#include <orea/simm/simmconcentrationisdav2_5.hpp>

Inheritance diagram for SimmConcentration_ISDA_V2_5:

Public Member Functions
	SimmConcentration_ISDA_V2_5 (const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper)
	Default constructor that adds fixed known mappings.

QuantLib::Real	threshold (const SimmConfiguration::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 boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const SimmConfiguration::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< SimmConfiguration::RiskType, QuantLib::Real >	flatThresholds_

std::map< SimmConfiguration::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_

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

QuantLib::Real threshold	(	const SimmConfiguration::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