search

OpenSourceRisk / Engine

Open Source Risk Engine
http://www.opensourcerisk.org
Other
485 stars 217 forks source link

historical vs. parametric VAR analytic parameter mixup #261

Open rkapl123 opened 1 month ago

rkapl123 commented 1 month ago

Hi, after trying to start historic VAR analyses and getting the output in a different file (histvar.csv), I found that the historic var analysis somehow mixes up configuration (and maybe even code?):

My config for this is:

        <Analytic type="parametricVar">
            <Parameter name="active">N</Parameter>
            <Parameter name="sensitivityInputFile">../Output/sensitivity.csv</Parameter>
            <Parameter name="covarianceInputFile">covariance.csv</Parameter>
            <Parameter name="salvageCovarianceMatrix">N</Parameter>
            <Parameter name="quantiles">0.01,0.05,0.95,0.99</Parameter>
            <!-- Breakdown of risk classes and types -->
            <Parameter name="breakdown">Y</Parameter>
            <!-- Portfolio filter (regex), may be empty or not given -->
            <Parameter name="portfolioFilter"></Parameter>
            <!-- VaR method (Delta, DeltaGammaNormal, MonteCarlo) -->
            <Parameter name="method">DeltaGammaNormal</Parameter>
            <!-- Only required for method = MonteCarlo -->
            <!-- <Parameter name="mcSamples">100000</Parameter> -->
            <!-- <Parameter name="mcSeed">42</Parameter> -->
            <Parameter name="outputFile">var.csv</Parameter>
        </Analytic>
        <Analytic type="historicalSimulationVar">
            <Parameter name="active">Y</Parameter>
            <Parameter name="historicalScenarioFile">scenarios.csv</Parameter>
            <Parameter name="simulationConfigFile">simulationNew.xml</Parameter>
            <Parameter name="historicalPeriod">2023-03-28,2024-02-28</Parameter>
            <Parameter name="mporDays">10</Parameter>
            <Parameter name="mporCalendar">EUR</Parameter>
            <Parameter name="mporOverlappingPeriods">true</Parameter>
            <Parameter name="quantiles">0.01,0.05,0.95,0.99</Parameter>
            <!--<Parameter name="breakdown">Y</Parameter>-->
            <!--<Parameter name="portfolioFilter">PF1</Parameter>-->
            <Parameter name="outputFile">histvar.csv</Parameter>
        </Analytic>

At the beginning, the log says everything is only HISTSIM_VAR (besides tje other 4 analyses): NOTICE [2024-Aug-09 18:54:10.056549] (OREAnalytics\orea\app\oreapp.cpp:2048) : analytics: 5 NOTICE [2024-Aug-09 18:54:10.072113] (OREAnalytics\orea\app\oreapp.cpp:2050) : analytic: CASHFLOW NOTICE [2024-Aug-09 18:54:10.072113] (OREAnalytics\orea\app\oreapp.cpp:2050) : analytic: EXPOSURE NOTICE [2024-Aug-09 18:54:10.072113] (OREAnalytics\orea\app\oreapp.cpp:2050) : analytic: HISTSIM_VAR NOTICE [2024-Aug-09 18:54:10.087735] (OREAnalytics\orea\app\oreapp.cpp:2050) : analytic: NPV NOTICE [2024-Aug-09 18:54:10.087735] (OREAnalytics\orea\app\oreapp.cpp:2050) : analytic: XVA NOTICE [2024-Aug-09 18:54:10.087735] (OREAnalytics\orea\app\oreapp.cpp:2052) : buildInputParameters done NOTICE [2024-Aug-09 18:54:10.103369] (...lytics\orea\app\inputparameters.cpp:597) : OutputFileNameMap called NOTICE [2024-Aug-09 18:54:10.103369] (...lytics\orea\app\inputparameters.cpp:676) : OutputFileNameMap complete NOTICE [2024-Aug-09 18:54:10.103369] (OREAnalytics\orea\app\oreapp.cpp:376) : initFromParameters done, requested analytics:CASHFLOW,EXPOSURE,HISTSIM_VAR,NPV,XVA NOTICE [2024-Aug-09 18:54:10.118996] (OREAnalytics\orea\app\oreapp.cpp:221) : ORE analytics starting

Later, when running the histsim analytic, something strange happens: NOTICE [2024-Aug-09 18:54:25.603457] (...ytics\orea\app\analyticsmanager.cpp:159) : run analytic with label 'HISTSIM_VAR' WARNING [2024-Aug-09 18:54:25.603457] (OREAnalytics\orea\app\analytic.cpp:85) : 27205632|25341952 NOTICE [2024-Aug-09 18:54:25.619097] (...s\orea\app\analytics\varanalytic.cpp:46) : Running parametric VaR NOTICE [2024-Aug-09 18:54:25.619097] (...s\orea\app\analytics\varanalytic.cpp:51) : VAR: Build Market NOTICE [2024-Aug-09 18:54:25.619097] (OREAnalytics\orea\app\analytic.cpp:180) : Analytic::buildMarket called NOTICE [2024-Aug-09 18:54:25.634711] (...\ored\marketdata\bondspreadimply.cpp:48) : identify securities that require a spread imply for configuration default

