionEvaluations, dimLocalRegressionBandwidth, currentIM);
 
    return dimCalculator;
}

Here is the caller graph for this function:

◆ projectSsmData()

QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > projectSsmData ( const std::set< std::string > & currencyFilter ) const

protectedvirtual

Definition at line 67 of file xvarunner.cpp.

                                                                       {
    QL_FAIL("XvaRunner::projectSsmData() is only available in ORE+");
}

Here is the caller graph for this function:

◆ getProjectedScenarioGenerator()

QuantLib::ext::shared_ptr< ore::analytics::ScenarioGenerator > getProjectedScenarioGenerator	(	const boost::optional< std::set< std::string > > &	currencyFilter,
		const QuantLib::ext::shared_ptr< Market > &	market,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	projectedSsmData,
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory,
		const bool	continueOnErr
	)		const

protectedvirtual

Definition at line 72 of file xvarunner.cpp.

                                                                                                                           {
    QL_REQUIRE(!currencyFilter,
               "XvaRunner::getProjectedScenarioGenerator() with currency filter is only available in ORE+");
    ScenarioGeneratorBuilder sgb(scenarioGeneratorData_);
    return sgb.build(model_, sf, projectedSsmData, asof_, market, Market::defaultConfiguration);
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

◆ inputs_

QuantLib::ext::shared_ptr<InputParameters> inputs_

protected

Definition at line 129 of file xvarunner.hpp.

◆ asof_

QuantLib::Date asof_

protected

Definition at line 130 of file xvarunner.hpp.

◆ baseCurrency_

std::string baseCurrency_

protected

Definition at line 131 of file xvarunner.hpp.

◆ portfolio_

QuantLib::ext::shared_ptr<ore::data::Portfolio> portfolio_

protected

Definition at line 132 of file xvarunner.hpp.

◆ netting_

QuantLib::ext::shared_ptr<ore::data::NettingSetManager> netting_

protected

Definition at line 133 of file xvarunner.hpp.

◆ collateralBalances_

QuantLib::ext::shared_ptr<ore::data::CollateralBalances> collateralBalances_

protected

Definition at line 134 of file xvarunner.hpp.

◆ engineData_

QuantLib::ext::shared_ptr<ore::data::EngineData> engineData_

protected

Definition at line 135 of file xvarunner.hpp.

◆ curveConfigs_

QuantLib::ext::shared_ptr<ore::data::CurveConfigurations> curveConfigs_

protected

Definition at line 136 of file xvarunner.hpp.

◆ todaysMarketParams_

QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters> todaysMarketParams_

protected

Definition at line 137 of file xvarunner.hpp.

◆ simMarketData_

QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketData_

protected

Definition at line 138 of file xvarunner.hpp.

◆ scenarioGeneratorData_

QuantLib::ext::shared_ptr<ScenarioGeneratorData> scenarioGeneratorData_

protected

Definition at line 139 of file xvarunner.hpp.

◆ crossAssetModelData_

QuantLib::ext::shared_ptr<ore::data::CrossAssetModelData> crossAssetModelData_

protected

Definition at line 140 of file xvarunner.hpp.

◆ referenceData_

QuantLib::ext::shared_ptr<ReferenceDataManager> referenceData_

protected

Definition at line 141 of file xvarunner.hpp.

◆ iborFallbackConfig_

IborFallbackConfig iborFallbackConfig_

protected

Definition at line 142 of file xvarunner.hpp.

◆ dimQuantile_

QuantLib::Real dimQuantile_

protected

Definition at line 143 of file xvarunner.hpp.

◆ dimHorizonCalendarDays_

QuantLib::Size dimHorizonCalendarDays_

protected

Definition at line 144 of file xvarunner.hpp.

◆ analytics_

map<string, bool> analytics_

protected

Definition at line 145 of file xvarunner.hpp.

◆ inputCalculationType_

string inputCalculationType_

protected

Definition at line 146 of file xvarunner.hpp.

◆ dvaName_

string dvaName_

protected

Definition at line 147 of file xvarunner.hpp.

◆ fvaBorrowingCurve_

string fvaBorrowingCurve_

protected

Definition at line 148 of file xvarunner.hpp.

◆ fvaLendingCurve_

string fvaLendingCurve_

protected

Definition at line 149 of file xvarunner.hpp.

◆ fullInitialCollateralisation_

bool fullInitialCollateralisation_

protected

Definition at line 150 of file xvarunner.hpp.

◆ storeFlows_

bool storeFlows_

protected

Definition at line 151 of file xvarunner.hpp.

◆ model_

QuantLib::ext::shared_ptr<QuantExt::CrossAssetModel> model_

protected

Definition at line 154 of file xvarunner.hpp.

◆ simMarket_

QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_

protected

Definition at line 155 of file xvarunner.hpp.

◆ simFactory_

QuantLib::ext::shared_ptr<EngineFactory> simFactory_

protected

Definition at line 156 of file xvarunner.hpp.

◆ scenarioData_

QuantLib::RelinkableHandle<AggregationScenarioData> scenarioData_

protected

Definition at line 157 of file xvarunner.hpp.

◆ cube_

QuantLib::ext::shared_ptr<NPVCube> cube_

protected

Definition at line 158 of file xvarunner.hpp.

◆ nettingCube_

QuantLib::ext::shared_ptr<NPVCube> nettingCube_

protected

Definition at line 158 of file xvarunner.hpp.

◆ cubeInterpreter_

QuantLib::ext::shared_ptr<CubeInterpretation> cubeInterpreter_

protected

Definition at line 159 of file xvarunner.hpp.

◆ calculationType_

std::string calculationType_

protected

Definition at line 160 of file xvarunner.hpp.

◆ postProcess_

QuantLib::ext::shared_ptr<PostProcess> postProcess_

protected

Definition at line 161 of file xvarunner.hpp.

◆ bufferedPaths_

QuantLib::ext::shared_ptr<std::vector<std::vector<QuantLib::Path> > > bufferedPaths_

protected

Definition at line 163 of file xvarunner.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ ~XvaRunner()

◆ XvaRunner()

Member Function Documentation

◆ runXva()

◆ postProcess()

◆ buildCamModel()

◆ bufferSimulationPaths()

◆ buildSimMarket()

◆ buildCube()

◆ npvCube()

◆ nettingCube()

◆ aggregationScenarioData()

◆ generatePostProcessor()

◆ getNettingSetIds()

◆ getNettingSetCube()

◆ getNpvCube()

◆ getDimCalculator()

◆ projectSsmData()

◆ getProjectedScenarioGenerator()

Member Data Documentation

◆ inputs_

◆ asof_

◆ baseCurrency_

◆ portfolio_

◆ netting_

◆ collateralBalances_

◆ engineData_

◆ curveConfigs_

◆ todaysMarketParams_

◆ simMarketData_

◆ scenarioGeneratorData_

◆ crossAssetModelData_

◆ referenceData_

◆ iborFallbackConfig_

◆ dimQuantile_

◆ dimHorizonCalendarDays_

◆ analytics_

◆ inputCalculationType_

◆ dvaName_

◆ fvaBorrowingCurve_

◆ fvaLendingCurve_

◆ fullInitialCollateralisation_

◆ storeFlows_

◆ model_

◆ simMarket_

◆ simFactory_

◆ scenarioData_

◆ cube_

◆ nettingCube_

◆ cubeInterpreter_

◆ calculationType_

◆ postProcess_

◆ bufferedPaths_