#include <orea/simm/crif.hpp>

Collaboration diagram for Crif:

Public Types
enum class	CrifType { Empty , Frtb , Simm }

Public Member Functions
	Crif ()=default

CrifType	type () const

void	addRecord (const CrifRecord &record, bool aggregateDifferentAmountCurrencies=false, bool sortFxVolQualifer=true)

void	addRecords (const Crif &crif, bool aggregateDifferentAmountCurrencies=false, bool sortFxVolQualfier=true)

void	clear ()

std::set< CrifRecord >::const_iterator	begin () const

std::set< CrifRecord >::const_iterator	end () const

std::set< CrifRecord >::const_iterator	find (const CrifRecord &r) const

std::set< CrifRecord >::const_iterator	findBy (const NettingSetDetails nsd, CrifRecord::ProductClass pc, const CrifRecord::RiskType rt, const std::string &qualifier) const
	Find first element. More...

bool	empty () const

size_t	size () const

const bool	hasCrifRecords () const
	check if there are crif records beside simmParameters More...

const std::set< std::string > &	portfolioIds () const
	Give back the set of portfolio IDs that have been loaded. More...

const std::set< ore::data::NettingSetDetails > &	nettingSetDetails () const

const bool	hasSimmParameters () const
	check if the Crif contains simmParameters More...

Crif	filterNonZeroAmount (double threshold=0.0, std::string alwaysIncludeFxRiskCcy="") const
	returns a crif without zero amount records, FXRisk entries in currency alwaysIncludeFxRiskCcy are always included More...

Crif	simmParameters () const
	returns a Crif containing only simmParameter entries More...

void	setSimmParameters (const Crif &crif)
	deletes all existing simmParameter and replaces them with the new one More...

void	setCrifRecords (const Crif &crif)
	deletes all existing simmParameter and replaces them with the new one More...

void	fillAmountUsd (const QuantLib::ext::shared_ptr< ore::data::Market > market)

bool	hasNettingSetDetails () const
	Check if netting set details are used anywhere, instead of just the netting set ID. More...

Crif	aggregate () const
	Aggregate all existing records. More...

size_t	countMatching (const NettingSetDetails &nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt, const std::string &qualifier) const

std::set< CrifRecord::ProductClass >	ProductClassesByNettingSetDetails (const NettingSetDetails nsd) const

std::set< std::string >	qualifiersBy (const NettingSetDetails nsd, CrifRecord::ProductClass pc, const CrifRecord::RiskType rt) const

std::vector< CrifRecord >	filterByQualifierAndBucket (const NettingSetDetails &nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt, const std::string &qualifier, const std::string &bucket) const

std::vector< CrifRecord >	filterByQualifier (const NettingSetDetails &nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt, const std::string &qualifier) const

std::vector< CrifRecord >	filterByBucket (const NettingSetDetails &nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt, const std::string &bucket) const

std::vector< CrifRecord >	filterBy (const NettingSetDetails &nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt) const

std::vector< CrifRecord >	filterBy (const CrifRecord::RiskType rt) const

std::vector< CrifRecord >	filterByTradeId (const std::string &id) const

std::set< std::string >	tradeIds () const

Private Member Functions
void	insertCrifRecord (const CrifRecord &record, bool aggregateDifferentAmountCurrencies=false)

void	addFrtbCrifRecord (const CrifRecord &record, bool aggregateDifferentAmountCurrencies=false, bool sortFxVolQualifer=true)

void	addSimmCrifRecord (const CrifRecord &record, bool aggregateDifferentAmountCurrencies=false, bool sortFxVolQualifer=true)

void	addSimmParameterRecord (const CrifRecord &record)

void	updateAmountExistingRecord (std::set< CrifRecord >::iterator &it, const CrifRecord &record)

void	updateAmountExistingRecord (std::map< CrifRecord::SimmAmountCcyKey, const CrifRecord * >::iterator &it, const CrifRecord &record)

Private Attributes
CrifType	type_ = CrifType::Empty

std::set< CrifRecord >	records_

std::map< CrifRecord::SimmAmountCcyKey, const CrifRecord * >	diffAmountCurrenciesIndex_

std::set< std::string >	portfolioIds_
	Set of portfolio IDs that have been loaded. More...

std::set< ore::data::NettingSetDetails >	nettingSetDetails_

Detailed Description

Definition at line 35 of file crif.hpp.

