CrifLoader Class Reference

#include <orea/simm/crifloader.hpp>

Public Member Functions
	CrifLoader (const boost::shared_ptr< SimmConfiguration > &configuration, std::map< QuantLib::Size, std::set< std::string >> additionalHeaders=std::map< QuantLib::Size, std::set< std::string >>(), bool updateMapper=false, bool aggregateTrades=true)
virtual	~CrifLoader ()
virtual void	add (CrifRecord crifRecord, const bool onDiffAmountCcy=false)
	Add a single CRIF record.
void	loadFromFile (const std::string &fileName, char eol='\n', char delim='\t', char quoteChar='\0', char escapeChar='\\')
void	loadFromString (const std::string &csvBuffer, char eol='\n', char delim='\t', char quoteChar='\0', char escapeChar='\\')
	Load CRIF records in string format.
void	loadFromStream (std::istream &stream, char eol='\n', char delim='\t', char quoteChar='\0', char escapeChar='\\')
	Core CRIF loader from generic istream.
const SimmNetSensitivities	netRecords (const bool includeSimmParams=false) const
	Return the netted CRIF records for use in a SIMM calculation.
const SimmNetSensitivities &	simmParameters () const
	Return the SIMM parameters for use in calculating additional margin in SIMM.
const bool	hasCrifRecords () const
const bool	hasSimmParameters () const
void	setCrifRecords (const SimmNetSensitivities &crifRecords)
void	setSimmParameters (const SimmNetSensitivities &simmParameters)
const std::set< std::string > &	portfolioIds () const
	Give back the set of portfolio IDs that have been loaded.
const std::set< ore::data::NettingSetDetails > &	nettingSetDetails () const
void	clear ()
	Reset loader to initial state.
bool	hasNettingSetDetails () const
	Check if netting set details are used anywhere, instead of just the netting set ID.
void	aggregate ()
	Aggregate all existing records.
void	fillAmountUsd (const boost::shared_ptr< ore::data::Market > market)
const boost::shared_ptr< SimmConfiguration > &	simmConfiguration ()
	SIMM configuration getter.

Static Public Attributes
static std::map< QuantLib::Size, std::set< std::string > >	requiredHeaders
	Map giving required CRIF file headers and their allowable alternatives.
static std::map< QuantLib::Size, std::set< std::string > >	optionalHeaders
	Map giving optional CRIF file headers and their allowable alternatives.

Protected Member Functions
virtual void	processHeader (const std::vector< std::string > &headers)
	Process the elements of a header line of a CRIF file.
virtual bool	process (const std::vector< std::string > &entries, QuantLib::Size maxIndex, QuantLib::Size currentLine)

Protected Attributes
boost::shared_ptr< SimmConfiguration >	configuration_
	Simm configuration that is used during loading of CRIF records.
std::map< QuantLib::Size, std::set< std::string > >	additionalHeaders_
	Defines accepted column headers, beyond required and optional headers, see crifloader.cpp.
bool	updateMapper_
bool	aggregateTrades_
SimmNetSensitivities	crifRecords_
	Netted CRIF records that can subsequently be used in a SIMM calculation.
SimmNetSensitivities	simmParameters_
	SIMM parameters for additional margin, provided in the same format as CRIF records.
std::set< std::string >	portfolioIds_
	Set of portfolio IDs that have been loaded.
std::set< ore::data::NettingSetDetails >	nettingSetDetails_
std::map< QuantLib::Size, QuantLib::Size >	columnIndex_

Detailed Description

A class for loading CRIF records. The records are aggregated and stored in a SimmNetSensitivities object so that they can later be used in a SIMM calculation

Constructor & Destructor Documentation

CrifLoader()

CrifLoader	(	const boost::shared_ptr< SimmConfiguration > &	configuration,
		std::map< QuantLib::Size, std::set< std::string >>	additionalHeaders = std::map<QuantLib::Size, std::set<std::string>>(),
		bool	updateMapper = false,
		bool	aggregateTrades = true
	)

Constructor We set the trade ID to an empty string if we are going to be netting at portfolio level. This is the default. To override this the flag keepTradeId may be set to true.

~CrifLoader()

virtual ~CrifLoader ( )

virtual

Destructor

Member Function Documentation

loadFromFile()

void loadFromFile	(	const std::string &	fileName,
		char	eol = '\n',
		char	delim = '\t',
		char	quoteChar = '\0',
		char	escapeChar = '\\'
	)

Load CRIF records from a CRIF file.

The Risk Data Standards document outlines what character should be used to separate columns, delim, and end lines, eol. These parameters have the correct defaults here but can be changed.

The quoteChar allows one specify a character that can be used to enclose strings in the CRIF file. If this character is not \0, then an attempt is made to strip this character from the each column.

fillAmountUsd()

void fillAmountUsd

(

const boost::shared_ptr< ore::data::Market >

market

)

For each CRIF record in netRecords_, checks if amountCurrency and amount are defined and uses these to populate the record's amountUsd

process()

virtual bool process ( const std::vector< std::string > &  entries, QuantLib::Size  maxIndex, QuantLib::Size  currentLine  )

protectedvirtual

Process a line of a CRIF file and return true if valid line or false if an invalid line

Member Data Documentation

updateMapper_

bool updateMapper_

protected

If true, the SIMM configuration's bucket mapper is updated during the CRIF loading with the mapping from SIMM qualifier to SIMM bucket. This is useful when consuming CRIF files from elsewhere in that it allows for using the mapping that is already present in the external file.

aggregateTrades_

bool aggregateTrades_

protected

If true, aggregate over trade ids

columnIndex_

std::map<QuantLib::Size, QuantLib::Size> columnIndex_

protected

Internal map from known index of CRIF record member to file column For example, give trade ID an index of 0 and find the column index of trade ID in the CRIF file e.g. n. The map entry would be [0, n]