Reference manual - version orea_version
XVA Calculator base class. More...
#include <orea/aggregation/xvacalculator.hpp>
Inheritance diagram for ValueAdjustmentCalculator:Public Member Functions | |
| ValueAdjustmentCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND") | |
| virtual void | build () |
| Compute cva along all paths and fill result structures. | |
| virtual const vector< Date > & | dates () |
| virtual const Date | asof () |
| virtual const Real | calculateCvaIncrement (const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0 |
| virtual const Real | calculateDvaIncrement (const string &tid, const Date &d0, const Date &d1, const Real &rr)=0 |
| virtual const Real | calculateNettingSetCvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0 |
| virtual const Real | calculateNettingSetDvaIncrement (const string &nid, const Date &d0, const Date &d1, const Real &rr)=0 |
| virtual const Real | calculateFbaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0 |
| virtual const Real | calculateFcaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0 |
| virtual const Real | calculateNettingSetFbaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0 |
| virtual const Real | calculateNettingSetFcaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0 |
| virtual const Real | calculateNettingSetMvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf)=0 |
| const map< string, Real > & | tradeCva () |
| CVA map for all the trades. | |
| const map< string, Real > & | tradeDva () |
| DVA map for all the trades. | |
| const map< string, Real > & | nettingSetCva () |
| CVA map for all the netting sets. | |
| const map< string, Real > & | nettingSetDva () |
| DVA map for all the netting sets. | |
| const map< string, Real > & | nettingSetSumCva () |
| Sum CVA map for all the netting sets. | |
| const map< string, Real > & | nettingSetSumDva () |
| Sum DVA map for all the netting sets. | |
| const Real & | tradeCva (const string &trade) |
| CVA for the specified trade. | |
| const Real & | tradeDva (const string &trade) |
| DVA for the specified trade. | |
| const Real & | tradeFba (const string &trade) |
| FBA for the specified trade. | |
| const Real & | tradeFba_exOwnSp (const string &trade) |
| FBA (excl own survival probability) for the specified trade. | |
| const Real & | tradeFba_exAllSp (const string &trade) |
| FBA (excl all survival probability) for the specified trade. | |
| const Real & | tradeFca (const string &trade) |
| FCA for the specified trade. | |
| const Real & | tradeFca_exOwnSp (const string &trade) |
| FCA (excl own survival probability) for the specified trade. | |
| const Real & | tradeFca_exAllSp (const string &trade) |
| FCA (excl all survival probability) for the specified trade. | |
| const Real & | tradeMva (const string &trade) |
| MVA for the specified trade. | |
| const Real & | nettingSetSumCva (const string &nettingSet) |
| Sum of trades' CVA for the specified netting set. | |
| const Real & | nettingSetSumDva (const string &nettingSet) |
| Sum of trades' DVA for the specified netting set. | |
| const Real & | nettingSetCva (const string &nettingSet) |
| CVA for the specified netting set. | |
| const Real & | nettingSetDva (const string &nettingSet) |
| DVA for the specified netting set. | |
| const Real & | nettingSetFba (const string &nettingSet) |
| FBA for the specified netting set. | |
| const Real & | nettingSetFba_exOwnSp (const string &nettingSet) |
| FBA (excl own survival probability) for the specified netting set. | |
| const Real & | nettingSetFba_exAllSp (const string &nettingSet) |
| FBA (excl all survival probability) for the specified netting set. | |
| const Real & | nettingSetFca (const string &nettingSet) |
| FCA for the specified netting set. | |
| const Real & | nettingSetFca_exOwnSp (const string &nettingSet) |
| FCA (excl own survival probability) for the specified netting set. | |
| const Real & | nettingSetFca_exAllSp (const string &nettingSet) |
| FCA (excl all survival probability) for the specified netting set. | |
| const Real & | nettingSetMva (const string &nettingSet) |
| MVA for the specified netting set. | |
Protected Attributes | |
| QuantLib::ext::shared_ptr< Portfolio > | portfolio_ |
