RelativeXvaExposureAllocator Class Reference

Inheritance diagram for RelativeXvaExposureAllocator:

Public Member Functions
	RelativeXvaExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const map< string, Real > &tradeCva, const map< string, Real > &tradeDva, const map< string, Real > &nettingSetSumCva, const map< string, Real > &nettingSetSumDva, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=0, const Size nettingSetEneIndex=1)
Public Member Functions inherited from ExposureAllocator
	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) override
virtual Real	calculateAllocatedEne (const string &tid, const string &nid, const Date &date, const Size sample) override

Protected Attributes
map< string, Real >	tradeCva_
map< string, Real >	tradeDva_
map< string, Real >	nettingSetSumCva_
map< string, Real >	nettingSetSumDva_
map< string, Real >	tradeValueToday_
Protected Attributes inherited from ExposureAllocator
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_

Additional Inherited Members
Public Types inherited from ExposureAllocator
enum class	AllocationMethod {   None , Marginal , RelativeFairValueGross , RelativeFairValueNet ,   RelativeXVA }