parsensitivitycubestream.cpp

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/*
 Copyright (C) 2018 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.
*/
 
#include <orea/engine/parsensitivitycubestream.hpp>
 
#include <orea/engine/sensitivityrecord.hpp>
#include <orea/scenario/shiftscenariogenerator.hpp>
 
using ore::analytics::deconstructFactor;
using ore::analytics::SensitivityRecord;
 
namespace ore {
namespace analytics {
 
// Note: iterator initialisation below works because currentDeltas_ is
//       (empty) initialised before itCurrent_
ParSensitivityCubeStream::ParSensitivityCubeStream(const QuantLib::ext::shared_ptr<ZeroToParCube>& cube, const string& currency)
    : zeroCubeIdx_(0), cube_(cube), currency_(currency), itCurrent_(currentDeltas_.begin()) {
    QL_REQUIRE(!cube_->zeroCubes().empty(), "ParSensitivityCubeStream: cube contains no zero cubes");
    tradeIdx_ = cube_->zeroCubes().front()->tradeIdx().begin();
    init();
}
 
SensitivityRecord ParSensitivityCubeStream::next() {
 
    SensitivityRecord sr;
 
    while (itCurrent_ == currentDeltas_.end() && tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
        // Move to next trade
        tradeIdx_++;
        // update par deltas
        if (tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
            DLOG("Retrieving par deltas for trade " << tradeIdx_->first);
            currentDeltas_ = cube_->parDeltas(zeroCubeIdx_, tradeIdx_->second);
            itCurrent_ = currentDeltas_.begin();
            DLOG("There are " << currentDeltas_.size() << " par deltas for trade " << tradeIdx_->first);
        }
    }
 
    if (tradeIdx_ != cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().end()) {
        // Populate current sensitivity record
        sr.tradeId = tradeIdx_->first;
        sr.isPar = true;
        sr.currency = currency_;
        sr.baseNpv = cube_->zeroCubes()[zeroCubeIdx_]->npv(tradeIdx_->second);
        if (itCurrent_ != currentDeltas_.end()) {
            DLOG("Processing par delta [" << itCurrent_->first << ", " << itCurrent_->second << "]");
            sr.key_1 = itCurrent_->first;
            auto fullDescription = cube_->zeroCubes()[zeroCubeIdx_]->factorDescription(sr.key_1);
            sr.desc_1 = deconstructFactor(fullDescription).second;
            sr.shift_1 = cube_->zeroCubes()[zeroCubeIdx_]->targetShiftSize(sr.key_1);
            sr.delta = itCurrent_->second;
            sr.gamma = Null<Real>();
            // Move iterator to next par delta
            itCurrent_++;
        }
    } else if (zeroCubeIdx_ < cube_->zeroCubes().size() - 1) {
        ++zeroCubeIdx_;
        init();
        return next();
    }
 
    return sr;
}
 
void ParSensitivityCubeStream::reset() {
    // Reset all
    zeroCubeIdx_ = 0;
    tradeIdx_ = cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().begin();
    currentDeltas_ = {};
    itCurrent_ = currentDeltas_.begin();
    // Call init
    init();
}
 
void ParSensitivityCubeStream::init() {
    // If we have trade IDs in the underlying cube
    if (!cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().empty()) {
        tradeIdx_ = cube_->zeroCubes()[zeroCubeIdx_]->tradeIdx().begin();
        DLOG("Retrieving par deltas for trade " << tradeIdx_->first);
        currentDeltas_ = cube_->parDeltas(zeroCubeIdx_, tradeIdx_->second);
        itCurrent_ = currentDeltas_.begin();
        DLOG("There are " << currentDeltas_.size() << " par deltas for trade " << tradeIdx_->first);
    }
}
 
} // namespace analytics
} // namespace ore