Reference manual - version orea_version
Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration. More...
#include <orea/simm/simmconcentrationcalibration.hpp>
Inheritance diagram for SimmConcentrationCalibration:Public Member Functions | |
| SimmConcentrationCalibration (const QuantLib::ext::shared_ptr< SimmCalibration > &simmCalibration, const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper) | |
| Default constructor that adds fixed known mappings. | |
| QuantLib::Real | threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override |
| Public Member Functions inherited from SimmConcentrationBase | |
| SimmConcentrationBase () | |
| Public Member Functions inherited from SimmConcentration | |
| virtual | ~SimmConcentration () |
| Destructor. | |
Additional Inherited Members | |
| Protected Member Functions inherited from SimmConcentrationBase | |
| 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 inherited from SimmConcentrationBase | |
| 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. | |
Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration.
|
overridevirtual |
Return the SIMM concentration threshold for a given SIMM RiskType and SIMM Qualifier.
QL_MAX_REAL is returned i.e. no concentration threshold Reimplemented from SimmConcentrationBase.