PostProcess Class Reference

Exposure Aggregation and XVA Calculation. More...

#include <orea/aggregation/postprocess.hpp>

Public Member Functions
	PostProcess (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const map< string, bool > &analytics, const string &baseCurrency, const string &allocationMethod, Real cvaMarginalAllocationLimit, Real quantile=0.95, const string &calculationType="Symmetric", const string &dvaName="", const string &fvaBorrowingCurve="", const string &fvaLendingCurve="", const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > &dimCalculator=QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >(), const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation=QuantLib::ext::shared_ptr< CubeInterpretation >(), bool fullInitialCollateralisation=false, vector< Period > cvaSpreadSensiGrid={6 *Months, 1 *Years, 3 *Years, 5 *Years, 10 *Years}, Real cvaSpreadSensiShiftSize=0.0001, Real kvaCapitalDiscountRate=0.10, Real kvaAlpha=1.4, Real kvaRegAdjustment=12.5, Real kvaCapitalHurdle=0.012, Real kvaOurPdFloor=0.03, Real kvaTheirPdFloor=0.03, Real kvaOurCvaRiskWeight=0.05, Real kvaTheirCvaRiskWeight=0.05, const QuantLib::ext::shared_ptr< NPVCube > &cptyCube_=nullptr, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND", const QuantLib::ext::shared_ptr< CreditSimulationParameters > &creditSimulationParameters=nullptr, const std::vector< Real > &creditMigrationDistributionGrid={}, const std::vector< Size > &creditMigrationTimeSteps={}, const Matrix &creditStateCorrelationMatrix=Matrix(), bool withMporStickyDate=false, const MporCashFlowMode mporCashFlowMode=MporCashFlowMode::Unspecified, const bool firstMporCollateralAdjustment=false, bool continueOnError=false, bool useDoublePrecisionCubes=false)
	Constructor.
void	setDimCalculator (QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator)
const vector< Real > &	spreadSensitivityTimes ()
const vector< Period > &	spreadSensitivityGrid ()
const std::map< string, Size >	tradeIds ()
	Return map of Trade IDs to cube trade indices.
const QuantLib::ext::shared_ptr< Portfolio >	portfolio ()
const std::map< string, Size >	nettingSetIds ()
	Return map netting set IDs to (net-)cube netting set indices.
const map< string, string > &	counterpartyId ()
	Return the map of counterparty Ids.
const vector< Real > &	tradeEPE (const string &tradeId)
	Return trade level Expected Positive Exposure evolution.
const vector< Real > &	tradeENE (const string &tradeId)
	Return trade level Expected Negative Exposure evolution.
const vector< Real > &	tradeEE_B (const string &tradeId)
	Return trade level Basel Expected Exposure evolution.
const Real &	tradeEPE_B (const string &tradeId)
	Return trade level Basel Expected Positive Exposure evolution.
const vector< Real > &	tradeEEE_B (const string &tradeId)
	Return trade level Effective Expected Exposure evolution.
const Real &	tradeEEPE_B (const string &tradeId)
	Return trade level Effective Expected Positive Exposure evolution.
const vector< Real > &	tradePFE (const string &tradeId)
	Return trade level Potential Future Exposure evolution.
const vector< Real > &	tradeEPE_B_timeWeighted (const string &tradeId)
	Return trade level Expected Positive Exposure evolution.
const vector< Real > &	tradeEEPE_B_timeWeighted (const string &tradeId)
	Return trade level Effective Expected Positive Exposure evolution.
const vector< Real > &	netEPE (const string &nettingSetId)
	Return Netting Set Expected Positive Exposure evolution.
const vector< Real > &	netENE (const string &nettingSetId)
	Return Netting Set Expected Negative Exposure evolution.
const vector< Real > &	netEE_B (const string &nettingSetId)
	Return Netting Set Basel Expected Exposure evolution.
const Real &	netEPE_B (const string &nettingSetId)
	Return Netting Set Basel Expected Positive Exposure evolution.
const vector< Real > &	netEEE_B (const string &nettingSetId)
	Return Netting Set Effective Expected Exposure evolution.
const Real &	netEEPE_B (const string &nettingSetId)
	Return Netting Set Effective Expected Positive Exposure evolution.
const vector< Real > &	netPFE (const string &nettingSetId)
	Return Netting Set Potential Future Exposure evolution.
const vector< Real > &	netEPE_B_timeWeighted (const string &nettingSetId)
const vector< Real > &	netEEPE_B_timeWeighted (const string &nettingSetId)
const vector< Real > &	expectedCollateral (const string &nettingSetId)
	Return the netting set's expected collateral evolution.
const vector< Real > &	colvaIncrements (const string &nettingSetId)
	Return the netting set's expected COLVA increments through time.
const vector< Real > &	collateralFloorIncrements (const string &nettingSetId)
	Return the netting set's expected Collateral Floor increments through time.
