Credit simulation description. More...

#include <orea/aggregation/creditsimulationparameters.hpp>

Inheritance diagram for CreditSimulationParameters:

Collaboration diagram for CreditSimulationParameters:

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

Inspectors
const std::map< string, Matrix > &	transitionMatrix () const

const std::vector< string > &	entities () const

const std::vector< Array > &	factorLoadings () const

const std::vector< string > &	transitionMatrices () const

const std::vector< Size > &	initialStates () const

bool	marketRisk () const

bool	creditRisk () const

bool	zeroMarketPnl () const

const string &	evaluation () const

bool	doubleDefault () const

Size	seed () const

Size	paths () const

const std::string &	creditMode () const

const std::string &	loanExposureMode () const

const std::vector< string > &	nettingSetIds () const

Setters
std::map< string, Matrix > &	transitionMatrix ()

std::vector< string > &	entities ()

std::vector< Array > &	factorLoadings ()

std::vector< string > &	transitionMatrices ()

std::vector< Size > &	initialStates ()

bool &	marketRisk ()

bool &	creditRisk ()

bool &	zeroMarketPnl ()

string &	evaluation ()

bool &	doubleDefault ()

Size &	seed ()

Size &	paths ()

std::string &	creditMode ()

std::string &	loanExposureMode ()

std::vector< string > &	nettingSetIds ()

Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()

virtual void	fromXML (XMLNode *node)=0

virtual XMLNode *	toXML (XMLDocument &doc) const=0

void	fromFile (const std::string &filename)

void	toFile (const std::string &filename) const

void	fromXMLString (const std::string &xml)

std::string	toXMLString () const

Serialisation
std::map< string, Matrix >	transitionMatrix_
	\Equality Operators More...

std::vector< string >	entities_

std::vector< Array >	factorLoadings_

std::vector< string >	transitionMatrices_

std::vector< Size >	initialStates_

bool	marketRisk_

bool	creditRisk_

bool	zeroMarketPnl_

string	evaluation_

bool	doubleDefault_

Size	seed_

Size	paths_

string	creditMode_

string	loanExposureMode_

std::vector< string >	nettingSetIds_

virtual void	fromXML (XMLNode *node)

virtual XMLNode *	toXML (XMLDocument &doc) const

Detailed Description

Credit simulation description.

Definition at line 42 of file creditsimulationparameters.hpp.

Constructor & Destructor Documentation

◆ CreditSimulationParameters()

CreditSimulationParameters ( )

Default constructor.

Definition at line 45 of file creditsimulationparameters.hpp.

45{};

Member Function Documentation

◆ transitionMatrix() [1/2]

const std::map< string, Matrix > & transitionMatrix ( ) const

Definition at line 49 of file creditsimulationparameters.hpp.

49{ return transitionMatrix_; }

ore::analytics::CreditSimulationParameters::transitionMatrix_

std::map< string, Matrix > transitionMatrix_

\Equality Operators

Definition: creditsimulationparameters.hpp:98

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◆ entities() [1/2]

const std::vector< string > & entities ( ) const

Definition at line 50 of file creditsimulationparameters.hpp.

50{ return entities_; }

ore::analytics::CreditSimulationParameters::entities_

std::vector< string > entities_

Definition: creditsimulationparameters.hpp:99

◆ factorLoadings() [1/2]

const std::vector< Array > & factorLoadings ( ) const

Definition at line 51 of file creditsimulationparameters.hpp.

51{ return factorLoadings_; }

ore::analytics::CreditSimulationParameters::factorLoadings_

std::vector< Array > factorLoadings_

Definition: creditsimulationparameters.hpp:100

◆ transitionMatrices() [1/2]

const std::vector< string > & transitionMatrices ( ) const

Definition at line 52 of file creditsimulationparameters.hpp.

52{ return transitionMatrices_; }

ore::analytics::CreditSimulationParameters::transitionMatrices_

std::vector< string > transitionMatrices_

Definition: creditsimulationparameters.hpp:101

◆ initialStates() [1/2]

const std::vector< Size > & initialStates ( ) const

Definition at line 53 of file creditsimulationparameters.hpp.

53{ return initialStates_; }

ore::analytics::CreditSimulationParameters::initialStates_

std::vector< Size > initialStates_

Definition: creditsimulationparameters.hpp:102

◆ marketRisk() [1/2]

bool marketRisk ( ) const

Definition at line 54 of file creditsimulationparameters.hpp.

