Dynamic SIMM. More...

#include <orea/aggregation/dynamicsimmcalculator.hpp>

Inheritance diagram for DynamicSimmCalculator:

Public Member Functions
	DynamicSimmCalculator (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &cube, const QuantLib::ext::shared_ptr< ore::analytics::CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< SimmHelper > &simmHelper, QuantLib::Real quantile=0.99, QuantLib::Size horizonCalendarDays=14, const std::map< std::string, Real > &currentIM=std::map< std::string, Real >(), const Size &simmCubeDepth=4)
const std::map< std::string, QuantLib::Real > &	unscaledCurrentDIM () const override
	Model implied t0 DIM by netting set, does not need a call to build() before.
void	build () override
	Compute dynamic initial margin along all paths and fill result structures.
Public Member Functions inherited from 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)
const map< string, Real > &	currentIM () const
	t0 IM by netting set, as provided as an arguments
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.

Additional Inherited Members
Protected Attributes inherited from DynamicInitialMarginCalculator
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 SIMM.

Dynamic IM using the SimpleSimm calculation along all paths, based on sensitivities stored in the hyper cube

Constructor & Destructor Documentation

◆ DynamicSimmCalculator()

DynamicSimmCalculator	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< ore::analytics::CubeInterpretation > &	cubeInterpretation,
		const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &	scenarioData,
		const QuantLib::ext::shared_ptr< SimmHelper > &	simmHelper,
		QuantLib::Real	quantile = 0.99,
		QuantLib::Size	horizonCalendarDays = 14,
		const std::map< std::string, Real > &	currentIM = std::map< std::string, Real >(),
		const Size &	simmCubeDepth = 4 )

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
simmHelper	Helper for dynamic SIMM calculation
quantile	VaR quantile expressed as a percentage
horizonCalendarDays	VaR holding period in calendar days

Member Function Documentation

◆ unscaledCurrentDIM()

const std::map< std::string, QuantLib::Real > & unscaledCurrentDIM ( ) const

overridevirtual

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

Implements DynamicInitialMarginCalculator.

◆ build()

void build ( )