Merge remote-tracking branch 'origin/master' into roland_oreswig

Author: pcaspers

OREAnalytics/orea/CMakeLists.txt

@@ -17,6 +17,7 @@ app/analyticsmanager.cpp
 app/inputparameters.cpp
 app/marketcalibrationreport.cpp
 app/marketdatacsvloader.cpp
+app/marketdatainmemoryloader.cpp
 app/marketdataloader.cpp
 app/oreapp.cpp
 app/parameters.cpp
@@ -94,6 +95,7 @@ app/analyticsmanager.hpp
 app/inputparameters.hpp
 app/marketcalibrationreport.hpp
 app/marketdatacsvloader.hpp
+app/marketdatainmemoryloader.hpp
 app/marketdataloader.hpp
 app/oreapp.hpp
 app/parameters.hpp

OREAnalytics/orea/app/analytic.cpp

@@ -64,7 +64,7 @@ class Analytic {
     };
 
     //! Constructors
-    Analytic(std::ostream& out = std::cout) : out_(out) {}
+    Analytic() {}
     Analytic(//! Label for logging purposes
              const std::string& label,
              //! The types of all (sub) analytics covered by this Analytic object
@@ -79,13 +79,10 @@ class Analytic {
              //! Flag to indicate whether a scenario generator config file is required for this analytic
              bool scenarioGeneratorConfig = false,
              //! Flag to indicate whether a cross asset model config file is required for this analytic
-             bool crossAssetModelConfig = false,
-             //! Stream for optional output
-             std::ostream& out = std::cout)
+             bool crossAssetModelConfig = false)
         : label_(label), types_(analyticTypes), inputs_(inputs), 
           simulationConfig_(simulationConfig), sensitivityConfig_(sensitivityConfig),
-          scenarioGeneratorConfig_(scenarioGeneratorConfig), crossAssetModelConfig_(crossAssetModelConfig), out_(out),
-          tab_(50), progressBarWidth_(72 - std::min<Size>(tab_, 67)) {
+          scenarioGeneratorConfig_(scenarioGeneratorConfig), crossAssetModelConfig_(crossAssetModelConfig) {
         // This call does not work with pure virtual functions, compiler error.
         // setUpConfigurations();
         // With a non-pure virtual function it calls the base class version here, not the overridden ones ?
@@ -96,11 +93,11 @@ class Analytic {
 
     //! Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty 
     virtual void runAnalytic(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
-                             const std::set<std::string>& runTypes = {}) = 0;
+                             const std::set<std::string>& runTypes = {}) {}
 
     // we can build configurations here (today's market params, scenario sim market params, sensitivity scenasrio data)
-    virtual void buildConfigurations() {};
-    virtual void setUpConfigurations() = 0;
+    virtual void buildConfigurations() {}
+    virtual void setUpConfigurations() {}
     virtual void buildMarket(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
                              const boost::shared_ptr<CurveConfigurations>& curveConfig, 
                              const bool marketRequired = true);
@@ -111,6 +108,10 @@ class Analytic {
     const std::string& label() const { return label_; }
     const std::set<std::string>& analyticTypes() const { return types_; }
     const boost::shared_ptr<ore::data::Market>& market() const { return market_; };
+    // To allow SWIG wrapping
+    boost::shared_ptr<MarketImpl> getMarket() const {        
+        return boost::dynamic_pointer_cast<MarketImpl>(market_);
+    }
     const boost::shared_ptr<ore::data::Portfolio>& portfolio() const { return portfolio_; };
     virtual std::vector<boost::shared_ptr<ore::data::TodaysMarketParameters>> todaysMarketParams();
     const boost::shared_ptr<ore::data::Loader>& loader() const { return loader_; };
@@ -138,8 +139,6 @@ class Analytic {
     bool sensitivityConfig_ = false;
     bool scenarioGeneratorConfig_ = false;
     bool crossAssetModelConfig_ = false;
-    //! Stream for progress output
-    std::ostream& out_;
 
     Configurations configurations_;
     boost::shared_ptr<ore::data::Market> market_;
@@ -160,10 +159,6 @@ class Analytic {
 
     //! build an engine factory
     virtual boost::shared_ptr<ore::data::EngineFactory> engineFactory();
-
-    //! optional output formatting
-    Size tab_ = 50;
-    Size progressBarWidth_ = 32;
 };
 
 /*! Pricing-type analytics
@@ -173,10 +168,9 @@ class Analytic {
 */
 class PricingAnalytic : public virtual Analytic {
 public:
-    PricingAnalytic(const boost::shared_ptr<InputParameters>& inputs, 
-                    std::ostream& out = std::cout)
+    PricingAnalytic(const boost::shared_ptr<InputParameters>& inputs)
         : Analytic("PRICING", {"NPV", "NPV_LAGGED", "CASHFLOW", "CASHFLOWNPV", "SENSITIVITY", "STRESS"},
-                   inputs, false, false, false, false, out) {
+                   inputs, false, false, false, false) {
         if (find(begin(types_), end(types_), "SENSITIVITY") != end(types_)) {
             simulationConfig_ = true;
             sensitivityConfig_ = true;
@@ -196,8 +190,8 @@ class PricingAnalytic : public virtual Analytic {
 class VarAnalytic : public virtual Analytic {
 public:
     // FIXME: Add DELTA-GAMMA-VAR (Saddlepoint method)
-    VarAnalytic(const boost::shared_ptr<InputParameters>& inputs, std::ostream& out = std::cout)
-        : Analytic("VAR", {"VAR"}, inputs, false, false, false, false, out) {
+    VarAnalytic(const boost::shared_ptr<InputParameters>& inputs)
+        : Analytic("VAR", {"VAR"}, inputs, false, false, false, false) {
         setUpConfigurations();
     }
     virtual void runAnalytic(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,
@@ -210,8 +204,8 @@ class VarAnalytic : public virtual Analytic {
 
