pricinganalytic.hpp

Go to the documentation of this file.

/*
 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/analytic.hpp
    \brief ORE Analytics Manager
*/
 
#pragma once
 
#include <orea/app/analytic.hpp>
 
namespace ore {
namespace analytics {
 
/*! Pricing-type analytics
  \todo align pillars for par sensitivity analysis
*/
class PricingAnalyticImpl : public Analytic::Impl {
public:
    static constexpr const char* LABEL = "PRICING";
 
    PricingAnalyticImpl(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;
};
 
static const std::set<std::string> pricingAnalyticSubAnalytics {"NPV", "CASHFLOW", "CASHFLOWNPV", "SENSITIVITY"};
 
class PricingAnalytic : public Analytic {
public:
    PricingAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
        : Analytic(std::make_unique<PricingAnalyticImpl>(inputs), pricingAnalyticSubAnalytics,
                   inputs) {}
};
 
} // namespace analytics
} // namespace ore