ExposureCalculator Class Reference

XVA Calculator base class. More...

#include <orea/aggregation/exposurecalculator.hpp>

Public Types
enum	ExposureIndex { EPE = 0 , ENE , allocatedEPE , allocatedENE }

Public Member Functions
	ExposureCalculator (const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > cubeInterpretation, const boost::shared_ptr< Market > &market, const bool exerciseNextBreak, const string &baseCurrency, const string &configuration, const Real quantile, const CollateralExposureHelper::CalculationType calcType, const bool multiPath, const bool flipViewXVA)
virtual void	build ()
	Compute exposures along all paths and fill result structures.
boost::shared_ptr< Portfolio >	portfolio ()
boost::shared_ptr< NPVCube >	npvCube ()
boost::shared_ptr< CubeInterpretation >	cubeInterpretation ()
boost::shared_ptr< Market >	market ()
bool	exerciseNextBreak ()
string	baseCurrency ()
string	configuration ()
Real	quantile ()
CollateralExposureHelper::CalculationType	calcType ()
bool	isRegularCubeStorage ()
bool	multiPath ()
vector< Date >	dates ()
Date	today ()
DayCounter	dc ()
vector< string >	nettingSetIds ()
map< string, Real >	nettingSetValueToday ()
map< string, Date >	nettingSetMaturity ()
vector< Real >	times ()
const boost::shared_ptr< NPVCube > &	exposureCube ()
const map< string, vector< vector< Real > > > &	nettingSetDefaultValue ()
const map< string, vector< vector< Real > > > &	nettingSetCloseOutValue ()
const map< string, vector< vector< Real > > > &	nettingSetMporPositiveFlow ()
const map< string, vector< vector< Real > > > &	nettingSetMporNegativeFlow ()
vector< Real >	epe (const string &tid)
vector< Real >	ene (const string &tid)
vector< Real >	allocatedEpe (const string &tid)
vector< Real >	allocatedEne (const string &tid)
vector< Real > &	ee_b (const string &tid)
vector< Real > &	eee_b (const string &tid)
vector< Real > &	pfe (const string &tid)
Real &	epe_b (const string &tid)
Real &	eepe_b (const string &tid)

Public Attributes
const Size	EXPOSURE_CUBE_DEPTH = 4

Protected Member Functions
vector< Real >	getMeanExposure (const string &tid, ExposureIndex index)

Protected Attributes
const boost::shared_ptr< Portfolio >	portfolio_
const boost::shared_ptr< NPVCube >	cube_
const boost::shared_ptr< CubeInterpretation >	cubeInterpretation_
const boost::shared_ptr< Market >	market_
const bool	exerciseNextBreak_
const string	baseCurrency_
const string	configuration_
const Real	quantile_
const CollateralExposureHelper::CalculationType	calcType_
const bool	multiPath_
bool	isRegularCubeStorage_
vector< Date >	dates_
const Date	today_
const DayCounter	dc_
vector< string >	nettingSetIds_
map< string, Real >	nettingSetValueToday_
map< string, Date >	nettingSetMaturity_
vector< Real >	times_
boost::shared_ptr< NPVCube >	exposureCube_
map< string, vector< vector< Real > > >	nettingSetDefaultValue_
map< string, vector< vector< Real > > >	nettingSetCloseOutValue_
map< string, vector< vector< Real > > >	nettingSetMporPositiveFlow_
map< string, vector< vector< Real > > >	nettingSetMporNegativeFlow_
map< string, std::vector< Real > >	ee_b_
map< string, std::vector< Real > >	eee_b_
map< string, std::vector< Real > >	pfe_
map< string, Real >	epe_b_
map< string, Real >	eepe_b_
bool	flipViewXVA_

Detailed Description

XVA Calculator base class.

Derived classes implement a constructor with the relevant additional input data and a build function that performs the XVA calculations for all netting sets and along all paths.

Constructor & Destructor Documentation

ExposureCalculator()

ExposureCalculator	(	const boost::shared_ptr< Portfolio > &	portfolio,
		const boost::shared_ptr< NPVCube > &	cube,
		const boost::shared_ptr< CubeInterpretation >	cubeInterpretation,
		const boost::shared_ptr< Market > &	market,
		const bool	exerciseNextBreak,
		const string &	baseCurrency,
		const string &	configuration,
		const Real	quantile,
		const CollateralExposureHelper::CalculationType	calcType,
		const bool	multiPath,
		const bool	flipViewXVA
	)

Parameters

portfolio	Driving portfolio consistent with the cube below
cube	NPV cube resulting from the Monte Carlo simulation loop
cubeInterpretation	Interpreter for cube storage (where to find which data items)
market	Market data object to access e.g. discounting and funding curves
exerciseNextBreak	Flag to indicate exposure termination at the next break date
baseCurrency	Expression currency for all results
configuration	Market configuration to use
quantile	Quantile for Potential Future Exposure output
calcType	Collateral calculation type to be used, see class CollateralExposureHelper
multiPath	Flag to indicate exposure evaluation with dynamic credit
flipViewXVA	Flag to indicate flipped xva calculation