const vector< Real > &	allocatedTradeEPE (const string &tradeId)
	Return the trade EPE, allocated down from the netting set level.
const vector< Real > &	allocatedTradeENE (const string &tradeId)
	Return trade ENE, allocated down from the netting set level.
const std::map< std::string, std::vector< NettedExposureCalculator::TimeAveragedExposure > > &	timeAveragedNettedExposure () const
	Return the time-averaged pathwise positive and negative exposures before and after collateral.
vector< Real >	netCvaHazardRateSensitivity (const string &nettingSetId)
	Return Netting Set CVA Hazard Rate Sensitivity vector.
vector< Real >	netCvaSpreadSensitivity (const string &nettingSetId)
	Return Netting Set CVA Spread Sensitivity vector.
const std::map< std::string, std::vector< QuantLib::Real > > &	netCvaSpreadSensitivity () const
	Return Netting Set CVA Spread Sensitivity vector.
Real	tradeCVA (const string &tradeId)
	Return trade (stand-alone) CVA.
Real	tradeDVA (const string &tradeId)
	Return trade (stand-alone) DVA.
Real	tradeMVA (const string &tradeId)
	Return trade (stand-alone) MVA.
Real	tradeFBA (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment).
Real	tradeFCA (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment).
Real	tradeFBA_exOwnSP (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment) excluding own survival probability.
Real	tradeFCA_exOwnSP (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment) excluding own survival probability.
Real	tradeFBA_exAllSP (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment) excluding both survival probabilities.
Real	tradeFCA_exAllSP (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment) excluding both survival probabilities.
Real	allocatedTradeCVA (const string &tradeId)
	Return allocated trade CVA (trade CVAs add up to netting set CVA).
Real	allocatedTradeDVA (const string &tradeId)
	Return allocated trade DVA (trade DVAs add up to netting set DVA).
Real	nettingSetCVA (const string &nettingSetId)
	Return netting set CVA.
Real	nettingSetDVA (const string &nettingSetId)
	Return netting set DVA.
Real	nettingSetMVA (const string &nettingSetId)
	Return netting set MVA.
Real	nettingSetFBA (const string &nettingSetId)
	Return netting set FBA.
Real	nettingSetFCA (const string &nettingSetId)
	Return netting set FCA.
Real	nettingSetOurKVACCR (const string &nettingSetId)
	Return netting set KVA-CCR.
Real	nettingSetTheirKVACCR (const string &nettingSetId)
	Return netting set KVA-CCR from counterparty perspective.
Real	nettingSetOurKVACVA (const string &nettingSetId)
	Return netting set KVA-CVA.
Real	nettingSetTheirKVACVA (const string &nettingSetId)
	Return netting set KVA-CVA from counterparty perspective.
Real	nettingSetFBA_exOwnSP (const string &nettingSetId)
	Return netting set FBA excluding own survival probability.
Real	nettingSetFCA_exOwnSP (const string &nettingSetId)
	Return netting set FCA excluding own survival probability.
Real	nettingSetFBA_exAllSP (const string &nettingSetId)
	Return netting set FBA excluding both survival probabilities.
Real	nettingSetFCA_exAllSP (const string &nettingSetId)
	Return netting set FCA excluding both survival probabilities.
Real	nettingSetCOLVA (const string &nettingSetId)
	Return netting set COLVA.
Real	nettingSetCollateralFloor (const string &nettingSetId)
	Return netting set Collateral Floor value.
const QuantLib::ext::shared_ptr< NPVCube > &	cube ()
	Inspector for the input NPV cube (by trade, time, scenario).
const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube ()
	Inspector for the input Cpty cube (by name, time, scenario).
const QuantLib::ext::shared_ptr< NPVCube > &	netCube ()
	Return the for the input NPV cube after netting and collateral (by netting set, time, scenario).
void	exportDimDistribution (ore::data::Report &dimDistributionReport, const Size gridSize=50, const Real coveredStdDevs=Null< Real >())
	Return the dynamic initial margin cube (regression approach).
void	exportDimCube (ore::data::Report &dimCubeReport)
	Write DIM cube for all netting sets.
void	exportDimEvolution (ore::data::Report &dimEvolutionReport)
	Write average (over samples) DIM evolution through time for all netting sets.
void	exportDimRegression (const std::string &nettingSet, const std::vector< Size > &timeSteps, const std::vector< QuantLib::ext::shared_ptr< ore::data::Report > > &dimRegReports)
	Write DIM as a function of sample netting set NPV for a given time step.
QuantLib::Real	cvaSpreadSensiShiftSize ()
	get the cvaSpreadSensiShiftSize
const std::vector< Real > &	creditMigrationUpperBucketBounds () const
	get the credit migration pnl distributions for each time step
const std::vector< std::vector< Real > > &	creditMigrationCdf () const
const std::vector< std::vector< Real > > &	creditMigrationPdf () const

