sensitivityreportstream.cpp

Go to the documentation of this file.

/*
 Copyright (C) 2024 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/sensitivityreportstream.hpp>
#include <orea/scenario/shiftscenariogenerator.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <ql/errors.hpp>
 
#include <boost/algorithm/string.hpp>
 
using ore::analytics::deconstructFactor;
using ore::data::parseBool;
using ore::data::parseReal;
using std::getline;
using std::string;
using std::vector;
 
namespace ore {
namespace analytics {
 
SensitivityRecord SensitivityReportStream::next() {
    row_++;
    if (row_ <= report_->rows()) {
        vector<Report::ReportType> entries;
        for (Size i = 0; i < report_->columns(); i++) {
            entries.push_back(report_->data(i).at(row_ - 1));
        }
        return processRecord(entries);
    }
 
    // If we get to here, no more lines to process so return empty record
    return SensitivityRecord();
}
 
void SensitivityReportStream::reset() {
    row_ = 0;
}
 
SensitivityRecord SensitivityReportStream::processRecord(const vector<Report::ReportType>& entries) const {
 
    QL_REQUIRE(entries.size() == 10, "On row number " << row_ << ": A sensitivity record needs 10 entries");
 
    SensitivityRecord sr;
    sr.tradeId = QuantLib::ext::get<std::string>(entries[0]);
    sr.isPar = parseBool(QuantLib::ext::get<std::string>(entries[1]));
 
    auto p = deconstructFactor(QuantLib::ext::get<std::string>(entries[2]));
    sr.key_1 = p.first;
    sr.desc_1 = p.second;
    sr.shift_1 = QuantLib::ext::get<Real>(entries[3]);
 
    p = deconstructFactor(QuantLib::ext::get<std::string>(entries[4]));
    sr.key_2 = p.first;
    sr.desc_2 = p.second;
    sr.shift_2 = QuantLib::ext::get<Real>(entries[5]);
 
    sr.currency = QuantLib::ext::get<std::string>(entries[6]);
    sr.baseNpv = QuantLib::ext::get<Real>(entries[7]);
    sr.delta = QuantLib::ext::get<Real>(entries[8]);
    sr.gamma = QuantLib::ext::get<Real>(entries[9]);
 
    return sr;
}
 
} // namespace analytics
} // namespace ore