Exposure Aggregation and XVA Calculation. More...

#include <orea/aggregation/postprocess.hpp>

Public Member Functions
	PostProcess (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const map< string, bool > &analytics, const string &baseCurrency, const string &allocationMethod, Real cvaMarginalAllocationLimit, Real quantile=0.95, const string &calculationType="Symmetric", const string &dvaName="", const string &fvaBorrowingCurve="", const string &fvaLendingCurve="", const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > &dimCalculator=QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >(), const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation=QuantLib::ext::shared_ptr< CubeInterpretation >(), bool fullInitialCollateralisation=false, vector< Period > cvaSpreadSensiGrid={6 Months, 1 Years, 3 Years, 5 Years, 10 *Years}, Real cvaSpreadSensiShiftSize=0.0001, Real kvaCapitalDiscountRate=0.10, Real kvaAlpha=1.4, Real kvaRegAdjustment=12.5, Real kvaCapitalHurdle=0.012, Real kvaOurPdFloor=0.03, Real kvaTheirPdFloor=0.03, Real kvaOurCvaRiskWeight=0.05, Real kvaTheirCvaRiskWeight=0.05, const QuantLib::ext::shared_ptr< NPVCube > &cptyCube_=nullptr, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND", const QuantLib::ext::shared_ptr< CreditSimulationParameters > &creditSimulationParameters=nullptr, const std::vector< Real > &creditMigrationDistributionGrid={}, const std::vector< Size > &creditMigrationTimeSteps={}, const Matrix &creditStateCorrelationMatrix=Matrix(), bool withMporStickyDate=false, const MporCashFlowMode mporCashFlowMode=MporCashFlowMode::Unspecified)
	Constructor. More...

void	setDimCalculator (QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator)

const vector< Real > &	spreadSensitivityTimes ()

const vector< Period > &	spreadSensitivityGrid ()

const std::map< string, Size >	tradeIds ()
	Return list of Trade IDs in the portfolio.

const std::map< string, Size >	nettingSetIds ()
	Return list of netting set IDs in the portfolio.

const map< string, string > &	counterpartyId ()
	Return the map of counterparty Ids.

const vector< Real > &	tradeEPE (const string &tradeId)
	Return trade level Expected Positive Exposure evolution.

const vector< Real > &	tradeENE (const string &tradeId)
	Return trade level Expected Negative Exposure evolution.

const vector< Real > &	tradeEE_B (const string &tradeId)
	Return trade level Basel Expected Exposure evolution.

const Real &	tradeEPE_B (const string &tradeId)
	Return trade level Basel Expected Positive Exposure evolution.

const vector< Real > &	tradeEEE_B (const string &tradeId)
	Return trade level Effective Expected Exposure evolution.

const Real &	tradeEEPE_B (const string &tradeId)
	Return trade level Effective Expected Positive Exposure evolution.

const vector< Real > &	tradePFE (const string &tradeId)
	Return trade level Potential Future Exposure evolution.

const vector< Real > &	netEPE (const string &nettingSetId)
	Return Netting Set Expected Positive Exposure evolution.

const vector< Real > &	netENE (const string &nettingSetId)
	Return Netting Set Expected Negative Exposure evolution.

const vector< Real > &	netEE_B (const string &nettingSetId)
	Return Netting Set Basel Expected Exposure evolution.

const Real &	netEPE_B (const string &nettingSetId)
	Return Netting Set Basel Expected Positive Exposure evolution.

const vector< Real > &	netEEE_B (const string &nettingSetId)
	Return Netting Set Effective Expected Exposure evolution.

const Real &	netEEPE_B (const string &nettingSetId)
	Return Netting Set Effective Expected Positive Exposure evolution.

const vector< Real > &	netPFE (const string &nettingSetId)
	Return Netting Set Potential Future Exposure evolution.

const vector< Real > &	expectedCollateral (const string &nettingSetId)
	Return the netting set's expected collateral evolution.

const vector< Real > &	colvaIncrements (const string &nettingSetId)
	Return the netting set's expected COLVA increments through time.

const vector< Real > &	collateralFloorIncrements (const string &nettingSetId)
	Return the netting set's expected Collateral Floor increments through time.

const vector< Real > &	allocatedTradeEPE (const string &tradeId)
	Return the trade EPE, allocated down from the netting set level.

const vector< Real > &	allocatedTradeENE (const string &tradeId)
	Return trade ENE, allocated down from the netting set level.

vector< Real >	netCvaHazardRateSensitivity (const string &nettingSetId)
	Return Netting Set CVA Hazard Rate Sensitivity vector.

vector< Real >	netCvaSpreadSensitivity (const string &nettingSetId)
	Return Netting Set CVA Spread Sensitivity vector.

const std::map< std::string, std::vector< QuantLib::Real > > &	netCvaSpreadSensitivity () const
	Return Netting Set CVA Spread Sensitivity vector.

