Reference manual - version orea_version
#include <orea/simm/crifrecord.hpp>
Public Types | |
| enum class | RecordType { SIMM , FRTB , Generic } |
| enum class | RiskType { Empty , Commodity , CommodityVol , CreditNonQ , CreditQ , CreditVol , CreditVolNonQ , Equity , EquityVol , FX , FXVol , Inflation , IRCurve , IRVol , InflationVol , BaseCorr , XCcyBasis , ProductClassMultiplier , AddOnNotionalFactor , Notional , AddOnFixedAmount , PV , GIRR_DELTA , GIRR_VEGA , GIRR_CURV , CSR_NS_DELTA , CSR_NS_VEGA , CSR_NS_CURV , CSR_SNC_DELTA , CSR_SNC_VEGA , CSR_SNC_CURV , CSR_SC_DELTA , CSR_SC_VEGA , CSR_SC_CURV , EQ_DELTA , EQ_VEGA , EQ_CURV , COMM_DELTA , COMM_VEGA , COMM_CURV , FX_DELTA , FX_VEGA , FX_CURV , DRC_NS , DRC_SNC , DRC_SC , RRAO_1_PERCENT , RRAO_01_PERCENT , All } |
| enum class | ProductClass { RatesFX , Rates , FX , Credit , Equity , Commodity , Empty , Other , AddOnNotionalFactor , AddOnFixedAmount , All } |
| enum class | CurvatureScenario { Empty , Up , Down } |
| There are two entries for curvature risk in frtb, a up and down shift. | |
| typedef std::tuple< std::string, NettingSetDetails, ProductClass, RiskType, std::string, std::string, std::string, std::string, std::string, std::string > | SimmAmountCcyKey |
Public Member Functions | |
| CrifRecord (std::string tradeId, std::string tradeType, NettingSetDetails nettingSetDetails, ProductClass productClass, RiskType riskType, std::string qualifier, std::string bucket, std::string label1, std::string label2, std::string amountCurrency, QuantLib::Real amount, QuantLib::Real amountUsd, std::string imModel="", std::string collectRegulations="", std::string postRegulations="", std::string endDate="", std::map< std::string, std::string > extraFields={}) | |
| RecordType | type () const |
| bool | hasAmountCcy () const |
| bool | hasAmount () const |
| bool | hasAmountUsd () const |
| bool | hasResultCcy () const |
| bool | hasAmountResultCcy () const |
| bool | requiresAmountUsd () const |
| bool | isSimmParameter () const |
| bool | isEmpty () const |
| bool | isFrtbCurvatureRisk () const |
| CurvatureScenario | frtbCurveatureScenario () const |
| std::string | getAdditionalFieldAsStr (const std::string &fieldName) const |
| double | getAdditionalFieldAsDouble (const std::string &fieldName) const |
| bool | getAdditionalFieldAsBool (const std::string &fieldName) const |
| const SimmAmountCcyKey | getSimmAmountCcyKey () const |
| bool | operator< (const CrifRecord &cr) const |
| Define how CRIF records are compared. | |
| bool | operator== (const CrifRecord &cr) const |
Static Public Member Functions | |
| static bool | amountCcyLTCompare (const CrifRecord &cr1, const CrifRecord &cr2) |
| static bool | amountCcyEQCompare (const CrifRecord &cr1, const CrifRecord &cr2) |
Public Attributes | |
| std::string | tradeId |
| std::string | portfolioId |
| ProductClass | productClass = ProductClass::Empty |
| RiskType | riskType = RiskType::Notional |
| std::string | qualifier |
| std::string | bucket |
| std::string | label1 |
| std::string | label2 |
| std::string | amountCurrency |
| QuantLib::Real | amount = QuantLib::Null<QuantLib::Real>() |
| QuantLib::Real | amountUsd = QuantLib::Null<QuantLib::Real>() |
| std::string | resultCurrency |
| QuantLib::Real | amountResultCcy = QuantLib::Null<QuantLib::Real>() |
| std::string | tradeType |
| std::string | agreementType |
| std::string | callType |
| std::string | initialMarginType |
| std::string | legalEntityId |
| NettingSetDetails | nettingSetDetails |
| std::string | imModel |
| std::string | collectRegulations |
| std::string | postRegulations |
| std::string | endDate |
| std::string | label3 |
| std::string | creditQuality |
| std::string | longShortInd |
| std::string | coveredBondInd |
| std::string | trancheThickness |
| std::string | bb_rw |
| std::map< std::string, std::variant< std::string, double, bool > > | additionalFields |
Static Public Attributes | |
| static std::vector< std::set< std::string > > | additionalHeaders |
A container for holding single CRIF records or aggregated CRIF records. A CRIF record is a row of the CRIF file outlined in the document: ISDA SIMM Methodology, Risk Data Standards. Version 1.36: 1 February 2017. or an updated version thereof.
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Risk types plus an All type for convenience Internal methods rely on the last element being 'All' Note that the risk type inflation has to be treated as an additional, single tenor bucket in IRCurve
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strong |
Product class types in SIMM plus an All type for convenience Internal methods rely on the last element being 'All'