simmcalibration.hpp File Reference

SIMM class for defining SIMM risk weights, thresholds, buckets, and labels. Currently only supports the latest ISDA SIMM versions (apart from changes in the aforementioned four things). More...

#include <ql/any.hpp>
#include <orea/simm/simmconfiguration.hpp>
#include <ored/utilities/xmlutils.hpp>
#include <map>
#include <string>

Classes
class	SimmCalibration
class	SimmCalibration::Amount
class	SimmCalibration::RiskClassData
class	SimmCalibration::RiskClassData::RiskWeights
class	SimmCalibration::RiskClassData::IRRiskWeights
class	SimmCalibration::RiskClassData::CreditQRiskWeights
class	SimmCalibration::RiskClassData::FXRiskWeights
class	SimmCalibration::RiskClassData::Correlations
class	SimmCalibration::RiskClassData::IRCorrelations
class	SimmCalibration::RiskClassData::CreditQCorrelations
class	SimmCalibration::RiskClassData::FXCorrelations
class	SimmCalibration::RiskClassData::ConcentrationThresholds
class	SimmCalibration::RiskClassData::IRFXConcentrationThresholds
class	SimmCalibrationData

Namespaces
namespace	ore
namespace	ore::analytics

Detailed Description

SIMM class for defining SIMM risk weights, thresholds, buckets, and labels. Currently only supports the latest ISDA SIMM versions (apart from changes in the aforementioned four things).