ParametricVarReport Class Reference

Parametric VaR Calculator. More...

#include <orea/engine/parametricvar.hpp>

Inheritance diagram for ParametricVarReport:

Public Types
typedef std::pair< RiskFactorKey, RiskFactorKey >	CrossPair

Public Member Functions
	ParametricVarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false)
	ParametricVarReport (const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false)
void	createVarCalculator () override
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 Attributes
const QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityConfig_
const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig_
ParametricVarCalculator::ParametricVarParams	parametricVarParams_
	The parameters to use for calculating the parametric VAR benchmark.
bool	salvageCovarianceMatrix_ = true
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_

Additional Inherited Members
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 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	closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

Detailed Description

Parametric VaR Calculator.

This class takes sensitivity data and a covariance matrix as an input and computes a parametric value at risk. The output can be broken down by portfolios, risk classes (IR, FX, EQ, ...) and risk types (delta-gamma, vega, ...).