SimmConcentration_ISDA_V2_5 Class Reference

#include <orea/simm/simmconcentrationisdav2_5.hpp>

Inheritance diagram for SimmConcentration_ISDA_V2_5:

Public Member Functions
	SimmConcentration_ISDA_V2_5 (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.

Detailed Description

Class giving the SIMM concentration thresholds as outlined in the document ISDA SIMM Methodology, version 2.5 . Effective Date: December 3, 2022.

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.