Dynamic Initial Margin Calculator using flat extrapolation of t0 IM. More...
#include <orea/aggregation/dimflatcalculator.hpp>
Public Member Functions | |
FlatDynamicInitialMarginCalculator (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData) | |
map< string, Real > | unscaledCurrentDIM () override |
Model implied t0 DIM by netting set, does not need a call to build() before. | |
void | build () override |
Compute dynamic initial margin along all paths and fill result structures. | |
void | exportDimEvolution (ore::data::Report &dimEvolutionReport) const override |
DIM evolution report. | |
const vector< Real > & | dimResults (const std::string &nettingSet) const |
Public Member Functions inherited from DynamicInitialMarginCalculator | |
DynamicInitialMarginCalculator (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile=0.99, Size horizonCalendarDays=14, const std::map< std::string, Real > ¤tIM=std::map< std::string, Real >()) | |
const map< string, Real > & | currentIM () const |
t0 IM by netting set, as provided as an arguments | |
const QuantLib::ext::shared_ptr< NPVCube > & | dimCube () |
DIM by nettingSet, date, sample returned as a regular NPV cube. | |
const vector< vector< Real > > & | dynamicIM (const string &nettingSet) |
DIM matrix by date and sample index for the specified netting set. | |
const vector< vector< Real > > & | cashFlow (const string &nettingSet) |
Cash flow matrix by date and sample index for the specified netting set. | |
const vector< Real > & | expectedIM (const string &nettingSet) |
Expected DIM vector by date for the specified netting set. | |
const std::map< std::string, Real > & | getInitialMarginScaling () |
Get the implied netting set specific scaling factors. | |
Additional Inherited Members | |
Protected Attributes inherited from DynamicInitialMarginCalculator | |
QuantLib::ext::shared_ptr< InputParameters > | inputs_ |
QuantLib::ext::shared_ptr< Portfolio > | portfolio_ |
QuantLib::ext::shared_ptr< NPVCube > | cube_ |
QuantLib::ext::shared_ptr< NPVCube > | dimCube_ |
QuantLib::ext::shared_ptr< CubeInterpretation > | cubeInterpretation_ |
QuantLib::ext::shared_ptr< AggregationScenarioData > | scenarioData_ |
Real | quantile_ |
Size | horizonCalendarDays_ |
map< string, Real > | currentIM_ |
bool | cubeIsRegular_ |
Size | datesLoopSize_ |
std::set< string > | nettingSetIds_ |
map< string, Real > | nettingSetScaling_ |
map< string, vector< vector< Real > > > | nettingSetNPV_ |
map< string, vector< vector< Real > > > | nettingSetCloseOutNPV_ |
map< string, vector< vector< Real > > > | nettingSetFLOW_ |
map< string, vector< vector< Real > > > | nettingSetDeltaNPV_ |
map< string, vector< vector< Real > > > | nettingSetDIM_ |
map< string, vector< Real > > | nettingSetExpectedDIM_ |
Dynamic Initial Margin Calculator using flat extrapolation of t0 IM.
Dynamic IM by extrapolating t0 IM
FlatDynamicInitialMarginCalculator | ( | const QuantLib::ext::shared_ptr< InputParameters > & | inputs, |
const QuantLib::ext::shared_ptr< Portfolio > & | portfolio, | ||
const QuantLib::ext::shared_ptr< NPVCube > & | cube, | ||
const QuantLib::ext::shared_ptr< CubeInterpretation > & | cubeInterpretation, | ||
const QuantLib::ext::shared_ptr< AggregationScenarioData > & | scenarioData | ||
) |
inputs | Global input parameters |
portfolio | Driving portfolio consistent with the cube below |
cube | NPV cube resulting from the Monte Carlo simulation loop |
cubeInterpretation | Interpretation of the cube, regular NPV, MPoR grid etc |
scenarioData | Additional output of the MC simulation loop with numeraires, index fixings, FX spots etc |