Protected Member Functions
QuantLib::ext::shared_ptr< vector< QuantLib::ext::shared_ptr< CollateralAccount > > >	collateralPaths (const string &nettingSetId, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, Size dates, Size samples, const vector< vector< Real > > &nettingSetValue, Real nettingSetValueToday, const Date &nettingSetMaturity)
	Helper function to return the collateral account evolution for a given netting set.
void	updateNettingSetKVA ()
void	updateNettingSetCvaSensitivity ()

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< NettingSetManager >	nettingSetManager_
QuantLib::ext::shared_ptr< CollateralBalances >	collateralBalances_
QuantLib::ext::shared_ptr< Market >	market_
const std::string	configuration_
QuantLib::ext::shared_ptr< NPVCube >	cube_
QuantLib::ext::shared_ptr< NPVCube >	cptyCube_
QuantLib::ext::shared_ptr< AggregationScenarioData >	scenarioData_
map< string, bool >	analytics_
map< string, vector< Real > >	tradeEPE_
map< string, vector< Real > >	tradeENE_
map< string, vector< Real > >	allocatedTradeEPE_
map< string, vector< Real > >	allocatedTradeENE_
map< string, vector< Real > >	netEPE_
map< string, vector< Real > >	netENE_
map< string, Real >	ourNettingSetKVACCR_
map< string, Real >	theirNettingSetKVACCR_
map< string, Real >	ourNettingSetKVACVA_
map< string, Real >	theirNettingSetKVACVA_
map< string, vector< Real > >	netCvaSpreadSensi_
map< string, vector< Real > >	netCvaHazardRateSensi_
string	baseCurrency_
Real	quantile_
CollateralExposureHelper::CalculationType	calcType_
string	dvaName_
string	fvaBorrowingCurve_
string	fvaLendingCurve_
QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_
QuantLib::ext::shared_ptr< ExposureCalculator >	exposureCalculator_
QuantLib::ext::shared_ptr< NettedExposureCalculator >	nettedExposureCalculator_
QuantLib::ext::shared_ptr< ValueAdjustmentCalculator >	cvaCalculator_
QuantLib::ext::shared_ptr< ValueAdjustmentCalculator >	allocatedCvaCalculator_
QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation_
bool	fullInitialCollateralisation_
vector< Period >	cvaSpreadSensiGrid_
vector< Time >	cvaSpreadSensiTimes_
Real	cvaSpreadSensiShiftSize_
Real	kvaCapitalDiscountRate_
Real	kvaAlpha_
Real	kvaRegAdjustment_
Real	kvaCapitalHurdle_
Real	kvaOurPdFloor_
Real	kvaTheirPdFloor_
Real	kvaOurCvaRiskWeight_
Real	kvaTheirCvaRiskWeight_
QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_
std::vector< Real >	creditMigrationDistributionGrid_
std::vector< Size >	creditMigrationTimeSteps_
Matrix	creditStateCorrelationMatrix_
QuantLib::ext::shared_ptr< CreditMigrationCalculator >	creditMigrationCalculator_
std::vector< Real >	creditMigrationUpperBucketBounds_
std::vector< std::vector< Real > >	creditMigrationCdf_
std::vector< std::vector< Real > >	creditMigrationPdf_
bool	withMporStickyDate_
MporCashFlowMode	mporCashFlowMode_
bool	firstMporCollateralAdjustment_
bool	continueOnError_
bool	useDoublePrecisionCubes_

