Collateral Account. More...

#include <orea/aggregation/collateralaccount.hpp>

Collaboration diagram for CollateralAccount:

Classes
class	MarginCall
	Margin Call. More...

Public Member Functions
	CollateralAccount ()
	Default constructor. More...

	CollateralAccount (const QuantLib::ext::shared_ptr< NettingSetDefinition > &csaDef, const Date &date_t0)
	Constructor assuming initial collateral account balance is zero. More...

	CollateralAccount (const QuantLib::ext::shared_ptr< NettingSetDefinition > &csaDef, const Real &balance_t0, const Date &date_t0)
	Constructor taking an initial collateral account balance. More...

QuantLib::ext::shared_ptr< NettingSetDefinition >	csaDef () const
	Inspectors. More...

Real	balance_t0 () const

Real	accountBalance () const

Real	accountBalance (const Date &date) const

Date	balanceDate () const

Real	outstandingMarginAmount (const Date &simulationDate) const

void	updateAccountBalance (const Date &simulationDate, const Real &annualisedZeroRate=0.0)

void	updateMarginCall (const MarginCall &newMarginCall)

void	updateMarginCall (const Real &marginFlowAmount, const Date &marginPayDate, const Date &marginRequestDate)

void	closeAccount (const Date &closeDate)

Private Attributes
QuantLib::ext::shared_ptr< NettingSetDefinition >	csaDef_

Real	balance_t0_

vector< Real >	accountBalances_

vector< Date >	accountDates_

vector< MarginCall >	marginCalls_

Detailed Description

Collateral Account.

This class holds information corresponding to collateral cash accounts. It stores a balance as well as an asof date for the balance. The class also includes "margin" information relating to the most recent margin call (e.g. call amount, status, expected pay date.

The idea is that this class can be updated on-the-run with new margin requirements and collateral balances, and the timestamps updated accordingly.

For further information refer to the detailed ORE documentation.

Definition at line 53 of file collateralaccount.hpp.

Constructor & Destructor Documentation

◆ CollateralAccount() [1/3]

CollateralAccount ( )

Default constructor.

Definition at line 56 of file collateralaccount.hpp.

56{}

◆ CollateralAccount() [2/3]

CollateralAccount	(	const QuantLib::ext::shared_ptr< NettingSetDefinition > &	csaDef,
		const Date &	date_t0
	)

Constructor assuming initial collateral account balance is zero.

Parameters

csaDef	CSA details including threshold, minimum transfer amount, margining frequency etc
date_t0	Today's date

Definition at line 38 of file collateralaccount.cpp.

    : csaDef_(csaDef), balance_t0_(0.0) {
    accountBalances_.push_back(balance_t0_);
    accountDates_.push_back(date_t0);
}

◆ CollateralAccount() [3/3]

CollateralAccount	(	const QuantLib::ext::shared_ptr< NettingSetDefinition > &	csaDef,
		const Real &	balance_t0,
		const Date &	date_t0
	)

Constructor taking an initial collateral account balance.

Parameters

csaDef	CSA details including threshold, minimum transfer amount, margining frequency etc
balance_t0	Initial collateral account balance
date_t0	Today's date

Definition at line 44 of file collateralaccount.cpp.

    : csaDef_(csaDef), balance_t0_(balance_t0) {
    accountBalances_.push_back(balance_t0_);
    accountDates_.push_back(date_t0);
}

Member Function Documentation

◆ csaDef()

QuantLib::ext::shared_ptr< NettingSetDefinition > csaDef ( ) const

Inspectors.

csa (netting set) definition

Definition at line 105 of file collateralaccount.hpp.

105{ return csaDef_; }

◆ balance_t0()

Real balance_t0 ( ) const

account balance at start date

Definition at line 107 of file collateralaccount.hpp.

107{ return balance_t0_; }

◆ accountBalance() [1/2]

Real accountBalance ( ) const

most up-to-date account balance

Definition at line 109 of file collateralaccount.hpp.