Real	tradeCVA (const string &tradeId)
	Return trade (stand-alone) CVA.

Real	tradeDVA (const string &tradeId)
	Return trade (stand-alone) DVA.

Real	tradeMVA (const string &tradeId)
	Return trade (stand-alone) MVA.

Real	tradeFBA (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment)

Real	tradeFCA (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment)

Real	tradeFBA_exOwnSP (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment) excluding own survival probability.

Real	tradeFCA_exOwnSP (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment) excluding own survival probability.

Real	tradeFBA_exAllSP (const string &tradeId)
	Return trade (stand-alone) FBA (Funding Benefit Adjustment) excluding both survival probabilities.

Real	tradeFCA_exAllSP (const string &tradeId)
	Return trade (stand-alone) FCA (Funding Cost Adjustment) excluding both survival probabilities.

Real	allocatedTradeCVA (const string &tradeId)
	Return allocated trade CVA (trade CVAs add up to netting set CVA)

Real	allocatedTradeDVA (const string &tradeId)
	Return allocated trade DVA (trade DVAs add up to netting set DVA)

Real	nettingSetCVA (const string &nettingSetId)
	Return netting set CVA.

Real	nettingSetDVA (const string &nettingSetId)
	Return netting set DVA.

Real	nettingSetMVA (const string &nettingSetId)
	Return netting set MVA.

Real	nettingSetFBA (const string &nettingSetId)
	Return netting set FBA.

Real	nettingSetFCA (const string &nettingSetId)
	Return netting set FCA.

Real	nettingSetOurKVACCR (const string &nettingSetId)
	Return netting set KVA-CCR.

Real	nettingSetTheirKVACCR (const string &nettingSetId)
	Return netting set KVA-CCR from counterparty perspective.

Real	nettingSetOurKVACVA (const string &nettingSetId)
	Return netting set KVA-CVA.

Real	nettingSetTheirKVACVA (const string &nettingSetId)
	Return netting set KVA-CVA from counterparty perspective.

Real	nettingSetFBA_exOwnSP (const string &nettingSetId)
	Return netting set FBA excluding own survival probability.

Real	nettingSetFCA_exOwnSP (const string &nettingSetId)
	Return netting set FCA excluding own survival probability.

Real	nettingSetFBA_exAllSP (const string &nettingSetId)
	Return netting set FBA excluding both survival probabilities.

Real	nettingSetFCA_exAllSP (const string &nettingSetId)
	Return netting set FCA excluding both survival probabilities.

Real	nettingSetCOLVA (const string &nettingSetId)
	Return netting set COLVA.

Real	nettingSetCollateralFloor (const string &nettingSetId)
	Return netting set Collateral Floor value.

const QuantLib::ext::shared_ptr< NPVCube > &	cube ()
	Inspector for the input NPV cube (by trade, time, scenario)

const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube ()
	Inspector for the input Cpty cube (by name, time, scenario)

const QuantLib::ext::shared_ptr< NPVCube > &	netCube ()
	Return the for the input NPV cube after netting and collateral (by netting set, time, scenario)

void	exportDimEvolution (ore::data::Report &dimEvolutionReport)
	Return the dynamic initial margin cube (regression approach) More...

void	exportDimRegression (const std::string &nettingSet, const std::vector< Size > &timeSteps, const std::vector< QuantLib::ext::shared_ptr< ore::data::Report >> &dimRegReports)
	Write DIM as a function of sample netting set NPV for a given time step.

QuantLib::Real	cvaSpreadSensiShiftSize ()
	get the cvaSpreadSensiShiftSize

const std::vector< Real > &	creditMigrationUpperBucketBounds () const
	get the credit migration pnl distributions for each time step

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

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

Protected Member Functions
QuantLib::ext::shared_ptr< vector< QuantLib::ext::shared_ptr< CollateralAccount > > >	collateralPaths (const string &nettingSetId, const QuantLib::ext::shared_ptr< NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< Market > &market, const std::string &configuration, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, Size dates, Size samples, const vector< vector< Real >> &nettingSetValue, Real nettingSetValueToday, const Date &nettingSetMaturity)
	Helper function to return the collateral account evolution for a given netting set.

void	updateNettingSetKVA ()

void	updateNettingSetCvaSensitivity ()

