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mgroncki
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Merge remote-tracking branch 'origin/master' into QPR-12437
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‎OREAnalytics/orea/app/analytics/xvasensitivityanalytic.cpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <orea/app/analytics/xvaanalytic.hpp>
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#include <orea/app/analytics/xvasensitivityanalytic.hpp>
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#include <orea/app/structuredanalyticserror.hpp>
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#include <orea/app/structuredanalyticswarning.hpp>
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#include <orea/cube/cube_io.hpp>
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#include <orea/scenario/clonescenariofactory.hpp>
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#include <orea/scenario/scenariosimmarket.hpp>
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#include <orea/scenario/sensitivityscenariogenerator.hpp>
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#include <orea/scenario/stressscenariogenerator.hpp>
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#include <ored/report/utilities.hpp>
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namespace ore {
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namespace analytics {
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XvaSensitivityAnalyticImpl::XvaSensitivityAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
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: Analytic::Impl(inputs) {
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setLabel(LABEL);
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}
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void XvaSensitivityAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
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const std::set<std::string>& runTypes) {
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// basic setup
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LOG("Running XVA Stress analytic.");
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Settings::instance().evaluationDate() = inputs_->asof();
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QL_REQUIRE(inputs_->portfolio(), "XvaSensitivityAnalytic::run: No portfolio loaded.");
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Settings::instance().evaluationDate() = inputs_->asof();
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std::string marketConfig = inputs_->marketConfig("pricing"); // FIXME
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auto xvaAnalytic = dependentAnalytic<XvaAnalytic>("XVA");
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// build t0, sim market, stress scenario generator
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CONSOLEW("XVA_STRESS: Build T0 and Sim Markets and Stress Scenario Generator");
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analytic()->buildMarket(loader);
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LOG("XVA Stress: Build SimMarket and StressTestScenarioGenerator")
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auto simMarket = QuantLib::ext::make_shared<ScenarioSimMarket>(
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analytic()->market(), analytic()->configurations().simMarketParams, marketConfig,
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*analytic()->configurations().curveConfig, *analytic()->configurations().todaysMarketParams,
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inputs_->continueOnError(), analytic()->configurations().sensiScenarioData->useSpreadedTermStructures(), false,
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false, *inputs_->iborFallbackConfig(), true);
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auto baseScenario = simMarket->baseScenario();
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auto scenarioFactory = QuantLib::ext::make_shared<CloneScenarioFactory>(baseScenario);
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auto scenarioGenerator = QuantLib::ext::make_shared<SensitivityScenarioGenerator>(
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analytic()->configurations().sensiScenarioData, baseScenario, analytic()->configurations().simMarketParams,
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simMarket, scenarioFactory, simMarket->baseScenarioAbsolute());
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simMarket->scenarioGenerator() = scenarioGenerator;
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CONSOLE("OK");
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// generate the stress scenarios and run dependent xva analytic under each of them
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CONSOLE("XVA_STRESS: Running sensi scenarios");
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// run stress test
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LOG("Run XVA Sensitivity")
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runSensitivity(scenarioGenerator, loader);
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LOG("Running XVA Sensitivity analytic finished.");
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}
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void XvaSensitivityAnalyticImpl::runSensitivity(
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const QuantLib::ext::shared_ptr<SensitivityScenarioGenerator>& scenarioGenerator,
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const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader) {
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std::map<std::string, std::vector<QuantLib::ext::shared_ptr<ore::data::InMemoryReport>>> xvaReports;
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for (size_t i = 0; i < scenarioGenerator->samples(); ++i) {
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auto scenario = scenarioGenerator->next(inputs_->asof());
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auto desc = scenarioGenerator->scenarioDescriptions()[i];
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QuantLib::ext::shared_ptr<ore::data::InMemoryReport> descReport =
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QuantLib::ext::make_shared<ore::data::InMemoryReport>();
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descReport->addColumn("IsPar", string());
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descReport->addColumn("Factor_1", string());
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descReport->addColumn("ShiftSize_1", double(), 6);
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descReport->addColumn("Factor_2", string());
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descReport->addColumn("ShiftSize_2", double(), 6);
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descReport->addColumn("Currency", string());
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descReport->next();
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descReport->add("false");
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descReport->add(desc.factor1());
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descReport->add(scenarioGenerator->shiftSizes().at(desc.key1()));
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descReport->add(desc.factor2());
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descReport->add(scenarioGenerator->shiftSizes().at(desc.key2()));
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descReport->add(inputs_->baseCurrency());
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descReport->end();
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const std::string& label = scenario != nullptr ? scenario->label() : std::string();
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try {
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DLOG("Calculate XVA for scenario " << label);
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CONSOLE("XVA_STRESS: Apply scenario " << label);
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auto newAnalytic = ext::make_shared<XvaAnalytic>(
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inputs_, (label == "BASE" ? nullptr : scenario),
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(label == "BASE" ? nullptr : analytic()->configurations().simMarketParams));
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CONSOLE("XVA_STRESS: Calculate Exposure and XVA")
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newAnalytic->runAnalytic(loader, {"EXPOSURE", "XVA"});
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// Collect exposure and xva reports
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for (auto& [name, rpt] : newAnalytic->reports()["XVA"]) {
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// add scenario column to report and copy it, concat it later
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if (boost::starts_with(name, "exposure") || boost::starts_with(name, "xva")) {
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DLOG("Save and extend report " << name);
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xvaReports[name].push_back(addColumnsToExisitingReport(descReport, rpt));
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}
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}
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// writeCubes(label, newAnalytic);
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} catch (const std::exception& e) {
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StructuredAnalyticsErrorMessage("XvaSensitivity", "XVACalc",
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"Error during XVA calc under scenario " + label + ", got " + e.what() +
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". Skip it")
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.log();
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}
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}
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for (auto& [name, reports] : xvaReports) {
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auto report = concatenateReports(reports);
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if (report != nullptr) {
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analytic()->reports()[label()][name] = report;
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}
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}
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}
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void XvaSensitivityAnalyticImpl::setUpConfigurations() {
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analytic()->configurations().todaysMarketParams = inputs_->todaysMarketParams();
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analytic()->configurations().simMarketParams = inputs_->xvaSensiSimMarketParams();
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analytic()->configurations().sensiScenarioData = inputs_->xvaSensiScenarioData();
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}
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XvaSensitivityAnalytic::XvaSensitivityAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs)
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: Analytic(std::make_unique<XvaSensitivityAnalyticImpl>(inputs), {"XVA_STRESS"}, inputs, true, false, false,
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false) {
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impl()->addDependentAnalytic("XVA", QuantLib::ext::make_shared<XvaAnalytic>(inputs));
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}
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} // namespace analytics
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} // namespace ore

