IMScheduleCalculator Class Reference

#include <orea/simm/imschedulecalculator.hpp>

Classes
struct	IMScheduleTradeData

Public Types
typedef CrifRecord::ProductClass	ProductClass
typedef CrifRecord::RiskType	RiskType
typedef CrifRecord::Regulation	Regulation
typedef SimmConfiguration::SimmSide	SimmSide

Public Member Functions
	IMScheduleCalculator (const QuantLib::ext::shared_ptr< Crif > &crif, const std::string &calculationCcy="USD", const QuantLib::ext::shared_ptr< ore::data::Market > market=nullptr, const bool determineWinningRegulations=true, const bool enforceIMRegulations=false, const bool quiet=false, const std::map< SimmSide, std::set< NettingSetDetails > > &hasSEC=std::map< SimmSide, std::set< NettingSetDetails > >())
	Construct the IMScheduleCalculator from a container of netted CRIF records.
const std::map< SimmSide, std::set< std::string > >	finalTradeIds () const
	Give back the set of portfolio IDs and trade IDs for which we have IM results.
const CrifRecord::Regulation &	winningRegulations (const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails) const
	Return the winning regulation for each portfolioId.
const std::map< ore::data::NettingSetDetails, CrifRecord::Regulation > &	winningRegulations (const SimmSide &side) const
const std::map< SimmSide, std::map< ore::data::NettingSetDetails, CrifRecord::Regulation > > &	winningRegulations () const
const std::map< CrifRecord::Regulation, IMScheduleResults > &	imScheduleSummaryResults (const SimmSide &side, const ore::data::NettingSetDetails &nsd) const
	Give back the IM Schedule results container for the given portfolioId and IM side.
const std::map< ore::data::NettingSetDetails, std::map< CrifRecord::Regulation, IMScheduleResults > > &	imScheduleSummaryResults (const SimmSide &side) const
const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::map< CrifRecord::Regulation, IMScheduleResults > > > &	imScheduleSummaryResults () const
const std::pair< CrifRecord::Regulation, IMScheduleResults > &	finalImScheduleSummaryResults (const SimmSide &side, const ore::data::NettingSetDetails &nsd) const
const std::map< ore::data::NettingSetDetails, std::pair< CrifRecord::Regulation, IMScheduleResults > > &	finalImScheduleSummaryResults (const SimmSide &side) const
const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::pair< CrifRecord::Regulation, IMScheduleResults > > > &	finalImScheduleSummaryResults () const
const std::vector< IMScheduleTradeData > &	imScheduleTradeResults (const std::string &tradeId) const
	Give back the IM Schedule results container for the given tradeId and IM side.
const std::map< std::string, std::vector< IMScheduleTradeData > > &	imScheduleTradeResults () const
const IMScheduleTradeData &	finalImScheduleTradeResults (const std::string &tradeId) const
const std::map< std::string, IMScheduleTradeData > &	finalImScheduleTradeResults () const
const std::string &	calculationCurrency () const
	Return the calculator's calculation currency.
void	populateFinalResults (const std::map< SimmSide, std::map< ore::data::NettingSetDetails, CrifRecord::Regulation > > &winningRegulations)
const ore::data::Timer &	timer () const

Static Public Member Functions
static const IMScheduleLabel	label (const ProductClass &productClass, const QuantLib::Real &maturity)
static const std::string	labelString (const IMScheduleLabel &label)

Detailed Description

A class to calculate Schedule IM given a set of aggregated CRIF results for one or more portfolios.