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_

QuantLib::ext::shared_ptr< NettingSetManager >	nettingSetManager_

QuantLib::ext::shared_ptr< CollateralBalances >	collateralBalances_

QuantLib::ext::shared_ptr< Market >	market_

const std::string	configuration_

QuantLib::ext::shared_ptr< NPVCube >	cube_

QuantLib::ext::shared_ptr< NPVCube >	cptyCube_

QuantLib::ext::shared_ptr< AggregationScenarioData >	scenarioData_

map< string, bool >	analytics_

map< string, vector< Real > >	tradeEPE_

map< string, vector< Real > >	tradeENE_

map< string, vector< Real > >	allocatedTradeEPE_

map< string, vector< Real > >	allocatedTradeENE_

map< string, vector< Real > >	netEPE_

map< string, vector< Real > >	netENE_

map< string, Real >	ourNettingSetKVACCR_

map< string, Real >	theirNettingSetKVACCR_

map< string, Real >	ourNettingSetKVACVA_

map< string, Real >	theirNettingSetKVACVA_

map< string, vector< Real > >	netCvaSpreadSensi_

map< string, vector< Real > >	netCvaHazardRateSensi_

string	baseCurrency_

Real	quantile_

CollateralExposureHelper::CalculationType	calcType_

string	dvaName_

string	fvaBorrowingCurve_

string	fvaLendingCurve_

QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_

QuantLib::ext::shared_ptr< ExposureCalculator >	exposureCalculator_

QuantLib::ext::shared_ptr< NettedExposureCalculator >	nettedExposureCalculator_

QuantLib::ext::shared_ptr< ValueAdjustmentCalculator >	cvaCalculator_

QuantLib::ext::shared_ptr< ValueAdjustmentCalculator >	allocatedCvaCalculator_

QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpretation_

bool	fullInitialCollateralisation_

vector< Period >	cvaSpreadSensiGrid_

vector< Time >	cvaSpreadSensiTimes_

Real	cvaSpreadSensiShiftSize_

Real	kvaCapitalDiscountRate_

Real	kvaAlpha_

Real	kvaRegAdjustment_

Real	kvaCapitalHurdle_

Real	kvaOurPdFloor_

Real	kvaTheirPdFloor_

Real	kvaOurCvaRiskWeight_

Real	kvaTheirCvaRiskWeight_

QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_

std::vector< Real >	creditMigrationDistributionGrid_

std::vector< Size >	creditMigrationTimeSteps_

Matrix	creditStateCorrelationMatrix_

QuantLib::ext::shared_ptr< CreditMigrationCalculator >	creditMigrationCalculator_

std::vector< Real >	creditMigrationUpperBucketBounds_

std::vector< std::vector< Real > >	creditMigrationCdf_

std::vector< std::vector< Real > >	creditMigrationPdf_

bool	withMporStickyDate_

MporCashFlowMode	mporCashFlowMode_

Detailed Description

Exposure Aggregation and XVA Calculation.

This class aggregates NPV cube data, computes exposure statistics and various XVAs, all at trade and netting set level:

1) Exposures

Expected Positive Exposure, EPE: E[max(NPV(t),0) / N(t)]
Expected Negative Exposure, ENE: E[max(-NPV(t),0) / N(t)]
Basel Expected Exposure, EE_B: EPE(t)/P(t)
Basel Expected Positive Exposure, EPE_B
Basel Effective Expected Exposure, EEE_B: max( EEE_B(t-1), EE_B(t))
Basel Effective Expected Positive Exposure, EEPE_B
Potential Future Exposure, PFE: q-Quantile of the distribution of

2) Dynamic Initial Margin via regression

3) XVAs:

Credit Value Adjustment, CVA
Debit Value Adjustment, DVA
Funding Value Adjustment, FVA
Collateral Value Adjustment, COLVA
Margin Value Adjustment, MVA

4) Allocation from netting set to trade level such that allocated contributions add up to the netting set

CVA and DVA
EPE and ENE

All analytics are precomputed when the class constructor is called. A number of inspectors described below then return the individual analytics results.

Note:

exposures are discounted at the numeraire N(t) used in the Monte Carlo simulation which produces the NPV cube.
NPVs take collateral into account, depending on CSA settings

Constructor & Destructor Documentation

◆ PostProcess()

