SMRC Class Reference

Compute standardize market risk capital charge. More...

#include <orea/engine/smrc.hpp>

Classes
struct	TradeData

Public Member Functions
	SMRC (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< Market > &market, const std::string &baseCcyCode, QuantLib::ext::shared_ptr< ore::data::Report > smrcReportDetail, QuantLib::ext::shared_ptr< ore::data::Report > smrcReportAggr)
const QuantLib::ext::shared_ptr< Portfolio > &	portfolio () const
std::string	baseCcyCode () const
const QuantLib::ext::shared_ptr< Market > &	market () const
vector< TradeData > &	tradeData ()

Public Attributes
const vector< string >	supportedTypes_

Detailed Description

Compute standardize market risk capital charge.

Member Data Documentation

supportedTypes_

const vector<string> supportedTypes_

Initial value:

= {"FxForward",
                                                    "FxOption",
                                                    "CommodityForward",
                                                    "CommoditySwap",
                                                    "CommodityOption",
                                                    "EquityOption",
                                                    "EquityPosition",
                                                    "EquityOptionPosition",
                                                    "TotalReturnSwap",
                                                    "ContractForDifference",
                                                    "Swap",
                                                    "Bond",
                                                    "ForwardBond",
                                                    "ConvertibleBond",
                                                    "BondOption",
                                                    "ForwardRateAgreement",
                                                    "CapFloor",
                                                    "Swaption",
                                                    "Failed"}