109{ return accountBalances_.back(); }

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◆ accountBalance() [2/2]

Real accountBalance ( const Date & date ) const

account balance as of requested date

Definition at line 114 of file collateralaccount.cpp.

                                                             {
    QL_REQUIRE(accountDates_.front() <= date, "CollateralAccount error, invalid date for balance request");
    if (date >= accountDates_.back())
        return accountBalances_.back(); // flat extrapolation at far end
    for (unsigned i = 0; i < accountDates_.size(); i++) {
        if (date == accountDates_[i])
            return accountBalances_[i];
        else if (date > accountDates_[i] && date < accountDates_[i + 1])
            return accountBalances_[i];
        else
            continue;
    }
    QL_FAIL("CollateralAccount error, balance not found for date " << date);
}

◆ balanceDate()

Date balanceDate ( ) const

most recent account balance reset date

Definition at line 113 of file collateralaccount.hpp.

113{ return accountDates_.back(); }

◆ outstandingMarginAmount()

Real outstandingMarginAmount ( const Date & simulationDate ) const

Returns the sum of all outstanding margin call amounts

Definition at line 129 of file collateralaccount.cpp.

                                                                                {
    Real outstandingMarginCallAmounts = 0.0;
    for (unsigned i = 0; i < marginCalls_.size(); i++) {
        QL_REQUIRE(marginCalls_[i].openMarginRequest(), "CollateralAccount error, expired margin call found"
                                                            << " (should have been purged after expiry)");
        QL_REQUIRE(marginCalls_[i].marginPayDate() > simulationDate,
                   "CollateralAccount error, old margin call pay date,"
                       << " (should have been settled before now)");
        outstandingMarginCallAmounts += marginCalls_[i].marginAmount();
    }
    return outstandingMarginCallAmounts;
}

◆ updateAccountBalance()

void updateAccountBalance	(	const Date &	simulationDate,
		const Real &	annualisedZeroRate = `0.0`
	)

Updates the account balance, does this by checking if any outstanding margin calls are due for settlement.

Note: The accrual rate is assumed to be compounded daily

Definition at line 51 of file collateralaccount.cpp.

                                                                                                       {
    for (unsigned i = 0; i < marginCalls_.size(); i++) {
        QL_REQUIRE(marginCalls_[i].openMarginRequest(), "CollateralAccount error, expired margin call found"
                                                            << " (should have been purged after expiry)");
        if (i != marginCalls_.size() - 1) {
            QL_REQUIRE(marginCalls_[i].marginPayDate() <= marginCalls_[i + 1].marginPayDate(),
                       "CollateralAccount error; vector of margin calls not sorted correctly");
        }
 
        if (marginCalls_[i].marginPayDate() <= simulationDate) {
            if (marginCalls_[i].marginPayDate() == accountDates_.back()) {
                accountBalances_.back() += marginCalls_[i].marginAmount();
            } else {
                QL_REQUIRE(marginCalls_[i].marginPayDate() > accountDates_.back(),
                           "CollateralAccount error; balance update failed due to invalid dates");
                int accrualDays = marginCalls_[i].marginPayDate() - accountDates_.back();
                // apply "effective" accrual rate (i.e. adjust for spread specified in netting set definition)
                Real accrualRate = (accountBalances_.back() >= 0.0) ? (annualisedZeroRate - csaDef_->csaDetails()->collatSpreadRcv())
                                                                    : (annualisedZeroRate - csaDef_->csaDetails()->collatSpreadPay());
                // bring collateral account up to margin payment date (note accrual rate is assumed to be compounded
                // daily)
                accountBalances_.push_back(accountBalances_.back() * std::pow(1.0 + accrualRate / 365.0, accrualDays) +
                                           marginCalls_[i].marginAmount());
                accountDates_.push_back(marginCalls_[i].marginPayDate());
            }
            marginCalls_[i] = MarginCall(0.0, Date(), Date(), false);
        }
    }
    marginCalls_.erase(std::remove_if(marginCalls_.begin(), marginCalls_.end(), isMarginCallExpired),
                       marginCalls_.end());
    if (simulationDate > accountDates_.back()) { // bring the collateral account up to simulation date
        int accrualDays = simulationDate - accountDates_.back();
        // apply "effective" accrual rate (i.e. adjust for spread specified in netting set definition)
        Real accrualRate = (accountBalances_.back() >= 0.0) ? (annualisedZeroRate - csaDef_->csaDetails()->collatSpreadRcv())
                                                            : (annualisedZeroRate - csaDef_->csaDetails()->collatSpreadPay());
        accountDates_.push_back(simulationDate);
        accountBalances_.push_back(accountBalances_.back() * std::pow(1.0 + accrualRate / 365.0, accrualDays));
    }
}