PostProcess	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NettingSetManager > &	nettingSetManager,
		const QuantLib::ext::shared_ptr< CollateralBalances > &	collateralBalances,
		const QuantLib::ext::shared_ptr< Market > &	market,
		const std::string &	configuration,
		const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		const QuantLib::ext::shared_ptr< AggregationScenarioData > &	scenarioData,
		const map< string, bool > &	analytics,
		const string &	baseCurrency,
		const string &	allocationMethod,
		Real	cvaMarginalAllocationLimit,
		Real	quantile = `0.95`,
		const string &	calculationType = `"Symmetric"`,
		const string &	dvaName = `""`,
		const string &	fvaBorrowingCurve = `""`,
		const string &	fvaLendingCurve = `""`,
		const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > &	dimCalculator = `QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >()`,
		const QuantLib::ext::shared_ptr< CubeInterpretation > &	cubeInterpretation = `QuantLib::ext::shared_ptr< CubeInterpretation >()`,
		bool	fullInitialCollateralisation = `false`,
		vector< Period >	cvaSpreadSensiGrid = `{6 Months, 1 Years, 3 Years, 5 Years, 10 *Years}`,
		Real	cvaSpreadSensiShiftSize = `0.0001`,
		Real	kvaCapitalDiscountRate = `0.10`,
		Real	kvaAlpha = `1.4`,
		Real	kvaRegAdjustment = `12.5`,
		Real	kvaCapitalHurdle = `0.012`,
		Real	kvaOurPdFloor = `0.03`,
		Real	kvaTheirPdFloor = `0.03`,
		Real	kvaOurCvaRiskWeight = `0.05`,
		Real	kvaTheirCvaRiskWeight = `0.05`,
		const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube_ = `nullptr`,
		const string &	flipViewBorrowingCurvePostfix = `"_BORROW"`,
		const string &	flipViewLendingCurvePostfix = `"_LEND"`,
		const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters = `nullptr`,
		const std::vector< Real > &	creditMigrationDistributionGrid = `{}`,
		const std::vector< Size > &	creditMigrationTimeSteps = `{}`,
		const Matrix &	creditStateCorrelationMatrix = `Matrix()`,
		bool	withMporStickyDate = `false`,
		const MporCashFlowMode	mporCashFlowMode = `MporCashFlowMode::Unspecified`
	)

Constructor.

Parameters

portfolio	Trade portfolio to identify e.g. netting set, maturity, break dates for each trade
nettingSetManager	Netting set manager to access CSA details for each netting set
collateralBalances	Collateral balances (VM, IM, IA)
market	Market data object to access e.g. discounting and funding curves
configuration	Market configuration to use
cube	Input NPV Cube
scenarioData	Subset of simulated market data, index fixings and FX spot rates, associated with the NPV cube
analytics	Selection of analytics to be produced
baseCurrency	Expression currency for all results
allocationMethod	Method to be used for Exposure/XVA allocation down to trade level
cvaMarginalAllocationLimit	Cutoff parameter for the marginal allocation method below which we switch to equal distribution
quantile	Quantile for Potential Future Exposure output
calculationType	Collateral calculation type to be used, see class CollateralExposureHelper
dvaName	Credit curve name to be used for "our" credit risk in DVA calculations
fvaBorrowingCurve	Borrowing curve name to be used in FVA calculations
fvaLendingCurve	Lending curve name to be used in FVA calculations
dimCalculator	Dynamic Initial Margin Calculator
cubeInterpretation	Interpreter for cube storage (where to find which data items)
fullInitialCollateralisation	Assume t=0 collateral balance equals NPV (set to 0 if false)
cvaSpreadSensiGrid	CVA spread sensitivity grid
cvaSpreadSensiShiftSize	CVA spread sensitivity shift size
kvaCapitalDiscountRate	own capital discounting rate for discounting expected capital for KVA
kvaAlpha	alpha to adjust EEPE to give EAD for risk capital
kvaRegAdjustment	regulatory adjustment, 1/min cap requirement
kvaCapitalHurdle	Cost of Capital for KVA = regulatory adjustment x capital hurdle
kvaOurPdFloor	Our KVA PD floor
kvaTheirPdFloor	Their KVA PD floor
kvaOurCvaRiskWeight	Our KVA CVA Risk Weight
kvaTheirCvaRiskWeight	Their KVA CVA Risk Weight,
cptyCube_	Input Counterparty Cube
flipViewBorrowingCurvePostfix	Postfix for flipView borrowing curve for fva
flipViewLendingCurvePostfix	Postfix for flipView lending curve for fva
creditSimulationParameters	Credit simulation parameters
creditMigrationDistributionGrid	Credit simulation distribution grid
creditMigrationTimeSteps	Credit simulation time steps
creditStateCorrelationMatrix	Credit State correlation matrix
withMporStickyDate	If set to true, cash flows in the margin period of risk are ignored in the collateral modelling
mporCashFlowMode	Treatment of cash flows over the margin period of risk

Member Function Documentation

◆ exportDimEvolution()

void exportDimEvolution ( ore::data::Report & dimEvolutionReport )

Return the dynamic initial margin cube (regression approach)

Write average (over samples) DIM evolution through time for all netting sets

Public Member Functions

Protected Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ PostProcess()

Member Function Documentation

◆ exportDimEvolution()