ScenarioSimMarket Class Reference

Simulation Market updated with discrete scenarios. More...

#include <orea/scenario/scenariosimmarket.hpp>

Inheritance diagram for ScenarioSimMarket:

Public Member Functions
	ScenarioSimMarket (const bool handlePseudoCurrencies)
	Constructor.
	ScenarioSimMarket (const QuantLib::ext::shared_ptr< Market > &initMarket, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &parameters, const std::string &configuration=Market::defaultConfiguration, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), const bool continueOnError=false, const bool useSpreadedTermStructures=false, const bool cacheSimData=false, const bool allowPartialScenarios=false, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool handlePseudoCurrencies=true, const QuantLib::ext::shared_ptr< Scenario > &offSetScenario=nullptr)
	ScenarioSimMarket (const QuantLib::ext::shared_ptr< Market > &initMarket, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &parameters, const QuantLib::ext::shared_ptr< FixingManager > &fixingManager, const std::string &configuration=Market::defaultConfiguration, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), const bool continueOnError=false, const bool useSpreadedTermStructures=false, const bool cacheSimData=false, const bool allowPartialScenarios=false, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool handlePseudoCurrencies=true, const QuantLib::ext::shared_ptr< Scenario > &offSetScenario=nullptr)
virtual QuantLib::ext::shared_ptr< ScenarioGenerator > &	scenarioGenerator ()
	Set scenario generator.
virtual const QuantLib::ext::shared_ptr< ScenarioGenerator > &	scenarioGenerator () const
	Get scenario generator.
virtual QuantLib::ext::shared_ptr< AggregationScenarioData > &	aggregationScenarioData ()
	Set aggregation data.
virtual const QuantLib::ext::shared_ptr< AggregationScenarioData > &	aggregationScenarioData () const
	Get aggregation data.
virtual QuantLib::ext::shared_ptr< ScenarioFilter > &	filter ()
	Set scenarioFilter.
virtual const QuantLib::ext::shared_ptr< ScenarioFilter > &	filter () const
	Get scenarioFilter.
virtual void	preUpdate () override
	Update.
virtual void	updateScenario (const Date &) override
	Retrieve next market scenario and apply this, but don't update date.
virtual void	updateDate (const Date &) override
	Update to the given date.
virtual void	postUpdate (const Date &d, bool withFixings) override
	Observable reset depending on selected mode, instrument updates.
virtual void	updateAsd (const Date &) override
	Update aggregation scenario data.
virtual void	reset () override
	Reset sim market to initial state.
virtual QuantLib::ext::shared_ptr< Scenario >	baseScenario () const
virtual QuantLib::ext::shared_ptr< Scenario >	baseScenarioAbsolute () const
bool	useSpreadedTermStructures () const
const QuantLib::ext::shared_ptr< FixingManager > &	fixingManager () const override
	Return the fixing manager.
virtual bool	isSimulated (const RiskFactorKey::KeyType &factor) const
	is risk factor key simulated by this sim market instance?
void	applyScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario)
Public Member Functions inherited from SimMarket
	SimMarket (const bool handlePseudoCurrencies)
virtual void	update (const Date &d)
	Generate or retrieve market scenario, update market, notify termstructures and update fixings.
Real	numeraire ()
	Return current numeraire value.
const std::string &	label ()
	Return current scenario label, if any.
Public Member Functions inherited from MarketImpl
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
void	refresh (const string &configuration=Market::defaultConfiguration) override
Date	asofDate () const override
Handle< YieldTermStructure >	yieldCurve (const YieldCurveType &type, const string &ccy, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	swaptionVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantLib::SwaptionVolatilityStructure >	yieldVol (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::FxIndex >	fxIndexImpl (const string &fxIndex, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditCurve >	defaultCurve (const string &, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CreditVolCurve >	cdsVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::BaseCorrelationTermStructure >	baseCorrelation (const string &name, const string &configuration=Market::defaultConfiguration) const override
Handle< OptionletVolatilityStructure >	capFloorVol (const string &key, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::YoYOptionletVolatilitySurface >	yoyCapFloorVol (const string &name, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< ZeroInflationIndex >	zeroInflationIndex (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
virtual Handle< CPIVolatilitySurface >	cpiInflationCapFloorVolatilitySurface (const string &indexName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	equitySpot (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< BlackVolTermStructure >	equityVol (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< YieldTermStructure >	equityForecastCurve (const string &eqName, const string &configuration=Market::defaultConfiguration) const override
Handle< Quote >	securitySpread (const string &securityID, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::InflationIndexObserver >	baseCpis (const string &index, const string &configuration=Market::defaultConfiguration) const
QuantLib::Handle< QuantExt::PriceTermStructure >	commodityPriceCurve (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantExt::CommodityIndex >	commodityIndex (const std::string &commodityName, const std::string &configuration=Market::defaultConfiguration) const override
QuantLib::Handle< QuantLib::BlackVolTermStructure >	commodityVolatility (const string &commodityName, const string &configuration=Market::defaultConfiguration) const override
Handle< QuantExt::CorrelationTermStructure >	correlationCurve (const string &index1, const string &index2, const string &configuration=Market::defaultConfiguration) const override
Public Member Functions inherited from Market
	Market (const bool handlePseudoCurrencies)