Member Enumeration Documentation

◆ CrifType

enum class CrifType

strong

Enumerator
Empty
Frtb
Simm

Definition at line 37 of file crif.hpp.

37{ Empty, Frtb, Simm };

ore::analytics::Crif::CrifType::Frtb

@ Frtb

ore::analytics::Crif::CrifType::Simm

@ Simm

ore::analytics::Crif::CrifType::Empty

@ Empty

Constructor & Destructor Documentation

◆ Crif()

Crif ( )

default

Member Function Documentation

◆ type()

CrifType type ( ) const

Definition at line 40 of file crif.hpp.

40{ return type_; }

ore::analytics::Crif::type_

CrifType type_

Definition: crif.hpp:125

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◆ addRecord()

void addRecord	(	const CrifRecord &	record,
		bool	aggregateDifferentAmountCurrencies = `false`,
		bool	sortFxVolQualifer = `true`
	)

Definition at line 41 of file crif.cpp.

                                                                                                              {
    if (record.type() == CrifRecord::RecordType::FRTB) {
        addFrtbCrifRecord(record, aggregateDifferentAmountCurrencies, sortFxVolQualifer);
    } else if (record.type() == CrifRecord::RecordType::SIMM && !record.isSimmParameter()) {
        addSimmCrifRecord(record, aggregateDifferentAmountCurrencies, sortFxVolQualifer);
    } else {
        addSimmParameterRecord(record);
    }
}

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◆ addRecords()

void addRecords	(	const Crif &	crif,
		bool	aggregateDifferentAmountCurrencies = `false`,
		bool	sortFxVolQualfier = `true`
	)

Definition at line 154 of file crif.cpp.

                                                                                                       {
    for (const auto& r : crif.records_) {
        addRecord(r, aggregateDifferentAmountCurrencies, sortFxVolQualifer);
    }
}

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◆ clear()

void clear ( )

Definition at line 45 of file crif.hpp.

45{ records_.clear(); }

ore::analytics::Crif::records_

std::set< CrifRecord > records_

Definition: crif.hpp:126

◆ begin()

std::set< CrifRecord >::const_iterator begin ( ) const

Definition at line 47 of file crif.hpp.

47{ return records_.cbegin(); }

◆ end()

std::set< CrifRecord >::const_iterator end ( ) const

Definition at line 48 of file crif.hpp.

48{ return records_.cend(); }

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◆ find()

std::set< CrifRecord >::const_iterator find ( const CrifRecord & r ) const

Definition at line 49 of file crif.hpp.

49{ return records_.find(r); }

◆ findBy()

std::set< CrifRecord >::const_iterator findBy	(	const NettingSetDetails	nsd,
		CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt,
		const std::string &	qualifier
	)		const

Find first element.

Definition at line 196 of file crif.cpp.

                                                                                                                 {
    return std::find_if(records_.begin(), records_.end(), [&nsd, &pc, &rt, &qualifier](const CrifRecord& record) {
        return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt &&
               record.qualifier == qualifier;
    });
};

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◆ empty()

bool empty ( ) const

Definition at line 55 of file crif.hpp.

55{ return records_.empty(); }

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◆ size()

size_t size ( ) const

Definition at line 57 of file crif.hpp.

57{ return records_.size(); }

◆ hasCrifRecords()

const bool hasCrifRecords ( ) const

check if there are crif records beside simmParameters

Definition at line 174 of file crif.cpp.

                                      {
    auto it = std::find_if(records_.begin(), records_.end(), isNotSimmParameter);
    return it != records_.end();
}

◆ portfolioIds()

const std::set< std::string > & portfolioIds ( ) const

Give back the set of portfolio IDs that have been loaded.

Simm methods Give back the set of portfolio IDs that have been loaded

Definition at line 321 of file crif.cpp.

321{ return portfolioIds_; }

ore::analytics::Crif::portfolioIds_

std::set< std::string > portfolioIds_

Set of portfolio IDs that have been loaded.

Definition: crif.hpp:131

◆ nettingSetDetails()

const std::set< NettingSetDetails > & nettingSetDetails ( ) const

Definition at line 322 of file crif.cpp.

322{ return nettingSetDetails_; }

ore::analytics::Crif::nettingSetDetails_

std::set< ore::data::NettingSetDetails > nettingSetDetails_

Definition: crif.hpp:132

◆ hasSimmParameters()

const bool hasSimmParameters ( ) const

check if the Crif contains simmParameters

Definition at line 180 of file crif.cpp.

