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Reference manual - version orea_version
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
RelativeFairValueNetExposureAllocator Class Reference
+ Inheritance diagram for RelativeFairValueNetExposureAllocator:

Public Member Functions

 RelativeFairValueNetExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2)
 
- Public Member Functions inherited from ExposureAllocator
 ExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2)
 
const QuantLib::ext::shared_ptr< NPVCube > & exposureCube ()
 
virtual void build ()
 Compute exposures along all paths and fill result structures.
 

Protected Member Functions

virtual Real calculateAllocatedEpe (const string &tid, const string &nid, const Date &date, const Size sample) override
 
virtual Real calculateAllocatedEne (const string &tid, const string &nid, const Date &date, const Size sample) override
 

Protected Attributes

map< string, Real > tradeValueToday_
 
map< string, Real > nettingSetPositiveValueToday_
 
map< string, Real > nettingSetNegativeValueToday_
 
- Protected Attributes inherited from ExposureAllocator
QuantLib::ext::shared_ptr< Portfolioportfolio_
 
QuantLib::ext::shared_ptr< NPVCubetradeExposureCube_
 
QuantLib::ext::shared_ptr< NPVCubenettedExposureCube_
 
Size tradeEpeIndex_
 
Size tradeEneIndex_
 
Size allocatedTradeEpeIndex_
 
Size allocatedTradeEneIndex_
 
Size nettingSetEpeIndex_
 
Size nettingSetEneIndex_
 
map< string, Real > nettingSetValueToday_
 
map< string, Real > nettingSetPositiveValueToday_
 
map< string, Real > nettingSetNegativeValueToday_
 

Additional Inherited Members

- Public Types inherited from ExposureAllocator
enum class  AllocationMethod {
  None , Marginal , RelativeFairValueGross , RelativeFairValueNet ,
  RelativeXVA
}