54{ return marketRisk_; }

ore::analytics::CreditSimulationParameters::marketRisk_

bool marketRisk_

Definition: creditsimulationparameters.hpp:103

◆ creditRisk() [1/2]

bool creditRisk ( ) const

Definition at line 55 of file creditsimulationparameters.hpp.

55{ return creditRisk_; }

ore::analytics::CreditSimulationParameters::creditRisk_

bool creditRisk_

Definition: creditsimulationparameters.hpp:104

◆ zeroMarketPnl() [1/2]

bool zeroMarketPnl ( ) const

Definition at line 56 of file creditsimulationparameters.hpp.

56{ return zeroMarketPnl_; }

ore::analytics::CreditSimulationParameters::zeroMarketPnl_

bool zeroMarketPnl_

Definition: creditsimulationparameters.hpp:105

◆ evaluation() [1/2]

const string & evaluation ( ) const

Definition at line 57 of file creditsimulationparameters.hpp.

57{ return evaluation_; }

ore::analytics::CreditSimulationParameters::evaluation_

string evaluation_

Definition: creditsimulationparameters.hpp:106

◆ doubleDefault() [1/2]

bool doubleDefault ( ) const

Definition at line 58 of file creditsimulationparameters.hpp.

58{ return doubleDefault_; }

ore::analytics::CreditSimulationParameters::doubleDefault_

bool doubleDefault_

Definition: creditsimulationparameters.hpp:107

◆ seed() [1/2]

Size seed ( ) const

Definition at line 59 of file creditsimulationparameters.hpp.

59{ return seed_; }

ore::analytics::CreditSimulationParameters::seed_

Size seed_

Definition: creditsimulationparameters.hpp:108

◆ paths() [1/2]

Size paths ( ) const

Definition at line 60 of file creditsimulationparameters.hpp.

60{ return paths_; }

ore::analytics::CreditSimulationParameters::paths_

Size paths_

Definition: creditsimulationparameters.hpp:108

◆ creditMode() [1/2]

const std::string & creditMode ( ) const

Definition at line 61 of file creditsimulationparameters.hpp.

61{ return creditMode_; }

ore::analytics::CreditSimulationParameters::creditMode_

string creditMode_

Definition: creditsimulationparameters.hpp:109

◆ loanExposureMode() [1/2]

const std::string & loanExposureMode ( ) const

Definition at line 62 of file creditsimulationparameters.hpp.

62{ return loanExposureMode_; }

ore::analytics::CreditSimulationParameters::loanExposureMode_

string loanExposureMode_

Definition: creditsimulationparameters.hpp:110

◆ nettingSetIds() [1/2]

const std::vector< string > & nettingSetIds ( ) const

Definition at line 63 of file creditsimulationparameters.hpp.

63{ return nettingSetIds_; }

ore::analytics::CreditSimulationParameters::nettingSetIds_

std::vector< string > nettingSetIds_

Definition: creditsimulationparameters.hpp:111

◆ transitionMatrix() [2/2]

std::map< string, Matrix > & transitionMatrix ( )

Definition at line 68 of file creditsimulationparameters.hpp.

68{ return transitionMatrix_; }

◆ entities() [2/2]

std::vector< string > & entities ( )

Definition at line 69 of file creditsimulationparameters.hpp.

69{ return entities_; }

◆ factorLoadings() [2/2]

std::vector< Array > & factorLoadings ( )

Definition at line 70 of file creditsimulationparameters.hpp.

70{ return factorLoadings_; }

◆ transitionMatrices() [2/2]

std::vector< string > & transitionMatrices ( )

Definition at line 71 of file creditsimulationparameters.hpp.

71{ return transitionMatrices_; }

◆ initialStates() [2/2]

std::vector< Size > & initialStates ( )

Definition at line 72 of file creditsimulationparameters.hpp.

72{ return initialStates_; }

◆ marketRisk() [2/2]

bool & marketRisk ( )

Definition at line 73 of file creditsimulationparameters.hpp.

73{ return marketRisk_; }

◆ creditRisk() [2/2]

bool & creditRisk ( )

Definition at line 74 of file creditsimulationparameters.hpp.

