Inheritance diagram for SimmConfigurationBase:

Public Types
typedef std::map< std::tuple< std::string, std::string, std::string >, QuantLib::Real >	Amounts

Public Types inherited from SimmConfiguration
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
const std::string &	name () const override
	Returns the SIMM configuration name.

const std::string &	version () const override
	Returns the SIMM configuration version.

const QuantLib::ext::shared_ptr< SimmBucketMapper > &	bucketMapper () const override
	Returns the SIMM bucket mapper used by the configuration.

bool	hasBuckets (const CrifRecord::RiskType &rt) const override
	Return true if the SIMM risk type `rt` has buckets.

std::string	bucket (const CrifRecord::RiskType &rt, const std::string &qualifier) const override

const bool	checkValue (const std::string &, const std::vector< std::string > &) const

std::vector< std::string >	buckets (const CrifRecord::RiskType &rt) const override

std::vector< std::string >	labels1 (const CrifRecord::RiskType &rt) const override

std::vector< std::string >	labels2 (const CrifRecord::RiskType &rt) const override

void	addLabels2 (const CrifRecord::RiskType &rt, const std::string &label_2) override
	Add SIMM Label2 values under certain circumstances.

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 override

QuantLib::Real	curvatureWeight (const CrifRecord::RiskType &rt, const std::string &label_1) const override

QuantLib::Real	historicalVolatilityRatio (const CrifRecord::RiskType &rt) const override

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 override

QuantLib::Real	curvatureMarginScaling () const override

QuantLib::Real	concentrationThreshold (const CrifRecord::RiskType &rt, const std::string &qualifier) const override

bool	isValidRiskType (const CrifRecord::RiskType &rt) const override

QuantLib::Real	correlationRiskClasses (const RiskClass &rc_1, const RiskClass &rc_2) const override
	Return the correlation between SIMM risk classes `rc_1` and `rc_2`.

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 override

QuantLib::Size	mporDays () const
	MPOR in days.

Public Member Functions inherited from SimmConfiguration
bool	hasBucketMapping (const CrifRecord::RiskType &rt, const std::string &qualifier) const override
	Return true if the SIMM risk type `rt` has buckets.

virtual bool	isSimmConfigCalibration () const

Public Member Functions inherited from CrifConfiguration
virtual std::string	label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const

virtual std::string	label2 (const QuantLib::Period &p) const

Protected Member Functions
	SimmConfigurationBase (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name, const std::string version, QuantLib::Size mporDays=10)
	Constructor taking the SIMM configuration `name` and `version`.

const std::tuple< std::string, std::string, std::string >	makeKey (const std::string &, const std::string &, const std::string &) const

QuantLib::Size	labelIndex (const std::string &label, const std::vector< std::string > &labels) const
	Helper method to find the index of the `label` in `labels`.

void	addLabels2Impl (const CrifRecord::RiskType &rt, const std::string &label_2)
	A base implementation of addLabels2 that can be shared by derived classes.

Protected Attributes
std::string	version_
	SIMM configuration version.

QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Used to map SIMM Qualifier names to SIMM bucket values.

QuantLib::ext::shared_ptr< SimmConcentration >	simmConcentration_
	Used to get the concentration thresholds for a given risk type and qualifier.

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapBuckets_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_1_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_2_

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

std::map< CrifRecord::RiskType, Amounts >	rwBucket_

std::map< CrifRecord::RiskType, Amounts >	rwLabel_1_

std::map< CrifRecord::RiskType, std::vector< QuantLib::Real > >	curvatureWeights_

std::map< CrifRecord::RiskType, QuantLib::Real >	historicalVolatilityRatios_
	Map from risk type to a historical volatility ratio.

std::set< CrifRecord::RiskType >	validRiskTypes_
	Set of valid risk types for the current configuration.

Amounts	riskClassCorrelation_
	Risk class correlation matrix.

std::map< CrifRecord::RiskType, Amounts >	interBucketCorrelation_

std::map< CrifRecord::RiskType, Amounts >	intraBucketCorrelation_

QuantLib::Size	mporDays_

Single Correlations
Single correlation numbers that don't fit in to a structure. They can be populated in derived classes and are requested in the base implementation of the correlation method.
QuantLib::Real	xccyCorr_

QuantLib::Real	infCorr_
	Correlation between any yield and inflation in same currency.

QuantLib::Real	infVolCorr_
	Correlation between any yield volatility and inflation volatility in same currency.

QuantLib::Real	irSubCurveCorr_
	IR Label2 level i.e. sub-curve correlation.

QuantLib::Real	irInterCurrencyCorr_
	IR correlation across currencies.

QuantLib::Real	crqResidualIntraCorr_
	Credit-Q residual intra correlation.

QuantLib::Real	crqSameIntraCorr_
	Credit-Q non-residual intra correlation when same qualifier but different vertex/source.

QuantLib::Real	crqDiffIntraCorr_
	Credit-Q non-residual intra correlation when different qualifier.

QuantLib::Real	crnqResidualIntraCorr_
	Credit-NonQ residual intra correlation.

QuantLib::Real	crnqSameIntraCorr_
	Credit-NonQ non-residual intra correlation when same underlying names.

QuantLib::Real	crnqDiffIntraCorr_
	Credit-NonQ non-residual intra correlation when different underlying names.

QuantLib::Real	crnqInterCorr_
	Credit-NonQ non-residual inter bucket correlation.

QuantLib::Real	fxCorr_
	FX correlation.

QuantLib::Real	basecorrCorr_
	Base correlation risk factor correlation.

Additional Inherited Members
Static Public Member Functions inherited from SimmConfiguration
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 inherited from SimmConfiguration
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.

