StandardApproachCvaCalculator Class Reference

A class for calculating Standard Approach CVA capital charge. More...

#include <orea/engine/standardapproachcvacalculator.hpp>

Public Types
enum class	ReportType { Summary , Detail }

Public Member Functions
	StandardApproachCvaCalculator (const std::string &calculationCcy, const SaCvaNetSensitivities &cvaNetSensitivities, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager, const std::map< ReportType, QuantLib::ext::shared_ptr< ore::data::Report > > &outReports, bool unhedgedSensitivity=false, const std::vector< std::string > &perfectHedges=std::vector< std::string >())
void	calculate ()
	a virtual function for calculating the CVA captial charge
const std::map< SaCvaSummaryKey, QuantLib::Real >	cvaRiskTypeResults ()
const std::map< std::string, QuantLib::Real >	cvaNettingSetResults ()
void	checkRiskFactor (const CvaRiskFactorKey::KeyType &riskType, const CvaRiskFactorKey::MarginType &marginType, const std::string &riskFactor)
	check if something is a valid risk factor
QuantLib::Real	getRiskFactorCorrelation (const CvaRiskFactorKey::KeyType &riskType, const std::string &bucket, const CvaRiskFactorKey::MarginType &marginType, const std::string &riskFactor_1, const std::string &riskFactor_2)
QuantLib::Real	getBucketCorrelation (const CvaRiskFactorKey::KeyType &riskType, const std::string &bucket_1, const std::string &bucket_2)
QuantLib::Real	getRiskWeight (const CvaRiskFactorKey::KeyType &riskType, const std::string &bucket, const CvaRiskFactorKey::MarginType &marginType, const std::string &riskFactor)
QuantLib::Real	getHedgeSensi (const CvaRiskFactorKey::KeyType &riskType, const std::string &bucket, const CvaRiskFactorKey::MarginType &marginType, const std::string &riskFactor, const QuantLib::Real &cvaSensi)

Detailed Description

A class for calculating Standard Approach CVA capital charge.