XvaAnalyticImpl Class Reference

Inheritance diagram for XvaAnalyticImpl:

Public Member Functions
	XvaAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Scenario > &offsetScenario=nullptr, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &offsetSimMarketParams=nullptr)
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
void	checkConfigurations (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
void	applyConfigurationFallback (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
void	setOffsetScenario (const QuantLib::ext::shared_ptr< Scenario > &offsetScenario)
void	setOffsetSimMarketParams (const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &offsetSimMarketParams)
void	buildDependencies () override
Public Member Functions inherited from Analytic::Impl
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	initialise ()
const bool	initialised ()
virtual void	buildConfigurations ()
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T>
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic, const bool incDependentReports=false)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const
virtual std::vector< QuantLib::Date >	additionalMarketDates () const

Static Public Attributes
static constexpr const char *	LABEL = "XVA"
static constexpr const char *	corrLookupKey = "CORRELATION"

Protected Member Functions
QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory () override
	build an engine factory
void	buildScenarioSimMarket ()
void	buildCrossAssetModel (bool continueOnError, bool allowModelFallbacks)
void	buildScenarioGenerator (bool continueOnError, bool allowModelFallbacks)
void	initCubeDepth ()
void	initCube (QuantLib::ext::shared_ptr< NPVCube > &cube, const std::set< std::string > &ids, Size cubeDepth)
std::set< std::string >	getNettingSetIds (const QuantLib::ext::shared_ptr< Portfolio > &portfolio) const
void	initClassicRun (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
void	buildClassicCube (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
QuantLib::ext::shared_ptr< Portfolio >	classicRun (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
QuantLib::ext::shared_ptr< EngineFactory >	amcEngineFactory (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &cam, const std::vector< Date > &simDates, const std::vector< Date > &stickyCloseOutDates)
void	buildAmcPortfolio ()
void	amcRun (bool doClassicRun, bool continueOnCalibrationError, bool allowModelFallbacks)
void	runPostProcessor ()
Matrix	creditStateCorrelationMatrix () const
std::string	mapRiskFactorToAssetType (RiskFactorKey::KeyType keyF)
void	feedCorrelationToCAM (const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > &corrData={})

Protected Attributes
QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_
QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarketCalibration_
QuantLib::ext::shared_ptr< ScenarioSimMarket >	offsetSimMarket_
QuantLib::ext::shared_ptr< EngineFactory >	engineFactory_
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::ext::shared_ptr< ScenarioGenerator >	scenarioGenerator_
QuantLib::ext::shared_ptr< Portfolio >	amcPortfolio_
QuantLib::ext::shared_ptr< Portfolio >	classicPortfolio_
QuantLib::ext::shared_ptr< NPVCube >	cube_
QuantLib::ext::shared_ptr< NPVCube >	nettingSetCube_
QuantLib::ext::shared_ptr< NPVCube >	cptyCube_
QuantLib::ext::shared_ptr< NPVCube >	amcCube_
QuantLib::ext::shared_ptr< AggregationScenarioData >	scenarioData_
QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpreter_
QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_
QuantLib::ext::shared_ptr< PostProcess >	postProcess_
QuantLib::ext::shared_ptr< Scenario >	offsetScenario_
QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	offsetSimMarketParams_
QuantLib::ext::shared_ptr< SensitivityStorageManager >	sensitivityStorageManager_
Size	cubeDepth_ = 0
QuantLib::ext::shared_ptr< DateGrid >	grid_
Size	samples_ = 0
bool	runSimulation_ = false
bool	runXva_ = false
bool	runPFE_ = false
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily
std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > >	dependentAnalytics_
	map to dependent analytics, holds a bool if we want to report intermeditate reports

Member Function Documentation

runAnalytic()

virtual void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > & loader, const std::set< std::string > & runTypes = {} )

overridevirtual

Implements Analytic::Impl.

setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

buildDependencies()

void buildDependencies ( )

overridevirtual

Reimplemented from Analytic::Impl.

engineFactory()

QuantLib::ext::shared_ptr< ore::data::EngineFactory > engineFactory ( )

overrideprotectedvirtual

build an engine factory

Reimplemented from Analytic::Impl.