74{ return creditRisk_; }

◆ zeroMarketPnl() [2/2]

bool & zeroMarketPnl ( )

Definition at line 75 of file creditsimulationparameters.hpp.

75{ return zeroMarketPnl_; }

◆ evaluation() [2/2]

string & evaluation ( )

Definition at line 76 of file creditsimulationparameters.hpp.

76{ return evaluation_; }

◆ doubleDefault() [2/2]

bool & doubleDefault ( )

Definition at line 77 of file creditsimulationparameters.hpp.

77{ return doubleDefault_; }

◆ seed() [2/2]

Size & seed ( )

Definition at line 78 of file creditsimulationparameters.hpp.

78{ return seed_; }

◆ paths() [2/2]

Size & paths ( )

Definition at line 79 of file creditsimulationparameters.hpp.

79{ return paths_; }

◆ creditMode() [2/2]

std::string & creditMode ( )

Definition at line 80 of file creditsimulationparameters.hpp.

80{ return creditMode_; }

◆ loanExposureMode() [2/2]

std::string & loanExposureMode ( )

Definition at line 81 of file creditsimulationparameters.hpp.

81{ return loanExposureMode_; }

◆ nettingSetIds() [2/2]

std::vector< string > & nettingSetIds ( )

Definition at line 82 of file creditsimulationparameters.hpp.

82{ return nettingSetIds_; }

◆ fromXML()

void fromXML ( XMLNode * node )

virtual

Implements XMLSerializable.

Definition at line 32 of file creditsimulationparameters.cpp.

                                                      {
    XMLNode* sim = XMLUtils::locateNode(root, "CreditSimulation");
    XMLNode* node = XMLUtils::getChildNode(sim, "TransitionMatrices");
    QL_REQUIRE(node != nullptr, "CreditSimulationParameters: Node TransitionMatrices not found.");
 
    node = XMLUtils::getChildNode(node, "TransitionMatrix");
    while (node != nullptr) {
        string name = XMLUtils::getChildValue(node, "Name", true);
        std::vector<Real> data = XMLUtils::getChildrenValuesAsDoublesCompact(node, "Data", true);
        Size n = static_cast<Size>(std::sqrt(data.size()));
        QL_REQUIRE(data.size() == n * n, "CreditSimulationParameters: Square matrix required, found " << data.size()
                                                                                                      << " elements");
        Matrix m(n, n, 0.0);
        for (Size i = 0; i < n; ++i) {
            for (Size j = 0; j < n; ++j) {
                m[i][j] = data[i * n + j];
            }
        }
        transitionMatrix_[name] = m;
        node = XMLUtils::getNextSibling(node, "TransitionMatrix");
    }
 
    node = XMLUtils::getChildNode(sim, "Entities");
    QL_REQUIRE(node != nullptr, "CreditSimulationparameters: Node Entities not found.");
    node = XMLUtils::getChildNode(node, "Entity");
    while (node != nullptr) {
        string name = XMLUtils::getChildValue(node, "Name", true);
        std::vector<Real> tmp = XMLUtils::getChildrenValuesAsDoublesCompact(node, "FactorLoadings", true);
        Array loadings(tmp.begin(), tmp.end());
        string transitionMatrix = XMLUtils::getChildValue(node, "TransitionMatrix", true);
        Size initialState = XMLUtils::getChildValueAsInt(node, "InitialState", true);
        entities_.push_back(name);
        factorLoadings_.push_back(loadings);
        transitionMatrices_.push_back(transitionMatrix);
        initialStates_.push_back(initialState);
        node = XMLUtils::getNextSibling(node, "Entity");
    }
 
    node = XMLUtils::getChildNode(sim, "Risk");
    QL_REQUIRE(node != nullptr, "CreditSimulationParameters: Node Risk not found.");
    marketRisk_ = XMLUtils::getChildValueAsBool(node, "Market", true);
    creditRisk_ = XMLUtils::getChildValueAsBool(node, "Credit", true);
    zeroMarketPnl_ = XMLUtils::getChildValueAsBool(node, "ZeroMarketPnl", true);
    evaluation_ = XMLUtils::getChildValue(node, "Evaluation", true);
    doubleDefault_ = XMLUtils::getChildValueAsBool(node, "DoubleDefault", true);
    seed_ = XMLUtils::getChildValueAsInt(node, "Seed", true);
    paths_ = XMLUtils::getChildValueAsInt(node, "Paths", true);
    creditMode_ = XMLUtils::getChildValue(node, "CreditMode", true);
    loanExposureMode_ = XMLUtils::getChildValue(node, "LoanExposureMode", true);
 
    nettingSetIds_ = parseListOfValues(XMLUtils::getChildValue(sim, "NettingSetIds", true));
}

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◆ toXML()

XMLNode * toXML ( XMLDocument & doc ) const

virtual

Implements XMLSerializable.

