Write ORE outputs to reports. More...

#include <orea/app/reportwriter.hpp>

Public Member Functions
	ReportWriter (const std::string &nullString="#NA")
virtual void	writeNpv (ore::data::Report &report, const std::string &baseCurrency, QuantLib::ext::shared_ptr< ore::data::Market > market, const std::string &configuration, QuantLib::ext::shared_ptr< Portfolio > portfolio)
virtual void	writeCashflow (ore::data::Report &report, const std::string &baseCurrency, QuantLib::ext::shared_ptr< ore::data::Portfolio > portfolio, QuantLib::ext::shared_ptr< ore::data::Market > market, const std::string &configuration, const bool includePastCashflows=false)
virtual void	writeCashflowNpv (ore::data::Report &report, const ore::data::InMemoryReport &cashflowReport, QuantLib::ext::shared_ptr< ore::data::Market > market, const std::string &configuration, const std::string &baseCcy, const Date &horizon=Date::maxDate())
virtual void	writeCurves (ore::data::Report &report, const std::string &configID, const DateGrid &grid, const TodaysMarketParameters &marketConfig, const QuantLib::ext::shared_ptr< Market > &market, const bool continueOnError=false)
virtual void	writeTradeExposures (ore::data::Report &report, QuantLib::ext::shared_ptr< PostProcess > postProcess, const std::string &tradeId)
virtual void	writeNettingSetExposures (ore::data::Report &report, QuantLib::ext::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeNettingSetExposures (ore::data::Report &report, QuantLib::ext::shared_ptr< PostProcess > postProcess)
virtual void	writeNettingSetCvaSensitivities (ore::data::Report &report, QuantLib::ext::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeNettingSetColva (ore::data::Report &report, QuantLib::ext::shared_ptr< PostProcess > postProcess, const std::string &nettingSetId)
virtual void	writeXVA (ore::data::Report &report, const string &allocationMethod, QuantLib::ext::shared_ptr< Portfolio > portfolio, QuantLib::ext::shared_ptr< PostProcess > postProcess)
virtual void	writeAggregationScenarioData (ore::data::Report &report, const AggregationScenarioData &data)
virtual void	writeScenarioReport (ore::data::Report &report, const std::vector< QuantLib::ext::shared_ptr< SensitivityCube > > &sensitivityCubes, QuantLib::Real outputThreshold=0.0)
virtual void	writeSensitivityReport (ore::data::Report &report, const QuantLib::ext::shared_ptr< SensitivityStream > &ss, QuantLib::Real outputThreshold=0.0, const QuantLib::ext::shared_ptr< ore::data::Market > &market=nullptr, const std::string &configuration=Market::defaultConfiguration, QuantLib::Size outputPrecision=2)
virtual void	writeXvaSensitivityReport (Report &report, const QuantLib::ext::shared_ptr< SensitivityStream > &ssTrades, const QuantLib::ext::shared_ptr< SensitivityStream > &ssNettingSets, const std::map< std::string, std::string > &tradeNettingSetMap, Real outputThreshold=0.0, Size outputPrecision=2)
virtual void	writeSensitivityConfigReport (ore::data::Report &report, const std::map< RiskFactorKey, QuantLib::Real > &shiftSizes, const std::map< RiskFactorKey, QuantLib::Real > &baseValues, const std::map< RiskFactorKey, std::string > &keyToFactor)
virtual void	writeAdditionalResultsReport (ore::data::Report &report, QuantLib::ext::shared_ptr< ore::data::Portfolio > portfolio, QuantLib::ext::shared_ptr< Market > market, const std::string &configuration, const std::string &baseCurrency, const std::size_t precision=6)
virtual void	writeMarketData (ore::data::Report &report, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::Date &asof, const set< string > &quoteNames, bool returnAll)
virtual void	writeFixings (ore::data::Report &report, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader)
virtual void	writeDividends (ore::data::Report &report, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader)
virtual void	writePricingStats (ore::data::Report &report, const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
virtual void	writeRunTimes (ore::data::Report &report, const Timer &timer)
virtual void	writeCube (ore::data::Report &report, const QuantLib::ext::shared_ptr< NPVCube > &cube, const std::map< std::string, std::string > &nettingSetMap=std::map< std::string, std::string >())
virtual void	writeTimeAveragedNettedExposure (ore::data::Report &report, const std::map< std::string, std::vector< NettedExposureCalculator::TimeAveragedExposure > > &)
const std::string &	nullString () const
virtual void	writeSIMMReport (const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::pair< CrifRecord::Regulation, SimmResults > > > &finalSimmResultsMap, const QuantLib::ext::shared_ptr< ore::data::Report > report, const bool hasNettingSetDetails=false, const std::string &simmResultCcy="", const std::string &simmCalcCcyCall="", const std::string &simmCalcCcyPost="", const std::string &reportCcy="", QuantLib::Real fxSpot=1.0, QuantLib::Real outputThreshold=0.005)
