#include <orea/simm/crifloader.hpp>

Inheritance diagram for CrifLoader:

Public Member Functions
	CrifLoader (const QuantLib::ext::shared_ptr< SimmConfiguration > &configuration, const std::vector< std::set< std::string >> &additionalHeaders={}, bool updateMapper=false, bool aggregateTrades=true)

virtual	~CrifLoader ()

virtual Crif	loadCrif ()

const QuantLib::ext::shared_ptr< SimmConfiguration > &	simmConfiguration ()
	SIMM configuration getter.

Protected Member Functions
virtual Crif	loadCrifImpl ()=0

void	addRecordToCrif (Crif &crif, CrifRecord &&recordToAdd) const

void	validateSimmRecord (const CrifRecord &cr) const
	Check if the record is a valid Simm Crif Record.

void	currencyOverrides (CrifRecord &crifRecord) const
	Override currency codes.

void	updateMapping (const CrifRecord &cr) const
	update bucket mappings

Protected Attributes
QuantLib::ext::shared_ptr< SimmConfiguration >	configuration_
	Simm configuration that is used during loading of CRIF records.

std::vector< std::set< std::string > >	additionalHeaders_
	Defines accepted column headers, beyond required and optional headers, see crifloader.cpp.

bool	updateMapper_

bool	aggregateTrades_

Static Protected Attributes
static std::map< QuantLib::Size, std::set< std::string > >	requiredHeaders
	Map giving required CRIF file headers and their allowable alternatives.

static std::map< QuantLib::Size, std::set< std::string > >	optionalHeaders
	Map giving optional CRIF file headers and their allowable alternatives.

Detailed Description

A class for loading CRIF records. The records are aggregated and stored in a SimmNetSensitivities object so that they can later be used in a SIMM calculation

Constructor & Destructor Documentation

◆ CrifLoader()

CrifLoader	(	const QuantLib::ext::shared_ptr< SimmConfiguration > &	configuration,
		const std::vector< std::set< std::string >> &	additionalHeaders = `{}`,
		bool	updateMapper = `false`,
		bool	aggregateTrades = `true`
	)

Constructor We set the trade ID to an empty string if we are going to be netting at portfolio level. This is the default. To override this the flag keepTradeId may be set to true.

◆ ~CrifLoader()

virtual ~CrifLoader ( )

virtual

Destructor

Member Data Documentation

◆ updateMapper_

bool updateMapper_

protected

If true, the SIMM configuration's bucket mapper is updated during the CRIF loading with the mapping from SIMM qualifier to SIMM bucket. This is useful when consuming CRIF files from elsewhere in that it allows for using the mapping that is already present in the external file.

◆ aggregateTrades_

bool aggregateTrades_

protected

If true, aggregate over trade ids

Public Member Functions

Protected Member Functions

Protected Attributes