#include <orea/simm/imschedulecalculator.hpp>

Classes
struct	IMScheduleTradeData

Public Types
typedef CrifRecord::ProductClass	ProductClass

typedef CrifRecord::RiskType	RiskType

typedef SimmConfiguration::Regulation	Regulation

typedef SimmConfiguration::SimmSide	SimmSide

Public Member Functions
	IMScheduleCalculator (const Crif &crif, const std::string &calculationCcy="USD", const QuantLib::ext::shared_ptr< ore::data::Market > market=nullptr, const bool determineWinningRegulations=true, const bool enforceIMRegulations=false, const bool quiet=false, const std::map< SimmSide, std::set< NettingSetDetails >> &hasSEC=std::map< SimmSide, std::set< NettingSetDetails >>(), const std::map< SimmSide, std::set< NettingSetDetails >> &hasCFTC=std::map< SimmSide, std::set< NettingSetDetails >>())
	Construct the IMScheduleCalculator from a container of netted CRIF records.

const std::map< SimmSide, std::set< std::string > >	finalTradeIds () const
	Give back the set of portfolio IDs and trade IDs for which we have IM results.

const std::string &	winningRegulations (const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails) const
	Return the winning regulation for each portfolioId.

const std::map< ore::data::NettingSetDetails, string > &	winningRegulations (const SimmSide &side) const

const std::map< SimmSide, std::map< ore::data::NettingSetDetails, string > > &	winningRegulations () const

const std::map< std::string, IMScheduleResults > &	imScheduleSummaryResults (const SimmSide &side, const ore::data::NettingSetDetails &nsd) const
	Give back the IM Schedule results container for the given portfolioId and IM side.

const std::map< ore::data::NettingSetDetails, std::map< std::string, IMScheduleResults > > &	imScheduleSummaryResults (const SimmSide &side) const

const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::map< std::string, IMScheduleResults > > > &	imScheduleSummaryResults () const

const std::pair< std::string, IMScheduleResults > &	finalImScheduleSummaryResults (const SimmSide &side, const ore::data::NettingSetDetails &nsd) const

const std::map< ore::data::NettingSetDetails, std::pair< std::string, IMScheduleResults > > &	finalImScheduleSummaryResults (const SimmSide &side) const

const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::pair< std::string, IMScheduleResults > > > &	finalImScheduleSummaryResults () const

const std::vector< IMScheduleTradeData > &	imScheduleTradeResults (const std::string &tradeId) const
	Give back the IM Schedule results container for the given tradeId and IM side.

const std::map< std::string, std::vector< IMScheduleTradeData > > &	imScheduleTradeResults () const

const IMScheduleTradeData &	finalImScheduleTradeResults (const std::string &tradeId) const

const std::map< std::string, IMScheduleTradeData > &	finalImScheduleTradeResults () const

const std::string &	calculationCurrency () const
	Return the calculator's calculation currency.

void	populateFinalResults (const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::string >> &winningRegulations)

Static Public Member Functions
static const IMScheduleLabel	label (const ProductClass &productClass, const QuantLib::Real &maturity)

static const std::string	labelString (const IMScheduleLabel &label)

Detailed Description

A class to calculate Schedule IM given a set of aggregated CRIF results for one or more portfolios.

Classes

Public Types

Public Member Functions

Static Public Member Functions

Detailed Description