Valuation Engine. More...

#include <orea/engine/valuationengine.hpp>

Inheritance diagram for ValuationEngine:

Public Member Functions
	ValuationEngine (const QuantLib::Date &today, const QuantLib::ext::shared_ptr< ore::data::DateGrid > &dg, const QuantLib::ext::shared_ptr< analytics::SimMarket > &simMarket, const set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder >>> &modelBuilders=set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder >>>())
	Constructor. More...

void	buildCube (const QuantLib::ext::shared_ptr< data::Portfolio > &portfolio, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCube, std::vector< QuantLib::ext::shared_ptr< ValuationCalculator >> calculators, bool mporStickyDate=true, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCubeNettingSet=nullptr, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCptyCube=nullptr, std::vector< QuantLib::ext::shared_ptr< CounterpartyCalculator >> cptyCalculators={}, bool dryRun=false)
	Build NPV cube. More...

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

Detailed Description

Valuation Engine.

The valuation engine's purpose is to generate an NPV cube. Its buildCube loops over samples->dates->trades and prices the portfolio under all samples and dates.

The number of dates is defined by the DateGrid passed to the constructor. The number of trades is defined by the size of the portfolio passed to buildCube(). The number of samples is defined by the NPVCube that is passed to buildCube(), this can be dynamic.

In addition to storing the resulting NPVs it can be given any number of calculators that can store additional values in the cube.

Constructor & Destructor Documentation

◆ ValuationEngine()

ValuationEngine	(	const QuantLib::Date &	today,
		const QuantLib::ext::shared_ptr< ore::data::DateGrid > &	dg,
		const QuantLib::ext::shared_ptr< analytics::SimMarket > &	simMarket,
		const set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder >>> &	modelBuilders = `set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder >>>()`
	)

Constructor.

Parameters

today	Valuation date
dg	Simulation date grid
simMarket	Simulated market object
modelBuilders	model builders to be updated

Member Function Documentation

◆ buildCube()

void buildCube	(	const QuantLib::ext::shared_ptr< data::Portfolio > &	portfolio,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCube,
		std::vector< QuantLib::ext::shared_ptr< ValuationCalculator >>	calculators,
		bool	mporStickyDate = `true`,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCubeNettingSet = `nullptr`,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCptyCube = `nullptr`,
		std::vector< QuantLib::ext::shared_ptr< CounterpartyCalculator >>	cptyCalculators = `{}`,
		bool	dryRun = `false`
	)

Build NPV cube.