Reference manual - version orea_version
Abstract base class defining the interface for a SIMM configuration. More...
#include <orea/simm/simmconfiguration.hpp>
Inheritance diagram for SimmConfiguration:Public Types | |
| enum class | SimmSide { Call , Post } |
| Enum indicating the relevant side of the SIMM calculation. | |
| enum class | RiskClass { InterestRate , CreditQualifying , CreditNonQualifying , Equity , Commodity , FX , All } |
| enum class | MarginType { Delta , Vega , Curvature , BaseCorr , AdditionalIM , All } |
| enum class | IMModel { Schedule , SIMM , SIMM_R , SIMM_P } |
| enum | Regulation { APRA , CFTC , ESA , FINMA , KFSC , HKMA , JFSA , MAS , OSFI , RBI , SEC , SEC_unseg , USPR , NONREG , BACEN , SANT , SFC , UK , AMFQ , Included , Unspecified , Invalid } |
| SIMM regulators. | |
Public Member Functions | |
| virtual std::vector< std::string > | buckets (const CrifRecord::RiskType &rt) const =0 |
| virtual bool | hasBuckets (const CrifRecord::RiskType &rt) const =0 |
Return true if the SIMM risk type rt has buckets. | |
| bool | hasBucketMapping (const CrifRecord::RiskType &rt, const std::string &qualifier) const override |
Return true if the SIMM risk type rt has buckets. | |
| virtual std::vector< std::string > | labels1 (const CrifRecord::RiskType &rt) const =0 |
| virtual std::vector< std::string > | labels2 (const CrifRecord::RiskType &rt) const =0 |
| virtual void | addLabels2 (const CrifRecord::RiskType &rt, const std::string &label_2)=0 |
| virtual QuantLib::Real | weight (const CrifRecord::RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const =0 |
| virtual QuantLib::Real | curvatureWeight (const CrifRecord::RiskType &rt, const std::string &label_1) const =0 |
| virtual QuantLib::Real | historicalVolatilityRatio (const CrifRecord::RiskType &rt) const =0 |
| virtual QuantLib::Real | sigma (const CrifRecord::RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const =0 |
| virtual QuantLib::Real | curvatureMarginScaling () const =0 |
| virtual QuantLib::Real | concentrationThreshold (const CrifRecord::RiskType &rt, const std::string &qualifier) const =0 |
| virtual bool | isValidRiskType (const CrifRecord::RiskType &rt) const =0 |
| virtual QuantLib::Real | correlationRiskClasses (const RiskClass &rc_1, const RiskClass &rc_2) const =0 |
Return the correlation between SIMM risk classes rc_1 and rc_2. | |
| virtual QuantLib::Real | correlation (const CrifRecord::RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const CrifRecord::RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const =0 |
| virtual bool | isSimmConfigCalibration () const |
| Public Member Functions inherited from CrifConfiguration | |
| virtual const std::string & | name () const =0 |
| Returns the SIMM configuration name. | |
| virtual const std::string & | version () const =0 |
| Returns the SIMM configuration version. | |
| virtual std::string | bucket (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0 |
| virtual const QuantLib::ext::shared_ptr< SimmBucketMapper > & | bucketMapper () const =0 |
| Returns the SIMM bucket mapper used by the configuration. | |
| virtual std::string | label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const |
| virtual std::string | label2 (const QuantLib::Period &p) const |
Static Public Member Functions | |
| static std::set< RiskClass > | riskClasses (bool includeAll=false) |
| Give back a set containing the RiskClass values optionally excluding 'All'. | |
| static std::set< CrifRecord::RiskType > | riskTypes (bool includeAll=false) |
| Give back a set containing the RiskType values optionally excluding 'All'. | |
| static std::set< MarginType > | marginTypes (bool includeAll=false) |
| Give back a set containing the MarginType values optionally excluding 'All'. | |
| static std::set< CrifRecord::ProductClass > | productClasses (bool includeAll=false) |
| Give back a set containing the ProductClass values optionally excluding 'All'. | |
| static std::pair< CrifRecord::RiskType, CrifRecord::RiskType > | riskClassToRiskType (const RiskClass &rc) |
| For a given risk class, return the corresponding risk types. | |
| static RiskClass | riskTypeToRiskClass (const CrifRecord::RiskType &rt) |
| For a given rirsk type, return the corresponding risk class. | |
| static bool | less_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs) |
| Define ordering for ProductClass according to a waterfall: | |
| static bool | greater_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs) |
| static bool | less_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs) |
| static bool | greater_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs) |
| static CrifRecord::ProductClass | maxProductClass (CrifRecord::ProductClass pc1, CrifRecord::ProductClass pc2) |
| Return the "worse" ProductClass using a waterfall logic: | |
Static Protected Attributes | |
| static const QuantLib::Size | numberOfRiskClasses |
| Number of risk classes including RiskClass::All. | |
| static const QuantLib::Size | numberOfMarginTypes |
| Number of margin types including MarginType::All. | |
| static const QuantLib::Size | numberOfRegulations |
| Number of regulations. | |
Abstract base class defining the interface for a SIMM configuration.
