ExposureAllocator Class Reference

Exposure allocator base class. More...

#include <orea/aggregation/exposureallocator.hpp>

Inheritance diagram for ExposureAllocator:

Public Types
enum class	AllocationMethod {   None , Marginal , RelativeFairValueGross , RelativeFairValueNet ,   RelativeXVA }

Public Member Functions
	ExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2)
const QuantLib::ext::shared_ptr< NPVCube > &	exposureCube ()
virtual void	build ()
	Compute exposures along all paths and fill result structures.

Protected Member Functions
virtual Real	calculateAllocatedEpe (const string &tid, const string &nid, const Date &date, const Size sample)=0
virtual Real	calculateAllocatedEne (const string &tid, const string &nid, const Date &date, const Size sample)=0

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_
QuantLib::ext::shared_ptr< NPVCube >	nettedExposureCube_
Size	tradeEpeIndex_
Size	tradeEneIndex_
Size	allocatedTradeEpeIndex_
Size	allocatedTradeEneIndex_
Size	nettingSetEpeIndex_
Size	nettingSetEneIndex_
map< string, Real >	nettingSetValueToday_
map< string, Real >	nettingSetPositiveValueToday_
map< string, Real >	nettingSetNegativeValueToday_

Detailed Description

Exposure allocator base class.

Derived classes implement a constructor with the relevant additional input data and a build function that performs the XVA calculations for all netting sets and along all paths.