SimmBucketMapperBase Class Reference

Inheritance diagram for SimmBucketMapperBase:

Public Member Functions
	SimmBucketMapperBase (const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &refDataManager=nullptr, const QuantLib::ext::shared_ptr< SimmBasicNameMapper > &nameMapper=nullptr)
	Default constructor that adds fixed known mappings.
std::string	bucket (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override
bool	hasBuckets (const CrifRecord::RiskType &riskType) const override
	Check if the given SIMM RiskType has a bucket structure.
bool	has (const CrifRecord::RiskType &riskType, const std::string &qualifier, QuantLib::ext::optional< bool > fallback=QuantLib::ext::nullopt) const override
	Check if the given riskType and qualifier has a valid mapping.
Public Member Functions inherited from SimmBucketMapper
virtual	~SimmBucketMapper ()
	Destructor.
void	updateFromCrif (const QuantLib::ext::shared_ptr< ore::analytics::Crif > &crif)

Serialisation
std::map< CrifRecord::RiskType, std::map< std::string, std::set< BucketMapping > > >	bucketMapping_
std::set< CrifRecord::RiskType >	rtWithBuckets_
	Set of SIMM risk types that have buckets.
ore::data::XMLNode *	toXML (ore::data::XMLDocument &) const override
void	fromXML (ore::data::XMLNode *node) override
void	addMapping (const CrifRecord::RiskType &riskType, const std::string &qualifier, const std::string &bucket, const std::string &validFrom="", const std::string &validTo="", bool fallback=false) override
	Add a single bucket mapping for qualifier with risk type riskType.
void	setSimmNameMapper (const QuantLib::ext::shared_ptr< SimmBasicNameMapper > nameMapper)
	Set the Reference data manager.
void	setRefDataManger (const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > &refDataManager)
	Set the Reference data manager.
const std::set< FailedMapping > &	failedMappings () const override
virtual std::string	irBucket (const std::string &qualifier) const
void	checkRiskType (const CrifRecord::RiskType &riskType) const
	Check the risk type before adding a mapping entry.

Member Function Documentation

bucket()

std::string bucket ( const CrifRecord::RiskType & riskType, const std::string & qualifier ) const

overridevirtual

Return the SIMM bucket for a given SIMM RiskType and SIMM Qualifier. An error is thrown if there is no bucket for the combination.

Implements SimmBucketMapper.

hasBuckets()

bool hasBuckets ( const CrifRecord::RiskType & riskType ) const

overridevirtual

Check if the given SIMM RiskType has a bucket structure.

Implements SimmBucketMapper.

has()

bool has ( const CrifRecord::RiskType & riskType, const std::string & qualifier, QuantLib::ext::optional< bool > fallback = QuantLib::ext::nullopt ) const

overridevirtual

Check if the given riskType and qualifier has a valid mapping.

Implements SimmBucketMapper.

addMapping()

void addMapping ( const CrifRecord::RiskType & riskType, const std::string & qualifier, const std::string & bucket, const std::string & validFrom = "", const std::string & validTo = "", bool fallback = false )

overridevirtual

Add a single bucket mapping for qualifier with risk type riskType.

Implements SimmBucketMapper.

failedMappings()

const std::set< FailedMapping > & failedMappings ( ) const

overridevirtual

Implements SimmBucketMapper.

irBucket()

virtual std::string irBucket ( const std::string & qualifier ) const

protectedvirtual

Simple logic for RiskType Risk_IRCurve. Qualifier is a currency code and this is checked here.

Member Data Documentation

bucketMapping_

std::map<CrifRecord::RiskType, std::map<std::string, std::set<BucketMapping> > > bucketMapping_

protected

Map from SIMM RiskType to another map that holds the SIMM Qualifier to SIMM bucket mappings