ZeroToParShiftConverter Class Reference

#include <orea/engine/zerotoparshift.hpp>

Collaboration diagram for ZeroToParShiftConverter:

Public Member Functions
	ZeroToParShiftConverter (const QuantLib::Date &asof, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, const ore::analytics::SensitivityScenarioData &sensitivityData, const std::set< ore::analytics::RiskFactorKey::KeyType > &typesDisabled, const std::set< ore::analytics::RiskFactorKey::KeyType > &parTypes, const std::set< ore::analytics::RiskFactorKey > &relevantRiskFactors, const bool continueOnError, const std::string &marketConfiguration, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket)
	ZeroToParShiftConverter (const ParSensitivityInstrumentBuilder::Instruments &instruments_, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket)
std::unordered_map< RiskFactorKey, double >	parShifts (QuantLib::ext::shared_ptr< Scenario > scenario) const

Private Member Functions
std::unordered_map< RiskFactorKey, double >	parRates () const

Private Attributes
ParSensitivityInstrumentBuilder::Instruments	instruments_
ext::shared_ptr< ScenarioSimMarket >	simMarket_
std::unordered_map< RiskFactorKey, double >	baseValues_

Detailed Description

Definition at line 30 of file zerotoparshift.hpp.

Constructor & Destructor Documentation

ZeroToParShiftConverter() [1/2]

ZeroToParShiftConverter	(	const QuantLib::Date &	asof,
		const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	simMarketParams,
		const ore::analytics::SensitivityScenarioData &	sensitivityData,
		const std::set< ore::analytics::RiskFactorKey::KeyType > &	typesDisabled,
		const std::set< ore::analytics::RiskFactorKey::KeyType > &	parTypes,
		const std::set< ore::analytics::RiskFactorKey > &	relevantRiskFactors,
		const bool	continueOnError,
		const std::string &	marketConfiguration,
		const QuantLib::ext::shared_ptr< ScenarioSimMarket > &	simMarket
	)

Definition at line 33 of file zerotoparshift.cpp.

    : simMarket_(simMarket) {
    ParSensitivityInstrumentBuilder().createParInstruments(instruments_, asof, simMarketParams, sensitivityData,
                                                           typesDisabled, parTypes, relevantRiskFactors,
                                                           continueOnError, marketConfiguration, simMarket);
};

Here is the call graph for this function:

ZeroToParShiftConverter() [2/2]

ZeroToParShiftConverter	(	const ParSensitivityInstrumentBuilder::Instruments &	instruments_,
		const QuantLib::ext::shared_ptr< ScenarioSimMarket > &	simMarket
	)

Definition at line 47 of file zerotoparshift.cpp.

    : instruments_(instruments_), simMarket_(simMarket) {
    QL_REQUIRE(simMarket_ != nullptr, "ZeroToParShiftConverter: need a simmarket");
    simMarket_->reset();
 
    if (ObservationMode::instance().mode() == ObservationMode::Mode::Disable) {
        for (auto it : instruments_.parHelpers_)
            it.second->deepUpdate();
        for (auto it : instruments_.parCaps_)
            it.second->deepUpdate();
        for (auto it : instruments_.parYoYCaps_)
            it.second->deepUpdate();
    }
    baseValues_ = parRates();
};

Here is the call graph for this function:

Member Function Documentation

parShifts()

std::unordered_map< RiskFactorKey, double > parShifts

(

QuantLib::ext::shared_ptr< Scenario >

scenario

)

const

Definition at line 77 of file zerotoparshift.cpp.

                                                                                 {
    QL_REQUIRE(simMarket_ != nullptr, "ZeroToParShiftConverter: need a simmarket");
    SimMarketReseter market(simMarket_);
 
    market.market()->applyScenario(scenario);
    
    if (ObservationMode::instance().mode() == ObservationMode::Mode::Disable) {
        for (auto it : instruments_.parHelpers_)
            it.second->deepUpdate();
        for (auto it : instruments_.parCaps_)
            it.second->deepUpdate();
        for (auto it : instruments_.parYoYCaps_)
            it.second->deepUpdate();
    }
 
    auto scenarioValues = parRates();
    // Check if both maps have same keys;
    QL_REQUIRE(baseValues_.size() == scenarioValues.size(),
               "ZeroToParShiftConverter: internal error, both maps should have the same entries");
    bool sameKeys = std::equal(baseValues_.begin(), baseValues_.end(), scenarioValues.begin(),
                               [](const auto& a, const auto& b) { return a.first == b.first; });
    QL_REQUIRE(sameKeys, "ZeroToParShiftConverter: internal error, both maps should have the same entries");
    std::unordered_map<RiskFactorKey, double> shifts;
    for (const auto& [key, amount] : baseValues_) {
        shifts[key] = scenarioValues[key] - amount;
    }
    return shifts;
}

Here is the call graph for this function:

Here is the caller graph for this function:

parRates()

std::unordered_map< RiskFactorKey, double > parRates ( ) const

private

Definition at line 106 of file zerotoparshift.cpp.

                                                                                {
    std::unordered_map<RiskFactorKey, double> results;
    for (const auto& [key, parInstrument] : instruments_.parHelpers_) {
        results[key] = impliedQuote(parInstrument);
    }
    for (const auto& [key, cap] : instruments_.parCaps_) {
        results[key] = impliedVolatility(key, instruments_);
    }
    for (const auto& [key, cap] : instruments_.parYoYCaps_) {
        results[key] = impliedVolatility(key, instruments_);
    }
    return results;
}

Here is the call graph for this function:

Here is the caller graph for this function:

Member Data Documentation

instruments_

ParSensitivityInstrumentBuilder::Instruments instruments_

private

Definition at line 49 of file zerotoparshift.hpp.

simMarket_

ext::shared_ptr<ScenarioSimMarket> simMarket_

private

Definition at line 50 of file zerotoparshift.hpp.

baseValues_

std::unordered_map<RiskFactorKey, double> baseValues_

private

Definition at line 51 of file zerotoparshift.hpp.