SimmConfiguration_ISDA_V1_3 Class Reference

#include <orea/simm/simmconfigurationisdav1_3.hpp>

Inheritance diagram for SimmConfiguration_ISDA_V1_3:

Public Member Functions
	SimmConfiguration_ISDA_V1_3 (const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name="SIMM ISDA V1_3 (1 April 2017)", const std::string version="1.3")
Public Member Functions inherited from SimmConfiguration_ISDA_V1_0
	SimmConfiguration_ISDA_V1_0 (const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name="SIMM ISDA V1_0 (7 April 2016)", const std::string version="1.0")
Public Member Functions inherited from SimmConfigurationBase
const std::string &	name () const override
	Returns the SIMM configuration name.
const std::string &	version () const override
	Returns the SIMM configuration version.
const boost::shared_ptr< SimmBucketMapper > &	bucketMapper () const override
	Returns the SIMM bucket mapper used by the configuration.
bool	hasBuckets (const RiskType &rt) const override
	Return true if the SIMM risk type rt has buckets.
std::string	bucket (const RiskType &rt, const std::string &qualifier) const override
std::vector< std::string >	buckets (const RiskType &rt) const override
std::vector< std::string >	labels1 (const RiskType &rt) const override
std::vector< std::string >	labels2 (const RiskType &rt) const override
std::string	labels2 (const boost::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const override
	Return the SIMM Label2 value for the given interest rate index.
std::string	labels2 (const QuantLib::Period &p) const override
	Return the SIMM Label2 value for the given Libor tenor.
void	addLabels2 (const RiskType &rt, const std::string &label_2) override
	Add SIMM Label2 values under certain circumstances.
QuantLib::Real	weight (const RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const override
QuantLib::Real	curvatureWeight (const RiskType &rt, const std::string &label_1) const override
QuantLib::Real	historicalVolatilityRatio (const RiskType &rt) const override
QuantLib::Real	sigma (const RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const override
QuantLib::Real	curvatureMarginScaling () const override
QuantLib::Real	concentrationThreshold (const RiskType &rt, const std::string &qualifier) const override
bool	isValidRiskType (const RiskType &rt) const override
QuantLib::Real	correlationRiskClasses (const RiskClass &rc_1, const RiskClass &rc_2) const override
	Return the correlation between SIMM risk classes rc_1 and rc_2.
QuantLib::Real	correlation (const RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const override
QuantLib::Size	mporDays () const
	MPOR in days.