                                         {
    auto it = std::find_if(records_.begin(), records_.end(), isSimmParameter);
    return it != records_.end();
}

◆ filterNonZeroAmount()

Crif filterNonZeroAmount	(	double	threshold = `0.0`,
		std::string	alwaysIncludeFxRiskCcy = `""`
	)		const

returns a crif without zero amount records, FXRisk entries in currency alwaysIncludeFxRiskCcy are always included

Definition at line 204 of file crif.cpp.

                                                                                       {
    Crif results;
    for (auto record : records_) {
        QL_REQUIRE(record.amount != QuantLib::Null<QuantLib::Real>() || record.amountUsd != QuantLib::Null<double>(),
                   "Internal Error, amount and amountUsd are empty");
        double absAmount = 0.0;
        if ((record.amount != QuantLib::Null<double>()) && (record.amountUsd != QuantLib::Null<double>())) {
            absAmount = std::max(std::fabs(record.amount), std::fabs(record.amountUsd));
        } else if (record.amount != QuantLib::Null<double>()) {
            absAmount = std::fabs(record.amount);
        } else if (record.amountUsd != QuantLib::Null<double>()) {
            absAmount = std::fabs(record.amountUsd);
        }
        bool add = (absAmount > threshold && !QuantLib::close_enough(absAmount, threshold));
        if (!alwaysIncludeFxRiskCcy.empty())
            add = add || (record.riskType == CrifRecord::RiskType::FX && record.qualifier == alwaysIncludeFxRiskCcy);
        if (add) {
            results.addRecord(record);
        }
    }
    return results;
}

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◆ simmParameters()

Crif simmParameters ( ) const

returns a Crif containing only simmParameter entries

Definition at line 186 of file crif.cpp.

                                {
    Crif results;
    for (const auto& record : records_) {
        if (record.isSimmParameter()) {
            results.addSimmParameterRecord(record);
        }
    }
    return results;
}

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◆ setSimmParameters()

void setSimmParameters ( const Crif & crif )

deletes all existing simmParameter and replaces them with the new one

Definition at line 290 of file crif.cpp.

                                             {
    auto backup = records_;
    records_.clear();
    for (auto& r : backup) {
        if (!r.isSimmParameter()) {
            addRecord(r);
        }
    }
    for (const auto& r : crif) {
        if (r.isSimmParameter()) {
            addSimmParameterRecord(r);
        }
    }
}

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◆ setCrifRecords()

void setCrifRecords ( const Crif & crif )

deletes all existing simmParameter and replaces them with the new one

Definition at line 305 of file crif.cpp.

                                          {
    auto backup = records_;
    records_.clear();
    for (auto& r : backup) {
        if (r.isSimmParameter()) {
            addRecord(r);
        }
    }
    for (const auto& r : crif) {
        if (!r.isSimmParameter()) {
            addRecord(r);
        }
    }
}

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◆ fillAmountUsd()

void fillAmountUsd ( const QuantLib::ext::shared_ptr< ore::data::Market > market )

For each CRIF record checks if amountCurrency and amount are defined and uses these to populate the record's amountUsd

Definition at line 351 of file crif.cpp.

                                                                          {
    if (!market) {
        WLOG("CrifLoader::fillAmountUsd() was called, but market object is empty.")
        return;
    }
    std::set<CrifRecord> results;
 
    for (const CrifRecord& r : records_) {
        auto cr = r;
        // Fill in amount USD if it is missing and if CRIF record requires it (i.e. if it has amount and amount
        // currency, and risk type is neither AddOnNotionalFactor or ProductClassMultiplier)
        if (cr.requiresAmountUsd() && !cr.hasAmountUsd()) {
            if (!cr.hasAmount() || !cr.hasAmountCcy()) {
                ore::data::StructuredTradeWarningMessage(
                    cr.tradeId, cr.tradeType, "Populating CRIF amount USD",
                    "CRIF record is missing one of Amount and AmountCurrency, and there is no amountUsd value to "
                    "fall back to: " +
                        ore::data::to_string(cr))
                    .log();
            } else {
                double usdSpot = market->fxRate(cr.amountCurrency + "USD")->value();
                cr.amountUsd = cr.amount * usdSpot;
            }
        }
        results.insert(cr);
    }
    records_ = results;
}

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◆ hasNettingSetDetails()

bool hasNettingSetDetails ( ) const

Check if netting set details are used anywhere, instead of just the netting set ID.

