QPR-11659 use transformed scenarios

Author: pcaspers

OREAnalytics/orea/scenario/historicalscenariogenerator.cpp

@@ -242,7 +242,7 @@ boost::shared_ptr<Scenario> HistoricalScenarioGenerator::next(const Date& d) {
     // loop over all keys
     calculationDetails_.resize(baseScenario_->keys().size());
     Size calcDetailsCounter = 0;
-    for (auto key : baseScenario_->keys()) {
+    for (auto const& key : baseScenario_->keys()) {
         Real base = baseScenario_->get(key);
         Real v1 = 1.0, v2 = 1.0;
         if (!s1->has(key) || !s2->has(key)) {
@@ -271,8 +271,10 @@ boost::shared_ptr<Scenario> HistoricalScenarioGenerator::next(const Date& d) {
         calculationDetails_[calcDetailsCounter].scenarioDate2 = s2->asof();
         calculationDetails_[calcDetailsCounter].key = key;
         calculationDetails_[calcDetailsCounter].baseValue = base;
-        calculationDetails_[calcDetailsCounter].adjustmentFactor1 = adjFactors_->getFactor(key.name, s1->asof());
-        calculationDetails_[calcDetailsCounter].adjustmentFactor2 = adjFactors_->getFactor(key.name, s2->asof());
+        calculationDetails_[calcDetailsCounter].adjustmentFactor1 =
+            adjFactors_ ? adjFactors_->getFactor(key.name, s1->asof()) : 1.0;
+        calculationDetails_[calcDetailsCounter].adjustmentFactor2 =
+            adjFactors_ ? adjFactors_->getFactor(key.name, s2->asof()) : 1.0;
         calculationDetails_[calcDetailsCounter].scenarioValue1 = v1;
         calculationDetails_[calcDetailsCounter].scenarioValue2 = v2;
         calculationDetails_[calcDetailsCounter].returnType = returnConfiguration_.returnTypes().at(key.keytype);
@@ -372,9 +374,9 @@ void HistoricalScenarioGeneratorRandom::reset() {
 }
 
 boost::shared_ptr<Scenario> HistoricalScenarioGeneratorTransform::next(const Date& d) {
-    boost::shared_ptr<Scenario> scenario = hsg_->next(d)->clone();
-    const vector<RiskFactorKey>& keys = hsg_->baseScenario()->keys();
-    Date asof = hsg_->baseScenario()->asof();
+    boost::shared_ptr<Scenario> scenario = HistoricalScenarioGenerator::next(d)->clone();
+    const vector<RiskFactorKey>& keys = baseScenario()->keys();
+    Date asof = baseScenario()->asof();
     vector<Period> tenors;
     Date endDate;
     DayCounter dc;
@@ -383,8 +385,6 @@ boost::shared_ptr<Scenario> HistoricalScenarioGeneratorTransform::next(const Dat
         if ((keys[k].keytype == RiskFactorKey::KeyType::DiscountCurve) ||
             (keys[k].keytype == RiskFactorKey::KeyType::IndexCurve) ||
             (keys[k].keytype == RiskFactorKey::KeyType::SurvivalProbability)) {
-            Real df = scenario->get(keys[k]);
-            Real compound = 1 / df;
             if ((keys[k].keytype == RiskFactorKey::KeyType::DiscountCurve)) {
                 dc = simMarket_->discountCurve(keys[k].name)->dayCounter();
                 tenors = simMarketConfig_->yieldCurveTenors(keys[k].name);
@@ -395,18 +395,31 @@ boost::shared_ptr<Scenario> HistoricalScenarioGeneratorTransform::next(const Dat
                 dc = simMarket_->defaultCurve(keys[k].name)->curve()->dayCounter();
                 tenors = simMarketConfig_->defaultTenors(keys[k].name);
             }
+
             endDate = asof + tenors[keys[k].index];
-            Real zero = InterestRate::impliedRate(compound, dc, QuantLib::Compounding::Continuous,
-                                                  QuantLib::Frequency::Annual, asof, endDate)
-                            .rate();
+
+            auto toZero = [&dc, &asof, &endDate](double compound) {
+                return InterestRate::impliedRate(compound, dc, QuantLib::Compounding::Continuous,
+                                                 QuantLib::Frequency::Annual, asof, endDate)
+                    .rate();
+            };
+
+            Real zero = toZero(1.0 / scenario->get(keys[k]));
             scenario->add(keys[k], zero);
+            // update calc details
+            calculationDetails_[k].baseValue = toZero(1.0 / calculationDetails_[k].baseValue);
+            calculationDetails_[k].scenarioValue1 = toZero(1.0 / calculationDetails_[k].scenarioValue1);
+            calculationDetails_[k].scenarioValue2 = toZero(1.0 / calculationDetails_[k].scenarioValue2);
+            calculationDetails_[k].returnType = ReturnConfiguration::ReturnType::Absolute;
+            calculationDetails_[k].returnValue =
+                calculationDetails_[k].scaling *
+                (calculationDetails_[k].scenarioValue2 - calculationDetails_[k].scenarioValue1);
+            calculationDetails_[k].scenarioValue = toZero(1.0 / calculationDetails_[k].scenarioValue);
         }
     }
     return scenario;
 }
 
-void HistoricalScenarioGeneratorTransform::reset() { hsg_->reset(); }
-
 HistoricalScenarioGeneratorWithFilteredDates::HistoricalScenarioGeneratorWithFilteredDates(
     const std::vector<TimePeriod>& filter, const boost::shared_ptr<HistoricalScenarioGenerator>& gen)
     : HistoricalScenarioGenerator(gen->scenarioLoader(), gen->scenarioFactory(), gen->cal(), gen->adjFactors(),

OREAnalytics/orea/scenario/historicalscenariogenerator.hpp

@@ -245,19 +245,21 @@ class HistoricalScenarioGeneratorRandom : public HistoricalScenarioGenerator {
  *  WARNING: This transform function should only be used for backtesting statistics reports requiring the transforms
  *  listed above.
  */
-class HistoricalScenarioGeneratorTransform : public ScenarioGenerator {
+class HistoricalScenarioGeneratorTransform : public HistoricalScenarioGenerator {
 public:
     HistoricalScenarioGeneratorTransform(boost::shared_ptr<HistoricalScenarioGenerator>& hsg,
                                          const boost::shared_ptr<ScenarioSimMarket>& simMarket,
                                          const boost::shared_ptr<ScenarioSimMarketParameters>& simMarketConfig)
-        : hsg_(hsg), simMarket_(simMarket), simMarketConfig_(simMarketConfig) {}
+        : HistoricalScenarioGenerator(hsg->scenarioLoader(), hsg->scenarioFactory(), hsg->cal(), hsg->adjFactors(),
+                                      hsg->mporDays(), hsg->overlapping(), hsg->returnConfiguration(),
+                                      hsg->labelPrefix()),
+          simMarket_(simMarket), simMarketConfig_(simMarketConfig) {
+        baseScenario_ = hsg->baseScenario();
+    }
 
     boost::shared_ptr<Scenario> next(const QuantLib::Date& d) override;
 
-    void reset() override;
-
 private:
-    boost::shared_ptr<HistoricalScenarioGenerator> hsg_;
     boost::shared_ptr<ScenarioSimMarket> simMarket_;
     boost::shared_ptr<ScenarioSimMarketParameters> simMarketConfig_;
 };