scenariostatisticsanalytic.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/analytics/scenariostatisticsanalytic.hpp
    \brief ORE Scenario Statistics Analytics
*/
 
#pragma once
 
#include <orea/app/analytic.hpp>
 
namespace ore {
namespace analytics {
 
class ScenarioStatisticsAnalyticImpl : public Analytic::Impl {
public:
    static constexpr const char* LABEL = "SCENARIO_STATISTICS";
 
    ScenarioStatisticsAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs) : Analytic::Impl(inputs) { setLabel(LABEL); }
    virtual void runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
                             const std::set<std::string>& runTypes = {}) override;
    void setUpConfigurations() override;
 
    QuantLib::ext::shared_ptr<ScenarioGenerator> scenarioGenerator() { return scenarioGenerator_; }
    
protected:
    void buildScenarioSimMarket();
    void buildCrossAssetModel(bool continueOnError);
    void buildScenarioGenerator(bool continueOnError);
 
    QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_;
    QuantLib::ext::shared_ptr<CrossAssetModel> model_;
    QuantLib::ext::shared_ptr<ScenarioGenerator> scenarioGenerator_;
    
    QuantLib::ext::shared_ptr<DateGrid> grid_;
    Size samples_ = 0;
};
 
class ScenarioStatisticsAnalytic : public Analytic {
public:
    ScenarioStatisticsAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
        : Analytic(std::make_unique<ScenarioStatisticsAnalyticImpl>(inputs), {"SCENARIO_STATISTICS"}, inputs, true, false, true, true) {}
};
 
} // namespace analytics
} // namespace oreplus