virtual void	writeSIMMReport (const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::map< std::set< CrifRecord::Regulation >, SimmResults > > > &simmResultsMap, const QuantLib::ext::shared_ptr< ore::data::Report > report, const bool hasNettingSetDetails=false, const std::string &simmResultCcy="", const std::string &simmCalcCcyCall="", const std::string &simmCalcCcyPost="", const std::string &reportCcy="", const bool isFinalSimm=true, QuantLib::Real fxSpot=1.0, QuantLib::Real outputThreshold=0.005)
virtual void	writeSIMMData (const ore::analytics::Crif &simmData, const QuantLib::ext::shared_ptr< ore::data::Report > &dataReport, const bool hasNettingSetDetails=false)
	Write the SIMM data report i.e. the netted CRIF records used in a SIMM calculation.
virtual void	writeCrifReport (const QuantLib::ext::shared_ptr< ore::data::Report > &report, const QuantLib::ext::shared_ptr< ore::analytics::Crif > &crifRecords)
	Write out CRIF records to a report.
virtual void	writeScenarioStatistics (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioGenerator > &generator, const std::vector< ore::analytics::RiskFactorKey > &keys, QuantLib::Size numPaths, const std::vector< QuantLib::Date > &dates, ore::data::Report &report)
virtual void	writeScenarioDistributions (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioGenerator > &generator, const std::vector< ore::analytics::RiskFactorKey > &keys, QuantLib::Size numPaths, const std::vector< QuantLib::Date > &dates, QuantLib::Size distSteps, ore::data::Report &report)
virtual void	writeHistoricalScenarioDetails (const QuantLib::ext::shared_ptr< ore::analytics::HistoricalScenarioGenerator > &generator, ore::data::Report &report)
virtual void	writeStockSplitReport (const QuantLib::ext::shared_ptr< ore::analytics::Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ore::analytics::HistoricalScenarioLoader > &hsloader, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const QuantLib::ext::shared_ptr< ore::data::Report > &report)
void	writeHistoricalScenarios (const QuantLib::ext::shared_ptr< HistoricalScenarioLoader > &hsloader, const QuantLib::ext::shared_ptr< ore::data::Report > &report)
void	writeHistoricalScenarioDistributions (QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hsgen, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, QuantLib::ext::shared_ptr< ore::data::Report > histScenDetailsReport, QuantLib::ext::shared_ptr< ore::data::Report > statReport, QuantLib::ext::shared_ptr< ore::data::Report > distReport, QuantLib::Size distSteps=Null< Size >())
virtual void	writeIMScheduleSummaryReport (const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::pair< CrifRecord::Regulation, IMScheduleResults > > > &finalResultsMap, const QuantLib::ext::shared_ptr< Report > report, const bool hasNettingSetDetails=false, const std::string &simmResultCcy="", const std::string &reportCcy="", QuantLib::Real fxSpot=1.0, QuantLib::Real outputThreshold=0.005)
virtual void	writeIMScheduleTradeReport (const std::map< std::string, std::vector< IMScheduleCalculator::IMScheduleTradeData > > &tradeResults, const QuantLib::ext::shared_ptr< ore::data::Report > report, const bool hasNettingSetDetails=false)
virtual void	writePnlReport (ore::data::Report &report, const ext::shared_ptr< InMemoryReport > &t0NpvReport, const ext::shared_ptr< InMemoryReport > &t0m0p0NpvReport, const ext::shared_ptr< InMemoryReport > &t1m0p0NpvReport, const ext::shared_ptr< InMemoryReport > &t1m1p0NpvReport, const ext::shared_ptr< InMemoryReport > &t1m0p1NpvReport, const ext::shared_ptr< InMemoryReport > &t1m1p1NpvReport, const ext::shared_ptr< InMemoryReport > &t0CashFlowReport, const Date &startDate, const Date &endDate, const std::string &baseCurrency, const ext::shared_ptr< ore::data::Market > &market, const std::string &configuration, const ext::shared_ptr< Portfolio > &portfolio)
virtual void	writeXvaExplainReport (ore::data::Report &report, const ore::analytics::XvaExplainResults &xvaData)
virtual void	writeXvaExplainSummary (ore::data::Report &report, const ore::analytics::XvaExplainResults &xvaData)
void	writeXmlReport (ore::data::Report &report, std::string header, std::string xmlString)
virtual void	writeBaCvaReport (const QuantLib::ext::shared_ptr< BaCvaCalculator > &baCvaCalculator, ore::data::Report &reportOut)
virtual void	writeCvaSensiReport (const QuantLib::ext::shared_ptr< CvaSensitivityCubeStream > &ss, ore::data::Report &reportOut)
virtual void	writeCvaSensiReport (const std::vector< CvaSensitivityRecord > &records, ore::data::Report &reportOut)
virtual void	writeSaCvaSensiReport (const SaCvaNetSensitivities &sensis, ore::data::Report &reportOut)
void	writeSaccrTradeDetailReport (ore::data::Report &report, const QuantLib::ext::shared_ptr< ore::analytics::SaccrTradeData > &tradeData) const
void	writeCapitalCrifReport (ore::data::Report &report, const QuantLib::ext::shared_ptr< ore::analytics::Crif > &crif, const std::string &baseCurrency, const char &csvQuoteChar='\0') const

