Reference manual - version orea_version
Dynamic Initial Margin Calculator using polynomial regression. More...
#include <orea/aggregation/dimregressioncalculator.hpp>
Inheritance diagram for RegressionDynamicInitialMarginCalculator:Public Member Functions | |
| RegressionDynamicInitialMarginCalculator (const boost::shared_ptr< InputParameters > &inputs, const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > &cubeInterpretation, const boost::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile, Size horizonCalendarDays, Size regressionOrder, vector< string > regressors, Size localRegressionEvaluations=0, Real localRegressionBandWidth=0, const std::map< std::string, Real > ¤tIM=std::map< std::string, Real >()) | |
| map< string, Real > | unscaledCurrentDIM () override |
| Model implied t0 DIM by netting set, does not need a call to build() before. | |
| void | build () override |
| Compute dynamic initial margin along all paths and fill result structures. | |
| void | exportDimEvolution (ore::data::Report &dimEvolutionReport) override |
| DIM evolution report. | |
| void | exportDimRegression (const std::string &nettingSet, const std::vector< Size > &timeSteps, const std::vector< boost::shared_ptr< ore::data::Report >> &dimRegReports) |
| const vector< vector< Real > > & | localRegressionResults (const string &nettingSet) |
| const vector< Real > & | zeroOrderResults (const string &nettingSet) |
| const vector< Real > & | simpleResultsUpper (const string &nettingSet) |
| const vector< Real > & | simpleResultsLower (const string &nettingSet) |
| Public Member Functions inherited from DynamicInitialMarginCalculator | |
| DynamicInitialMarginCalculator (const boost::shared_ptr< InputParameters > &inputs, const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > &cubeInterpretation, const boost::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile=0.99, Size horizonCalendarDays=14, const std::map< std::string, Real > ¤tIM=std::map< std::string, Real >()) | |
| map< string, Real > | currentIM () |
| t0 IM by netting set, as provided as an arguments | |
| const boost::shared_ptr< NPVCube > & | dimCube () |
| DIM by nettingSet, date, sample returned as a regular NPV cube. | |
| const vector< vector< Real > > & | dynamicIM (const string &nettingSet) |
| DIM matrix by date and sample index for the specified netting set. | |
| const vector< vector< Real > > & | cashFlow (const string &nettingSet) |
| Cash flow matrix by date and sample index for the specified netting set. | |
| const vector< Real > & | expectedIM (const string &nettingSet) |
| Expected DIM vector by date for the specified netting set. | |
| const std::map< std::string, Real > & | getInitialMarginScaling () |
| Get the implied netting set specific scaling factors. | |
Additional Inherited Members | |
| Protected Attributes inherited from DynamicInitialMarginCalculator | |
| boost::shared_ptr< InputParameters > | inputs_ |
| boost::shared_ptr< Portfolio > | portfolio_ |
| boost::shared_ptr< NPVCube > | cube_ |
| boost::shared_ptr< NPVCube > | dimCube_ |
| boost::shared_ptr< CubeInterpretation > | cubeInterpretation_ |
| boost::shared_ptr< AggregationScenarioData > | scenarioData_ |
| Real | quantile_ |
| Size | horizonCalendarDays_ |
| map< string, Real > | currentIM_ |
| bool | cubeIsRegular_ |
| Size | datesLoopSize_ |
| std::set< string > | nettingSetIds_ |
| map< string, Real > | nettingSetScaling_ |
| map< string, vector< vector< Real > > > | nettingSetNPV_ |
| map< string, vector< vector< Real > > > | nettingSetCloseOutNPV_ |
| map< string, vector< vector< Real > > > | nettingSetFLOW_ |
| map< string, vector< vector< Real > > > | nettingSetDeltaNPV_ |
| map< string, vector< vector< Real > > > | nettingSetDIM_ |
| map< string, vector< Real > > | nettingSetExpectedDIM_ |
Dynamic Initial Margin Calculator using polynomial regression.
Dynamic IM is estimated using polynomial and local regression methods applied to the NPV moves over simulation time steps across all paths.
| RegressionDynamicInitialMarginCalculator | ( | const boost::shared_ptr< InputParameters > & | inputs, |
| const boost::shared_ptr< Portfolio > & | portfolio, | ||
| const boost::shared_ptr< NPVCube > & | cube, | ||
| const boost::shared_ptr< CubeInterpretation > & | cubeInterpretation, | ||
| const boost::shared_ptr< AggregationScenarioData > & | scenarioData, | ||
| Real | quantile, | ||
| Size | horizonCalendarDays, | ||
| Size | regressionOrder, | ||
| vector< string > | regressors, | ||
| Size | localRegressionEvaluations = 0, |
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| Real | localRegressionBandWidth = 0, |
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| const std::map< std::string, Real > & | currentIM = std::map< std::string, Real >() |
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| ) |
| inputs | Global input parameters |
| portfolio | Driving portfolio consistent with the cube below |
| cube | NPV cube resulting from the Monte Carlo simulation loop |
| cubeInterpretation | Interpretation of the cube, regular NPV, MPoR grid etc |
| scenarioData | Additional output of the MC simulation loop with numeraires, index fixings, FX spots etc |
| quantile | VaR quantile expressed as a percentage |
| horizonCalendarDays | VaR holding period in calendar days |
| regressionOrder | Polynom order of the regression |
| regressors | Regressors to be used |
| localRegressionEvaluations | Number of local regression evaluation windows across all paths, up to number of samples |
| localRegressionBandWidth | Local regression band width in standard deviations of the regression variable |
| currentIM | Actual t0 IM by netting set used to scale the DIM evolution, no scaling if the argument is omitted |