Member Function Documentation

◆ bucket()

std::string bucket	(	const CrifRecord::RiskType &	rt,
		const std::string &	qualifier
	)		const

overridevirtual

Return the SIMM bucket name for the given risk type rt and qualifier

Implements CrifConfiguration.

◆ buckets()

std::vector<std::string> buckets ( const CrifRecord::RiskType & rt ) const

overridevirtual

Return the SIMM bucket names for the given risk type rt An empty vector is returned if the risk type has no buckets

Implements SimmConfiguration.

◆ labels1()

std::vector<std::string> labels1 ( const CrifRecord::RiskType & rt ) const

overridevirtual

Return the list of SIMM Label1 values for risk type rt An empty vector is returned if the risk type does not use Label1

Implements SimmConfiguration.

◆ labels2()

std::vector<std::string> labels2 ( const CrifRecord::RiskType & rt ) const

overridevirtual

Return the list of SIMM Label2 values for risk type rt An empty vector is returned if the risk type does not use Label2

Implements SimmConfiguration.

◆ weight()

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

overridevirtual

Return the SIMM risk weight for the given risk type rt with the given qualifier and the given label_1. Three possibilities:

there is a flat risk weight for the risk factor's RiskType so only need rt
there is a qualifier-dependent risk weight for the risk factor's RiskType so need rt and qualifier
there is a qualifier-dependent and label1-dependent risk weight for the risk factor's RiskType so need all three parameters

Implements SimmConfiguration.

Reimplemented 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, and SimmConfigurationCalibration.

◆ curvatureWeight()

QuantLib::Real curvatureWeight	(	const CrifRecord::RiskType &	rt,
		const std::string &	label_1
	)		const

overridevirtual

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.

Warning:: An error is thrown if there is no curvature from the risk type rt

Implements SimmConfiguration.

◆ historicalVolatilityRatio()

QuantLib::Real historicalVolatilityRatio ( const CrifRecord::RiskType & rt ) const

overridevirtual

Give back the SIMM historical volatility ratio for the risk type rt

Remarks: 1.0 is returned if there is no historical volatility ratio for rt

Implements SimmConfiguration.

◆ sigma()

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

overridevirtual

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.

Remarks: For convenience, returns 1.0 if not applicable for risk type rt

Implements SimmConfiguration.

◆ curvatureMarginScaling()

QuantLib::Real curvatureMarginScaling ( ) const

overridevirtual

Give back the scaling factor for the Interest Rate curvature margin

Implements SimmConfiguration.

Reimplemented 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, and SimmConfigurationCalibration.

◆ concentrationThreshold()

QuantLib::Real concentrationThreshold	(	const CrifRecord::RiskType &	rt,
		const std::string &	qualifier
	)		const

overridevirtual

Give back the SIMM concentration threshold for the risk type rt and the SIMM qualifier

Implements SimmConfiguration.

◆ isValidRiskType()

bool isValidRiskType ( const CrifRecord::RiskType & rt ) const

overridevirtual

Return true if rt is a valid SIMM RiskType under the current configuration. Otherwise, return false.

Implements SimmConfiguration.

◆ correlation()

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

overridevirtual

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

Remarks: if not using firstLabel_1 and secondLabel_1, just enter an empty string for both. Similarly for firstLabel_2 and secondLabel_2.

Warning:: Returns 0 if no correlation found

Implements SimmConfiguration.

Reimplemented 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, and SimmConfigurationCalibration.

Member Data Documentation

◆ mapBuckets_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapBuckets_

protected

Map giving the SIMM bucket names for each risk type. If risk type is not present in the map keys => there are no buckets for that risk type

◆ mapLabels_1_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapLabels_1_

protected

Map giving the possible SIMM Label1 values for each risk type. If risk type is not present in the map keys then the Label1 value is not used for that risk type

◆ mapLabels_2_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapLabels_2_

protected

Map giving the possible SIMM Label2 values for each risk type. If risk type is not present in the map keys then the Label2 value is not used for that risk type

◆ rwRiskType_

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

protected

Risk weights, there are three types:

risk type dependent only
risk type and bucket dependent
risk type, bucket and label1 dependent

◆ curvatureWeights_

std::map<CrifRecord::RiskType, std::vector<QuantLib::Real> > curvatureWeights_

protected

Map from risk type to a vector of curvature weights. The size of the vector of weights for a given risk type must equal the size of the vector of Label1 values for that risk type in the map mapLabels_1_

◆ interBucketCorrelation_

std::map<CrifRecord::RiskType, Amounts> interBucketCorrelation_

protected

Map from risk type to a matrix of inter-bucket correlations for that risk type i.e. correlation between qualifiers of the risk type that fall in different buckets

◆ intraBucketCorrelation_

std::map<CrifRecord::RiskType, Amounts> intraBucketCorrelation_

protected

Map from risk type to an intra-bucket correlation for that risk type i.e. correlation between qualifiers of the risk type that fall in the same bucket

◆ xccyCorr_

QuantLib::Real xccyCorr_

protected

Correlation between xccy basis and any yield or inflation in same currency

◆ mporDays_

QuantLib::Size mporDays_

protected

Margin Period of risk in days

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Additional Inherited Members

Member Function Documentation

◆ bucket()

◆ buckets()

◆ labels1()

◆ labels2()

◆ weight()

◆ curvatureWeight()

◆ historicalVolatilityRatio()

◆ sigma()

◆ curvatureMarginScaling()

◆ concentrationThreshold()

◆ isValidRiskType()

◆ correlation()

Member Data Documentation

◆ mapBuckets_

◆ mapLabels_1_

◆ mapLabels_2_

◆ rwRiskType_

◆ curvatureWeights_

◆ interBucketCorrelation_

◆ intraBucketCorrelation_

◆ xccyCorr_

◆ mporDays_