SimmHelper Class Reference

Helper for cam model implied SImple SIMM calculation. More...

#include <orea/aggregation/simmhelper.hpp>

Public Member Functions
	SimmHelper (const std::vector< std::string > &currencies, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &marketCube, const QuantLib::ext::shared_ptr< SensitivityStorageManager > &sensitivityStorageManager, const QuantLib::ext::shared_ptr< ore::data::Market > &market)
Real	initialMargin (const std::string &nettingSetId, const Size dateIndex=Null< Size >(), const Size sampleIndex=Null< Size >())
Real	deltaMargin ()
Real	vegaMargin ()
Real	curvatureMargin ()
Real	irDeltaMargin ()
Real	fxDeltaMargin ()

Detailed Description

Helper for cam model implied SImple SIMM calculation.

using deltas and vegas stored in the NPV cube

Constructor & Destructor Documentation

SimmHelper()

SimmHelper	(	const std::vector< std::string > &	currencies,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	marketCube,
		const QuantLib::ext::shared_ptr< SensitivityStorageManager > &	sensitivityStorageManager,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	market )

Construct the dim helper based on

• the currencies covered in the simulation
• the cube which stores the sensitivities on a netting set level
• the sensitivity storage manager Note that we assume that the model has the simulation provides IR/FX deltas and vegas

Member Function Documentation

initialMargin()

Real initialMargin	(	const std::string &	nettingSetId,
		const Size	dateIndex = Null< Size >(),
		const Size	sampleIndex = Null< Size >() )

Returns the Simple SIMM for

• a netting set id
• a date and sample index, if both are null, SIMM computed for the T0 slice of the cube