PnlAnalytic Class Reference

#include <orea/app/analytics/pnlanalytic.hpp>

Inheritance diagram for PnlAnalytic:

Public Member Functions
	PnlAnalytic (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::weak_ptr< ore::analytics::AnalyticsManager > &analyticsManager)
Public Member Functions inherited from Analytic
	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)

Additional Inherited Members
Public Types inherited from Analytic
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
Protected Attributes inherited from Analytic
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_

Detailed Description

The P&L Analytic generates a P&L report as main output with the following columns

• TradeId and
• Maturity and MaturityTime
• StartDate and EndDate of the P&L period, referred to as t0 and t1 below
• NPV(t0)
• NPV(asof=t0;mkt=t1)
• NPV(asof=t1;mkt=t0)
• NPV(t1)
• PeriodCashFlow: Aggregate of trade flows in the period, converted into the P&L currency below, compounding?
• Theta: NPV(asof=t1;mkt=t0) - NPV(t0), Cash Flows?
• HypotheticalCleanPnL: NPV(asof=t0;mkt=t1) - NPV(t0)
• CleanPnL: NPV(t1) - NPV(t0) + PeriodCashFlow
• DirtyPnL: NPV(t1) - NPV(t0)
• Currency

Moreover

• four corresponding NPV and additional results reports are generated
• market scenarios used for the two "lagged" NPV calculations are written as reports