SaccrCalculator Class Reference

Compute derivative capital charge according to SA-CCR rules. More...

#include <orea/engine/saccrcalculator.hpp>

Public Types
enum class	ReportType { Summary }
typedef std::pair< NettingSetDetails, SaccrTradeData::AssetClass >	AssetClassKey
typedef std::tuple< NettingSetDetails, SaccrTradeData::AssetClass, std::string >	HedgingSetKey
typedef std::tuple< NettingSetDetails, SaccrTradeData::AssetClass, std::string, std::string >	HedgingSubsetKey

Public Member Functions
	SaccrCalculator (const QuantLib::ext::shared_ptr< Crif > &capitalCrif, const QuantLib::ext::shared_ptr< SaccrTradeData > &saccrTradeData, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager, const QuantLib::ext::shared_ptr< Market > &market, const std::map< ReportType, QuantLib::ext::shared_ptr< ore::data::Report > > &outReports={})
const QuantLib::ext::shared_ptr< SaccrTradeData > &	saccrTradeData () const
const QuantLib::ext::shared_ptr< NettingSetManager > &	nettingSetManager () const
const QuantLib::ext::shared_ptr< CounterpartyManager > &	counterpartyManager () const
const QuantLib::ext::shared_ptr< Market > &	market () const
const vector< NettingSetDetails > &	nettingSetDetails () const
const std::set< SaccrTradeData::AssetClass > &	assetClasses (NettingSetDetails nettingSetDetails) const
const vector< string > &	hedgingSets (NettingSetDetails nettingSetDetails, SaccrTradeData::AssetClass assetClass) const
Real	NPV () const
Real	EAD (NettingSetDetails nettingSetDetails) const
Real	EAD (string nettingSet) const
Real	RW (NettingSetDetails nettingSetDetails) const
Real	CC () const
Real	CC (NettingSetDetails nettingSetDetails) const
Real	RC (NettingSetDetails nettingSetDetails) const
Real	PFE (NettingSetDetails nettingSetDetails) const
Real	multiplier (NettingSetDetails nettingSetDetails) const
Real	addOn (NettingSetDetails nettingSetDetails) const
Real	NPV (NettingSetDetails nettingSetDetails) const
Real	addOn (NettingSetDetails nettingSetDetails, SaccrTradeData::AssetClass assetClass) const
Real	addOn (NettingSetDetails nettingSetDetails, SaccrTradeData::AssetClass assetClass, string hedgingSet) const

Detailed Description

Compute derivative capital charge according to SA-CCR rules.