Sensitivity Analysis. More...

#include <orea/engine/sensitivityanalysis.hpp>

Inheritance diagram for SensitivityAnalysis:

Public Member Functions
	SensitivityAnalysis (const boost::shared_ptr< ore::data::Portfolio > &portfolio, const boost::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const boost::shared_ptr< ore::data::EngineData > &engineData, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const boost::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams=nullptr, const bool nonShiftedBaseCurrencyConversion=false, const boost::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool continueOnError=false, bool dryRun=false)
	Constructor using single-threaded engine.

	SensitivityAnalysis (const Size nThreads, const Date &asof, const boost::shared_ptr< ore::data::Loader > &loader, const boost::shared_ptr< ore::data::Portfolio > &portfolio, const string &marketConfiguration, const boost::shared_ptr< ore::data::EngineData > &engineData, const boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< ore::analytics::SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const boost::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const bool nonShiftedBaseCurrencyConversion=false, const boost::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), const bool continueOnError=false, bool dryRun=false, const std::string &context="sensi analysis")
	Constructor using multi-threaded engine.

void	generateSensitivities (boost::shared_ptr< NPVSensiCube > cube=boost::shared_ptr< NPVSensiCube >())
	Generate the Sensitivities.

const QuantLib::Date	asof () const
	The ASOF date for the sensitivity analysis.

const std::string	marketConfiguration () const
	The market configuration string.

const boost::shared_ptr< ScenarioSimMarket >	simMarket () const
	A getter for the sim market.

const boost::shared_ptr< SensitivityScenarioGenerator >	scenarioGenerator () const
	A getter for SensitivityScenarioGenerator.

const boost::shared_ptr< ScenarioSimMarketParameters >	simMarketData () const
	A getter for ScenarioSimMarketParameters.

const boost::shared_ptr< SensitivityScenarioData >	sensitivityData () const
	A getter for SensitivityScenarioData.

void	overrideTenors (const bool b)
	override shift tenors with sim market tenors

boost::shared_ptr< Portfolio >	portfolio () const
	the portfolio of trades

boost::shared_ptr< SensitivityCube >	sensiCube () const
	a wrapper for the sensitivity results cube

Public Member Functions inherited from ProgressReporter
void	registerProgressIndicator (const boost::shared_ptr< ProgressIndicator > &indicator)

void	unregisterProgressIndicator (const boost::shared_ptr< ProgressIndicator > &indicator)

void	unregisterAllProgressIndicators ()

void	updateProgress (const unsigned long progress, const unsigned long total)

void	resetProgress ()

const std::set< boost::shared_ptr< ProgressIndicator > > &	progressIndicators () const

Protected Member Functions
void	initialize (boost::shared_ptr< NPVSensiCube > &cube)
	initialize the various components that will be passed to the sensitivities valuation engine

void	initializeCube (boost::shared_ptr< NPVSensiCube > &cube) const
	initialize the cube with the appropriate dimensions

boost::shared_ptr< EngineFactory >	buildFactory () const
	build engine factory

void	resetPortfolio (const boost::shared_ptr< EngineFactory > &factory)
	reset and rebuild the portfolio to make use of the appropriate engine factory

void	initializeSimMarket (boost::shared_ptr< ScenarioFactory > scenFact={})

std::vector< boost::shared_ptr< ValuationCalculator > >	buildValuationCalculators () const
	build valuation calculators for valuation engine

Protected Attributes
boost::shared_ptr< ore::data::Market >	market_

std::string	marketConfiguration_

Date	asof_

boost::shared_ptr< SensitivityScenarioGenerator >	scenarioGenerator_

boost::shared_ptr< ScenarioSimMarket >	simMarket_

boost::shared_ptr< ScenarioSimMarketParameters >	simMarketData_

boost::shared_ptr< SensitivityScenarioData >	sensitivityData_

bool	recalibrateModels_

boost::shared_ptr< ore::data::CurveConfigurations >	curveConfigs_
	Optional curve configurations. Used in building the scenario sim market.

boost::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_
	Optional todays market parameters. Used in building the scenario sim market.

bool	overrideTenors_

bool	nonShiftedBaseCurrencyConversion_

boost::shared_ptr< ore::data::ReferenceDataManager >	referenceData_

IborFallbackConfig	iborFallbackConfig_

bool	continueOnError_

boost::shared_ptr< EngineData >	engineData_
	the engine data (provided as input, needed to construct the engine factory)

boost::shared_ptr< Portfolio >	portfolio_
	the portfolio (provided as input)

bool	dryRun_
	do dry run

bool	initialized_
	initializationFlag

std::set< std::pair< string, boost::shared_ptr< QuantExt::ModelBuilder > > >	modelBuilders_
	model builders

boost::shared_ptr< SensitivityCube >	sensiCube_
	sensitivityCube

bool	useSingleThreadedEngine_

Size	nThreads_

boost::shared_ptr< ore::data::Loader >	loader_

std::string	context_

Detailed Description

Sensitivity Analysis.

This class wraps functionality to perform a sensitivity analysis for a given portfolio. It comprises

building the "simulation" market to which sensitivity scenarios are applied
building the portfolio linked to this simulation market
generating sensitivity scenarios
running the scenario "engine" to apply these and compute the NPV impacts of all required shifts
compile first and second order sensitivities for all factors and all trades
fill result structures that can be queried

Member Function Documentation

◆ initializeSimMarket()

void initializeSimMarket ( boost::shared_ptr< ScenarioFactory > scenFact = {} )

protected

build the ScenarioSimMarket that will be used by ValuationEngine and initialize the SensitivityScenarioGenerator that determines which sensitivities to compute

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Member Function Documentation

◆ initializeSimMarket()