BaCvaCalculator Class Reference

Class for calculating Basic Approach CVA capital charge. More...

#include <orea/engine/bacvacalculator.hpp>

Public Member Functions
	BaCvaCalculator (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &calculationCcy, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &calculatedCollateralBalances, const QuantLib::ext::shared_ptr< SimmBasicNameMapper > &nameMapper, const QuantLib::ext::shared_ptr< SimmBucketMapper > &bucketMapper, const QuantLib::ext::shared_ptr< ReferenceDataManager > &refDataManager=nullptr, QuantLib::Real rho=0.5, QuantLib::Real alpha=1.4, QuantLib::Real discount=0.65)
	BaCvaCalculator (const QuantLib::ext::shared_ptr< SaccrCalculator > &saccrCalculator, const QuantLib::ext::shared_ptr< SaccrTradeData > &saccrTradeData, const std::string &calculationCcy, QuantLib::Real rho=0.5, QuantLib::Real alpha=1.4)
void	calculate ()
QuantLib::Real	effectiveMaturity (std::string nettingSet)
QuantLib::Real	discountFactor (std::string nettingSet)
QuantLib::Real	counterpartySCVA (std::string counterparty)
QuantLib::Real	EAD (std::string nettingSet)
map< string, set< string > >	counterpartyNettingSets ()
QuantLib::Real	riskWeight (std::string counterparty)
const ore::data::Timer &	timer () const
QuantLib::Real	cvaResult () const
	Give back the CVA results container for the given portfolioId.
const std::string &	calculationCurrency () const
	Return the calculator's calculation currency.

Protected Member Functions
void	calculateEffectiveMaturity ()

Detailed Description

Class for calculating Basic Approach CVA capital charge.