#include <orea/aggregation/creditmigrationhelper.hpp>

Public Types
enum class	CreditMode { Migration , Default }

enum class	LoanExposureMode { Notional , Value }

enum class	Evaluation { Analytic , ForwardSimulationA , ForwardSimulationB , TerminalSimulation }

Public Member Functions
	CreditMigrationHelper (const boost::shared_ptr< CreditSimulationParameters > parameters, const boost::shared_ptr< NPVCube > cube, const boost::shared_ptr< NPVCube > nettedCube, const boost::shared_ptr< AggregationScenarioData > aggData, const Size cubeIndexCashflows, const Size cubeIndexStateNpvs, const Real distributionLowerBound, const Real distributionUpperBound, const Size buckets, const Matrix &globalFactorCorrelation, const std::string &baseCurrency)

void	build (const std::map< std::string, boost::shared_ptr< Trade >> &trades)
	builds the helper for a specific subset of trades stored in the cube

const std::vector< Real > &	upperBucketBound () const

Array	pnlDistribution (const Size date)

Detailed Description

Helper for credit migration risk calculation Dynamics of entity i's state X_i: \( dX_i = dY_i + dZ_i \) with

systemic part \( dY_i = \sum_{j=1}^n \beta_{ij} dG_j \)
n correlated global factors \( G_j \)
entity specific factor loadings \( \beta_{ij} \)
idiosyncratic part \( dZ_i = \sigma_i dW_i \)
independent Wiener processes W, i.e. \( dW_k dW_l = 0 \) and \( dW_k dG_j = 0 \)

Public Types