Analytic Class Reference

Inherited by BaCvaAnalytic, CalibrationAnalytic, CorrelationAnalytic, CrifAnalytic, IMScheduleAnalytic, MarketDataAnalytic, ParConversionAnalytic, ParScenarioAnalytic, ParStressConversionAnalytic, PnlAnalytic, PnlExplainAnalytic, PortfolioDetailsAnalytic, PricingAnalytic, SaCcrAnalytic, SaCvaAnalytic, ScenarioAnalytic, ScenarioGenerationAnalytic, SensitivityStressAnalytic, SimmAnalytic, SmrcAnalytic, StressTestAnalytic, VarAnalytic, XvaAnalytic, XvaExplainAnalytic, XvaSensitivityAnalytic, XvaStressAnalytic, and ZeroToParShiftAnalytic.

Classes
struct	Configurations
class	Impl

Public Types
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	analytic_reports
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< NPVCube > > >	analytic_npvcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< AggregationScenarioData > > >	analytic_mktcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< StressTestScenarioData > > >	analytic_stresstests

Public Member Functions
	Analytic ()
	Constructors.
	Analytic (std::unique_ptr< Impl > impl, const std::set< std::string > &analyticTypes, const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::weak_ptr< AnalyticsManager > &analyticsManager, bool simulationConfig=false, bool sensitivityConfig=false, bool scenarioGeneratorConfig=false, bool crossAssetModelConfig=false)
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})
	Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty.
virtual void	buildConfigurations (const bool=false)
void	setUp ()
void	initialise ()
virtual void	buildMarket (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)
virtual void	buildPortfolio (const bool emitStructuredError=true)
virtual void	marketCalibration (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &mcr=nullptr)
virtual void	modifyPortfolio ()
virtual void	replaceTrades ()
virtual void	enrichIndexFixings (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
virtual bool	requiresMarketData () const
const std::string	label () const
	Inspectors.
const std::set< std::string > &	analyticTypes () const
const QuantLib::ext::shared_ptr< InputParameters > &	inputs () const
const QuantLib::ext::weak_ptr< AnalyticsManager > &	analyticsManager () const
const QuantLib::ext::shared_ptr< ore::data::Market > &	market () const
QuantLib::ext::shared_ptr< MarketImpl >	getMarket () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	setMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market)
void	setPortfolio (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()
const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader () const
Configurations &	configurations ()
analytic_reports	reports ()
	Analytic results.
void	addReport (const std::string &key, const std::string &subKey, const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &report)
const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &	getReport (const std::string &key, const std::string &subKey)
analytic_npvcubes &	npvCubes ()
analytic_mktcubes &	mktCubes ()
analytic_stresstests &	stressTests ()
QuantLib::ext::shared_ptr< ParSensitivityCubeStream > &	parCvaSensiCubeStream ()
const bool	getWriteIntermediateReports () const
void	setWriteIntermediateReports (const bool flag)
bool	match (const std::set< std::string > &runTypes)
	Check whether any of the requested run types is covered by this analytic.
const std::unique_ptr< Impl > &	impl ()
std::set< QuantLib::Date >	marketDates () const
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
const Timer &	getTimer ()
void	startTimer (const std::string &key)
QuantLib::ext::optional< boost::timer::cpu_timer >	stopTimer (const std::string &key, const bool returnTimer=false)
void	addTimer (const std::string &key, const Timer &timer)

Protected Attributes
std::unique_ptr< Impl >	impl_
std::set< std::string >	types_
	list of analytic types run by this analytic
QuantLib::ext::shared_ptr< InputParameters >	inputs_
	contains all the input parameters for the run
QuantLib::ext::weak_ptr< AnalyticsManager >	analyticsManager_
	the analytics manger, used for sharing analytics
Configurations	configurations_
QuantLib::ext::shared_ptr< ore::data::Market >	market_
QuantLib::ext::shared_ptr< ore::data::Loader >	loader_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
analytic_reports	reports_
analytic_npvcubes	npvCubes_
analytic_mktcubes	mktCubes_
analytic_stresstests	stressTests_
QuantLib::ext::shared_ptr< ParSensitivityCubeStream >	parCvaSensiCubeStream_
bool	writeIntermediateReports_ = true
Timer	timer_

Constructor & Destructor Documentation

Analytic()

Analytic	(	std::unique_ptr< Impl >	impl,
		const std::set< std::string > &	analyticTypes,
		const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const QuantLib::ext::weak_ptr< AnalyticsManager > &	analyticsManager,
		bool	simulationConfig = false,
		bool	sensitivityConfig = false,
		bool	scenarioGeneratorConfig = false,
		bool	crossAssetModelConfig = false )

Parameters

impl	Concrete implementation of the analytic
analyticTypes	The types of all (sub) analytics covered by this Analytic object e.g. NPV, CASHFLOW, CASHFLOWNPV, etc., covered by the PricingAnalytic
inputs	Any inputs required by this Analytic
analyticsManager	Pointer to the analytics manager
simulationConfig	Flag to indicate whether a simulation config file is required for this analytic
sensitivityConfig	Flag to indicate whether a sensitivity config file is required for this analytic
scenarioGeneratorConfig	Flag to indicate whether a scenario generator config file is required for this analytic
crossAssetModelConfig	Flag to indicate whether a cross asset model config file is required for this analytic

Member Data Documentation

writeIntermediateReports_

bool writeIntermediateReports_ = true

protected

Whether to write intermediate reports or not. This would typically be used when the analytic is being called by another analytic and that parent/calling analytic will be writing its own set of intermediate reports