Definition at line 342 of file crif.cpp.

                                      {
    bool hasNettingSetDetails = false;
    for (const auto& nsd : nettingSetDetails_) {
        if (!nsd.emptyOptionalFields())
            hasNettingSetDetails = true;
    }
    return hasNettingSetDetails;
}

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◆ aggregate()

Crif aggregate ( ) const

Aggregate all existing records.

Definition at line 160 of file crif.cpp.

                           {
    Crif result;
    for (auto cr : records_) {
        // We set the trade ID to an empty string because we are netting at portfolio level
        // The only exception here is schedule trades that are denoted by two rows,
        // with RiskType::Notional and RiskType::PV
        if (cr.imModel != "Schedule") {
            cr.tradeId = "";
        }
        result.addRecord(cr);
    }
    return result;
}

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◆ countMatching()

size_t countMatching	(	const NettingSetDetails &	nsd,
		const CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt,
		const std::string &	qualifier
	)		const

Definition at line 334 of file crif.cpp.

                                                                                          {
    return std::count_if(records_.begin(), records_.end(), [&nsd, &pc, &rt, &qualifier](const CrifRecord& record) {
        return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt &&
               record.qualifier == qualifier;
    });
}

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◆ ProductClassesByNettingSetDetails()

std::set< CrifRecord::ProductClass > ProductClassesByNettingSetDetails ( const NettingSetDetails nsd ) const

Definition at line 324 of file crif.cpp.

                                                                                                        {
    std::set<CrifRecord::ProductClass> keys;
    for (const auto& record : records_) {
        if (record.nettingSetDetails == nsd) {
            keys.insert(record.productClass);
        }
    }
    return keys;
}

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◆ qualifiersBy()

std::set< std::string > qualifiersBy	(	const NettingSetDetails	nsd,
		CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt
	)		const

Definition at line 227 of file crif.cpp.

                                                                            {
    auto res = records_ | boost::adaptors::filtered([&nsd, &pc, &rt](const CrifRecord& record) {
                   return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt;
               }) |
               boost::adaptors::transformed([](const CrifRecord& record) { return record.qualifier; });
    return boost::copy_range<std::set<std::string>>(res);
}

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◆ filterByQualifierAndBucket()

std::vector< CrifRecord > filterByQualifierAndBucket	(	const NettingSetDetails &	nsd,
		const CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt,
		const std::string &	qualifier,
		const std::string &	bucket
	)		const

Definition at line 236 of file crif.cpp.

                                                                                        {
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&nsd, &pc, &rt, &qualifier, &bucket](const CrifRecord& record) {
            return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt &&
                   record.qualifier == qualifier && record.bucket == bucket;
        }));
}

◆ filterByQualifier()

std::vector< CrifRecord > filterByQualifier	(	const NettingSetDetails &	nsd,
		const CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt,
		const std::string &	qualifier
	)		const

Definition at line 247 of file crif.cpp.

                                                                                                               {
 
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&nsd, &pc, &rt, &qualifier](const CrifRecord& record) {
            return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt &&
                   record.qualifier == qualifier;
        }));
}

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◆ filterByBucket()

std::vector< CrifRecord > filterByBucket	(	const NettingSetDetails &	nsd,
		const CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt,
		const std::string &	bucket
	)		const

Definition at line 257 of file crif.cpp.

                                                                                                         {
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&nsd, &pc, &rt, &bucket](const CrifRecord& record) {
            return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt &&
                   record.bucket == bucket;
        }));
}

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◆ filterBy() [1/2]

std::vector< CrifRecord > filterBy	(	const NettingSetDetails &	nsd,
		const CrifRecord::ProductClass	pc,
		const CrifRecord::RiskType	rt
	)		const

Definition at line 266 of file crif.cpp.

                                                                          {
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&nsd, &pc, &rt](const CrifRecord& record) {
            return record.nettingSetDetails == nsd && record.productClass == pc && record.riskType == rt;
        }));
}

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◆ filterBy() [2/2]

std::vector< CrifRecord > filterBy ( const CrifRecord::RiskType rt ) const

Definition at line 274 of file crif.cpp.

