SaCvaSensitivityLoader Class Reference

#include <orea/engine/sacvasensitivityloader.hpp>

Public Member Functions
	SaCvaSensitivityLoader ()
virtual	~SaCvaSensitivityLoader ()
virtual void	add (const SaCvaSensitivityRecord &cvaSensitivityRecord, bool aggregate)
	Add a single CvaSensitivity record.
void	load (const std::string &fileName, char eol='\n', char delim='\t', char quoteChar='\0')
void	loadRawSensi (const CvaSensitivityRecord &cvaSensi, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager=nullptr)
void	loadFromRawSensis (const QuantLib::ext::shared_ptr< CvaSensitivityCubeStream > sensiStream, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager=nullptr)
void	loadFromRawSensis (const QuantLib::ext::shared_ptr< ParSensitivityCubeStream > parSensiStream, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager=nullptr)
void	loadFromRawSensis (std::vector< CvaSensitivityRecord > cvaSensis, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager=nullptr)
const SaCvaNetSensitivities &	netRecords () const
	Return the netted CvaSensitivity records for use in a CVA calculation.
const std::set< std::string > &	nettingSetIds () const
	Give back the set of portfolio IDs that have been loaded.
void	clear ()
	Reset loader to initial state.
const std::vector< CvaSensitivityRecord > &	cvaSensitivityRecords () const

Static Public Attributes
static std::map< QuantLib::Size, std::string >	expectedHeaders

Protected Member Functions
virtual void	processHeader (const std::vector< std::string > &headers)
	Process the elements of a header line of a CvaSensitivity file.
virtual bool	process (const std::vector< std::string > &entries, QuantLib::Size maxIndex, QuantLib::Size currentLine)

Protected Attributes
SaCvaNetSensitivities	netRecords_
	Netted CvaSensitivity records that can subsequently be used in a SIMM calculation.
std::set< std::string >	nettingSetIds_
	Set of portfolio IDs that have been loaded.
std::map< QuantLib::Size, QuantLib::Size >	columnIndex_
std::vector< CvaSensitivityRecord >	cvaSensitivityRecords_

Detailed Description

A class for loading CvaSensitivity records. The records are aggregated and stored in a SaCvaNetSensitivities object so that they can later be used in a CVA capital charge calculation

Constructor & Destructor Documentation

SaCvaSensitivityLoader()

SaCvaSensitivityLoader

(

)

Constructor We set the trade ID to an empty string if we are going to be netting at portfolio level. This is the default. To override this the flag keepTradeId may be set to true.

~SaCvaSensitivityLoader()

virtual ~SaCvaSensitivityLoader ( )

virtual

Destructor

Member Function Documentation

load()

void load	(	const std::string &	fileName,
		char	eol = '\n',
		char	delim = '\t',
		char	quoteChar = '\0' )

Load SaCvaSensitivity records from a CvaSensitivity file.

loadRawSensi()

void loadRawSensi	(	const CvaSensitivityRecord &	cvaSensi,
		const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &	counterpartyManager = nullptr )

Load record from CvaSensi

loadFromRawSensis() [1/3]

void loadFromRawSensis	(	const QuantLib::ext::shared_ptr< CvaSensitivityCubeStream >	sensiStream,
		const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &	counterpartyManager = nullptr )

Load SaCvaSensitity records from raw Cva Sensi stream

loadFromRawSensis() [2/3]

void loadFromRawSensis	(	const QuantLib::ext::shared_ptr< ParSensitivityCubeStream >	parSensiStream,
		const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< SensitivityScenarioData > &	scenarioData,
		const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &	counterpartyManager = nullptr )

Load SaCvaSensitity records from raw Par Sensitivity cube stream

loadFromRawSensis() [3/3]

void loadFromRawSensis	(	std::vector< CvaSensitivityRecord >	cvaSensis,
		const std::string &	baseCurrency,
		const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &	counterpartyManager = nullptr )

Load SaCvaSensitity records from vector of Cva Sensis

process()

virtual bool process ( const std::vector< std::string > & entries, QuantLib::Size maxIndex, QuantLib::Size currentLine )

protectedvirtual

Process a line of a CvaSensitivity file and return true if valid line or false if an invalid line

Member Data Documentation

columnIndex_

std::map<QuantLib::Size, QuantLib::Size> columnIndex_

protected

Internal map from known index of CvaSensitivity record member to file column For example, give trade ID an index of 0 and find the column index of trade ID in the CvaSensitivity file e.g. n. The map entry would be [0, n]