Dynamic Initial Margin Calculator base class. More...

#include <orea/aggregation/dimcalculator.hpp>

Inheritance diagram for DynamicInitialMarginCalculator:

Public Member Functions
	DynamicInitialMarginCalculator (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile=0.99, Size horizonCalendarDays=14, const std::map< std::string, Real > &currentIM=std::map< std::string, Real >(), Size dimCubeDepth=1)
virtual const map< string, Real > &	unscaledCurrentDIM () const =0
	Model implied t0 DIM by netting set, does not need a call to build() before.
const map< string, Real > &	currentIM () const
	t0 IM by netting set, as provided as an arguments
virtual void	build ()=0
	Compute dynamic initial margin along all paths and fill result structures.
virtual void	exportDimEvolution (ore::data::Report &dimEvolutionReport) const
	DIM evolution report.
virtual void	exportDimDistribution (ore::data::Report &dimDistributionReport, const Size gridSize=50, const Real coveredStdDevs=5.0) const
	DIM distribution report.
virtual void	exportDimCube (ore::data::Report &dimCubeReport) const
	DIM cube report.
const QuantLib::ext::shared_ptr< NPVCube > &	dimCube () const
	DIM by nettingSet, date, sample returned as a regular NPV cube.
const vector< vector< Real > > &	dynamicIM (const string &nettingSet) const
	DIM matrix by date and sample index for the specified netting set.
const vector< vector< Real > > &	cashFlow (const string &nettingSet) const
	Cash flow matrix by date and sample index for the specified netting set.
const vector< Real > &	expectedIM (const string &nettingSet) const
	Expected DIM vector by date for the specified netting set.
const std::map< std::string, Real > &	getInitialMarginScaling () const
	Get the implied netting set specific scaling factors.

Protected Attributes
QuantLib::ext::shared_ptr< InputParameters >	inputs_
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< NPVCube >	cube_
QuantLib::ext::shared_ptr< NPVCube >	dimCube_
QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation_
QuantLib::ext::shared_ptr< AggregationScenarioData >	scenarioData_
Real	quantile_
Size	horizonCalendarDays_
map< string, Real >	currentIM_
bool	cubeIsRegular_
Size	datesLoopSize_
std::set< string >	nettingSetIds_
map< string, Real >	nettingSetScaling_
map< string, vector< vector< Real > > >	nettingSetNPV_
map< string, vector< vector< Real > > >	nettingSetCloseOutNPV_
map< string, vector< vector< Real > > >	nettingSetFLOW_
map< string, vector< vector< Real > > >	nettingSetDeltaNPV_
map< string, vector< vector< Real > > >	nettingSetDIM_
map< string, vector< Real > >	nettingSetExpectedDIM_

Detailed Description

Dynamic Initial Margin Calculator base class.

Derived classes implement a constructor with the relevant additional input data and a build function that performs the DIM calculations for all netting sets and along all paths.

Constructor & Destructor Documentation

◆ DynamicInitialMarginCalculator()

DynamicInitialMarginCalculator	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< CubeInterpretation > &	cubeInterpretation,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	scenarioData,
		Real	quantile = 0.99,
		Size	horizonCalendarDays = 14,
		const std::map< std::string, Real > &	currentIM = std::map< std::string, Real >(),
		Size	dimCubeDepth = 1 )

Parameters

inputs	Global input parameters
portfolio	Driving portfolio consistent with the cube below
cube	NPV cube resulting from the Monte Carlo simulation loop
cubeInterpretation	Interpretation of the cube, regular NPV, MPoR grid etc
scenarioData	Additional output of the MC simulation loop with numeraires, index fixings, FX spots etc
quantile	VaR quantile, e.g. 0.99 for 99%
horizonCalendarDays	VaR holding period in calendar days
currentIM	Actual t0 IM by netting set used to scale the DIM evolution, no scaling if the argument is omitted

Member Function Documentation

◆ unscaledCurrentDIM()

virtual const map< string, Real > & unscaledCurrentDIM ( ) const

pure virtual

Model implied t0 DIM by netting set, does not need a call to build() before.

Implemented in DirectDynamicInitialMarginCalculator, DynamicDeltaVaRCalculator, DynamicSimmCalculator, FlatDynamicInitialMarginCalculator, and RegressionDynamicInitialMarginCalculator.

◆ build()

virtual void build ( )

pure virtual

Compute dynamic initial margin along all paths and fill result structures.

Implemented in DirectDynamicInitialMarginCalculator, DynamicDeltaVaRCalculator, DynamicSimmCalculator, FlatDynamicInitialMarginCalculator, and RegressionDynamicInitialMarginCalculator.

◆ exportDimEvolution()

virtual void exportDimEvolution ( ore::data::Report & dimEvolutionReport ) const

virtual

DIM evolution report.

Reimplemented in DirectDynamicInitialMarginCalculator, FlatDynamicInitialMarginCalculator, and RegressionDynamicInitialMarginCalculator.

Public Member Functions