ValuationEngine Class Reference

Valuation Engine. More...

#include <orea/engine/valuationengine.hpp>

Inheritance diagram for ValuationEngine:

Classes
struct	Errors

Public Types
enum class	ErrorPolicy { RemoveAll , RemoveSample }

Public Member Functions
	ValuationEngine (const QuantLib::Date &today, const QuantLib::ext::shared_ptr< ore::data::DateGrid > &dg, const QuantLib::ext::shared_ptr< analytics::SimMarket > &simMarket, const set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &modelBuilders=set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >(), const bool recalibrate=true)
	Constructor.
void	buildCube (const QuantLib::ext::shared_ptr< data::Portfolio > &portfolio, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCube, std::vector< QuantLib::ext::shared_ptr< ValuationCalculator > > calculators, const ErrorPolicy=ErrorPolicy::RemoveAll, bool mporStickyDate=true, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCubeNettingSet=nullptr, QuantLib::ext::shared_ptr< analytics::NPVCube > outputCptyCube=nullptr, std::vector< QuantLib::ext::shared_ptr< CounterpartyCalculator > > cptyCalculators={}, bool dryRun=false, Errors *errors=nullptr)
	Build NPV cube.

Detailed Description

Valuation Engine.

The valuation engine's purpose is to generate an NPV cube. Its buildCube loops over samples->dates->trades and prices the portfolio under all samples and dates.

The number of dates is defined by the DateGrid passed to the constructor. The number of trades is defined by the size of the portfolio passed to buildCube(). The number of samples is defined by the NPVCube that is passed to buildCube(), this can be dynamic.

In addition to storing the resulting NPVs it can be given any number of calculators that can store additional values in the cube.

Constructor & Destructor Documentation

ValuationEngine()

ValuationEngine	(	const QuantLib::Date &	today,
		const QuantLib::ext::shared_ptr< ore::data::DateGrid > &	dg,
		const QuantLib::ext::shared_ptr< analytics::SimMarket > &	simMarket,
		const set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &	modelBuilders = set< std::pair< std::string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > >(),
		const bool	recalibrate = true )

Constructor.

Parameters

today	Valuation date
dg	Simulation date grid
simMarket	Simulated market object
modelBuilders	model builders to be updated
recalibrate	whether recalibrate() or newCalcWithoutCalibration() is called on model builders

Member Function Documentation

buildCube()

void buildCube	(	const QuantLib::ext::shared_ptr< data::Portfolio > &	portfolio,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCube,
		std::vector< QuantLib::ext::shared_ptr< ValuationCalculator > >	calculators,
		const ErrorPolicy	= ErrorPolicy::RemoveAll,
		bool	mporStickyDate = true,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCubeNettingSet = nullptr,
		QuantLib::ext::shared_ptr< analytics::NPVCube >	outputCptyCube = nullptr,
		std::vector< QuantLib::ext::shared_ptr< CounterpartyCalculator > >	cptyCalculators = {},
		bool	dryRun = false,
		Errors *	errors = nullptr )

Build NPV cube.

Parameters

portfolio	Portfolio to be priced
outputCube	Object for storing the results at trade level (e.g. NPVs, close-out NPVs, flows)
calculators	Calculators to use
mporStickyDate	Use sticky date in MPOR evaluation?
outputCubeNettingSet	Output cube for netting set-level results
outputCptyCube	Output cube for storing counterparty-level survival probabilities
cptyCalculators	Calculators for filling counterparty-level results
dryRun	Limit samples to one and fill the rest of the cube with random values
errors	errors