ParametricVarReport Class Reference

Parametric VaR Calculator. More...

#include <orea/engine/parametricvar.hpp>

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

Public Member Functions
	ParametricVarReport (const std::map< std::string, std::set< std::pair< std::string, QuantLib::Size >>> &tradePortfolio, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< SensitivityStream > &sensitivities, const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > covariance, const std::vector< Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool breakdown, const bool salvageCovarianceMatrix)
	ParametricVarReport (const std::map< std::string, std::set< std::pair< std::string, QuantLib::Size >>> &tradePortfolios, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< SensitivityStream > &sensitivities, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const ore::data::TimePeriod &benchmarkPeriod, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensitivityConfig, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketConfig, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams &parametricVarParams, const bool breakdown, const bool salvageCovarianceMatrix)
void	calculate (ore::data::Report &report)

Protected Attributes
std::map< std::string, std::set< std::pair< std::string, QuantLib::Size > > >	tradePortfolios_
const std::string	portfolioFilter_
const QuantLib::ext::shared_ptr< SensitivityStream >	sensitivities_
const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real >	covariance_
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	hisScenGen_
	Historical scenario generator.
boost::optional< ore::data::TimePeriod >	benchmarkPeriod_
const QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityConfig_
const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketConfig_
Matrix	cov_
const std::vector< Real >	p_
ParametricVarCalculator::ParametricVarParams	parametricVarParams_
	The parameters to use for calculating the parametric VAR benchmark.
bool	breakdown_ = false
bool	salvageCovarianceMatrix_ = true

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, ...).