simmresults.cpp

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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.
*/
 
#include <orea/simm/simmresults.hpp>
#include <ored/utilities/parsers.hpp>
 
#include <ql/utilities/null.hpp>
 
using QuantLib::Null;
using QuantLib::Real;
using std::get;
using std::make_tuple;
using std::ostream;
using std::make_pair;
using std::string;
 
namespace ore {
namespace analytics {
 
void SimmResults::add(const CrifRecord::ProductClass& pc, const SimmConfiguration::RiskClass& rc,
                      const SimmConfiguration::MarginType& mt, const string& b, Real im, const string& resultCurrency,
                      const string& calculationCurrency, const bool overwrite) {
        if (!(mt == SimmConfiguration::MarginType::AdditionalIM || mt == SimmConfiguration::MarginType::All))
            QL_REQUIRE(im >= 0.0, "Cannot add negative IM " << im << " result to SimmResults for RiskClass=" << rc
                                                            << ", MarginType=" << mt << ", and Bucket=" << b);
 
        const auto key = make_tuple(pc, rc, mt, b);
        add(key, im, resultCurrency, calculationCurrency, overwrite);
}
 
 
void SimmResults::add(const SimmResults::Key& key, QuantLib::Real im, const std::string& resultCurrency,
                      const std::string& calculationCurrency, const bool overwrite) {
        // Add the value as long as the currencies are matching. If the SimmResults container does not yet have
        // a currency, we set it to be that of the incoming value
        if (resultCcy_.empty())
            resultCcy_ = resultCurrency;
        else
            QL_REQUIRE(resultCurrency == resultCcy_,
                       "Cannot add value to SimmResults with a different result currency ("
                           << resultCurrency << "). Expected " << resultCcy_ << ".");
 
        if (calcCcy_.empty())
            calcCcy_ = calculationCurrency;
        else
            QL_REQUIRE(calculationCurrency == calcCcy_,
                       "Cannot add value to SimmResults in a different calculation currency ("
                           << calculationCurrency << "). Expected " << calcCcy_ << ".");
 
        const bool hasResults = data_.find(key) != data_.end();
        if (hasResults && !overwrite)
            data_[key] += im;
        else
            data_[key] = im;
 }
 
 
void SimmResults::convert(const QuantLib::ext::shared_ptr<ore::data::Market>& market, const string& currency) {
    // Get corresponding FX spot rate
    Real fxSpot = market->fxRate(resultCcy_ + currency)->value();
 
    convert(fxSpot, currency);
}
 
void SimmResults::convert(Real fxSpot, const string& currency) {
    // Check that target currency is valid
    QL_REQUIRE(ore::data::checkCurrency(currency), "Cannot convert SIMM results. The target currency ("
                                                       << currency << ") must be a valid ISO currency code");
 
    // Skip if already in target currency
    if (resultCcy_ == currency)
        return;
 
    // Convert SIMM results to target currency
    for (auto& sr : data_)
        sr.second *= fxSpot;
 
    // Update currency
    resultCcy_ = currency;
}
 
Real SimmResults::get(const CrifRecord::ProductClass& pc, const SimmConfiguration::RiskClass& rc,
                      const SimmConfiguration::MarginType& mt, const string b) const {
    if (has(pc, rc, mt, b)) {
        return data_.at(make_tuple(pc, rc, mt, b));
    } else {
        return Null<Real>();
    }
}
 
bool SimmResults::has(const CrifRecord::ProductClass& pc, const SimmConfiguration::RiskClass& rc,
                      const SimmConfiguration::MarginType& mt, const string b) const {
    return data_.count(make_tuple(pc, rc, mt, b)) > 0;
}
 
bool SimmResults::empty() const { return data_.empty(); }
 
void SimmResults::clear() { data_.clear(); }
 
ostream& operator<<(ostream& out, const SimmResults::Key& k) {
    return out << "[" << get<0>(k) << ", " << get<1>(k) << ", " << get<2>(k) << ", " << get<3>(k) << "]";
}
 
} // namespace analytics
} // namespace ore