MarketRiskBacktest Class Reference

Inheritance diagram for MarketRiskBacktest:

Classes
class	BacktestReports
struct	BacktestArgs
struct	Data
	Used to pass information. More...
struct	SummaryResults
	Used to store results for writing rows in the summary report. More...
struct	VarBenchmark

Public Types
enum class	VarType { HistSim , HistSimTaylor , Parametric , Lch }
	VAR types used as a benchmark against which SIMM can be compared.

Public Member Functions
	MarketRiskBacktest (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const std::string &portfolioFilter, std::unique_ptr< BacktestArgs > btArgs, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > revalArgs=nullptr, std::unique_ptr< MultiThreadArgs > mtArgs=nullptr, const QuantLib::ext::shared_ptr< ore::analytics::HistoricalScenarioGenerator > &hisScenGen=nullptr, const bool breakdown=false, const bool requireTradePnl=false)
bool	disablesAll (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFilter > &filter) const override
virtual void	addPnlRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, QuantLib::Size scenarioIdx, bool isCall, const ore::analytics::RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, QuantLib::Real gammaPnl, const ore::analytics::RiskFactorKey &key_2=ore::analytics::RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="", const std::string &currency="", QuantLib::Real fxSpot=1.0)
	Add a row to the P&L contribution report.
Public Member Functions inherited from MarketRiskReport
	MarketRiskReport (const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, QuantLib::ext::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false, const bool requireRiskFactorPnl=false)
void	initSimMarket ()
	Method to init simMarket_ for multi-threaded ctors.
virtual void	calculate (const QuantLib::ext::shared_ptr< Reports > &report)
void	enableCubeWrite (const std::string &cubeDir, const std::string &cubeFilename)

Protected Types
typedef std::map< VarType, std::pair< QuantLib::ext::shared_ptr< ore::analytics::VarCalculator >, QuantLib::Real > >	VarBenchmarks
	pointers to the VAR benchmarks

Protected Member Functions
void	initialise () override
virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size > >	summaryColumns ()=0
virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size, bool > >	detailColumns ()=0
virtual const std::vector< std::tuple< std::string, ore::data::Report::ReportType, QuantLib::Size > >	pnlColumns ()=0
virtual QuantLib::Real	callValue (const Data &data)=0
virtual QuantLib::Real	postValue (const Data &data)=0
virtual std::string	counterparty (const std::string &tradeId) const =0
virtual void	setUpBenchmarks ()=0
virtual void	reset (const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) override
void	createReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override
virtual bool	runTradeDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override
ore::data::TimePeriod	covariancePeriod () const override
void	addPnlCalculators (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override
void	handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override
void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override
virtual void	adjustFullRevalPnls (std::vector< QuantLib::Real > &pnls, std::vector< QuantLib::Real > &bmPnls, ore::analytics::TradePnLStore &tradePnls, const std::vector< QuantLib::Real > &foSensiPnls, const std::vector< QuantLib::Real > &bmFoSensiPnls, const ore::analytics::TradePnLStore &foTradePnls, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup)
virtual void	addDetailRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, const QuantLib::Date &start, const QuantLib::Date &end, bool isFull, QuantLib::Real pnl, const std::string &result, QuantLib::Real pnlDecoorelated, const std::string &resultDecorrelated, const std::string &tradeId="") const =0
	Add a row to the detail report.
virtual void	addSummaryRow (const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, QuantLib::Size observations, bool isFull, QuantLib::Size exceptions, const std::vector< QuantLib::Size > &ragBounds, QuantLib::Size exceptionsDecorrelated, const std::vector< QuantLib::Size > &ragBoundsDecorrelated, const VarBenchmarks &sensiBenchmarks, const VarBenchmarks &fullBenchmarks) const =0
	Add a row to the summary report.
virtual void	calculateBenchmarks (VarBenchmarks &benchmarks, QuantLib::Real confidence, const bool isCall, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, std::set< std::pair< std::string, QuantLib::Size > > &tradeIdIdxPairs)
	Calculate and update the benchmarks.
void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override
std::vector< ore::data::TimePeriod >	timePeriods () override
Protected Member Functions inherited from MarketRiskReport
virtual void	initialiseRiskGroups ()
	Method for shared initialisation.
virtual void	registerProgressIndicators ()
virtual bool	runRiskFactorDetail (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)
virtual QuantLib::ext::shared_ptr< ScenarioFilter >	createScenarioFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)
virtual void	reset (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)
virtual bool	runTradeRiskGroup (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual bool	disablesAll (const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const
virtual void	updateFilter (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter)
	update any filters required
virtual std::string	portfolioId (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const
virtual std::string	tradeGroupKey (const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const
virtual void	handleSensiResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)
virtual void	handleFullRevalResults (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)
virtual bool	includeDeltaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual bool	includeGammaMargin (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual bool	runFullReval (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual bool	generateCube (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual std::string	cubeFilePath (const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const
virtual void	writeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)
virtual void	closeReports (const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports)