‎OREAnalytics/orea/app/analytics/xvasensitivityanalytic.hpp‎

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/*
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Copyright (C) 2024 Quaternion Risk Management Ltd
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file orea/app/analytics/xvasensitivityanalytic.hpp
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\brief xva sensitivity analytic
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*/
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#pragma once
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#include <orea/app/analytic.hpp>
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#include <ored/report/inmemoryreport.hpp>
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namespace ore {
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namespace analytics {
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class XvaSensitivityAnalyticImpl : public Analytic::Impl {
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public:
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static constexpr const char* LABEL = "XVA_SENSI";
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explicit XvaSensitivityAnalyticImpl(const QuantLib::ext::shared_ptr<InputParameters>& inputs);
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void runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
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const std::set<std::string>& runTypes = {}) override;
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void setUpConfigurations() override;
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private:
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void runSensitivity(const QuantLib::ext::shared_ptr<SensitivityScenarioGenerator>& scenarioGenerator,
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const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader);
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};
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class XvaSensitivityAnalytic : public Analytic {
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public:
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explicit XvaSensitivityAnalytic(const QuantLib::ext::shared_ptr<InputParameters>& inputs);
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};
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} // namespace analytics
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} // namespace ore

‎OREAnalytics/orea/app/inputparameters.hpp‎

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double parStressUpperBoundRatesDiscountFactor() const { return parStressUpperBoundRatesDiscountFactor_; }
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double parStressAccurary() const { return parStressAccurary_; };
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/*************************************
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* XVA Sensitivity
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*************************************/
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const QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters>& xvaSensiSimMarketParams() const {
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return xvaSensiSimMarketParams_;
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}
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const QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData>& xvaSensiScenarioData() const {
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return xvaSensiScenarioData_;
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}
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const QuantLib::ext::shared_ptr<ore::data::EngineData>& xvaSensiPricingEngine() const { return xvaSensiPricingEngine_; }
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/*************************************
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* List of analytics that shall be run
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*************************************/
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double parStressLowerBoundRatesDiscountFactor_;
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double parStressUpperBoundRatesDiscountFactor_;
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double parStressAccurary_;
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/*****************
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* XVA Sensitivity analytic
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*****************/
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QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> xvaSensiSimMarketParams_;
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QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> xvaSensiScenarioData_;
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QuantLib::ext::shared_ptr<ore::data::EngineData> xvaSensiPricingEngine_;
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};
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inline const std::string& InputParameters::marketConfig(const std::string& context) {

‎OREData/ored/report/utilities.hpp‎

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return newReport;
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}
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QuantLib::ext::shared_ptr<ore::data::InMemoryReport>
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addColumnsToExisitingReport(const QuantLib::ext::shared_ptr<ore::data::InMemoryReport>& newColsReport,
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const QuantLib::ext::shared_ptr<ore::data::InMemoryReport>& report) {
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QuantLib::ext::shared_ptr<ore::data::InMemoryReport> newReport =
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QuantLib::ext::make_shared<ore::data::InMemoryReport>();
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if (report != nullptr && newColsReport->rows() == 1) {
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for (size_t i = 0; i < newColsReport->columns(); ++i) {
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newReport->addColumn(newColsReport->header(i), newColsReport->columnType(i),
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newColsReport->columnPrecision(i));
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}
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for (size_t i = 0; i < report->columns(); i++) {
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newReport->addColumn(report->header(i), report->columnType(i), report->columnPrecision(i));
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}
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for (size_t row = 0; row < report->rows(); row++) {
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newReport->next();
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for (size_t i = 0; i < newColsReport->columns(); ++i) {
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newReport->add(newColsReport->data(i)[0]);
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}
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for (size_t col = 0; col < report->columns(); col++) {
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newReport->add(report->data(col)[row]);
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}
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}
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newReport->end();
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}
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return newReport;
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}
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QuantLib::ext::shared_ptr<ore::data::InMemoryReport>
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concatenateReports(const std::vector<QuantLib::ext::shared_ptr<ore::data::InMemoryReport>>& reports) {
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if (!reports.empty() && reports.front() != nullptr) {

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