marketcalibrationreport.hpp

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/*
 Copyright (C) 2022 Quaternion Risk Management Ltd
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file orea/app/marketcalibrationreport.hpp
    \brief ORE Analytics Manager
*/
#pragma once
 
#include <ored/marketdata/market.hpp>
#include <ored/marketdata/todaysmarketcalibrationinfo.hpp>
#include <ored/marketdata/todaysmarketparameters.hpp>
#include <ored/report/report.hpp>
 
namespace ore {
namespace analytics {
class MarketCalibrationReportBase {
public:
 
    struct CalibrationFilters {
        CalibrationFilters() {};        
        CalibrationFilters(const std::string& calibrationFilter) {
            if (!calibrationFilter.empty()) {
                std::string tmp = calibrationFilter;
                boost::algorithm::to_upper(tmp);
                std::vector<std::string> tokens;
                boost::split(tokens, tmp, boost::is_any_of(","), boost::token_compress_on);
                mdFilterFixings = std::find(tokens.begin(), tokens.end(), "FIXINGS") != tokens.end();
                mdFilterMarketData = std::find(tokens.begin(), tokens.end(), "MARKETDATA") != tokens.end();
                mdFilterCurves = std::find(tokens.begin(), tokens.end(), "CURVES") != tokens.end();
                mdFilterInfCurves = std::find(tokens.begin(), tokens.end(), "INFLATIONCURVES") != tokens.end();
                mdFilterCommCurves = std::find(tokens.begin(), tokens.end(), "COMMODITYCURVES") != tokens.end();
                mdFilterFxVols = std::find(tokens.begin(), tokens.end(), "FXVOLS") != tokens.end();
                mdFilterEqVols = std::find(tokens.begin(), tokens.end(), "EQVOLS") != tokens.end();
                mdFilterIrVols = std::find(tokens.begin(), tokens.end(), "IRVOLS") != tokens.end();
                mdFilterCommVols = std::find(tokens.begin(), tokens.end(), "COMMVOLS") != tokens.end();
            }
        }
 
        bool mdFilterFixings = true;
        bool mdFilterMarketData = true;
        bool mdFilterCurves = true;
        bool mdFilterInfCurves = true;
        bool mdFilterCommCurves = true;
        bool mdFilterFxVols = true;
        bool mdFilterEqVols = true;
        bool mdFilterIrVols = true;
        bool mdFilterCommVols = true;
    };
 
    MarketCalibrationReportBase(const std::string& calibrationFilter);
    virtual ~MarketCalibrationReportBase() = default;
 
    virtual void initialise(const std::string& label) {};
 
    // Add yield curve data to array
    virtual void addYieldCurve(const QuantLib::Date& refdate,
                       QuantLib::ext::shared_ptr<ore::data::YieldCurveCalibrationInfo> yts, const std::string& name,
                       bool isDiscount, const std::string& label) = 0;
 
    // Add inflation curve data to array
    virtual void addInflationCurve(const QuantLib::Date& refdate,
                                   QuantLib::ext::shared_ptr<ore::data::InflationCurveCalibrationInfo> yts,
                                   const std::string& name, const std::string& label) = 0;
 
    virtual void addCommodityCurve(const QuantLib::Date& refdate,
                                   QuantLib::ext::shared_ptr<ore::data::CommodityCurveCalibrationInfo> yts,
                                   std::string const& name, std::string const& label) = 0;
 
    // Add fx/eq/comm vol curve data to array
    virtual void addFxVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                            const std::string& name, const std::string& label) = 0;
    virtual void addEqVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                            const std::string& name, const std::string& label) = 0;
    virtual void addCommVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                            const std::string& name, const std::string& label) = 0;
 
    // Add ir vol curve data to array
    virtual void addIrVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::IrVolCalibrationInfo> vol,
                          const std::string& name, const std::string& label) = 0;
 
    // populate the calibration reports
    virtual void populateReport(const QuantLib::ext::shared_ptr<ore::data::Market>& market,
                                const QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams,
                                const std::string& label = std::string());
 
    // write out to file, should be overwritten in derived classes
    virtual QuantLib::ext::shared_ptr<ore::data::Report> outputCalibrationReport() = 0;
 
private:
    CalibrationFilters calibrationFilters_;
};
 
class MarketCalibrationReport : public MarketCalibrationReportBase {
public:
    MarketCalibrationReport(const std::string& calibrationFilter,
                            const QuantLib::ext::shared_ptr<ore::data::Report>& report);
    
    QuantLib::ext::shared_ptr<ore::data::Report> outputCalibrationReport() override;
 
    void addYieldCurve(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::YieldCurveCalibrationInfo> yts,
                       const std::string& name, bool isDiscount, const std::string& label) override;
 
    // Add inflation curve data to array
    void addInflationCurve(const QuantLib::Date& refdate,
                           QuantLib::ext::shared_ptr<ore::data::InflationCurveCalibrationInfo> yts, const std::string& name,
                           const std::string& label) override;
 
    // Add commodity curve data to array
    void addCommodityCurve(const QuantLib::Date& refdate,
                           QuantLib::ext::shared_ptr<ore::data::CommodityCurveCalibrationInfo> yts, const std::string& name,
                           const std::string& label) override;
 
    // Add fx/eq/comm vol curve data to array
    void addFxVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                  const std::string& name, const std::string& label) override;
    void addEqVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                  const std::string& name, const std::string& label) override;
    void addCommVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                    const std::string& name, const std::string& label) override;
 
    // Add ir vol curve data to array
    void addIrVol(const QuantLib::Date& refdate, QuantLib::ext::shared_ptr<ore::data::IrVolCalibrationInfo> vol,
                  const std::string& name, const std::string& label) override;
 
private:
     QuantLib::ext::shared_ptr<ore::data::Report> report_;
     
     // a map of already reported calibrations
     std::map<std::string, std::map<std::string, std::set<std::string>>> calibrations_;
 
     void addRowReport(const std::string& moType, const std::string& moId, const std::string& resId,
                       const std::string& key1, const std::string& key2, const std::string& key3,
                       const boost::any& value);
     void addEqFxVol(const std::string& type, QuantLib::ext::shared_ptr<ore::data::FxEqCommVolCalibrationInfo> vol,
                     const std::string& id, const std::string& label);
     const bool checkCalibrations(std::string label, std::string type, std::string id) const;
};
 
} // namespace analytics
} // namespace ore