| QuantLib::ext::shared_ptr< Market > | market_ |
| string | configuration_ |
| string | baseCurrency_ |
| string | dvaName_ |
| string | fvaBorrowingCurve_ |
| string | fvaLendingCurve_ |
| bool | applyDynamicInitialMargin_ |
| QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > | dimCalculator_ |
| const QuantLib::ext::shared_ptr< NPVCube > | tradeExposureCube_ |
| const QuantLib::ext::shared_ptr< NPVCube > | nettingSetExposureCube_ |
| Size | tradeEpeIndex_ |
| Size | tradeEneIndex_ |
| Size | nettingSetEpeIndex_ |
| Size | nettingSetEneIndex_ |
| bool | flipViewXVA_ |
| string | flipViewBorrowingCurvePostfix_ |
| string | flipViewLendingCurvePostfix_ |
| map< string, string > | nettingSetCpty_ |
| map< string, Real > | tradeCva_ |
| map< string, Real > | tradeDva_ |
| map< string, Real > | tradeFba_ |
| map< string, Real > | tradeFba_exOwnSp_ |
| map< string, Real > | tradeFba_exAllSp_ |
| map< string, Real > | tradeFca_ |
| map< string, Real > | tradeFca_exOwnSp_ |
| map< string, Real > | tradeFca_exAllSp_ |
| map< string, Real > | tradeMva_ |
| map< string, Real > | nettingSetSumCva_ |
| map< string, Real > | nettingSetSumDva_ |
| map< string, Real > | nettingSetCva_ |
| map< string, Real > | nettingSetDva_ |
| map< string, Real > | nettingSetFba_ |
| map< string, Real > | nettingSetFba_exOwnSp_ |
| map< string, Real > | nettingSetFba_exAllSp_ |
| map< string, Real > | nettingSetFca_ |
| map< string, Real > | nettingSetFca_exOwnSp_ |
| map< string, Real > | nettingSetFca_exAllSp_ |
| map< string, Real > | nettingSetMva_ |
XVA Calculator base class.
Derived classes implement a constructor with the relevant additional input data and a build function that performs the XVA calculations for all netting sets and along all paths.
| ValueAdjustmentCalculator | ( | const QuantLib::ext::shared_ptr< Portfolio > | portfolio, |
| const QuantLib::ext::shared_ptr< Market > | market, | ||
| const string & | configuration, | ||
| const string & | baseCurrency, | ||
| const string & | dvaName, | ||
| const string & | fvaBorrowingCurve, | ||
| const string & | fvaLendingCurve, | ||
| const bool | applyDynamicInitialMargin, | ||
| const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > | dimCalculator, | ||
| const QuantLib::ext::shared_ptr< NPVCube > | tradeExposureCube, | ||
| const QuantLib::ext::shared_ptr< NPVCube > | nettingSetExposureCube, | ||
| const Size | tradeEpeIndex = 0, |
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| const Size | tradeEneIndex = 1, |
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| const Size | nettingSetEpeIndex = 1, |
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| const Size | nettingSetEneIndex = 2, |
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| const bool | flipViewXVA = false, |
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| const string & | flipViewBorrowingCurvePostfix = "_BORROW", |
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| const string & | flipViewLendingCurvePostfix = "_LEND" |
||
| ) |
| portfolio | Driving portfolio consistent with the cube below |
| market | Today's market |
| configuration | Market configuration to be used |
| baseCurrency | Base currency amounts will be converted to |
| dvaName | Own party name for DVA calculations |
| fvaBorrowingCurve | FVA borrowing curve |
| fvaLendingCurve | FVA lending curve |
| applyDynamicInitialMargin | Deactivate initial margin calculation even if active at netting set level |
| dimCalculator | Dynamic Initial Margin calculator |
| tradeExposureCube | Storage ofdefault NPVs, close-out NPVs, cash flows at trade level |
| nettingSetExposureCube | Storage of sensitivity vectors at netting set level |
| tradeEpeIndex | Index of the trade EPE storage in the internal exposure cube |
| tradeEneIndex | Index of the trade ENE storage in the internal exposure cube |
| nettingSetEpeIndex | Index of the netting set EPE storage in the internal exposure cube |
| nettingSetEneIndex | Index of the netting set ENE storage in the internal exposure cube |
| flipViewXVA | Flag to indicate flipped xva calculation |
| flipViewBorrowingCurvePostfix | Postfix for flipView borrowing curve for fva |
| flipViewLendingCurvePostfix | Postfix for flipView lending curve for fva |
