Inheritance diagram for MarketRiskReport:

Classes
struct	FullRevalArgs

struct	MultiThreadArgs

class	Reports

struct	SensiRunArgs

Public Member Functions
	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
virtual void	initialiseRiskGroups ()
	Method for shared initialisation.

virtual void	registerProgressIndicators ()

virtual void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)=0

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 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 std::vector< ore::data::TimePeriod >	timePeriods ()

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
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

◆ enableCubeWrite()

void enableCubeWrite	(	const std::string &	cubeDir,
		const std::string &	cubeFilename
	)

Enable cube file generation to the given output directory cubeDir with the given cube file name cubeFilename. The cubeFilename should be of the form 'stemFILTER.dat'. In the code the 'FILTER' piece is replaced with a description of the scenario filter under which the cube was generated so that separate cube files are generated for each scenario filter.

Remarks: This will only have an effect when full revaluation is enabled

◆ disablesAll()

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

protectedvirtual

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

Member Data Documentation

◆ tradeIdGroups_

std::map<std::string, std::set<std::pair<std::string, QuantLib::Size> > > tradeIdGroups_

protected

Partition of portfolio's trade IDs (and index as a pair), into groups.

◆ salvage_

QuantLib::ext::shared_ptr<QuantExt::CovarianceSalvage> salvage_

protected

Initial value:

=

QuantLib::ext::make_shared<QuantExt::SpectralCovarianceSalvage>()

Classes

Public Member Functions