Protected Attributes
std::unique_ptr< BacktestArgs >	btArgs_
VarBenchmarks	sensiCallBenchmarks_
VarBenchmarks	sensiPostBenchmarks_
VarBenchmarks	fullRevalCallBenchmarks_
VarBenchmarks	fullRevalPostBenchmarks_
std::vector< QuantLib::Real >	bmSensiPnls_
	variables for benchmark calculations
std::vector< QuantLib::Real >	bmFoSensiPnls_
std::vector< QuantLib::Real >	pnls_
std::vector< QuantLib::Real >	bmPnls_
std::vector< QuantLib::Real >	sensiPnls_
std::vector< QuantLib::Real >	foSensiPnls_
ore::analytics::TradePnLStore	foTradePnls_
ore::analytics::TradePnLStore	tradePnls_
ore::analytics::TradePnLStore	sensiTradePnls_
std::set< std::string >	callTradeIds_
std::set< std::string >	postTradeIds_
Protected Attributes inherited from MarketRiskReport
bool	sensiBased_ = false
bool	fullReval_ = false
std::string	calculationCurrency_
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
std::string	portfolioFilter_
QuantLib::ext::optional< ore::data::TimePeriod >	period_
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	hisScenGen_
std::unique_ptr< SensiRunArgs >	sensiArgs_
std::unique_ptr< FullRevalArgs >	fullRevalArgs_
std::unique_ptr< MultiThreadArgs >	multiThreadArgs_
bool	breakdown_ = false
bool	requireTradePnl_ = false
bool	requireRiskFactorPnl_ = false
QuantLib::ext::shared_ptr< MarketRiskGroupBaseContainer >	riskGroups_
QuantLib::ext::shared_ptr< TradeGroupBaseContainer >	tradeGroups_
std::map< std::string, std::set< std::pair< std::string, QuantLib::Size > > >	tradeIdGroups_
std::set< std::pair< std::string, QuantLib::Size > >	tradeIdIdxPairs_
std::vector< std::string >	tradeIds_
std::map< RiskFactorKey, QuantLib::Real >	deltas_
std::map< std::pair< RiskFactorKey, RiskFactorKey >, QuantLib::Real >	gammas_
QuantLib::Matrix	covarianceMatrix_
bool	writePnl_ = false
std::vector< QuantLib::ext::shared_ptr< PNLCalculator > >	pnlCalculators_
QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage >	salvage_
bool	includeDeltaMargin_ = true
bool	includeGammaMargin_ = true
QuantLib::ext::shared_ptr< ore::data::EngineFactory >	factory_
QuantLib::ext::shared_ptr< ore::analytics::HistoricalPnlGenerator >	histPnlGen_
QuantLib::ext::shared_ptr< HistoricalSensiPnlCalculator >	sensiPnlCalculator_

Member Function Documentation

disablesAll()

bool disablesAll ( const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFilter > & filter ) const

override

Check if the given scenario filter turns off all risk factors in the historical scenario generator

initialise()

void initialise ( )

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

createReports()

void createReports ( const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > & reports )

overrideprotectedvirtual

Implements MarketRiskReport.

runTradeDetail()

virtual bool runTradeDetail ( const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > & reports )

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

covariancePeriod()

ore::data::TimePeriod covariancePeriod ( ) const

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

addPnlCalculators()

void addPnlCalculators ( const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > & reports )

overrideprotectedvirtual

Reimplemented from MarketRiskReport.

timePeriods()

std::vector< ore::data::TimePeriod > timePeriods ( )

overrideprotectedvirtual

Reimplemented from MarketRiskReport.