QPR-13138 Add column to backtest_pl_contribution to specify what is the discountCurve

Author: sebastien.bouvard

OREAnalytics/orea/engine/marketriskbacktest.cpp

@@ -88,12 +88,14 @@ bool MarketRiskBacktest::runTradeDetail(const ext::shared_ptr<MarketRiskReport::
     return requireTradePnl_ || trdDetail;
 }
 
-void MarketRiskBacktest::addPnlCalculators(const ext::shared_ptr<MarketRiskReport::Reports>& reports) {
+void MarketRiskBacktest::addPnlCalculators(const ext::shared_ptr<MarketRiskReport::Reports>& reports,
+                                const QuantLib::ext::shared_ptr<TodaysMarketParameters>& marketConfig) {
     pnlCalculators_.push_back(
         QuantLib::ext::make_shared<PNLCalculator>(btArgs_->benchmarkPeriod_));
     auto btRpts = ext::dynamic_pointer_cast<BacktestReports>(reports);
     pnlCalculators_.push_back(
         QuantLib::ext::make_shared<BacktestPNLCalculator>(btArgs_->backtestPeriod_, writePnl_, this, btRpts));
+    todaysmarket_ = marketConfig;
 }
 
 
@@ -372,6 +374,7 @@ void MarketRiskBacktest::createReports(const ext::shared_ptr<MarketRiskReport::R
         if (pnl) {
             for (const auto& t : pnlColumns())
                 pnl->addColumn(std::get<0>(t), std::get<1>(t), std::get<2>(t));
+            pnl->addColumn("DiscountSpec", string());
         }
     }
 
@@ -381,6 +384,7 @@ void MarketRiskBacktest::createReports(const ext::shared_ptr<MarketRiskReport::R
             pnlTrade->addColumn("TradeId", string());
             for (const auto& t : pnlColumns())
                 pnlTrade->addColumn(std::get<0>(t), std::get<1>(t), std::get<2>(t));
+            pnlTrade->addColumn("DiscountSpec", string());
         }
     }
 }
@@ -453,6 +457,20 @@ void MarketRiskBacktest::addPnlRow(const QuantLib::ext::shared_ptr<BacktestRepor
         .add(currency.empty() || currency == calculationCurrency_ ? deltaPnl : deltaPnl / fxSpot)
         .add(currency.empty() || currency == calculationCurrency_ ? gammaPnl : gammaPnl / fxSpot)
         .add(currency.empty() ? calculationCurrency_ : currency);
+
+    // Append DiscountSpec column (from TodaysMarketParameters) if available and applicable
+    std::string discountSpecStr;
+    if (todaysmarket_ && key_1.keytype == QuantExt::RiskFactorKey::KeyType::DiscountCurve) {
+        const auto& discMap = todaysmarket_->mapping(ore::data::MarketObject::DiscountCurve, ore::data::Market::defaultConfiguration);
+        auto it = discMap.find(key_1.name);
+        if (it != discMap.end()){
+            discountSpecStr = it->second;
+        }     
+    }
+    if (!discountSpecStr.empty())
+        report.add(discountSpecStr);
+    else
+        report.add(string());
 }
 
 void BacktestPNLCalculator::writePNL(Size scenarioIdx, bool isCall, const RiskFactorKey& key_1, Real shift_1,

OREAnalytics/orea/engine/marketriskbacktest.hpp

@@ -24,6 +24,7 @@
 #pragma once
 
 #include <qle/math/covariancesalvage.hpp>
+#include <ored/marketdata/todaysmarketparameters.hpp>
 #include <ored/portfolio/portfolio.hpp>
 #include <ored/utilities/progressbar.hpp>
 #include <orea/engine/historicalpnlgenerator.hpp>
@@ -156,6 +157,8 @@ class MarketRiskBacktest : public ore::analytics::MarketRiskReport {
 
 protected:
     std::unique_ptr<BacktestArgs> btArgs_;
+    // Todays market parameters used to map DiscountCurve nodes
+    QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters> todaysmarket_;
 
     void initialise() override;
 
@@ -182,7 +185,8 @@ class MarketRiskBacktest : public ore::analytics::MarketRiskReport {
     void createReports(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) override;
     virtual bool runTradeDetail(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) override;
     ore::data::TimePeriod covariancePeriod() const override { return btArgs_->benchmarkPeriod_; }
-    void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) override;
+    void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports,
+                        const QuantLib::ext::shared_ptr<TodaysMarketParameters>& marketConfig) override;
 
     void handleSensiResults(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports,
                             const QuantLib::ext::shared_ptr<ore::analytics::MarketRiskGroupBase>& riskGroup,

OREAnalytics/orea/engine/marketriskreport.cpp

@@ -269,7 +269,7 @@ void MarketRiskReport::calculate(const ext::shared_ptr<MarketRiskReport::Reports
 
     bool runDetailTrd = runTradeDetail(reports);
     bool runDetailRF = runRiskFactorDetail(reports);
-    addPnlCalculators(reports);
+    addPnlCalculators(reports, multiThreadArgs_->todaysMarketParams_);
 
     // Loop over all the risk groups
     riskGroups_->reset();

OREAnalytics/orea/engine/marketriskreport.hpp

@@ -332,7 +332,8 @@ class MarketRiskReport : public ore::data::ProgressReporter {
     virtual std::string portfolioId(const QuantLib::ext::shared_ptr<TradeGroupBase>& tradeGroup) const;
     virtual std::string tradeGroupKey(const QuantLib::ext::shared_ptr<TradeGroupBase>& tradeGroup) const;
     virtual ore::data::TimePeriod covariancePeriod() const { return period_.value(); }
-    virtual void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) {}
+    virtual void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports,
+                                    const QuantLib::ext::shared_ptr<TodaysMarketParameters>& marketConfig = nullptr) {}
 
     // handle results specific to this report
     virtual void handleSensiResults(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& report,

OREAnalytics/orea/engine/pnlexplainreport.cpp

@@ -135,7 +135,7 @@ void PnlExplainReport::handleSensiResults(const QuantLib::ext::shared_ptr<Market
     const QuantLib::ext::shared_ptr<TradeGroupBase>& tradeGroup) {
 }
 
-void PnlExplainReport::addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) {
+void PnlExplainReport::addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports, const QuantLib::ext::shared_ptr<TodaysMarketParameters>& marketConfig) {
     pnlCalculators_.push_back(QuantLib::ext::make_shared<PNLCalculator>(period_.value()));
 }
 

OREAnalytics/orea/engine/pnlexplainreport.hpp

@@ -69,7 +69,8 @@ class PnlExplainReport : public MarketRiskReport {
     void handleSensiResults(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& report,
                                     const QuantLib::ext::shared_ptr<MarketRiskGroupBase>& riskGroup,
                                     const QuantLib::ext::shared_ptr<TradeGroupBase>& tradeGroup) override;
-    void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports) override;
+    void addPnlCalculators(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports, 
+                            const QuantLib::ext::shared_ptr<TodaysMarketParameters>& marketConfig = nullptr) override;
     void writeReports(const QuantLib::ext::shared_ptr<MarketRiskReport::Reports>& reports,
                         const QuantLib::ext::shared_ptr<MarketRiskGroupBase>& riskGroup,
                         const QuantLib::ext::shared_ptr<TradeGroupBase>& tradeGroup) override;