SimmConfiguration_ISDA_V1_3_38 Class Reference

Class giving the SIMM configuration for v1.3.38. More...

#include <orea/simm/simmconfigurationisdav1_3_38.hpp>

Inheritance diagram for SimmConfiguration_ISDA_V1_3_38:

Public Member Functions
	SimmConfiguration_ISDA_V1_3_38 (const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name="SIMM ISDA V1_3_38 (24 May 2017)", const std::string version="1.3.38")
std::string	labels2 (const boost::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const override
	Return the SIMM Label2 value for the given interest rate index.
void	addLabels2 (const RiskType &rt, const std::string &label_2) override
	Add SIMM Label2 values under certain circumstances.
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 QuantLib::Period &p) const override
	Return the SIMM Label2 value for the given Libor tenor.
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 for v1.3.38.

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 simmconfigurationisdav338.hpp This class used to be called SimmConfiguration_ISDA_V338