 class XvaAnalytic : public virtual Analytic {
 public:
-    XvaAnalytic(const boost::shared_ptr<InputParameters>& inputs, std::ostream& out = std::cout)
-        : Analytic("XVA", {"XVA", "EXPOSURE"}, inputs, true, false, false, false, out) {
+    XvaAnalytic(const boost::shared_ptr<InputParameters>& inputs)
+        : Analytic("XVA", {"XVA", "EXPOSURE"}, inputs, true, false, false, false) {
         setUpConfigurations();
     }
     virtual void runAnalytic(const boost::shared_ptr<ore::data::InMemoryLoader>& loader,

OREAnalytics/orea/app/analytic.hpp

@@ -42,13 +42,12 @@ Size matches(const std::set<std::string>& requested, const std::set<std::string>
 }
 
 AnalyticsManager::AnalyticsManager(const boost::shared_ptr<InputParameters>& inputs, 
-                                   const boost::shared_ptr<MarketDataLoader>& marketDataLoader,
-                                   std::ostream& out)
-    : inputs_(inputs), marketDataLoader_(marketDataLoader), out_(out) {    
+                                   const boost::shared_ptr<MarketDataLoader>& marketDataLoader)
+    : inputs_(inputs), marketDataLoader_(marketDataLoader) {    
 
-    addAnalytic("PRICING", boost::make_shared<PricingAnalytic>(inputs_, out_));
-    addAnalytic("VAR", boost::make_shared<VarAnalytic>(inputs_, out_));
-    addAnalytic("XVA", boost::make_shared<XvaAnalytic>(inputs_, out_));
+    addAnalytic("PRICING", boost::make_shared<PricingAnalytic>(inputs));
+    addAnalytic("VAR", boost::make_shared<VarAnalytic>(inputs_));
+    addAnalytic("XVA", boost::make_shared<XvaAnalytic>(inputs_));
 }
 
 void AnalyticsManager::clear() {
@@ -70,7 +69,7 @@ void AnalyticsManager::addAnalytic(const std::string& label, const boost::shared
     // This forces an update of valid analytics vector with the next call to validAnalytics()
     validAnalytics_.clear();
 }
-    
+
 const std::set<std::string>& AnalyticsManager::validAnalytics() {
     if (validAnalytics_.size() == 0) {
         for (auto a : analytics_) {
@@ -81,20 +80,29 @@ const std::set<std::string>& AnalyticsManager::validAnalytics() {
     return validAnalytics_;
 }
 
+const std::set<std::string>& AnalyticsManager::requestedAnalytics() {
+    return requestedAnalytics_;
+}
+    
 bool AnalyticsManager::hasAnalytic(const std::string& type) {
     const std::set<std::string>& va = validAnalytics();
     return va.find(type) != va.end();
 }
 
 const boost::shared_ptr<Analytic>& AnalyticsManager::getAnalytic(const std::string& type) const {
-    auto it = analytics_.find(type);
-    QL_REQUIRE(it != analytics_.end(), "Analytic type " << type << " not found");
-    return it->second;
+    for (const auto& a : analytics_) {
+        const std::set<std::string>& types = a.second->analyticTypes();
+        if (types.find(type) != types.end())
+            return a.second;
+    }
+    QL_FAIL("analytic type " << type << " not found, check validAnalytics()");
 }
 
 void AnalyticsManager::runAnalytics(const std::set<std::string>& analyticTypes,
                                     const boost::shared_ptr<MarketCalibrationReport>& marketCalibrationReport) {
 
+    requestedAnalytics_ = analyticTypes;
+    
     if (analytics_.size() == 0)
         return;
 

OREAnalytics/orea/app/analyticsmanager.cpp

@@ -37,14 +37,13 @@ class AnalyticsManager {
     AnalyticsManager(//! Container for the inputs required by the standard analytics
                      const boost::shared_ptr<InputParameters>& inputs,
                      //! A market data loader object that can retrieve required data from a large repository
-                     const boost::shared_ptr<MarketDataLoader>& marketDataLoader,
-                     //! Stream for optional output
-                     std::ostream& out = std::cout);
+                     const boost::shared_ptr<MarketDataLoader>& marketDataLoader);
     virtual ~AnalyticsManager() {};
 
     //! Valid analytics in the analytics manager are the union of analytics types provided by analytics_ map
     bool hasAnalytic(const std::string& type);
     const std::set<std::string>& validAnalytics();
+    const std::set<std::string>& requestedAnalytics();
     const boost::shared_ptr<Analytic>& getAnalytic(const std::string& type) const;
     Size numberOfAnalytics() { return analytics_.size(); }
     const boost::shared_ptr<InputParameters>& inputs() { return inputs_; }
@@ -57,8 +56,6 @@ class AnalyticsManager {
     Analytic::analytic_npvcubes const npvCubes();
     Analytic::analytic_mktcubes const mktCubes();
 
-    std::ostream& stream() { return out_; }
-
     void setLaggedMarket() { laggedMarket_ = true; }
     void unsetLaggedMarket() { laggedMarket_ = false; }
 
@@ -78,7 +75,7 @@ class AnalyticsManager {
     boost::shared_ptr<MarketDataLoader> marketDataLoader_;
     Analytic::analytic_reports marketDataReports_;
     std::set<std::string> validAnalytics_;
-    std::ostream& out_;
+    std::set<std::string> requestedAnalytics_;
     bool laggedMarket_ = false;
 };