QPR-13626 Base RiskFactor PnL report by tradId

Author: sebastien.bouvard

OREAnalytics/orea/engine/historicalpnlgenerator.cpp

@@ -257,7 +257,6 @@ RiskFactorPnLSeries HistoricalPnlGenerator::riskFactorLevelPnlSeries(const ore::
         return series;
     }
 
-    // Build per-scenario maps for scenarios within the period
     // Determine how many scenarios we have from any cube in the map
     Size samples = mapCube_.begin()->second->samples();
     series.resize(samples);
@@ -269,29 +268,36 @@ RiskFactorPnLSeries HistoricalPnlGenerator::riskFactorLevelPnlSeries(const ore::
         if (!(period.contains(start) && period.contains(end))) {
             continue; // leave this scenario's map empty
         }
-        // Aggregate PnL across trades and collapse duplicates by risk factor name
-        std::unordered_map<std::string, std::pair<RiskFactorKey, Real>> byName;
+        // Aggregate PnL per trade and collapse duplicates by risk factor name
+        // Map: rf name -> (representative key, per-trade pnl vector)
+        std::unordered_map<std::string, std::pair<RiskFactorKey, std::vector<Real>>> byName;
         for (const auto& kv : mapCube_) {
             const RiskFactorKey& rfKey = kv.first;
             const ext::shared_ptr<NPVCube>& rfCube = kv.second;
-            Real pnl = 0.0;
             Size tradeCount = rfCube->numIds();
+            std::vector<Real> pnlVec(tradeCount, 0.0);
+            bool anyNonZero = false;
             for (Size i = 0; i < tradeCount; ++i) {
-                pnl += rfCube->get(i, dateIdx, s) - rfCube->getT0(i);
+                Real v = rfCube->get(i, dateIdx, s) - rfCube->getT0(i);
+                pnlVec[i] = v;
+                anyNonZero = anyNonZero || (v != 0.0);
             }
-            if (pnl == 0.0)
+            if (!anyNonZero)
                 continue;
             auto it = byName.find(rfKey.name);
             if (it == byName.end()) {
-                byName.emplace(rfKey.name, std::make_pair(rfKey, pnl));
+                byName.emplace(rfKey.name, std::make_pair(rfKey, std::move(pnlVec)));
             } else {
-                it->second.second += pnl;
+                auto& aggVec = it->second.second;
+                if (aggVec.size() < pnlVec.size())
+                    aggVec.resize(pnlVec.size(), 0.0);
+                for (Size i = 0; i < pnlVec.size(); ++i)
+                    aggVec[i] += pnlVec[i];
             }
         }
-        // Write one entry per risk factor name into the scenario map
-        for (const auto& e : byName) {
-            series[s].emplace(e.second.first, e.second.second);
-        }  
+        for (auto& e : byName) {
+            series[s].emplace(e.second.first, std::move(e.second.second));
+        }
     }
 
     return series;

OREAnalytics/orea/engine/historicalpnlgenerator.hpp

@@ -138,7 +138,9 @@ class HistoricalPnlGenerator : public ore::data::ProgressReporter {
     TradePnlStore tradeLevelPnl() const;
 
     // Series of per-scenario portfolio PnL by risk factor (aligned with scenarios)
-    using RiskFactorPnLSeries = std::vector<std::map<RiskFactorKey,QuantLib::Real>>;
+    // For each scenario s, we map RiskFactorKey -> vector<Real> with one entry per trade
+    // aligned to the order in tradeIdIndexPairs().
+    using RiskFactorPnLSeries = std::vector<std::map<RiskFactorKey,std::vector<QuantLib::Real>>>;
     RiskFactorPnLSeries riskFactorLevelPnlSeries(const ore::data::TimePeriod& period) const;
 
     /*! Return the last cube generated by generateCube.

OREAnalytics/orea/engine/historicalsensipnlcalculator.cpp

@@ -258,7 +258,7 @@ void HistoricalSensiPnlCalculator::calculateSensiPnl(
     vector<Real> allPnls(hisScenGen_->numScenarios(), 0.0);
     vector<Real> allFoPnls(hisScenGen_->numScenarios(), 0.0);
 
-    //                    calculators,scenarios,  trades
+    // calculators,scenarios, trades
     using TradePnLStore = std::vector<std::vector<QuantLib::Real>>;
     std::vector<TradePnLStore> tradePnls, foTradePnls;
 

OREAnalytics/orea/engine/historicalsimulationvar.cpp

@@ -67,6 +67,7 @@ void HistoricalSimulationVarReport::createAdditionalReports(
         // prepare report
         QuantLib::ext::shared_ptr<Report> report2 = reports->reports().at(2);
         report2->addColumn("RiskFactor", string())
+            .addColumn("TradeId", string())
             .addColumn("PLDate1", Date())
             .addColumn("PLDate2", Date())
             .addColumn("PLAmount", double(), 6);
@@ -129,13 +130,18 @@ void HistoricalSimulationVarReport::writeAdditionalReports(
             QuantLib::ext::shared_ptr<Report> report2 = reports->reports().at(2);
             if (s < riskFactorPnls_.size() && countRF_ < 1) {
                 for (const auto& r : riskFactorPnls_[s]) {
-                    report2->next();
                     const auto& key = r.first;
-                    const Real value = r.second;
-                    report2->add(ore::data::to_string(key));
-                    report2->add(hisScenGen_->startDates()[s]);
-                    report2->add(hisScenGen_->endDates()[s]);
-                    report2->add(value);
+                    const std::vector<Real>& vals = r.second;
+                    Size idx = 0;
+                    for (const auto& t : tradeIdIdxPairs_) {
+                        report2->next();
+                        report2->add(ore::data::to_string(key));
+                        report2->add(t.first);
+                        report2->add(hisScenGen_->startDates()[s]);
+                        report2->add(hisScenGen_->endDates()[s]);
+                        report2->add(idx < vals.size() ? vals[idx] : 0.0);
+                        ++idx;
+                    }
                 }
             }
         }