XVA Calculator base with dynamic credit. More...

#include <orea/aggregation/dynamiccreditxvacalculator.hpp>

Inheritance diagram for DynamicCreditXvaCalculator:

Public Member Functions
	DynamicCreditXvaCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &cptyCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=0, const Size nettingSetEneIndex=1, const Size cptySpIndex=0, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND")
virtual const Real	calculateCvaIncrement (const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override
virtual const Real	calculateDvaIncrement (const string &tid, const Date &d0, const Date &d1, const Real &rr) override
virtual const Real	calculateNettingSetCvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override
virtual const Real	calculateNettingSetDvaIncrement (const string &nid, const Date &d0, const Date &d1, const Real &rr) override
virtual const Real	calculateFbaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override
virtual const Real	calculateFcaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override
virtual const Real	calculateNettingSetFbaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override
virtual const Real	calculateNettingSetFcaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override
virtual const Real	calculateNettingSetMvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf) override
Public Member Functions inherited from ValueAdjustmentCalculator
	ValueAdjustmentCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND")
virtual void	build ()
	Compute cva along all paths and fill result structures.
virtual const vector< Date > &	dates ()
virtual const Date	asof ()
const map< string, Real > &	tradeCva ()
	CVA map for all the trades.
const map< string, Real > &	tradeDva ()
	DVA map for all the trades.
const map< string, Real > &	nettingSetCva ()
	CVA map for all the netting sets.
const map< string, Real > &	nettingSetDva ()
	DVA map for all the netting sets.
const map< string, Real > &	nettingSetSumCva ()
	Sum CVA map for all the netting sets.
const map< string, Real > &	nettingSetSumDva ()
	Sum DVA map for all the netting sets.
const Real &	tradeCva (const string &trade)
	CVA for the specified trade.
const Real &	tradeDva (const string &trade)
	DVA for the specified trade.
const Real &	tradeFba (const string &trade)
	FBA for the specified trade.
const Real &	tradeFba_exOwnSp (const string &trade)
	FBA (excl own survival probability) for the specified trade.
const Real &	tradeFba_exAllSp (const string &trade)
	FBA (excl all survival probability) for the specified trade.
const Real &	tradeFca (const string &trade)
	FCA for the specified trade.
const Real &	tradeFca_exOwnSp (const string &trade)
	FCA (excl own survival probability) for the specified trade.
const Real &	tradeFca_exAllSp (const string &trade)
	FCA (excl all survival probability) for the specified trade.
const Real &	tradeMva (const string &trade)
	MVA for the specified trade.
const Real &	nettingSetSumCva (const string &nettingSet)
	Sum of trades' CVA for the specified netting set.
const Real &	nettingSetSumDva (const string &nettingSet)
	Sum of trades' DVA for the specified netting set.
const Real &	nettingSetCva (const string &nettingSet)
	CVA for the specified netting set.
const Real &	nettingSetDva (const string &nettingSet)
	DVA for the specified netting set.
const Real &	nettingSetFba (const string &nettingSet)
	FBA for the specified netting set.
const Real &	nettingSetFba_exOwnSp (const string &nettingSet)
	FBA (excl own survival probability) for the specified netting set.
const Real &	nettingSetFba_exAllSp (const string &nettingSet)
	FBA (excl all survival probability) for the specified netting set.
const Real &	nettingSetFca (const string &nettingSet)
	FCA for the specified netting set.
const Real &	nettingSetFca_exOwnSp (const string &nettingSet)
	FCA (excl own survival probability) for the specified netting set.
const Real &	nettingSetFca_exAllSp (const string &nettingSet)
	FCA (excl all survival probability) for the specified netting set.
const Real &	nettingSetMva (const string &nettingSet)
	MVA for the specified netting set.

Protected Attributes
const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube_
Size	cptySpIndex_
Protected Attributes inherited from ValueAdjustmentCalculator
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< Market >	market_
string	configuration_
string	baseCurrency_
string	dvaName_
string	fvaBorrowingCurve_
string	fvaLendingCurve_
bool	applyDynamicInitialMargin_
QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_
const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_
const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube_
Size	tradeEpeIndex_
Size	tradeEneIndex_
Size	nettingSetEpeIndex_
Size	nettingSetEneIndex_
bool	flipViewXVA_
string	flipViewBorrowingCurvePostfix_
string	flipViewLendingCurvePostfix_
map< string, string >	nettingSetCpty_
map< string, Real >	tradeCva_
map< string, Real >	tradeDva_
map< string, Real >	tradeFba_
map< string, Real >	tradeFba_exOwnSp_
map< string, Real >	tradeFba_exAllSp_
map< string, Real >	tradeFca_
map< string, Real >	tradeFca_exOwnSp_
map< string, Real >	tradeFca_exAllSp_
map< string, Real >	tradeMva_
map< string, Real >	nettingSetSumCva_
map< string, Real >	nettingSetSumDva_
map< string, Real >	nettingSetCva_
map< string, Real >	nettingSetDva_
map< string, Real >	nettingSetFba_
map< string, Real >	nettingSetFba_exOwnSp_
map< string, Real >	nettingSetFba_exAllSp_
map< string, Real >	nettingSetFca_
map< string, Real >	nettingSetFca_exOwnSp_
map< string, Real >	nettingSetFca_exAllSp_
map< string, Real >	nettingSetMva_