Definition at line 85 of file creditsimulationparameters.cpp.

                                                                 {
    QL_FAIL("CreditSimulationParameters::toXML() not implemented");
}

Member Data Documentation

◆ transitionMatrix_

std::map<string, Matrix> transitionMatrix_

private

\Equality Operators

Definition at line 98 of file creditsimulationparameters.hpp.

◆ entities_

std::vector<string> entities_

private

Definition at line 99 of file creditsimulationparameters.hpp.

◆ factorLoadings_

std::vector<Array> factorLoadings_

private

Definition at line 100 of file creditsimulationparameters.hpp.

◆ transitionMatrices_

std::vector<string> transitionMatrices_

private

Definition at line 101 of file creditsimulationparameters.hpp.

◆ initialStates_

std::vector<Size> initialStates_

private

Definition at line 102 of file creditsimulationparameters.hpp.

◆ marketRisk_

bool marketRisk_

private

Definition at line 103 of file creditsimulationparameters.hpp.

◆ creditRisk_

bool creditRisk_

private

Definition at line 104 of file creditsimulationparameters.hpp.

◆ zeroMarketPnl_

bool zeroMarketPnl_

private

Definition at line 105 of file creditsimulationparameters.hpp.

◆ evaluation_

string evaluation_

private

Definition at line 106 of file creditsimulationparameters.hpp.

◆ doubleDefault_

bool doubleDefault_

private

Definition at line 107 of file creditsimulationparameters.hpp.

◆ seed_

Size seed_

private

Definition at line 108 of file creditsimulationparameters.hpp.

◆ paths_

Size paths_

private

Definition at line 108 of file creditsimulationparameters.hpp.

◆ creditMode_

string creditMode_

private

Definition at line 109 of file creditsimulationparameters.hpp.

◆ loanExposureMode_

string loanExposureMode_

private

Definition at line 110 of file creditsimulationparameters.hpp.

◆ nettingSetIds_

std::vector<string> nettingSetIds_

private

Definition at line 111 of file creditsimulationparameters.hpp.

Public Member Functions

Serialisation

Detailed Description

Constructor & Destructor Documentation

◆ CreditSimulationParameters()

Member Function Documentation

◆ transitionMatrix() [1/2]

◆ entities() [1/2]

◆ factorLoadings() [1/2]

◆ transitionMatrices() [1/2]

◆ initialStates() [1/2]

◆ marketRisk() [1/2]

◆ creditRisk() [1/2]

◆ zeroMarketPnl() [1/2]

◆ evaluation() [1/2]

◆ doubleDefault() [1/2]

◆ seed() [1/2]

◆ paths() [1/2]

◆ creditMode() [1/2]

◆ loanExposureMode() [1/2]

◆ nettingSetIds() [1/2]

◆ transitionMatrix() [2/2]

◆ entities() [2/2]

◆ factorLoadings() [2/2]

◆ transitionMatrices() [2/2]

◆ initialStates() [2/2]

◆ marketRisk() [2/2]

◆ creditRisk() [2/2]

◆ zeroMarketPnl() [2/2]

◆ evaluation() [2/2]

◆ doubleDefault() [2/2]

◆ seed() [2/2]

◆ paths() [2/2]

◆ creditMode() [2/2]

◆ loanExposureMode() [2/2]

◆ nettingSetIds() [2/2]

◆ fromXML()

◆ toXML()

Member Data Documentation

◆ transitionMatrix_

◆ entities_

◆ factorLoadings_

◆ transitionMatrices_

◆ initialStates_

◆ marketRisk_

◆ creditRisk_

◆ zeroMarketPnl_

◆ evaluation_

◆ doubleDefault_

◆ seed_

◆ paths_

◆ creditMode_

◆ loanExposureMode_

◆ nettingSetIds_