varcalculator.cpp

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/*
 Copyright (C) 2017 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/varcalculator.hpp>
#include <ored/utilities/to_string.hpp>
#include <qle/math/deltagammavar.hpp>
 
namespace ore {
namespace analytics {
 
VarReport::VarReport(const std::string& baseCurrency, const QuantLib::ext::shared_ptr<Portfolio>& portfolio,
                     const std::string& portfolioFilter, const vector<Real>& p, boost::optional<ore::data::TimePeriod> period,
                     const QuantLib::ext::shared_ptr<HistoricalScenarioGenerator>& hisScenGen,
                     std::unique_ptr<SensiRunArgs> sensiArgs, std::unique_ptr<FullRevalArgs> fullRevalArgs, const bool breakdown) 
    : MarketRiskReport(baseCurrency, portfolio, portfolioFilter, period, hisScenGen, std::move(sensiArgs), std::move(fullRevalArgs), nullptr, breakdown), p_(p) { 
}
 
void VarReport::createReports(const ext::shared_ptr<MarketRiskReport::Reports>& reports) {
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for VAR report");
    QuantLib::ext::shared_ptr<Report> report = reports->reports().at(0);
    // prepare report
    report->addColumn("Portfolio", string()).addColumn("RiskClass", string()).addColumn("RiskType", string());
    for (Size i = 0; i < p_.size(); ++i)
        report->addColumn("Quantile_" + std::to_string(p_[i]), double(), 6);
 
    createVarCalculator();
}
 
void VarReport::writeReports(const ext::shared_ptr<MarketRiskReport::Reports>& reports,
                                const ext::shared_ptr<MarketRiskGroupBase>& riskGroup,
                                const ext::shared_ptr<TradeGroupBase>& tradeGroup) {
 
    QL_REQUIRE(reports->reports().size() == 1, "We should only report for VAR report");
    QuantLib::ext::shared_ptr<Report> report = reports->reports().at(0);
 
    auto rg = ext::dynamic_pointer_cast<MarketRiskGroup>(riskGroup);
    auto tg = ext::dynamic_pointer_cast<TradeGroup>(tradeGroup);
 
    std::vector<Real> var;
    auto quantiles = p();
    for (auto q : quantiles)
        var.push_back(varCalculator_->var(q));
 
    if (!close_enough(QuantExt::detail::absMax(var), 0.0)) {
        report->next();
        report->add(tg->portfolioId());
        report->add(to_string(rg->riskClass()));
        report->add(to_string(rg->riskType()));
        for (auto const& v : var)
            report->add(v);
    }
}
 
} // namespace analytics
} // namespace ore