#include <orea/simm/simmconcentrationisdav2_1.hpp>
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< SimmBucketMapper > | simmBucketMapper_ |
Maps SIMM qualifiers to SIMM buckets. | |
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.
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overridevirtual |
Return the SIMM concentration threshold for a given SIMM RiskType and SIMM Qualifier.
QL_MAX_REAL
is returned i.e. no concentration threshold Reimplemented from SimmConcentrationBase.