Protected Member Functions
void	writeSimData (std::map< RiskFactorKey, QuantLib::ext::shared_ptr< SimpleQuote >> &simDataTmp, std::map< RiskFactorKey, Real > &absoluteSimDataTmp, const RiskFactorKey::KeyType keyType, const std::string &name, const std::vector< std::vector< Real >> &coordinates)
void	addYieldCurve (const QuantLib::ext::shared_ptr< Market > &initMarket, const std::string &configuration, const RiskFactorKey::KeyType rf, const string &key, const vector< Period > &tenors, bool &simDataWritten, bool simulate=true, bool spreaded=false)
QuantLib::Handle< QuantLib::YieldTermStructure >	getYieldCurve (const std::string &yieldSpecId, const ore::data::TodaysMarketParameters &todaysMarketParams, const std::string &configuration, const QuantLib::ext::shared_ptr< ore::data::Market > &market=nullptr) const
bool	addSwapIndexToSsm (const std::string &indexName, const bool continueOnError)
Protected Member Functions inherited from MarketImpl
virtual void	require (const MarketObject o, const string &name, const string &configuration, const bool forceBuild=false) const
void	addSwapIndex (const string &swapindex, const string &discountIndex, const string &configuration=Market::defaultConfiguration) const

Protected Attributes
const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	parameters_
QuantLib::ext::shared_ptr< ScenarioGenerator >	scenarioGenerator_
QuantLib::ext::shared_ptr< AggregationScenarioData >	asd_
QuantLib::ext::shared_ptr< FixingManager >	fixingManager_
QuantLib::ext::shared_ptr< ScenarioFilter >	filter_
std::map< RiskFactorKey, QuantLib::ext::shared_ptr< SimpleQuote > >	simData_
QuantLib::ext::shared_ptr< Scenario >	baseScenario_
QuantLib::ext::shared_ptr< Scenario >	baseScenarioAbsolute_
std::vector< QuantLib::ext::shared_ptr< SimpleQuote > >	cachedSimData_
std::vector< bool >	cachedSimDataActive_
std::size_t	cachedSimDataKeysHash_ = 0
std::set< RiskFactorKey::KeyType >	nonSimulatedFactors_
bool	useSpreadedTermStructures_
std::map< RiskFactorKey, Real >	absoluteSimData_
std::set< std::tuple< RiskFactorKey::KeyType, std::string, std::vector< std::vector< Real > > > >	coordinatesData_
bool	cacheSimData_
bool	allowPartialScenarios_
IborFallbackConfig	iborFallbackConfig_
std::set< ore::analytics::RiskFactorKey >	diffToBaseKeys_
QuantLib::ext::shared_ptr< Scenario >	currentScenario_
QuantLib::ext::shared_ptr< Scenario >	offsetScenario_
Protected Attributes inherited from SimMarket
Real	numeraire_
std::string	label_

Additional Inherited Members
Static Public Attributes inherited from Market
static const string	defaultConfiguration
static const string	inCcyConfiguration

Detailed Description

Simulation Market updated with discrete scenarios.

If useSpreadedTermStructures is true, spreaded term structures over the initMarket for supported risk factors will be generated. This is used by the SensitivityScenarioGenerator.

If cacheSimData is true, the scenario application is optimised. This requires that all scenarios are SimpleScenario instances with identical key structure in their data.

If allowPartialScenarios is true, the check that all simData_ is touched by a scenario is disabled.

Member Function Documentation

baseScenario()

virtual QuantLib::ext::shared_ptr<Scenario> baseScenario ( ) const

virtual

Scenario representing the initial state of the market. If useSpreadedTermStructures = false, this scenario contains absolute values for all risk factor keys. If useSpreadedTermStructures = true, this scenario contains spread values for all risk factor keys which support spreaded term structures and absolute values for the other risk factor keys. The spread values will typically be zero (e.g. for vol risk factors) or 1 (e.g. for rate curve risk factors, since we use discount factors there).

baseScenarioAbsolute()

virtual QuantLib::ext::shared_ptr<Scenario> baseScenarioAbsolute ( ) const

virtual

Scenario representing the initial state of the market. This scenario contains absolute values for all risk factor types, no matter whether useSpreadedTermStructures is true or false.

useSpreadedTermStructures()

bool useSpreadedTermStructures

(

)

const

Return true if this instance uses spreaded term structures

getYieldCurve()

QuantLib::Handle<QuantLib::YieldTermStructure> getYieldCurve ( const std::string &  yieldSpecId, const ore::data::TodaysMarketParameters &  todaysMarketParams, const std::string &  configuration, const QuantLib::ext::shared_ptr< ore::data::Market > &  market = nullptr  ) const

protected

Given a yield curve spec ID, yieldSpecId, return the corresponding yield term structure from the market. If market is nullptr, then the yield term structure is taken from this ScenarioSimMarket instance.

addSwapIndexToSsm()

bool addSwapIndexToSsm ( const std::string &  indexName, const bool  continueOnError  )

protected

add a single swap index to the market, return true if successful