SimmResults Class Reference

#include <orea/simm/simmresults.hpp>

Public Types
typedef CrifRecord::ProductClass	ProductClass
typedef SimmConfiguration::RiskClass	RiskClass
typedef SimmConfiguration::MarginType	MarginType
typedef std::tuple< ProductClass, RiskClass, MarginType, std::string >	Key

Public Member Functions
	SimmResults (const std::string &resultCcy="", const std::string &calcCcy="")
	SimmResults (const SimmResults &simmResults)
void	add (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string &b, QuantLib::Real im, const std::string &resultCurrency, const std::string &calculationCurrency, const bool overwrite)
void	add (const Key &key, QuantLib::Real im, const std::string &resultCurrency, const std::string &calculationCurrency, const bool overwrite)
void	convert (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &currency)
	Convert SIMM amounts to a different currency.
void	convert (QuantLib::Real fxSpot, const std::string &currency)
QuantLib::Real	get (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string b) const
bool	has (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string b) const
bool	empty () const
	Return true if the container is empty, otherwise false.
void	clear ()
	Clear the results from the container.
const std::map< Key, QuantLib::Real > &	data () const
	Return the map containing the results.
std::map< Key, QuantLib::Real > &	data ()
std::string &	resultCurrency ()
const std::string &	resultCurrency () const
std::string &	calculationCurrency ()
const std::string &	calculationCurrency () const

Detailed Description

A container for SIMM results broken down by product class, risk class and margin type.

Member Function Documentation

add()

void add	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string &	b,
		QuantLib::Real	im,
		const std::string &	resultCurrency,
		const std::string &	calculationCurrency,
		const bool	overwrite )

Add initial margin value im to the results container for the given combination of SIMM product class, risk class and margin type

Remarks

If there is already a result in the container for that combination, it is overwritten if overwrite=true. Otherwise, the amounts are added together. Can check this using the has method before adding.

get()

QuantLib::Real get	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string	b ) const

Get the initial margin value from the results container for the given combination of SIMM product class, risk class and margin type

Warning

returns QuantLib::Null<QuantLib::Real> if there is no initial margin value in the results for the given combination. Can avoid this by first checking the results using the has method.

has()

bool has	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string	b ) const

Check if there is an initial margin value in the results container for the given combination of SIMM product class, risk class and margin type