Still later, the histsim var seems to be used again for portfolio building: NOTICE [2024-Aug-09 18:54:27.666036] (...ta\ored\portfolio\enginefactory.cpp:184) : Building EngineFactory NOTICE [2024-Aug-09 18:54:27.681614] (OREData\ored\portfolio\portfolio.cpp:124) : Building Portfolio of size 310 for context = 'analytic/HISTSIM_VAR' ... NOTICE [2024-Aug-09 18:54:29.415983] (OREData\ored\portfolio\portfolio.cpp:142) : Built Portfolio. Initial size = 310, size now 310, built 0 failed trades, context is analytic/HISTSIM_VAR NOTICE [2024-Aug-09 18:54:29.431610] (OREAnalytics\orea\app\analytic.cpp:246) : Filter trades that expire before August 9th, 2024

Then, the VaR calculator seems to use the historic simulation approach: NOTICE [2024-Aug-09 18:54:30.040990] (...\orea\app\analytics\varanalytic.cpp:148) : Build VaR calculator NOTICE [2024-Aug-09 18:54:30.056616] (...cenario\historicalscenarioloader.cpp:47) : Loading historical scenarios from March 14th, 2023 to February 28th, 2024 NOTICE [2024-Aug-09 18:54:30.415996] (...cenario\historicalscenarioloader.cpp:94) : Loaded 243 from March 14th, 2023 to February 28th, 2024 NOTICE [2024-Aug-09 18:54:30.415996] (...orea\scenario\scenariosimmarket.cpp:330) : building ScenarioSimMarket... ... NOTICE [2024-Aug-09 18:54:30.931685] (...s\orea\app\analytics\varanalytic.cpp:63) : Call VaR calculation NOTICE [2024-Aug-09 18:54:30.931685] (...cs\orea\engine\marketriskreport.cpp:142) : Build the portfolio for full reval bt. NOTICE [2024-Aug-09 18:54:30.947271] (...ta\ored\portfolio\enginefactory.cpp:184) : Building EngineFactory NOTICE [2024-Aug-09 18:54:30.947271] (OREData\ored\portfolio\portfolio.cpp:124) : Building Portfolio of size 189 for context = 'historical pnl generation' ... NOTICE [2024-Aug-09 18:54:49.353716] (...s\orea\app\analytics\varanalytic.cpp:74) : VaR completed WARNING [2024-Aug-09 18:54:49.353716] (OREAnalytics\orea\app\analytic.cpp:88) : 56516608|54218752 NOTICE [2024-Aug-09 18:54:49.353716] (...ytics\orea\app\analyticsmanager.cpp:161) : run analytic with label 'HISTSIM_VAR' finished.

The output however goes to var.csv: NOTICE [2024-Aug-09 19:20:18.512691] (...ytics\orea\app\analyticsmanager.cpp:234) : report name var occurs 1 times ... NOTICE [2024-Aug-09 19:20:18.684566] (OREData\ored\report\csvreport.cpp:110) : Opening CSV file report 'Output/var.csv' NOTICE [2024-Aug-09 19:20:18.700189] (OREData\ored\report\csvreport.cpp:199) : CSV file report 'Output/var.csv' closed. NOTICE [2024-Aug-09 19:20:18.700189] (...ytics\orea\app\analyticsmanager.cpp:277) : report var written to Output/var.csv

Somehow the parameters of the parametric var seem to be mixed into the historical var, after commenting out the first (parametricVar) definition, ORE ran as expected.

Besides fixing the fundamental parameter setup mixing, I'd suggest to also bring the logging in line with the two different methods:

void VarAnalyticImpl::runAnalytic(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader,
                              const std::set<std::string>& runTypes) {
    MEM_LOG;
    LOG("Running parametric VaR"); // remove parametric 
...
void ParametricVarAnalyticImpl::setVarReport(const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader) {
    LOG("Build trade to portfolio id mapping");
    ParametricVarCalculator::ParametricVarParams varParams(inputs_->varMethod(), inputs_->mcVarSamples(),
                                                           inputs_->mcVarSeed());

    QuantLib::ext::shared_ptr<SensitivityStream> ss = sensiStream(loader);

    LOG("Build PARAMETRIC VaR calculator");
...
void HistoricalSimulationVarAnalyticImpl::setVarReport(
    const QuantLib::ext::shared_ptr<ore::data::InMemoryLoader>& loader) {

    LOG("Build HISTSIM VaR calculator");

-regards, Roland

rkapl123 commented 1 month ago

It really seems to be constrained to the <Parameter name="outputFile">var.csv</Parameter> in the parametricVar analytic definition, when only this is commented, then the hist sim filename is taken.