◆ updateMarginCall() [1/2]

void updateMarginCall ( const MarginCall & newMarginCall )

Updates the margin call details for this account

Definition at line 91 of file collateralaccount.cpp.

                                                                        {
    QL_REQUIRE(newMarginCall.openMarginRequest() == true, "CollateralAccount error, "
                                                              << "attempting to load expired margin call");
    if (marginCalls_.size() > 0) {
        QL_REQUIRE(marginCalls_.back().marginRequestDate() < newMarginCall.marginRequestDate(),
                   "CollateralAccount error, attempting to issue an old margin call");
    }
    QL_REQUIRE(newMarginCall.marginRequestDate() >= accountDates_.back(),
               "CollateralAccount error, old margin call being loaded");
 
    marginCalls_.push_back(newMarginCall);
    // sorts the vector of margin calls according to ascending pay-date
    std::sort(marginCalls_.begin(), marginCalls_.end(), isMarginPayDateLessThan);
}

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◆ updateMarginCall() [2/2]

void updateMarginCall	(	const Real &	marginFlowAmount,
		const Date &	marginPayDate,
		const Date &	marginRequestDate
	)

Definition at line 106 of file collateralaccount.cpp.

                                                                        {
    MarginCall newMarginCall(marginFlowAmount, marginPayDate, marginRequestDate);
    QL_REQUIRE(newMarginCall.marginRequestDate() <= newMarginCall.marginPayDate(),
               "CollateralAccount error, attempting to issue an old margin call");
    updateMarginCall(newMarginCall);
}

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◆ closeAccount()

void closeAccount ( const Date & closeDate )

Closes the account as of a given date (i.e. sets the balance to zero)

Definition at line 142 of file collateralaccount.cpp.

                                                          {
    QL_REQUIRE(closeDate > accountDates_.back(), "CollateralAccount error, invalid date "
                                                     << " for closure of Collateral Account");
    marginCalls_.clear();
    accountBalances_.push_back(0.0);
    accountDates_.push_back(closeDate);
}

Member Data Documentation

◆ csaDef_

QuantLib::ext::shared_ptr<NettingSetDefinition> csaDef_

private

Definition at line 139 of file collateralaccount.hpp.

◆ balance_t0_

Real balance_t0_

private

Definition at line 140 of file collateralaccount.hpp.

◆ accountBalances_

vector<Real> accountBalances_

private

Definition at line 141 of file collateralaccount.hpp.

◆ accountDates_

vector<Date> accountDates_

private

Definition at line 142 of file collateralaccount.hpp.

◆ marginCalls_

vector<MarginCall> marginCalls_

private

Definition at line 143 of file collateralaccount.hpp.

Classes

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CollateralAccount() [1/3]

◆ CollateralAccount() [2/3]

◆ CollateralAccount() [3/3]

Member Function Documentation

◆ csaDef()

◆ balance_t0()

◆ accountBalance() [1/2]

◆ accountBalance() [2/2]

◆ balanceDate()

◆ outstandingMarginAmount()

◆ updateAccountBalance()

◆ updateMarginCall() [1/2]

◆ updateMarginCall() [2/2]

◆ closeAccount()

Member Data Documentation

◆ csaDef_

◆ balance_t0_

◆ accountBalances_

◆ accountDates_

◆ marginCalls_