Reference manual - version orea_version
HistoricalSimulation VaR Calculator. More...
#include <orea/engine/historicalsimulationvar.hpp>
Inheritance diagram for HistoricalSimulationVarReport:Public Member Functions | |
| HistoricalSimulationVarReport (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=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, const bool breakdown=false) | |
| Public Member Functions inherited from 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=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, const bool breakdown=false) | |
| void | createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override |
| const std::vector< Real > & | p () const |
| Public Member Functions inherited from MarketRiskReport | |
| MarketRiskReport (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false) | |
| virtual void | initialise () |
| void | initSimMarket () |
| Method to init simMarket_ for multi-threaded ctors. | |
| virtual void | calculate (const QuantLib::ext::shared_ptr< Reports > &report) |
| void | enableCubeWrite (const std::string &cubeDir, const std::string &cubeFilename) |
| Public Member Functions inherited from ProgressReporter | |
| void | registerProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) |
| void | unregisterProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) |
| void | unregisterAllProgressIndicators () |
| void | updateProgress (const unsigned long progress, const unsigned long total, const std::string &detail="") |
| void | resetProgress () |
| const std::set< QuantLib::ext::shared_ptr< ProgressIndicator > > & | progressIndicators () const |
Protected Member Functions | |
| void | createVarCalculator () override |
| void | handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override |
| Protected Member Functions inherited from VarReport | |
| void | writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override |
| std::vector< ore::data::TimePeriod > | timePeriods () override |
| Protected Member Functions inherited from MarketRiskReport | |
| virtual void | initialiseRiskGroups () |
| Method for shared initialisation. | |
| virtual void | registerProgressIndicators () |
| virtual bool | runTradeDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) |
| virtual QuantLib::ext::shared_ptr< ScenarioFilter > | createScenarioFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) |
| virtual void | reset (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) |
| virtual bool | runTradeRiskGroup (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual bool | disablesAll (const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const |
| virtual void | updateFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) |
| update any filters required | |
| virtual std::string | portfolioId (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const |
| virtual std::string | tradeGroupKey (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const |
| virtual ore::data::TimePeriod | covariancePeriod () const |
| virtual void | addPnlCalculators (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) |
| virtual void | handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) |
| virtual bool | includeDeltaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual bool | includeGammaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual bool | runFullReval (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual bool | generateCube (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual std::string | cubeFilePath (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const |
| virtual void | closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) |
Additional Inherited Members | |
| Protected Attributes inherited from VarReport | |
| QuantLib::ext::shared_ptr< VarCalculator > | varCalculator_ |
| Protected Attributes inherited from MarketRiskReport | |
| bool | sensiBased_ = false |
| bool | fullReval_ = false |
| std::string | calculationCurrency_ |
| QuantLib::ext::shared_ptr< Portfolio > | portfolio_ |
| std::string | portfolioFilter_ |
| boost::optional< ore::data::TimePeriod > | period_ |
| QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > | hisScenGen_ |
| std::unique_ptr< SensiRunArgs > | sensiArgs_ |
| std::unique_ptr< FullRevalArgs > | fullRevalArgs_ |
| std::unique_ptr< MultiThreadArgs > | multiThreadArgs_ |
| bool | breakdown_ = false |
| bool | requireTradePnl_ = false |
| QuantLib::ext::shared_ptr< MarketRiskGroupBaseContainer > | riskGroups_ |
| QuantLib::ext::shared_ptr< TradeGroupBaseContainer > | tradeGroups_ |
| std::map< std::string, std::set< std::pair< std::string, QuantLib::Size > > > | tradeIdGroups_ |
| std::set< std::pair< std::string, QuantLib::Size > > | tradeIdIdxPairs_ |
| std::vector< std::string > | tradeIds_ |
| std::map< RiskFactorKey, QuantLib::Real > | deltas_ |
| std::map< std::pair< RiskFactorKey, RiskFactorKey >, QuantLib::Real > | gammas_ |
| QuantLib::Matrix | covarianceMatrix_ |
| bool | writePnl_ = false |
| std::vector< QuantLib::ext::shared_ptr< PNLCalculator > > | pnlCalculators_ |
| QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage > | salvage_ |
| bool | includeDeltaMargin_ = true |
| bool | includeGammaMargin_ = true |
| QuantLib::ext::shared_ptr< ore::data::EngineFactory > | factory_ |
| QuantLib::ext::shared_ptr< ore::analytics::HistoricalPnlGenerator > | histPnlGen_ |
| QuantLib::ext::shared_ptr< HistoricalSensiPnlCalculator > | sensiPnlCalculator_ |
HistoricalSimulation VaR Calculator.
This class takes sensitivity data and a covariance matrix as an input and computes a Historical Simulation value at risk. The output can be broken down by portfolios, risk classes (IR, FX, EQ, ...) and risk types (delta-gamma, vega, ...).
