ReportWriter Class Reference

Write ORE outputs to reports. More...

#include <orea/app/reportwriter.hpp>

Public Member Functions
	ReportWriter (const std::string &nullString="#NA")
virtual void	writeNpv (ore::data::Report &report, const std::string &baseCurrency, boost::shared_ptr< ore::data::Market > market, const std::string &configuration, boost::shared_ptr< Portfolio > portfolio)
virtual void	writeCashflow (ore::data::Report &report, const std::string &baseCurrency, boost::shared_ptr< ore::data::Portfolio > portfolio, boost::shared_ptr< ore::data::Market > market=boost::shared_ptr< ore::data::Market >(), const std::string &configuration=ore::data::Market::defaultConfiguration, const bool includePastCashflows=false)
virtual void	writeCashflowNpv (ore::data::Report &report, const ore::data::InMemoryReport &cashflowReport, boost::shared_ptr< ore::data::Market > market, const std::string &configuration, const std::string &baseCcy, const Date &horizon=Date::maxDate())
virtual void	writeCurves (ore::data::Report &report, const std::string &configID, const DateGrid &grid, const TodaysMarketParameters &marketConfig, const boost::shared_ptr< Market > &market, const bool continueOnError=false)
virtual void	writeTradeExposures (ore::data::Report &report, boost::shared_ptr< PostProcess > postProcess, const std::string &tradeId)
virtual void	writeNettingSetExposures (ore::data::Report &report, boost::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeNettingSetExposures (ore::data::Report &report, boost::shared_ptr< PostProcess > postProcess)
virtual void	writeNettingSetCvaSensitivities (ore::data::Report &report, boost::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeNettingSetColva (ore::data::Report &report, boost::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeXVA (ore::data::Report &report, const string &allocationMethod, boost::shared_ptr< Portfolio > portfolio, boost::shared_ptr< PostProcess > postProcess)
virtual void	writeAggregationScenarioData (ore::data::Report &report, const AggregationScenarioData &data)
virtual void	writeScenarioReport (ore::data::Report &report, const boost::shared_ptr< SensitivityCube > &sensitivityCube, QuantLib::Real outputThreshold=0.0)
virtual void	writeSensitivityReport (ore::data::Report &report, const boost::shared_ptr< SensitivityStream > &ss, QuantLib::Real outputThreshold=0.0, QuantLib::Size outputPrecision=2)
virtual void	writeSensitivityConfigReport (ore::data::Report &report, const std::map< RiskFactorKey, QuantLib::Real > &shiftSizes, const std::map< RiskFactorKey, QuantLib::Real > &baseValues, const std::map< RiskFactorKey, std::string > &keyToFactor)
virtual void	writeAdditionalResultsReport (ore::data::Report &report, boost::shared_ptr< ore::data::Portfolio > portfolio, boost::shared_ptr< Market > market, const std::string &baseCurrency)
virtual void	writeMarketData (ore::data::Report &report, const boost::shared_ptr< ore::data::Loader > &loader, const QuantLib::Date &asof, const set< string > &quoteNames, bool returnAll)
virtual void	writeFixings (ore::data::Report &report, const boost::shared_ptr< ore::data::Loader > &loader)
virtual void	writeDividends (ore::data::Report &report, const boost::shared_ptr< ore::data::Loader > &loader)
virtual void	writePricingStats (ore::data::Report &report, const boost::shared_ptr< Portfolio > &portfolio)
virtual void	writeCube (ore::data::Report &report, const boost::shared_ptr< NPVCube > &cube, const std::map< std::string, std::string > &nettingSetMap=std::map< std::string, std::string >())
const std::string &	nullString () const
virtual void	writeSIMMReport (const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::pair< std::string, SimmResults >>> &simmResultsMap, const boost::shared_ptr< ore::data::Report > report, const bool hasNettingSetDetails=false, const std::string &simmResultCcy="", const std::string &simmCalcCcy="", const std::string &reportCcy="", QuantLib::Real fxSpot=1.0, QuantLib::Real outputThreshold=0.005)
virtual void	writeSIMMReport (const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::map< std::string, SimmResults >>> &simmResultsMap, const boost::shared_ptr< ore::data::Report > report, const bool hasNettingSetDetails=false, const std::string &simmResultCcy="", const std::string &simmCalcCcy="", const std::string &reportCcy="", const bool isFinalSimm=true, QuantLib::Real fxSpot=1.0, QuantLib::Real outputThreshold=0.005)
virtual void	writeSIMMData (const SimmNetSensitivities &simmData, const boost::shared_ptr< ore::data::Report > &dataReport, const bool hasNettingSetDetails=false)
	Write the SIMM data report i.e. the netted CRIF records used in a SIMM calculation.
virtual void	writeCrifReport (const boost::shared_ptr< ore::data::Report > &report, const SimmNetSensitivities &crifRecords)
	Write out CRIF records to a report.
virtual void	writeScenarioStatistics (const boost::shared_ptr< ore::analytics::ScenarioGenerator > &generator, const std::vector< ore::analytics::RiskFactorKey > &keys, QuantLib::Size numPaths, const std::vector< QuantLib::Date > &dates, ore::data::Report &report)
virtual void	writeScenarioDistributions (const boost::shared_ptr< ore::analytics::ScenarioGenerator > &generator, const std::vector< ore::analytics::RiskFactorKey > &keys, QuantLib::Size numPaths, const std::vector< QuantLib::Date > &dates, QuantLib::Size distSteps, ore::data::Report &report)

Protected Member Functions
void	addMarketDatum (ore::data::Report &report, const ore::data::MarketDatum &md, const QuantLib::Date &actualDate=Date())

Protected Attributes
std::string	nullString_

Detailed Description

Write ORE outputs to reports.

Constructor & Destructor Documentation

ReportWriter()

ReportWriter

(

const std::string &

nullString = "#NA"

)

Constructor.

Parameters

nullString

used to represent string values that are not applicable.

Member Function Documentation

writeSIMMReport()

virtual void writeSIMMReport ( const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::pair< std::string, SimmResults >>> &  simmResultsMap, const boost::shared_ptr< ore::data::Report >  report, const bool  hasNettingSetDetails = false, const std::string &  simmResultCcy = "", const std::string &  simmCalcCcy = "", const std::string &  reportCcy = "", QuantLib::Real  fxSpot = 1.0, QuantLib::Real  outputThreshold = 0.005  )

virtual

Write out the SIMM results contained in the resultsMap and additionalMargin. The parameter resultsMap is a map containing the SIMM results containers for a set of portfolios. The key is the portfolio ID and the value is the SIMM results container for that portfolio. Similarly, the parameter additionalMargin contains the additional margin element for each portfolio.