Detailed Description

XVA Calculator base with dynamic credit.

XVA is calculated using survival probability from each path

Constructor & Destructor Documentation

◆ DynamicCreditXvaCalculator()

DynamicCreditXvaCalculator	(	const QuantLib::ext::shared_ptr< Portfolio >	portfolio,
		const QuantLib::ext::shared_ptr< Market >	market,
		const string &	configuration,
		const string &	baseCurrency,
		const string &	dvaName,
		const string &	fvaBorrowingCurve,
		const string &	fvaLendingCurve,
		const bool	applyDynamicInitialMargin,
		const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator,
		const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube,
		const Size	tradeEpeIndex = 0,
		const Size	tradeEneIndex = 1,
		const Size	nettingSetEpeIndex = 0,
		const Size	nettingSetEneIndex = 1,
		const Size	cptySpIndex = 0,
		const bool	flipViewXVA = false,
		const string &	flipViewBorrowingCurvePostfix = "_BORROW",
		const string &	flipViewLendingCurvePostfix = "_LEND" )

Parameters

portfolio	Driving portfolio consistent with the cube below
market	Today's market
configuration	Market configuration to be used
baseCurrency	Base currency amounts will be converted to
dvaName	Own party name for DVA calculations
fvaBorrowingCurve	FVA borrowing curve
fvaLendingCurve	FVA lending curve
applyDynamicInitialMargin	Deactivate initial margin calculation even if active at netting set level
dimCalculator	Dynamic Initial Margin calculator
tradeExposureCube	Storage ofdefault NPVs, close-out NPVs, cash flows at trade level
nettingSetExposureCube	Storage of sensitivity vectors at netting set level
cptyCube	Storage for counterparty survival probabilities
tradeEpeIndex	Index of the trade EPE storage in the internal exposure cube
tradeEneIndex	Index of the trade ENE storage in the internal exposure cube
nettingSetEpeIndex	Index of the netting set EPE storage in the internal exposure cube
nettingSetEneIndex	Index of the netting set ENE storage in the internal exposure cube
cptySpIndex	Index of the counterparty survivalprobability storage
flipViewXVA	Flag to indicate flipped xva calculation
flipViewBorrowingCurvePostfix	Postfix for flipView borrowing curves for fva
flipViewLendingCurvePostfix	Postfix for flipView lending curves for fva

Member Function Documentation

◆ calculateCvaIncrement()

virtual const Real calculateCvaIncrement	(	const string &	tid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateDvaIncrement()

virtual const Real calculateDvaIncrement	(	const string &	tid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateNettingSetCvaIncrement()

virtual const Real calculateNettingSetCvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateNettingSetDvaIncrement()

virtual const Real calculateNettingSetDvaIncrement	(	const string &	nid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateFbaIncrement()

virtual const Real calculateFbaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateFcaIncrement()

virtual const Real calculateFcaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateNettingSetFbaIncrement()

virtual const Real calculateNettingSetFbaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateNettingSetFcaIncrement()

virtual const Real calculateNettingSetFcaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf )

overridevirtual

Implements ValueAdjustmentCalculator.

◆ calculateNettingSetMvaIncrement()

virtual const Real calculateNettingSetMvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf )

overridevirtual

Implements ValueAdjustmentCalculator.

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ DynamicCreditXvaCalculator()

Member Function Documentation

◆ calculateCvaIncrement()

◆ calculateDvaIncrement()

◆ calculateNettingSetCvaIncrement()

◆ calculateNettingSetDvaIncrement()

◆ calculateFbaIncrement()

◆ calculateFcaIncrement()

◆ calculateNettingSetFbaIncrement()

◆ calculateNettingSetFcaIncrement()

◆ calculateNettingSetMvaIncrement()