Detailed Description

Exposure Aggregation and XVA Calculation.

This class aggregates NPV cube data, computes exposure statistics and various XVAs, all at trade and netting set level:

1) Exposures

• Expected Positive Exposure, EPE: E[max(NPV(t),0) / N(t)]
• Expected Negative Exposure, ENE: E[max(-NPV(t),0) / N(t)]
• Basel Expected Exposure, EE_B: EPE(t)/P(t)
• Basel Expected Positive Exposure, EPE_B
• Basel Effective Expected Exposure, EEE_B: max( EEE_B(t-1), EE_B(t))
• Basel Effective Expected Positive Exposure, EEPE_B
• Potential Future Exposure, PFE: q-Quantile of the distribution of
• Time-Weighted Exposure (only on netting set level): 1 / T SUM_i=0^T EPE(t) \DELTA(t)

2) Dynamic Initial Margin via regression

3) XVAs:

• Credit Value Adjustment, CVA
• Debit Value Adjustment, DVA
• Funding Value Adjustment, FVA
• Collateral Value Adjustment, COLVA
• Margin Value Adjustment, MVA

4) Allocation from netting set to trade level such that allocated contributions add up to the netting set

• CVA and DVA
• EPE and ENE

All analytics are precomputed when the class constructor is called. A number of inspectors described below then return the individual analytics results.

Note:

• exposures are discounted at the numeraire N(t) used in the Monte Carlo simulation which produces the NPV cube.
• NPVs take collateral into account, depending on CSA settings

Constructor & Destructor Documentation

PostProcess()

PostProcess	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NettingSetManager > &	nettingSetManager,
		const QuantLib::ext::shared_ptr< CollateralBalances > &	collateralBalances,
		const QuantLib::ext::shared_ptr< Market > &	market,
		const std::string &	configuration,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	scenarioData,
		const map< string, bool > &	analytics,
		const string &	baseCurrency,
		const string &	allocationMethod,
		Real	cvaMarginalAllocationLimit,
		Real	quantile = 0.95,
		const string &	calculationType = "Symmetric",
		const string &	dvaName = "",
		const string &	fvaBorrowingCurve = "",
		const string &	fvaLendingCurve = "",
		const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > &	dimCalculator = QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >(),
		const QuantLib::ext::shared_ptr< CubeInterpretation > &	cubeInterpretation = QuantLib::ext::shared_ptr< CubeInterpretation >(),
		bool	fullInitialCollateralisation = false,
		vector< Period >	cvaSpreadSensiGrid = {6 *Months, 1 *Years, 3 *Years, 5 *Years, 10 *Years},
		Real	cvaSpreadSensiShiftSize = 0.0001,
		Real	kvaCapitalDiscountRate = 0.10,
		Real	kvaAlpha = 1.4,
		Real	kvaRegAdjustment = 12.5,
		Real	kvaCapitalHurdle = 0.012,
		Real	kvaOurPdFloor = 0.03,
		Real	kvaTheirPdFloor = 0.03,
		Real	kvaOurCvaRiskWeight = 0.05,
		Real	kvaTheirCvaRiskWeight = 0.05,
		const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube_ = nullptr,
		const string &	flipViewBorrowingCurvePostfix = "_BORROW",
		const string &	flipViewLendingCurvePostfix = "_LEND",
		const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters = nullptr,
		const std::vector< Real > &	creditMigrationDistributionGrid = {},
		const std::vector< Size > &	creditMigrationTimeSteps = {},
		const Matrix &	creditStateCorrelationMatrix = Matrix(),
		bool	withMporStickyDate = false,
		const MporCashFlowMode	mporCashFlowMode = MporCashFlowMode::Unspecified,
		const bool	firstMporCollateralAdjustment = false,
		bool	continueOnError = false,
		bool	useDoublePrecisionCubes = false )

