sensitivityanalysis.hpp

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/*
 Copyright (C) 2016 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 engine/sensitivityanalysis.hpp
    \brief Perform sensitivity analysis for a given portfolio
    \ingroup simulation
*/
 
#pragma once
 
#include <orea/cube/npvsensicube.hpp>
#include <orea/cube/sensitivitycube.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/sensitivityscenariogenerator.hpp>
 
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/report/report.hpp>
#include <ored/utilities/progressbar.hpp>
 
#include <map>
#include <set>
#include <tuple>
 
namespace ore {
namespace analytics {
 
class ScenarioFactory;
class ValuationCalculator;
 
//! Sensitivity Analysis
/*!
  This class wraps functionality to perform a sensitivity analysis for a given portfolio.
  It comprises
  - building the "simulation" market to which sensitivity scenarios are applied
  - building the portfolio linked to this simulation market
  - generating sensitivity scenarios
  - running the scenario "engine" to apply these and compute the NPV impacts of all required shifts
  - compile first and second order sensitivities for all factors and all trades
  - fill result structures that can be queried
 
  \ingroup simulation
*/
 
class SensitivityAnalysis : public ore::data::ProgressReporter {
public:
    //! Constructor using single-threaded engine
    SensitivityAnalysis(const QuantLib::ext::shared_ptr<ore::data::Portfolio>& portfolio,
                        const QuantLib::ext::shared_ptr<ore::data::Market>& market, const string& marketConfiguration,
                        const QuantLib::ext::shared_ptr<ore::data::EngineData>& engineData,
                        const QuantLib::ext::shared_ptr<ScenarioSimMarketParameters>& simMarketData,
                        const QuantLib::ext::shared_ptr<SensitivityScenarioData>& sensitivityData, const bool recalibrateModels,
                        const QuantLib::ext::shared_ptr<ore::data::CurveConfigurations>& curveConfigs = nullptr,
                        const QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams = nullptr,
                        const bool nonShiftedBaseCurrencyConversion = false,
                        const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceData = nullptr,
                        const IborFallbackConfig& iborFallbackConfig = IborFallbackConfig::defaultConfig(),
                        const bool continueOnError = false, bool dryRun = false);
 
    //! Constructor using multi-threaded engine
    SensitivityAnalysis(const Size nThreads, const Date& asof, const QuantLib::ext::shared_ptr<ore::data::Loader>& loader,
                        const QuantLib::ext::shared_ptr<ore::data::Portfolio>& portfolio, const string& marketConfiguration,
                        const QuantLib::ext::shared_ptr<ore::data::EngineData>& engineData,
                        const QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters>& simMarketData,
                        const QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData>& sensitivityData,
                        const bool recalibrateModels,
                        const QuantLib::ext::shared_ptr<ore::data::CurveConfigurations>& curveConfigs,
                        const QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams,
                        const bool nonShiftedBaseCurrencyConversion = false,
                        const QuantLib::ext::shared_ptr<ReferenceDataManager>& referenceData = nullptr,
                        const IborFallbackConfig& iborFallbackConfig = IborFallbackConfig::defaultConfig(),
                        const bool continueOnError = false, bool dryRun = false,
                        const std::string& context = "sensi analysis");
 
    virtual ~SensitivityAnalysis() {}
 
    //! Generate the Sensitivities
    void generateSensitivities();
 
    //! The ASOF date for the sensitivity analysis
    const QuantLib::Date asof() const { return asof_; }
 
    //! The market configuration string
    const std::string marketConfiguration() const { return marketConfiguration_; }
 
    //! A getter for the sim market
    const QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket() const { return simMarket_; }
 
    //! A getter for SensitivityScenarioGenerator (the main one, without possibly customized shifts)
    const QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator() const { return scenarioGenerator_; }
 
    //! A getter for ScenarioSimMarketParameters
    const QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketData() const { return simMarketData_; }
 
    //! A getter for SensitivityScenarioData
    const QuantLib::ext::shared_ptr<SensitivityScenarioData> sensitivityData() const { return sensitivityData_; }
 
    //! override shift tenors with sim market tenors
    void overrideTenors(const bool b) { overrideTenors_ = b; }
 
    //! the portfolio of trades
    QuantLib::ext::shared_ptr<Portfolio> portfolio() const { return portfolio_; }
 
    //! a wrapper for the sensitivity results cubes (one per shift configuration)
    std::vector<QuantLib::ext::shared_ptr<SensitivityCube>> sensiCubes() const { return sensiCubes_; }
 
    //! a wrapper for the first sensitivity result cube (if that is unique, otherwise throws, for bwd compatibility)
    QuantLib::ext::shared_ptr<SensitivityCube> sensiCube() const {
        QL_REQUIRE(sensiCubes_.size() == 1, "SensitivityAnalysis: sensiCube() called, but got "
                                                << sensiCubes_.size() << " sensi cubes. Check the calling code.");
        return sensiCubes_.front();
    }
 
private:
    QuantLib::ext::shared_ptr<ore::data::Market> market_;
    std::string marketConfiguration_;
    Date asof_;
    QuantLib::ext::shared_ptr<SensitivityScenarioGenerator> scenarioGenerator_;
    QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_;
    QuantLib::ext::shared_ptr<ScenarioSimMarketParameters> simMarketData_;
    QuantLib::ext::shared_ptr<SensitivityScenarioData> sensitivityData_;
    bool recalibrateModels_;
    //! Optional curve configurations. Used in building the scenario sim market.
    QuantLib::ext::shared_ptr<ore::data::CurveConfigurations> curveConfigs_;
    //! Optional todays market parameters. Used in building the scenario sim market.
    QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters> todaysMarketParams_;
    bool overrideTenors_;
 
    // if true, convert sensis to base currency using the original (non-shifted) FX rate
    bool nonShiftedBaseCurrencyConversion_;
    QuantLib::ext::shared_ptr<ore::data::ReferenceDataManager> referenceData_;
    IborFallbackConfig iborFallbackConfig_;
    // if true, the processing is continued even on build errors
    bool continueOnError_;
    //! the engine data (provided as input, needed to construct the engine factory)
    QuantLib::ext::shared_ptr<EngineData> engineData_;
    //! the portfolio (provided as input)
    QuantLib::ext::shared_ptr<Portfolio> portfolio_;
    //! do dry run
    bool dryRun_;
 
    //! model builders
    std::set<std::pair<string, QuantLib::ext::shared_ptr<QuantExt::ModelBuilder>>> modelBuilders_;
    //! sensitivityCube
    std::vector<QuantLib::ext::shared_ptr<SensitivityCube>> sensiCubes_;
 
    bool useSingleThreadedEngine_;
    // additional members needed for multihreaded constructor
    Size nThreads_;
    QuantLib::ext::shared_ptr<ore::data::Loader> loader_;
    std::string context_;
};
 
/*! Returns the absolute shift size corresponding to a particular risk factor \p key
    given sensitivity parameters \p sensiParams and a simulation market \p simMarket
*/
Real getShiftSize(const RiskFactorKey& key, const SensitivityScenarioData& sensiParams,
                  const QuantLib::ext::shared_ptr<ScenarioSimMarket>& simMarket, const std::string& marketConfiguration = "");
 
} // namespace analytics
} // namespace ore