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Margin types in SIMM plus an All type for convenience Internal methods rely on the last element being 'All'
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Return the SIMM bucket names for the given risk type rt An empty vector is returned if the risk type has no buckets
Implemented in SimmConfigurationBase.
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Return the list of SIMM Label1 values for risk type rt An empty vector is returned if the risk type does not use Label1
Implemented in SimmConfigurationBase.
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Return the list of SIMM Label2 values for risk type rt An empty vector is returned if the risk type does not use Label2
Implemented in SimmConfigurationBase.
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Add SIMM Label2 values under certain circumstances.
For example, in v338 and later, CreditQ label2 should have the payment currency if sensitivty is not the result of a securitisation and "payment currency,Sec" if sensitivty is the result of a securitisation. Adding to label2 in the configuration means you do not have to have an exhaustive list up front.
Implemented in SimmConfiguration_ISDA_V2_6, SimmConfiguration_ISDA_V2_5A, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_1, SimmConfiguration_ISDA_V2_0, SimmConfiguration_ISDA_V1_3_38, SimmConfigurationCalibration, and SimmConfigurationBase.
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Return the SIMM risk weight for the given risk type rt with the given qualifier and the given label_1. Three possibilities:
rt rt and qualifier Implemented in SimmConfiguration_ISDA_V2_6, SimmConfiguration_ISDA_V2_5A, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_2, SimmConfigurationCalibration, and SimmConfigurationBase.
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Gives back the value of the scaling function used in the calculation of curvature risk for the risk type rt with SIMM Label1 value label_1. The scaling function is:
\[ SF(t) = 0.5 \times \min \left(1, \frac{14}{t} \right) \]
where \(t\) is given in days.
Implemented in SimmConfigurationBase.
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Give back the SIMM historical volatility ratio for the risk type rt
Implemented in SimmConfigurationBase.
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Give back the value of \(\sigma_{kj}\) from the SIMM docs for risk type rt. In general, rt is a volatility risk type and the method returns:
\[ \sigma_{kj} = \frac{RW_k \sqrt{\frac{365}{14}}}{\Phi^{-1}(0.99)} \]
where \(RW_k\) is the corresponding delta risk weight and \(\Phi(z)\) is the cumulative standard normal distribution.
rt Implemented in SimmConfigurationBase.
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Give back the scaling factor for the Interest Rate curvature margin
Implemented in SimmConfiguration_ISDA_V2_6, SimmConfiguration_ISDA_V2_5A, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_1, SimmConfigurationCalibration, and SimmConfigurationBase.
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Give back the SIMM concentration threshold for the risk type rt and the SIMM qualifier
Implemented in SimmConfigurationBase.
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Return true if rt is a valid SIMM RiskType under the current configuration. Otherwise, return false.
Implemented in SimmConfigurationBase.
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Return the correlation between the firstQualifier with risk type firstRt, Label1 value of firstLabel_1 and Label2 value of firstLabel_2 and the secondQualifier with risk type secondRt, Label1 value of secondLabel_1 and Label2 value of secondLabel_2
Implemented in SimmConfiguration_ISDA_V2_6, SimmConfiguration_ISDA_V2_5A, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_2, SimmConfigurationCalibration, and SimmConfigurationBase.