Collateral Account. More...

#include <orea/aggregation/collateralaccount.hpp>

Classes
class	MarginCall
	Margin Call. More...

Public Member Functions
	CollateralAccount ()
	Default constructor.

	CollateralAccount (const QuantLib::ext::shared_ptr< NettingSetDefinition > &csaDef, const Date &date_t0)
	Constructor assuming initial collateral account balance is zero. More...

	CollateralAccount (const QuantLib::ext::shared_ptr< NettingSetDefinition > &csaDef, const Real &balance_t0, const Date &date_t0)
	Constructor taking an initial collateral account balance. More...

QuantLib::ext::shared_ptr< NettingSetDefinition >	csaDef () const
	Inspectors. More...

Real	balance_t0 () const

Real	accountBalance () const

Real	accountBalance (const Date &date) const

Date	balanceDate () const

Real	outstandingMarginAmount (const Date &simulationDate) const

void	updateAccountBalance (const Date &simulationDate, const Real &annualisedZeroRate=0.0)

void	updateMarginCall (const MarginCall &newMarginCall)

void	updateMarginCall (const Real &marginFlowAmount, const Date &marginPayDate, const Date &marginRequestDate)

void	closeAccount (const Date &closeDate)

Detailed Description

Collateral Account.

This class holds information corresponding to collateral cash accounts. It stores a balance as well as an asof date for the balance. The class also includes "margin" information relating to the most recent margin call (e.g. call amount, status, expected pay date.

The idea is that this class can be updated on-the-run with new margin requirements and collateral balances, and the timestamps updated accordingly.

For further information refer to the detailed ORE documentation.

Constructor & Destructor Documentation

◆ CollateralAccount() [1/2]

CollateralAccount	(	const QuantLib::ext::shared_ptr< NettingSetDefinition > &	csaDef,
		const Date &	date_t0
	)

Constructor assuming initial collateral account balance is zero.

Parameters

csaDef	CSA details including threshold, minimum transfer amount, margining frequency etc
date_t0	Today's date

◆ CollateralAccount() [2/2]

CollateralAccount	(	const QuantLib::ext::shared_ptr< NettingSetDefinition > &	csaDef,
		const Real &	balance_t0,
		const Date &	date_t0
	)

Constructor taking an initial collateral account balance.

Parameters

csaDef	CSA details including threshold, minimum transfer amount, margining frequency etc
balance_t0	Initial collateral account balance
date_t0	Today's date

Member Function Documentation

◆ csaDef()

QuantLib::ext::shared_ptr<NettingSetDefinition> csaDef ( ) const

Inspectors.

csa (netting set) definition

◆ balance_t0()

Real balance_t0 ( ) const

account balance at start date

◆ accountBalance() [1/2]

Real accountBalance ( ) const

most up-to-date account balance

◆ accountBalance() [2/2]

Real accountBalance ( const Date & date ) const

account balance as of requested date

◆ balanceDate()

Date balanceDate ( ) const

most recent account balance reset date

◆ outstandingMarginAmount()

Real outstandingMarginAmount ( const Date & simulationDate ) const

Returns the sum of all outstanding margin call amounts

◆ updateAccountBalance()

void updateAccountBalance	(	const Date &	simulationDate,
		const Real &	annualisedZeroRate = `0.0`
	)

Updates the account balance, does this by checking if any outstanding margin calls are due for settlement.

Note: The accrual rate is assumed to be compounded daily

◆ updateMarginCall()

void updateMarginCall ( const MarginCall & newMarginCall )

Updates the margin call details for this account

◆ closeAccount()

void closeAccount ( const Date & closeDate )

Closes the account as of a given date (i.e. sets the balance to zero)

Classes

Public Member Functions