SensitivityAnalysis Class Reference

Sensitivity Analysis. More...

#include <orea/engine/sensitivityanalysis.hpp>

Inheritance diagram for SensitivityAnalysis:

Public Member Functions
	SensitivityAnalysis (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const bool laxFxConversion=false, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams=nullptr, const bool nonShiftedBaseCurrencyConversion=false, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const bool continueOnError=false, bool dryRun=false)
	Constructor using single-threaded engine.
	SensitivityAnalysis (const Size nThreads, const Date &asof, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensitivityData, const bool recalibrateModels, const bool laxFxConversion, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const bool nonShiftedBaseCurrencyConversion=false, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const bool continueOnError=false, bool dryRun=false, const std::string &context="sensi analysis")
	Constructor using multi-threaded engine.
void	generateSensitivities ()
	Generate the Sensitivities.
const QuantLib::Date	asof () const
	The ASOF date for the sensitivity analysis.
const std::string	marketConfiguration () const
	The market configuration string.
const QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket () const
	A getter for the sim market.
const QuantLib::ext::shared_ptr< SensitivityScenarioGenerator >	scenarioGenerator () const
	A getter for SensitivityScenarioGenerator (the main one, without possibly customized shifts).
const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData () const
	A getter for ScenarioSimMarketParameters.
const QuantLib::ext::shared_ptr< SensitivityScenarioData >	sensitivityData () const
	A getter for SensitivityScenarioData.
void	overrideTenors (const bool b)
	override shift tenors with sim market tenors
QuantLib::ext::shared_ptr< Portfolio >	portfolio () const
	the portfolio of trades
std::vector< QuantLib::ext::shared_ptr< SensitivityCube > >	sensiCubes () const
	a wrapper for the sensitivity results cubes (one per shift configuration)
QuantLib::ext::shared_ptr< SensitivityCube >	sensiCube () const
	a wrapper for the first sensitivity result cube (if that is unique, otherwise throws, for bwd compatibility)
void	setOffsetScenario (const QuantLib::ext::shared_ptr< Scenario > &offsetScenario)
	A setter for the offset simMarket scenario.
void	setOffsetSimMarketParams (const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &offsetSimMarketParams)
	A setter for the offset simMarket parameters.

Protected Attributes
QuantLib::ext::shared_ptr< Scenario >	offsetScenario_
QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	offsetSimMarketParams_

Detailed Description

Sensitivity Analysis.

This class wraps functionality to perform a sensitivity analysis for a given portfolio. It comprises

• building the "simulation" market to which sensitivity scenarios are applied
• building the portfolio linked to this simulation market
• generating sensitivity scenarios
• running the scenario "engine" to apply these and compute the NPV impacts of all required shifts
• compile first and second order sensitivities for all factors and all trades
• fill result structures that can be queried