Reference manual - version orea_version
Sensitivity Scenario Generator. More...
#include <orea/scenario/sensitivityscenariogenerator.hpp>
Inheritance diagram for SensitivityScenarioGenerator:Public Member Functions | |
| SensitivityScenarioGenerator (const boost::shared_ptr< SensitivityScenarioData > &sensitivityData, const boost::shared_ptr< Scenario > &baseScenario, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< ScenarioSimMarket > &simMarket, const boost::shared_ptr< ScenarioFactory > &sensiScenarioFactory, const bool overrideTenors, const bool continueOnError=false, const boost::shared_ptr< Scenario > &baseScenarioAbsolute=nullptr) | |
| Constructor. | |
| ~SensitivityScenarioGenerator () | |
| Default destructor. | |
| const std::map< RiskFactorKey, QuantLib::Real > & | shiftSizes () const |
| const std::map< RiskFactorKey, QuantLib::Real > & | baseValues () const |
| Size | numScenarios () const |
| boost::shared_ptr< Scenario > | baseScenarioAbsolute () const |
| Public Member Functions inherited from ShiftScenarioGenerator | |
| ShiftScenarioGenerator (const boost::shared_ptr< Scenario > &baseScenario, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::weak_ptr< ScenarioSimMarket > &simMarket) | |
| Constructor. | |
| ~ShiftScenarioGenerator () | |
| Default destructor. | |
| boost::shared_ptr< Scenario > | next (const Date &d) override |
| Scenario Generator interface. | |
| void | reset () override |
| Reset the generator so calls to next() return the first scenario. More... | |
| Size | samples () |
| Inspectors. More... | |
| const boost::shared_ptr< Scenario > & | baseScenario () |
| Return the base scenario, i.e. cached initial values of all relevant market points. | |
| const std::vector< boost::shared_ptr< Scenario > > & | scenarios () |
| Return vector of sensitivity scenarios, scenario 0 is the base scenario. | |
| std::vector< ScenarioDescription > | scenarioDescriptions () |
| Return vector of scenario descriptions. | |
| const std::map< RiskFactorKey, std::string > & | keyToFactor () |
| const std::map< std::string, RiskFactorKey > & | factorToKey () |
| Return revers map of factors to RiskFactorKeys. | |
| void | applyShift (Size j, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftTimes, const vector< Real > &values, const vector< Time > ×, vector< Real > &shiftedValues, bool initialise) |
| Apply 1d triangular shift to 1d data such as yield curves, public to allow test suite access. More... | |
| void | applyShift (Size j, Size k, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftX, const vector< Time > &shiftY, const vector< Time > &dataX, const vector< Time > &dataY, const vector< vector< Real >> &data, vector< vector< Real >> &shiftedData, bool initialise) |
| Apply 2d shift to 2d matrix such as swaption volatilities, public to allow test suite access. More... | |
| boost::shared_ptr< Scenario > | baseScenario () const |
| return the base scenario | |
| Public Member Functions inherited from ScenarioGenerator | |
| virtual | ~ScenarioGenerator () |
| Default destructor. | |
Additional Inherited Members | |
| Public Types inherited from ShiftScenarioGenerator | |
| enum class | ShiftType { Absolute , Relative } |
| Protected Attributes inherited from ShiftScenarioGenerator | |
| const boost::shared_ptr< Scenario > | baseScenario_ |
| const boost::shared_ptr< ScenarioSimMarketParameters > | simMarketData_ |
| const boost::weak_ptr< ScenarioSimMarket > | simMarket_ |
| std::vector< boost::shared_ptr< Scenario > > | scenarios_ |
| Size | counter_ |
| std::vector< ScenarioDescription > | scenarioDescriptions_ |
| std::map< RiskFactorKey, std::string > | keyToFactor_ |
| std::map< std::string, RiskFactorKey > | factorToKey_ |
Sensitivity Scenario Generator.
This class builds a vector of sensitivity scenarios based on instructions in SensitivityScenarioData and ScenarioSimMarketParameters objects passed.
The ScenarioSimMarketParameters object determines the scope and structure of a "simulation" market (currencies, currency pairs, curve tenor points, vol matrix expiries and terms/strikes etc) to which sensitivity scenarios are applied in order to compute their NPV impact.
The SensitivityScenarioData object determines the structure of shift curves (shift tenor points can differ from the simulation market's tenor points), as well as type (relative/absolute) and size of shifts applied.
The generator then produces comprehensive scenarios that can be applied to the simulation market, i.e. covering all quotes in the simulation market, possibly filled with "base" scenario values.
Both UP and DOWN shifts are generated in order to facilitate delta and gamma calculation.
The generator currently covers the IR/FX asset class, with shifts for the following term structure types:
For Credit the generator covers shifts to the following termstructure types:
To apply shifts to the integrated hazard rates let:
The relationship between these three can be expressed as:
\[ S(t) = e^{-&Lambda(t) t} \]
\[ &Lambda(t) = \frac{ \int_{0}^t &lambda(t) du}{t} \]
The survival probability quotes from the scenarioSimMarket default curves are then converted as follows:
\[ &Lambda(t) = - \frac{ ln( S(t) )}{t} \]
Note:
If sensitivityData_->generateSpreadScenarios() = true spread scenarios will be generated for supported risk factor types.
| const std::map<RiskFactorKey, QuantLib::Real>& shiftSizes | ( | ) | const |
Return the map of absolute shift sizes by risk factor key for this generator
Null<Real>() is added for the given risk factor key | const std::map<RiskFactorKey, QuantLib::Real>& baseValues | ( | ) | const |
Similarly, reeturn the base values for each risk factor