                                                                      {
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&rt](const CrifRecord& record) { return record.riskType == rt; }));
}

◆ filterByTradeId()

std::vector< CrifRecord > filterByTradeId ( const std::string & id ) const

Definition at line 279 of file crif.cpp.

                                                                     {
    return boost::copy_range<std::vector<CrifRecord>>(
        records_ | boost::adaptors::filtered([&id](const CrifRecord& record) { return record.tradeId == id; }));
}

◆ tradeIds()

std::set< std::string > tradeIds ( ) const

Definition at line 284 of file crif.cpp.

                                       {
    return boost::copy_range<std::set<std::string>>(
        records_ | boost::adaptors::transformed([](const CrifRecord& r) { return r.tradeId; }));
}

◆ insertCrifRecord()

void insertCrifRecord	(	const CrifRecord &	record,
		bool	aggregateDifferentAmountCurrencies = `false`
	)

private

Definition at line 77 of file crif.cpp.

                                                                                             {
 
    auto it = aggregateDifferentAmountCurrencies ? records_.end() : records_.find(record);
    auto itDiffAmountCcy = aggregateDifferentAmountCurrencies
                               ? diffAmountCurrenciesIndex_.find(record.getSimmAmountCcyKey())
                               : diffAmountCurrenciesIndex_.end();
 
    if (it == records_.end() && itDiffAmountCcy == diffAmountCurrenciesIndex_.end()) {
        auto recordIt = records_.insert(record);
        diffAmountCurrenciesIndex_[record.getSimmAmountCcyKey()] = &(*(recordIt.first));
        portfolioIds_.insert(record.portfolioId);
        nettingSetDetails_.insert(record.nettingSetDetails);
    } else if (it != records_.end()) {
        updateAmountExistingRecord(it, record);
    } else {
        updateAmountExistingRecord(itDiffAmountCcy, record);
    }
}

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◆ addFrtbCrifRecord()

void addFrtbCrifRecord	(	const CrifRecord &	record,
		bool	aggregateDifferentAmountCurrencies = `false`,
		bool	sortFxVolQualifer = `true`
	)

private

Definition at line 51 of file crif.cpp.

                                                     {
    QL_REQUIRE(type_ == CrifType::Empty || type_ == CrifType::Frtb, "Can not add a FRTB crif record to a SIMM Crif");
    if (type_ == CrifType::Empty) {
        type_ = CrifType::Frtb;
    }
    insertCrifRecord(record, aggregateDifferentAmountCurrencies);
}

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◆ addSimmCrifRecord()

void addSimmCrifRecord	(	const CrifRecord &	record,
		bool	aggregateDifferentAmountCurrencies = `false`,
		bool	sortFxVolQualifer = `true`
	)

private

Definition at line 60 of file crif.cpp.

                                                     {
    QL_REQUIRE(type_ == CrifType::Empty || type_ == CrifType::Simm, "Can not add a Simm crif record to a Frtb Crif");
    if (type_ == CrifType::Empty) {
        type_ = CrifType::Simm;
    }
    auto recordToAdd = record;
    if (sortFxVolQualifer && recordToAdd.riskType == CrifRecord::RiskType::FXVol) {
        auto ccy_1 = recordToAdd.qualifier.substr(0, 3);
        auto ccy_2 = recordToAdd.qualifier.substr(3);
        if (ccy_1 > ccy_2)
            ccy_1.swap(ccy_2);
        recordToAdd.qualifier = ccy_1 + ccy_2;
    }
    insertCrifRecord(recordToAdd, aggregateDifferentAmountCurrencies);
}

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◆ addSimmParameterRecord()

void addSimmParameterRecord ( const CrifRecord & record )

private

Definition at line 96 of file crif.cpp.

                                                          {
    auto it = records_.find(record);
    if (it == records_.end()) {
        CrifRecord newRecord = record;
        records_.insert(newRecord);
        diffAmountCurrenciesIndex_[record.getSimmAmountCcyKey()] = &newRecord;
    } else if (it->riskType == CrifRecord::RiskType::AddOnFixedAmount) {
        updateAmountExistingRecord(it, record);
    } else if (it->riskType == CrifRecord::RiskType::AddOnNotionalFactor ||
               it->riskType == CrifRecord::RiskType::ProductClassMultiplier) {
        // Only log warning if the values are not the same. If they are, then there is no material discrepancy.
        if (record.amount != it->amount) {
            string errMsg = "Found more than one instance of risk type " + ore::data::to_string(it->riskType) +
                            ". Please check the SIMM parameters input. If enforceIMRegulations=False, then it "
                            "is possible that multiple entries for different regulations now belong under the same "
                            "'Unspecified' regulation.";
            ore::analytics::StructuredAnalyticsWarningMessage("SIMM", "Aggregating SIMM parameters", errMsg).log();
        }
    }
}

