#include <orea/simm/simmconfigurationcalibration.hpp>

Inheritance diagram for SimmConfigurationCalibration:

Public Member Functions
	SimmConfigurationCalibration (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const QuantLib::ext::shared_ptr< SimmCalibration > &simmCalibration, const QuantLib::Size &mporDays=10, const std::string &name="SIMM Calibration")

std::string	label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const override
	Return the SIMM Label2 value for the given interest rate index.

void	addLabels2 (const CrifRecord::RiskType &rt, const std::string &label_2) override
	Add SIMM Label2 values under certain circumstances.

QuantLib::Real	curvatureMarginScaling () const override

QuantLib::Real	weight (const CrifRecord::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	correlation (const CrifRecord::RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const CrifRecord::RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const override

virtual bool	isSimmConfigCalibration () const override

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 QuantLib::ext::shared_ptr< SimmBucketMapper > &	bucketMapper () const override
	Returns the SIMM bucket mapper used by the configuration.

bool	hasBuckets (const CrifRecord::RiskType &rt) const override
	Return true if the SIMM risk type `rt` has buckets.

std::string	bucket (const CrifRecord::RiskType &rt, const std::string &qualifier) const override

const bool	checkValue (const std::string &, const std::vector< std::string > &) const

std::vector< std::string >	buckets (const CrifRecord::RiskType &rt) const override

std::vector< std::string >	labels1 (const CrifRecord::RiskType &rt) const override

std::vector< std::string >	labels2 (const CrifRecord::RiskType &rt) const override

QuantLib::Real	curvatureWeight (const CrifRecord::RiskType &rt, const std::string &label_1) const override

QuantLib::Real	historicalVolatilityRatio (const CrifRecord::RiskType &rt) const override

QuantLib::Real	sigma (const CrifRecord::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	concentrationThreshold (const CrifRecord::RiskType &rt, const std::string &qualifier) const override

bool	isValidRiskType (const CrifRecord::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::Size	mporDays () const
	MPOR in days.

Public Member Functions inherited from SimmConfiguration
bool	hasBucketMapping (const CrifRecord::RiskType &rt, const std::string &qualifier) const override
	Return true if the SIMM risk type `rt` has buckets.

Public Member Functions inherited from CrifConfiguration
virtual std::string	label2 (const QuantLib::Period &p) const

Additional Inherited Members
Public Types inherited from SimmConfigurationBase
typedef std::map< std::tuple< std::string, std::string, std::string >, QuantLib::Real >	Amounts

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	MarginType { Delta , Vega , Curvature , BaseCorr , AdditionalIM , 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< CrifRecord::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< CrifRecord::ProductClass >	productClasses (bool includeAll=false)
	Give back a set containing the ProductClass values optionally excluding 'All'.

static std::pair< CrifRecord::RiskType, CrifRecord::RiskType >	riskClassToRiskType (const RiskClass &rc)
	For a given risk class, return the corresponding risk types.

static RiskClass	riskTypeToRiskClass (const CrifRecord::RiskType &rt)
	For a given rirsk type, return the corresponding risk class.

static bool	less_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)
	Define ordering for ProductClass according to a waterfall:

static bool	greater_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static bool	less_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static bool	greater_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static CrifRecord::ProductClass	maxProductClass (CrifRecord::ProductClass pc1, CrifRecord::ProductClass pc2)
	Return the "worse" ProductClass using a waterfall logic:

Protected Member Functions inherited from SimmConfigurationBase
	SimmConfigurationBase (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name, const std::string version, QuantLib::Size mporDays=10)
	Constructor taking the SIMM configuration `name` and `version`.

const std::tuple< std::string, std::string, std::string >	makeKey (const std::string &, const std::string &, const std::string &) const

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 CrifRecord::RiskType &rt, const std::string &label_2)
	A base implementation of addLabels2 that can be shared by derived classes.

Protected Attributes inherited from SimmConfigurationBase
std::string	version_
	SIMM configuration version.

QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Used to map SIMM Qualifier names to SIMM bucket values.

QuantLib::ext::shared_ptr< SimmConcentration >	simmConcentration_
	Used to get the concentration thresholds for a given risk type and qualifier.

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapBuckets_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_1_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_2_

std::map< CrifRecord::RiskType, QuantLib::Real >	rwRiskType_

std::map< CrifRecord::RiskType, Amounts >	rwBucket_

std::map< CrifRecord::RiskType, Amounts >	rwLabel_1_

std::map< CrifRecord::RiskType, std::vector< QuantLib::Real > >	curvatureWeights_

std::map< CrifRecord::RiskType, QuantLib::Real >	historicalVolatilityRatios_
	Map from risk type to a historical volatility ratio.

std::set< CrifRecord::RiskType >	validRiskTypes_
	Set of valid risk types for the current configuration.

Amounts	riskClassCorrelation_
	Risk class correlation matrix.

std::map< CrifRecord::RiskType, Amounts >	interBucketCorrelation_

std::map< CrifRecord::RiskType, Amounts >	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	numberOfMarginTypes
	Number of margin types including MarginType::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 2.6. Effective Date: December 2, 2023.

Member Function Documentation

◆ curvatureMarginScaling()

QuantLib::Real curvatureMarginScaling ( ) const

overridevirtual

Give back the scaling factor for the Interest Rate curvature margin

Reimplemented from SimmConfigurationBase.

◆ weight()

QuantLib::Real weight	(	const CrifRecord::RiskType &	rt,
		boost::optional< std::string >	qualifier = `boost::none`,
		boost::optional< std::string >	label_1 = `boost::none`,
		const std::string &	calculationCurrency = `""`
	)		const

overridevirtual

Return the SIMM risk weight for the given risk type rt with the given qualifier and the given label_1. Three possibilities:

there is a flat risk weight for the risk factor's RiskType so only need rt
there is a qualifier-dependent risk weight for the risk factor's RiskType so need rt and qualifier
there is a qualifier-dependent and label1-dependent risk weight for the risk factor's RiskType so need all three parameters

Reimplemented from SimmConfigurationBase.

◆ correlation()

QuantLib::Real correlation	(	const CrifRecord::RiskType &	firstRt,
		const std::string &	firstQualifier,
		const std::string &	firstLabel_1,
		const std::string &	firstLabel_2,
		const CrifRecord::RiskType &	secondRt,
		const std::string &	secondQualifier,
		const std::string &	secondLabel_1,
		const std::string &	secondLabel_2,
		const std::string &	calculationCurrency = `""`
	)		const

overridevirtual

Return the correlation between the firstQualifier with risk type firstRt, Label1 value of firstLabel_1 and Label2 value of firstLabel_2 and the secondQualifier with risk type secondRt, Label1 value of secondLabel_1 and Label2 value of secondLabel_2

Remarks: if not using firstLabel_1 and secondLabel_1, just enter an empty string for both. Similarly for firstLabel_2 and secondLabel_2.

Warning:: Returns 0 if no correlation found

Reimplemented from SimmConfigurationBase.

Public Member Functions

Additional Inherited Members

Detailed Description

Member Function Documentation

◆ curvatureMarginScaling()

◆ weight()

◆ correlation()