stresstestanalytic.cpp

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/*
 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/app/analytics/stresstestanalytic.hpp>
#include <orea/app/reportwriter.hpp>
#include <orea/engine/observationmode.hpp>
#include <orea/engine/parsensitivityanalysis.hpp>
#include <orea/engine/parstressconverter.hpp>
#include <orea/engine/stresstest.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/app/structuredanalyticserror.hpp>
 
using namespace ore::data;
using namespace boost::filesystem;
 
namespace ore {
namespace analytics {
 
void StressTestAnalyticImpl::setUpConfigurations() {
    const auto stressData =  inputs_->stressScenarioData();
    analytic()->configurations().simulationConfigRequired = true;
    if (stressData != nullptr) {
        analytic()->configurations().sensitivityConfigRequired = stressData->hasScenarioWithParShifts();
    } else {
        analytic()->configurations().sensitivityConfigRequired = false;
    }
    analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
    analytic()->configurations().simMarketParams = inputs_->stressSimMarketParams();
    analytic()->configurations().sensiScenarioData = inputs_->stressSensitivityScenarioData();
    setGenerateAdditionalResults(true);
}
 
void StressTestAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
                                         const std::set<std::string>& runTypes) {
    if (!analytic()->match(runTypes))
        return;
 
    LOG("StressTestAnalytic::runAnalytic called");
 
    Settings::instance().evaluationDate() = inputs_->asof();
    ObservationMode::instance().setMode(inputs_->observationModel());
    QL_REQUIRE(inputs_->portfolio(), "StressTestAnalytic::run: No portfolio loaded.");
 
    CONSOLEW("StressTestAnalytic: Build Market");
    analytic()->buildMarket(loader);
    CONSOLE("OK");
 
    CONSOLEW("StressTestAnalytic: Build Portfolio");
    analytic()->buildPortfolio();
    CONSOLE("OK");
    QuantLib::ext::shared_ptr<InMemoryReport> report = QuantLib::ext::make_shared<InMemoryReport>();
    // This hook allows modifying the portfolio in derived classes before running the analytics below,
    // e.g. to apply SIMM exemptions.
    analytic()->modifyPortfolio();
    CONSOLEW("Risk: Stress Test Report");
    LOG("Stress Test Analysis called");
    QuantLib::ext::shared_ptr<StressTestScenarioData> scenarioData = inputs_->stressScenarioData();
    if (scenarioData != nullptr && scenarioData->hasScenarioWithParShifts()) {
        try{
            ParStressTestConverter converter(
            inputs_->asof(), analytic()->configurations().todaysMarketParams,
            analytic()->configurations().simMarketParams, analytic()->configurations().sensiScenarioData,
            analytic()->configurations().curveConfig, analytic()->market(), inputs_->iborFallbackConfig());
            scenarioData = converter.convertStressScenarioData(scenarioData);
            analytic()->stressTests()[label()]["stress_ZeroStressData"] = scenarioData;
        } catch(const std::exception& e){
            StructuredAnalyticsErrorMessage(label(), "ParConversionFailed", e.what()).log();
        }
    }
 
    Settings::instance().evaluationDate() = inputs_->asof();
 
    std::string marketConfig = inputs_->marketConfig("pricing");
    std::vector<QuantLib::ext::shared_ptr<ore::data::EngineBuilder>> extraEngineBuilders;
    std::vector<QuantLib::ext::shared_ptr<ore::data::LegBuilder>> extraLegBuilders;
    QuantLib::ext::shared_ptr<StressTest> stressTest = QuantLib::ext::make_shared<StressTest>(
        analytic()->portfolio(), analytic()->market(), marketConfig, inputs_->pricingEngine(),
        analytic()->configurations().simMarketParams, scenarioData, *analytic()->configurations().curveConfig,
        *analytic()->configurations().todaysMarketParams, nullptr, inputs_->refDataManager(),
        *inputs_->iborFallbackConfig(), inputs_->continueOnError());
    stressTest->writeReport(report, inputs_->stressThreshold());
    analytic()->reports()[label()]["stress"] = report;
    CONSOLE("OK");
}
 
StressTestAnalytic::StressTestAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
    : Analytic(std::make_unique<StressTestAnalyticImpl>(inputs), {"STRESS"}, inputs, false, false, false, false) {}
} // namespace analytics
} // namespace ore