Protected Member Functions
void	addMarketDatum (ore::data::Report &report, const ore::data::MarketDatum &md, const QuantLib::Date &actualDate=Date())

Protected Attributes
std::string	nullString_

Detailed Description

Write ORE outputs to reports.

Constructor & Destructor Documentation

◆ ReportWriter()

ReportWriter ( const std::string & nullString = "#NA" )

Constructor.

Parameters

nullString used to represent string values that are not applicable.

Member Function Documentation

◆ writeSIMMReport()

virtual void writeSIMMReport	(	const std::map< SimmConfiguration::SimmSide, std::map< NettingSetDetails, std::pair< CrifRecord::Regulation, SimmResults > > > &	finalSimmResultsMap,
		const QuantLib::ext::shared_ptr< ore::data::Report >	report,
		const bool	hasNettingSetDetails = false,
		const std::string &	simmResultCcy = "",
		const std::string &	simmCalcCcyCall = "",
		const std::string &	simmCalcCcyPost = "",
		const std::string &	reportCcy = "",
		QuantLib::Real	fxSpot = 1.0,
		QuantLib::Real	outputThreshold = 0.005 )

virtual

Write out the SIMM results contained in the resultsMap and additionalMargin. The parameter resultsMap is a map containing the SIMM results containers for a set of portfolios. The key is the portfolio ID and the value is the SIMM results container for that portfolio. Similarly, the parameter additionalMargin contains the additional margin element for each portfolio.

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ ReportWriter()

Member Function Documentation

◆ writeSIMMReport()