Inheritance diagram for MarketRiskBacktest:

Classes
struct	BacktestArgs

class	BacktestReports

struct	Data
	Used to pass information. More...

struct	SummaryResults
	Used to store results for writing rows in the summary report. More...

struct	VarBenchmark

Public Types
enum class	VarType { HistSim , HistSimTaylor , Parametric , Lch }
	VAR types used as a benchmark against which SIMM can be compared.

Public Member Functions
	MarketRiskBacktest (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const std::string &portfolioFilter, std::unique_ptr< BacktestArgs > btArgs, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > revalArgs=nullptr, std::unique_ptr< MultiThreadArgs > mtArgs=nullptr, const QuantLib::ext::shared_ptr< ore::analytics::HistoricalScenarioGenerator > &hisScenGen=nullptr, const bool breakdown=false, const bool requireTradePnl=false)

bool	disablesAll (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFilter > &filter) const override

virtual void	addPnlRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, QuantLib::Size scenarioIdx, bool isCall, const ore::analytics::RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, QuantLib::Real gammaPnl, const ore::analytics::RiskFactorKey &key_2=ore::analytics::RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="", const std::string &currency="", QuantLib::Real fxSpot=1.0)
	Add a row to the P&L contribution report.

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)

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 Types
typedef std::map< VarType, std::pair< QuantLib::ext::shared_ptr< ore::analytics::VarCalculator >, QuantLib::Real > >	VarBenchmarks
	pointers to the VAR benchmarks

Protected Member Functions
void	initialise () override

virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size > >	summaryColumns ()=0

virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size, bool > >	detailColumns ()=0

virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size > >	pnlColumns ()=0

virtual QuantLib::Real	callValue (const Data &data)=0

virtual QuantLib::Real	postValue (const Data &data)=0

virtual std::string	counterparty (const std::string &tradeId) const =0

virtual void	setUpBenchmarks ()=0

virtual void	reset (const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) override

void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override

virtual bool	runTradeDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override

ore::data::TimePeriod	covariancePeriod () const override

void	addPnlCalculators (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override

void	handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override

void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override

virtual void	adjustFullRevalPnls (std::vector< QuantLib::Real > &pnls, std::vector< QuantLib::Real > &bmPnls, ore::analytics::TradePnLStore &tradePnls, const std::vector< QuantLib::Real > &foSensiPnls, const std::vector< QuantLib::Real > &bmFoSensiPnls, const ore::analytics::TradePnLStore &foTradePnls, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup)

virtual void	addDetailRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, const QuantLib::Date &start, const QuantLib::Date &end, bool isFull, QuantLib::Real pnl, const std::string &result, const std::string &tradeId="") const =0
	Add a row to the detail report.

virtual void	addSummaryRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, QuantLib::Size observations, bool isFull, QuantLib::Size exceptions, const std::vector< QuantLib::Size > &ragBounds, const VarBenchmarks &sensiBenchmarks, const VarBenchmarks &fullBenchmarks) const =0
	Add a row to the summary report.

virtual void	calculateBenchmarks (VarBenchmarks &benchmarks, QuantLib::Real confidence, const bool isCall, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, std::set< std::pair< std::string, QuantLib::Size >> &tradeIdIdxPairs)
	Calculate and update the benchmarks.

void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::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 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 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 void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, 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	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

virtual void	closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

Protected Attributes
std::unique_ptr< BacktestArgs >	btArgs_

VarBenchmarks	sensiCallBenchmarks_

VarBenchmarks	sensiPostBenchmarks_

VarBenchmarks	fullRevalCallBenchmarks_

VarBenchmarks	fullRevalPostBenchmarks_

std::vector< QuantLib::Real >	bmSensiPnls_
	variables for benchmark calculations

std::vector< QuantLib::Real >	bmFoSensiPnls_

std::vector< QuantLib::Real >	pnls_

std::vector< QuantLib::Real >	bmPnls_

std::vector< QuantLib::Real >	sensiPnls_

std::vector< QuantLib::Real >	foSensiPnls_

ore::analytics::TradePnLStore	foTradePnls_

ore::analytics::TradePnLStore	tradePnls_

ore::analytics::TradePnLStore	sensiTradePnls_

std::set< std::string >	callTradeIds_

std::set< std::string >	postTradeIds_

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_

Member Function Documentation

◆ disablesAll()

bool disablesAll ( const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFilter > & filter ) const

override

Check if the given scenario filter turns off all risk factors in the historical scenario generator

Classes

Public Types

Public Member Functions

Protected Types

Protected Member Functions

Protected Attributes

Member Function Documentation

◆ disablesAll()