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Reference manual - version orea_version
Public Member Functions | List of all members
SimmConcentration_ISDA_V2_1 Class Reference

#include <orea/simm/simmconcentrationisdav2_1.hpp>

+ Inheritance diagram for SimmConcentration_ISDA_V2_1:

Public Member Functions

 SimmConcentration_ISDA_V2_1 (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper)
 Default constructor that adds fixed known mappings.
 
QuantLib::Real threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override
 
- Public Member Functions inherited from SimmConcentrationBase
 SimmConcentrationBase ()
 
- Public Member Functions inherited from SimmConcentration
virtual ~SimmConcentration ()
 Destructor.
 

Additional Inherited Members

- Protected Member Functions inherited from SimmConcentrationBase
QuantLib::Real thresholdImpl (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const CrifRecord::RiskType &riskType, const std::string &qualifier) const
 
QuantLib::Real fxVolThreshold (const std::string &fxPair) const
 Return concentration threshold for Risk_FXVol given the fxPair.
 
std::string category (const std::string &qualifier, const std::map< std::string, std::set< std::string >> &categories) const
 Find the concentration threshold category of the qualifier.
 
- Protected Attributes inherited from SimmConcentrationBase
QuantLib::Real units_
 The units of quotation of the threshold amount e.g. $1MM.
 
std::map< CrifRecord::RiskType, QuantLib::Real > flatThresholds_
 
std::map< CrifRecord::RiskType, std::map< std::string, QuantLib::Real > > bucketedThresholds_
 
std::map< std::string, std::set< std::string > > irCategories_
 
std::map< std::string, std::set< std::string > > fxCategories_
 
QuantLib::ext::shared_ptr< SimmBucketMappersimmBucketMapper_
 Maps SIMM qualifiers to SIMM buckets.
 

Detailed Description

Class giving the SIMM concentration thresholds as outlined in the document ISDA SIMM Methodology, version 2.1 (based on v2.0.6: 10 July 2018). Effective Date: December 1, 2018.

Member Function Documentation

◆ threshold()

QuantLib::Real threshold ( const CrifRecord::RiskType riskType,
const std::string &  qualifier 
) const
overridevirtual

Return the SIMM concentration threshold for a given SIMM RiskType and SIMM Qualifier.

Warning:
If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Reimplemented from SimmConcentrationBase.