CrifConfiguration Class Reference

#include <orea/simm/crifconfiguration.hpp>

Inheritance diagram for CrifConfiguration:

Collaboration diagram for CrifConfiguration:

Public Member Functions
virtual	~CrifConfiguration ()
virtual const std::string &	name () const =0
	Returns the SIMM configuration name. More...
virtual const std::string &	version () const =0
	Returns the SIMM configuration version. More...
virtual std::string	bucket (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0
virtual bool	hasBucketMapping (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0
virtual const QuantLib::ext::shared_ptr< SimmBucketMapper > &	bucketMapper () const =0
	Returns the SIMM bucket mapper used by the configuration. More...
virtual std::string	label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const
virtual std::string	label2 (const QuantLib::Period &p) const

Detailed Description

Definition at line 35 of file crifconfiguration.hpp.

Constructor & Destructor Documentation

~CrifConfiguration()

virtual ~CrifConfiguration ( )

virtual

Definition at line 37 of file crifconfiguration.hpp.

{};

Member Function Documentation

name()

virtual const std::string & name ( ) const

pure virtual

Returns the SIMM configuration name.

Implemented in SimmConfigurationBase.

version()

virtual const std::string & version ( ) const

pure virtual

Returns the SIMM configuration version.

Implemented in SimmConfigurationBase.

bucket()

virtual std::string bucket ( const ore::analytics::CrifRecord::RiskType &  rt, const std::string &  qualifier  ) const

pure virtual

Return the CRIF bucket name for the given risk type rt and qualifier

Warning:

Throws an error if there are no buckets for the risk type rt

Implemented in SimmConfigurationBase.

hasBucketMapping()

virtual bool hasBucketMapping ( const ore::analytics::CrifRecord::RiskType &  rt, const std::string &  qualifier  ) const

pure virtual

Implemented in SimmConfiguration.

bucketMapper()

virtual const QuantLib::ext::shared_ptr< SimmBucketMapper > & bucketMapper ( ) const

pure virtual

Returns the SIMM bucket mapper used by the configuration.

Implemented in SimmConfigurationBase.

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label2() [1/2]

std::string label2 ( const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &  irIndex ) const

virtual

Return the CRIF Label2 value for the given interest rate index irIndex. For interest rate indices, this is the CRIF sub curve name e.g. 'Libor1m', 'Libor3m' etc.

Reimplemented in SimmConfigurationCalibration, SimmConfiguration_ISDA_V1_3_38, SimmConfiguration_ISDA_V2_0, SimmConfiguration_ISDA_V2_1, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_5A, and SimmConfiguration_ISDA_V2_6.

Definition at line 59 of file crifconfiguration.cpp.

                                                                                                         {
    std::string label2;
    if (boost::algorithm::starts_with(irIndex->name(), "BMA")) {
        // There was no municipal until later so override this in
        // derived configurations and use 'Prime' in base
        label2 = "Prime";
    } else if (irIndex->familyName() == "Prime") {
        label2 = "Prime";
    } else if(QuantLib::ext::dynamic_pointer_cast<QuantExt::TermRateIndex>(irIndex) != nullptr) {
    // see ISDA-SIMM-FAQ_Methodology-and-Implementation_20220323_clean.pdf: E.8 Term RFR rate risk should be treated as RFR rate risk
        label2 = "OIS";
    } else {
        label2 = periodToLabels2(irIndex->tenor());
        QL_REQUIRE(!label2.empty(), "Could not determine SIMM Label2 for index " << irIndex->name());
    }
    return label2;
}

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label2() [2/2]

std::string label2 ( const QuantLib::Period &  p ) const

virtual

Return the CRIF Label2 value for the given Libor tenor p. This is the CRIF sub curve name, e.g. 'Libor1m', 'Libor3m' etc.

Definition at line 53 of file crifconfiguration.cpp.

                                                                 {
    std::string label2 = periodToLabels2(p);
    QL_REQUIRE(!label2.empty(), "Could not determine SIMM Label2 for period " << p);
    return label2;
}

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