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◆ updateAmountExistingRecord() [1/2]

void updateAmountExistingRecord	(	std::set< CrifRecord >::iterator &	it,
		const CrifRecord &	record
	)

private

Definition at line 117 of file crif.cpp.

                                                                                              {
    bool updated = false;
    if (record.hasAmountUsd()) {
        it->amountUsd += record.amountUsd;
        updated = true;
    }
    if (record.hasAmount() && record.hasAmountCcy() && it->amountCurrency == record.amountCurrency) {
        it->amount += record.amount;
        updated = true;
    }
    if (record.hasAmountResultCcy() && record.hasResultCcy() && it->resultCurrency == record.resultCurrency) {
        it->amountResultCcy += record.amountResultCcy;
        updated = true;
    }
    if (updated)
        DLOG("Updated net CRIF records: " << *it)
}

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◆ updateAmountExistingRecord() [2/2]

void updateAmountExistingRecord	(	std::map< CrifRecord::SimmAmountCcyKey, const CrifRecord * >::iterator &	it,
		const CrifRecord &	record
	)

private

Definition at line 135 of file crif.cpp.

                                                                {
    bool updated = false;
    if (record.hasAmountUsd()) {
        it->second->amountUsd += record.amountUsd;
        updated = true;
    }
    if (record.hasAmount() && record.hasAmountCcy() && it->second->amountCurrency == record.amountCurrency) {
        it->second->amount += record.amount;
        updated = true;
    }
    if (record.hasAmountResultCcy() && record.hasResultCcy() && it->second->resultCurrency == record.resultCurrency) {
        it->second->amountResultCcy += record.amountResultCcy;
        updated = true;
    }
    if (updated)
        DLOG("Updated net CRIF records: " << *(it->second))
}

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Member Data Documentation

◆ type_

CrifType type_ = CrifType::Empty

private

Definition at line 125 of file crif.hpp.

◆ records_

std::set<CrifRecord> records_

private

Definition at line 126 of file crif.hpp.

◆ diffAmountCurrenciesIndex_

std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*> diffAmountCurrenciesIndex_

private

Definition at line 127 of file crif.hpp.

◆ portfolioIds_

std::set<std::string> portfolioIds_

private

Set of portfolio IDs that have been loaded.

Definition at line 131 of file crif.hpp.

◆ nettingSetDetails_

std::set<ore::data::NettingSetDetails> nettingSetDetails_

private

Definition at line 132 of file crif.hpp.

Public Types

Public Member Functions

Private Member Functions

Private Attributes

Detailed Description

Member Enumeration Documentation

◆ CrifType

Constructor & Destructor Documentation

◆ Crif()

Member Function Documentation

◆ type()

◆ addRecord()

◆ addRecords()

◆ clear()

◆ begin()

◆ end()

◆ find()

◆ findBy()

◆ empty()

◆ size()

◆ hasCrifRecords()

◆ portfolioIds()

◆ nettingSetDetails()

◆ hasSimmParameters()

◆ filterNonZeroAmount()

◆ simmParameters()

◆ setSimmParameters()

◆ setCrifRecords()

◆ fillAmountUsd()

◆ hasNettingSetDetails()

◆ aggregate()

◆ countMatching()

◆ ProductClassesByNettingSetDetails()

◆ qualifiersBy()

◆ filterByQualifierAndBucket()

◆ filterByQualifier()

◆ filterByBucket()

◆ filterBy() [1/2]

◆ filterBy() [2/2]

◆ filterByTradeId()

◆ tradeIds()

◆ insertCrifRecord()

◆ addFrtbCrifRecord()

◆ addSimmCrifRecord()

◆ addSimmParameterRecord()

◆ updateAmountExistingRecord() [1/2]

◆ updateAmountExistingRecord() [2/2]

Member Data Documentation

◆ type_

◆ records_

◆ diffAmountCurrenciesIndex_

◆ portfolioIds_

◆ nettingSetDetails_