NettedExposureCalculator Class Reference

XVA Calculator base class. More...

#include <orea/aggregation/nettedexposurecalculator.hpp>

Classes
struct	TimeAveragedExposure
	nettingSetId -> { +- 1/T int_0^T max(+- V(t), 0) dt } before and after collateral More...

Public Types
enum	ExposureIndex { EPE , ENE }

Public Member Functions
	NettedExposureCalculator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< NPVCube > &cube, const string &baseCurrency, const string &configuration, const Real quantile, const CollateralExposureHelper::CalculationType calcType, const bool multiPath, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< CollateralBalances > &collateralBalances, const map< string, vector< vector< Real > > > &nettingSetDefaultValue, const map< string, vector< vector< Real > > > &nettingSetCloseOutValue, const map< string, vector< vector< Real > > > &nettingSetMporPositiveFlow, const map< string, vector< vector< Real > > > &nettingSetMporNegativeFlow, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< CubeInterpretation > cubeInterpretation, const bool applyInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > &dimCalculator, const bool fullInitialCollateralisation, const bool marginalAllocation, const Real marginalAllocationLimit, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const Size allocatedEpeIndex, const Size allocatedEneIndex, const bool flipViewXVA, const bool withMporStickyDate, const MporCashFlowMode mporCashFlowMode, const bool firstMporCollateralAdjustment, const bool exposureProfilesUseCloseOutValues=false, const bool useDoublePrecisionCubes=false)
const QuantLib::ext::shared_ptr< NPVCube > &	exposureCube ()
const QuantLib::ext::shared_ptr< NPVCube > &	nettedCube ()
virtual void	build ()
	Compute exposures along all paths and fill result structures.
vector< Real >	epe (const string &nid)
vector< Real >	ene (const string &nid)
vector< Real > &	ee_b (const string &nid)
vector< Real > &	eee_b (const string &nid)
vector< Real > &	pfe (const string &nid)
vector< Real > &	expectedCollateral (const string &nid)
vector< Real > &	colvaIncrements (const string &nid)
vector< Real > &	collateralFloorIncrements (const string &nid)
vector< Real > &	epe_b_timeWeighted (const string &nid)
vector< Real > &	eepe_b_timeWeighted (const string &nid)
Real &	epe_b (const string &nid)
Real &	eepe_b (const string &nid)
Real &	colva (const string &nid)
Real &	collateralFloor (const string &nid)
const string &	counterparty (const string nettingSetId)
const map< string, string > &	counterpartyMap ()
map< string, vector< vector< Real > > >	nettingSetCloseOutValue ()
map< string, vector< vector< Real > > >	nettingSetDefaultValue ()
map< string, vector< vector< Real > > >	nettingSetMporPositiveFlow ()
map< string, vector< vector< Real > > >	nettingSetMporNegativeFlow ()
const std::map< std::string, std::vector< TimeAveragedExposure > > &	timeAveragedNettedExposure () const

Public Attributes
const Size	EXPOSURE_CUBE_DEPTH = 3

Protected Member Functions
vector< Real >	getMeanExposure (const string &tid, ExposureIndex index)
vector< QuantLib::ext::shared_ptr< CollateralAccount > >	collateralPaths (const string &nettingSetId, const Real &nettingSetValueToday, const vector< vector< Real > > &nettingSetValue, const Date &nettingSetMaturity)

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< Market >	market_
QuantLib::ext::shared_ptr< NPVCube >	cube_
string	baseCurrency_
string	configuration_
Real	quantile_
CollateralExposureHelper::CalculationType	calcType_
bool	multiPath_
const QuantLib::ext::shared_ptr< NettingSetManager >	nettingSetManager_
const QuantLib::ext::shared_ptr< CollateralBalances >	collateralBalances_
map< string, vector< vector< Real > > >	nettingSetDefaultValue_
map< string, vector< vector< Real > > >	nettingSetCloseOutValue_
map< string, vector< vector< Real > > >	nettingSetMporPositiveFlow_
map< string, vector< vector< Real > > >	nettingSetMporNegativeFlow_
const QuantLib::ext::shared_ptr< AggregationScenarioData >	scenarioData_
QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation_
const bool	applyInitialMargin_
const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_
const bool	fullInitialCollateralisation_
const bool	marginalAllocation_
const Real	marginalAllocationLimit_
QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_
const Size	allocatedEpeIndex_
const Size	allocatedEneIndex_
const bool	flipViewXVA_
QuantLib::ext::shared_ptr< NPVCube >	nettedCube_
QuantLib::ext::shared_ptr< NPVCube >	exposureCube_
map< string, string >	counterpartyMap_
map< string, std::vector< Real > >	ee_b_
map< string, std::vector< Real > >	eee_b_
map< string, std::vector< Real > >	pfe_
map< string, std::vector< Real > >	expectedCollateral_
map< string, std::vector< Real > >	colvaInc_
map< string, std::vector< Real > >	eoniaFloorInc_
map< string, std::vector< Real > >	epe_bTimeWeighted_
map< string, std::vector< Real > >	eepe_bTimeWeighted_
map< string, Real >	epe_b_
map< string, Real >	eepe_b_
map< string, Real >	colva_
map< string, Real >	collateralFloor_
std::map< string, std::vector< TimeAveragedExposure > >	timeAveragedNettedExposure_
bool	withMporStickyDate_
MporCashFlowMode	mporCashFlowMode_
bool	firstMporCollateralAdjustment_ = false
bool	exposureProfilesUseCloseOutValues_ = false

Detailed Description

XVA Calculator base class.

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