Constructor.

Parameters

portfolio	Trade portfolio to identify e.g. netting set, maturity, break dates for each trade
nettingSetManager	Netting set manager to access CSA details for each netting set
collateralBalances	Collateral balances (VM, IM, IA)
market	Market data object to access e.g. discounting and funding curves
configuration	Market configuration to use
cube	Input NPV Cube
scenarioData	Subset of simulated market data, index fixings and FX spot rates, associated with the NPV cube
analytics	Selection of analytics to be produced
baseCurrency	Expression currency for all results
allocationMethod	Method to be used for Exposure/XVA allocation down to trade level
cvaMarginalAllocationLimit	Cutoff parameter for the marginal allocation method below which we switch to equal distribution
quantile	Quantile for Potential Future Exposure output
calculationType	Collateral calculation type to be used, see class CollateralExposureHelper
dvaName	Credit curve name to be used for "our" credit risk in DVA calculations
fvaBorrowingCurve	Borrowing curve name to be used in FVA calculations
fvaLendingCurve	Lending curve name to be used in FVA calculations
dimCalculator	Dynamic Initial Margin Calculator
cubeInterpretation	Interpreter for cube storage (where to find which data items)
fullInitialCollateralisation	Assume t=0 collateral balance equals NPV (set to 0 if false)
cvaSpreadSensiGrid	CVA spread sensitivity grid
cvaSpreadSensiShiftSize	CVA spread sensitivity shift size
kvaCapitalDiscountRate	own capital discounting rate for discounting expected capital for KVA
kvaAlpha	alpha to adjust EEPE to give EAD for risk capital
kvaRegAdjustment	regulatory adjustment, 1/min cap requirement
kvaCapitalHurdle	Cost of Capital for KVA = regulatory adjustment x capital hurdle
kvaOurPdFloor	Our KVA PD floor
kvaTheirPdFloor	Their KVA PD floor
kvaOurCvaRiskWeight	Our KVA CVA Risk Weight
kvaTheirCvaRiskWeight	Their KVA CVA Risk Weight,
cptyCube_	Input Counterparty Cube
flipViewBorrowingCurvePostfix	Postfix for flipView borrowing curve for fva
flipViewLendingCurvePostfix	Postfix for flipView lending curve for fva
creditSimulationParameters	Credit simulation parameters
creditMigrationDistributionGrid	Credit simulation distribution grid
creditMigrationTimeSteps	Credit simulation time steps
creditStateCorrelationMatrix	Credit State correlation matrix
withMporStickyDate	If set to true, cash flows in the margin period of risk are ignored in the collateral modelling
mporCashFlowMode	Treatment of cash flows over the margin period of risk
firstMporCollateralAdjustment	Treatment of the initial difference between vm collateral balance and mtm if true, it keeps an under-collateralisation for in case of a negative mtm constant and vice-versa for over-collateralisation in case of positive mtm
continueOnError	Continue with the calculation if possible when there is an error
useDoublePrecisionCubes	use double precision cubes

Member Function Documentation

exportDimDistribution()

void exportDimDistribution	(	ore::data::Report &	dimDistributionReport,
		const Size	gridSize = 50,
		const Real	coveredStdDevs = Null< Real >() )

Return the dynamic initial margin cube (regression approach).

Write DIM distributions through time for all netting sets