Caveats

Member HistoricalScenarioLoader::HistoricalScenarioLoader (const boost::shared_ptr< HistoricalScenarioReader > &scenarioReader, const QuantLib::Date &startDate, const QuantLib::Date &endDate, const QuantLib::Calendar &calendar)

The scenarios coming from scenarioReader must be in ascending order. If not, an exception is thrown.

Member ParSensitivityCubeStream::next () override

the cube must not change during successive calls to next()!

Member SensitivityAggregator::aggregate (SensitivityStream &ss, const boost::shared_ptr< ScenarioFilter > &filter=boost::make_shared< ScenarioFilter >())

No checks are performed for duplicate records from the stream. It is the stream's responsibility to guard against duplicates if it needs to.

Member SensitivityCubeStream::next () override

the cube must not change during successive calls to next()!

Member SensitivityInMemoryStream::add (const SensitivityRecord &sr)

this causes reset() to be called. In other words, after any call to add, a call to next() will start at the beginning again.

Member SensitivityScenarioGenerator::shiftSizes () const

Where there are tenor specific shifts the shift size is only meaningful if the tenors in the sensitivity configuration line up with the tenors in the simulation market configuration. If this is not the case, an absolute shift size of Null<Real>() is added for the given risk factor key

Member SimmBasicNameMapper::qualifier (const std::string &externalName) const override

If the externalName cannot be mapped to a qualifier the externalName itself is returned. In this way, the mapper is basic and places the burden on the caller to call it only when a mapping is needed.

Member SimmBucketMapper::bucket (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const =0

An error is thrown if there is no bucket for the combination.

Member SimmConcentration_ISDA_V1_3::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V1_3_38::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_0::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_1::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_2::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_3::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_3_8::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_5::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_5A::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConcentration_ISDA_V2_6::threshold (const SimmConfiguration::RiskType &riskType, const std::string &qualifier) const override

If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Member SimmConfiguration::bucket (const RiskType &rt, const std::string &qualifier) const =0

Throws an error if there are no buckets for the risk type rt

Member SimmConfiguration::correlation (const RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const =0

Returns 0 if no correlation found

Member SimmConfiguration::RiskClass

The ordering here matters. It is used in indexing in to correlation matrices for the correlation between risk classes.

Internal methods rely on the last element being 'All'

Member SimmConfigurationBase::correlation (const RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const override

Returns 0 if no correlation found

Member SimmConfigurationBase::curvatureWeight (const RiskType &rt, const std::string &label_1) const override

An error is thrown if there is no curvature from the risk type rt

Member SimmResults::get (const SimmConfiguration::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string b) const

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.