Additional Inherited Members
Public Types inherited from SimmConfiguration
enum class	SimmSide { Call , Post }
	Enum indicating the relevant side of the SIMM calculation.
enum class	RiskClass {   InterestRate , CreditQualifying , CreditNonQualifying , Equity ,   Commodity , FX , All }
enum class	RiskType {   Commodity , CommodityVol , CreditNonQ , CreditQ ,   CreditVol , CreditVolNonQ , Equity , EquityVol ,   FX , FXVol , Inflation , IRCurve ,   IRVol , InflationVol , BaseCorr , XCcyBasis ,   ProductClassMultiplier , AddOnNotionalFactor , Notional , AddOnFixedAmount ,   PV , All }
enum class	MarginType {   Delta , Vega , Curvature , BaseCorr ,   AdditionalIM , All }
enum class	ProductClass {   RatesFX , Rates , FX , Credit ,   Equity , Commodity , Empty , Other ,   AddOnNotionalFactor , AddOnFixedAmount , All }
enum class	IMModel { Schedule , SIMM , SIMM_R , SIMM_P }
enum	Regulation {   APRA , CFTC , ESA , FINMA ,   KFSC , HKMA , JFSA , MAS ,   OSFI , RBI , SEC , SEC_unseg ,   USPR , NONREG , BACEN , SANT ,   SFC , UK , AMFQ , Included ,   Unspecified , Invalid }
	SIMM regulators.
Static Public Member Functions inherited from SimmConfiguration
static std::set< RiskClass >	riskClasses (bool includeAll=false)
	Give back a set containing the RiskClass values optionally excluding 'All'.
static std::set< RiskType >	riskTypes (bool includeAll=false)
	Give back a set containing the RiskType values optionally excluding 'All'.
static std::set< MarginType >	marginTypes (bool includeAll=false)
	Give back a set containing the MarginType values optionally excluding 'All'.
static std::set< ProductClass >	productClasses (bool includeAll=false)
	Give back a set containing the ProductClass values optionally excluding 'All'.
static bool	less_than (const ProductClass &lhs, const ProductClass &rhs)
	Define ordering for ProductClass according to a waterfall:
static bool	greater_than (const ProductClass &lhs, const ProductClass &rhs)
static bool	less_than_or_equal_to (const ProductClass &lhs, const ProductClass &rhs)
static bool	greater_than_or_equal_to (const ProductClass &lhs, const ProductClass &rhs)
static ProductClass	maxProductClass (ProductClass pc1, ProductClass pc2)
	Return the "worse" ProductClass using a waterfall logic:
Protected Member Functions inherited from SimmConfigurationBase
	SimmConfigurationBase (const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name, const std::string version, QuantLib::Size mporDays=10)
	Constructor taking the SIMM configuration name and version.
QuantLib::Size	labelIndex (const std::string &label, const std::vector< std::string > &labels) const
	Helper method to find the index of the label in labels.
void	addLabels2Impl (const RiskType &rt, const std::string &label_2)
	A base implementation of addLabels2 that can be shared by derived classes.
Protected Attributes inherited from SimmConfigurationBase
boost::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Used to map SIMM Qualifier names to SIMM bucket values.
boost::shared_ptr< SimmConcentration >	simmConcentration_
	Used to get the concentration thresholds for a given risk type and qualifier.
std::map< RiskType, std::vector< std::string > >	mapBuckets_
std::map< RiskType, std::vector< std::string > >	mapLabels_1_
std::map< RiskType, std::vector< std::string > >	mapLabels_2_
std::map< RiskType, QuantLib::Real >	rwRiskType_
std::map< RiskType, std::vector< QuantLib::Real > >	rwBucket_
std::map< std::pair< RiskType, std::string >, std::vector< QuantLib::Real > >	rwLabel_1_
std::map< RiskType, std::vector< QuantLib::Real > >	curvatureWeights_
std::map< RiskType, QuantLib::Real >	historicalVolatilityRatios_
	Map from risk type to a historical volatility ratio.
std::set< RiskType >	validRiskTypes_
	Set of valid risk types for the current configuration.
QuantLib::Matrix	riskClassCorrelation_
	Risk class correlation matrix.
QuantLib::Matrix	irTenorCorrelation_
	Correlation matrix giving correlation between interest rate tenors.
std::map< RiskType, QuantLib::Matrix >	interBucketCorrelation_
std::map< RiskType, std::vector< QuantLib::Real > >	intraBucketCorrelation_
QuantLib::Size	mporDays_
QuantLib::Real	xccyCorr_
QuantLib::Real	infCorr_
	Correlation between any yield and inflation in same currency.
QuantLib::Real	infVolCorr_
	Correlation between any yield volatility and inflation volatility in same currency.
QuantLib::Real	irSubCurveCorr_
	IR Label2 level i.e. sub-curve correlation.
QuantLib::Real	irInterCurrencyCorr_
	IR correlation across currencies.
QuantLib::Real	crqResidualIntraCorr_
	Credit-Q residual intra correlation.
QuantLib::Real	crqSameIntraCorr_
	Credit-Q non-residual intra correlation when same qualifier but different vertex/source.
QuantLib::Real	crqDiffIntraCorr_
	Credit-Q non-residual intra correlation when different qualifier.
QuantLib::Real	crnqResidualIntraCorr_
	Credit-NonQ residual intra correlation.
QuantLib::Real	crnqSameIntraCorr_
	Credit-NonQ non-residual intra correlation when same underlying names.
QuantLib::Real	crnqDiffIntraCorr_
	Credit-NonQ non-residual intra correlation when different underlying names.
QuantLib::Real	crnqInterCorr_
	Credit-NonQ non-residual inter bucket correlation.
QuantLib::Real	fxCorr_
	FX correlation.
QuantLib::Real	basecorrCorr_
	Base correlation risk factor correlation.
Static Protected Attributes inherited from SimmConfiguration
static const QuantLib::Size	numberOfRiskClasses
	Number of risk classes including RiskClass::All.
static const QuantLib::Size	numberOfRiskTypes
	Number of risk types including RiskType::All.
static const QuantLib::Size	numberOfMarginTypes
	Number of margin types including MarginType::All.
static const QuantLib::Size	numberOfProductClasses
	Number of product classes including ProductClass::All.
static const QuantLib::Size	numberOfRegulations
	Number of regulations.

Detailed Description

Class giving the SIMM configuration as outlined in the document ISDA SIMM Methodology, version R1.3 (based on v3.29: 1 April 2017). Effective Date: April 1, 2017.

This file used to be called simmconfigurationisdav329.hpp This class used to be called SimmConfiguration_ISDA_V329