SimmConcentrationBase Class Reference

Inheritance diagram for SimmConcentrationBase:

Public Member Functions
	SimmConcentrationBase ()
QuantLib::Real	threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override
Public Member Functions inherited from SimmConcentration
virtual	~SimmConcentration ()
	Destructor.

Protected Member Functions
QuantLib::Real	thresholdImpl (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const CrifRecord::RiskType &riskType, const std::string &qualifier) const
QuantLib::Real	fxVolThreshold (const std::string &fxPair) const
	Return concentration threshold for Risk_FXVol given the fxPair.
std::string	category (const std::string &qualifier, const std::map< std::string, std::set< std::string >> &categories) const
	Find the concentration threshold category of the qualifier.

Protected Attributes
QuantLib::Real	units_
	The units of quotation of the threshold amount e.g. $1MM.
std::map< CrifRecord::RiskType, QuantLib::Real >	flatThresholds_
std::map< CrifRecord::RiskType, std::map< std::string, QuantLib::Real > >	bucketedThresholds_
std::map< std::string, std::set< std::string > >	irCategories_
std::map< std::string, std::set< std::string > >	fxCategories_
QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Maps SIMM qualifiers to SIMM buckets.

Constructor & Destructor Documentation

SimmConcentrationBase()

SimmConcentrationBase

(

)

Default ctor. May need to generalise if units of threshold quotation change significantly

Member Function Documentation

threshold()

QuantLib::Real threshold ( const CrifRecord::RiskType &  riskType, const std::string &  qualifier  ) const

overridevirtual

Early versions of SIMM did not have concentration thresholds assigned. This base class just returns the maximum real number i.e. effectively no concentration threshold

Implements SimmConcentration.

Reimplemented in SimmConcentration_ISDA_V2_6, SimmConcentration_ISDA_V2_5A, SimmConcentration_ISDA_V2_5, SimmConcentration_ISDA_V2_3_8, SimmConcentration_ISDA_V2_3, SimmConcentration_ISDA_V2_2, SimmConcentration_ISDA_V2_1, SimmConcentration_ISDA_V2_0, SimmConcentration_ISDA_V1_3_38, SimmConcentration_ISDA_V1_3, and SimmConcentrationCalibration.

thresholdImpl()

QuantLib::Real thresholdImpl ( const QuantLib::ext::shared_ptr< SimmBucketMapper > &  simmBucketMapper, const CrifRecord::RiskType &  riskType, const std::string &  qualifier  ) const

protected

Shared threshold implementation for derived classes to call

Member Data Documentation

flatThresholds_

std::map<CrifRecord::RiskType, QuantLib::Real> flatThresholds_

protected

Map from SIMM RiskType to another map that holds the SIMM concentration threshold bucket to threshold value mappings

bucketedThresholds_

std::map<CrifRecord::RiskType, std::map<std::string, QuantLib::Real> > bucketedThresholds_

protected

Map from SIMM RiskType to another map that holds the SIMM concentration threshold bucket to threshold value mappings

irCategories_

std::map<std::string, std::set<std::string> > irCategories_

protected

Map defining the currency groupings for IR concentration thresholds i.e. key is the category and value is the set of currencies in that category.

fxCategories_

std::map<std::string, std::set<std::string> > fxCategories_

protected

Map defining the currency groupings for concentration thresholds i.e. key is the category and value is the set of currencies in that category.