DimHelper Class Reference

Helper for cam model implied VaR calculation. More...

#include <orea/aggregation/dimhelper.hpp>

Public Member Functions
	DimHelper (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< SensitivityStorageManager > &sensitivityStorageManager, const std::vector< Time > &curveSensitivityGrid, const Size dimHorizonCalendarDays)
Real	var (const std::string &nettingSetId, const Size order, const Real quantile, const Real thetaFactor=0.0, const Size dateIndex=Null< Size >(), const Size sampleIndex=Null< Size >())

Detailed Description

Helper for cam model implied VaR calculation.

delta or delta-gamma (normal) based estimation of VaR

Constructor & Destructor Documentation

DimHelper()

DimHelper	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< SensitivityStorageManager > &	sensitivityStorageManager,
		const std::vector< Time > &	curveSensitivityGrid,
		const Size	dimHorizonCalendarDays )

Construct the dim helper based on

• the cam model used for simulation
• the cube which stores the sensitivities on a netting set level
• the sensitivity storage manager
• the grid on which the curve sensitivities are computed
• the dim horizon expressed in calendar days Notice that we assume that the model has IR LGM1F and FX BS components only

Member Function Documentation

var()

Real var	(	const std::string &	nettingSetId,
		const Size	order,
		const Real	quantile,
		const Real	thetaFactor = 0.0,
		const Size	dateIndex = Null< Size >(),
		const Size	sampleIndex = Null< Size >() )

Returns the VaR for a

• netting set id
• an order order = 1: delta (order 1) order = 2: delta-gamma, with normal distribution assumption ("order 1.5") order = 3: delta-gamma (order 2)
• a quantile
• a theta factor, the netting set theta times this factor is added to the result
• a date and sample index, if both are null, the VaR is computed for the T0 slice of the cube