parconversionanalytic.hpp

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/*
 Copyright (C) 2023 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/analytics/simmanalytic.hpp
    \brief ORE SIMM Analytic
*/
#pragma once
 
#include <orea/app/analytic.hpp>
#include <orea/app/zerosensitivityloader.hpp>
 
namespace ore {
namespace analytics {
class ParConversionAnalyticImpl : public Analytic::Impl {
public:
    static constexpr const char* LABEL = "PARCONVERSION";
 
    ParConversionAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs) : Analytic::Impl(inputs) {
        setLabel(LABEL);
    }
    void runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
                     const std::set<std::string>& runTypes = {}) override;
    void setUpConfigurations() override;
};
 
class ParConversionAnalytic : public Analytic {
public:
    ParConversionAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
        : Analytic(std::make_unique<ParConversionAnalyticImpl>(inputs), {"PARCONVERSION"}, inputs, false, false, false,
                   false) {
    }
 
    std::map<std::string, std::vector<ZeroSensitivityLoader::ZeroSensitivity>> loadZeroSensitivities() const { 
        ZeroSensitivityLoader loader(inputs_->parConversionInputFile());
        return loader.sensitivities();
    }
 
private:
 
};
 
} // namespace analytics
} // namespace ore