sensitivityrunner.hpp

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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.
*/
 
/*! \file orea/app/sensitivityrunner.hpp
    \brief A class to run the sensitivity analysis
    \ingroup app
*/
#pragma once
 
#include <boost/make_shared.hpp>
#include <orea/app/parameters.hpp>
#include <orea/engine/sensitivityanalysis.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <ored/configuration/conventions.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/portfolio.hpp>
 
namespace ore {
namespace analytics {
 
class SensitivityRunner {
public:
    SensitivityRunner(QuantLib::ext::shared_ptr<Parameters> params,
                      const QuantLib::ext::shared_ptr<ore::data::ReferenceDataManager>& referenceData = nullptr,
                      const IborFallbackConfig& iborFallbackConfig = IborFallbackConfig::defaultConfig(),
                      const bool continueOnError = false)
        : params_(params), referenceData_(referenceData), iborFallbackConfig_(iborFallbackConfig),
          continueOnError_(continueOnError) {}
 
    virtual ~SensitivityRunner(){};
 
    virtual void runSensitivityAnalysis(QuantLib::ext::shared_ptr<ore::data::Market> market,
                                        const QuantLib::ext::shared_ptr<ore::data::CurveConfigurations>& curveConfigs,
                                        const QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters>& todaysMarketParams);
 
    //! Initialize input parameters to the sensitivities analysis
    virtual void sensiInputInitialize(QuantLib::ext::shared_ptr<ScenarioSimMarketParameters>& simMarketData,
                                      QuantLib::ext::shared_ptr<SensitivityScenarioData>& sensiData,
                                      QuantLib::ext::shared_ptr<EngineData>& engineData,
                                      QuantLib::ext::shared_ptr<Portfolio>& sensiPortfolio);
 
    //! Write out some standard sensitivities reports
    virtual void sensiOutputReports(const QuantLib::ext::shared_ptr<SensitivityAnalysis>& sensiAnalysis);
 
    //! \name Inspectors
    //@{
    const QuantLib::ext::shared_ptr<ScenarioSimMarket>& simMarket() const { return simMarket_; }
    const QuantLib::ext::shared_ptr<SensitivityScenarioData>& sensiData() const { return sensiData_; }
    //@}
 
protected:
    QuantLib::ext::shared_ptr<Parameters> params_;
    QuantLib::ext::shared_ptr<ore::data::ReferenceDataManager> referenceData_;
    IborFallbackConfig iborFallbackConfig_;
    const bool continueOnError_;
 
    //! Scenario simulation market that is bumped for the sensitivity run.
    QuantLib::ext::shared_ptr<ScenarioSimMarket> simMarket_;
 
    //! Sensitivity configuration data used for the sensitivity run.
    QuantLib::ext::shared_ptr<SensitivityScenarioData> sensiData_;
};
 
} // namespace analytics
} // namespace ore