#include <orea/simm/crifloader.hpp>

Inheritance diagram for CrifLoader:

Collaboration diagram for CrifLoader:

Public Member Functions
	CrifLoader (const QuantLib::ext::shared_ptr< SimmConfiguration > &configuration, const std::vector< std::set< std::string > > &additionalHeaders={}, bool updateMapper=false, bool aggregateTrades=true)

virtual	~CrifLoader ()

virtual Crif	loadCrif ()

const QuantLib::ext::shared_ptr< SimmConfiguration > &	simmConfiguration ()
	SIMM configuration getter. More...

Protected Member Functions
virtual Crif	loadCrifImpl ()=0

void	addRecordToCrif (Crif &crif, CrifRecord &&recordToAdd) const

void	validateSimmRecord (const CrifRecord &cr) const
	Check if the record is a valid Simm Crif Record. More...

void	currencyOverrides (CrifRecord &crifRecord) const
	Override currency codes. More...

void	updateMapping (const CrifRecord &cr) const
	update bucket mappings More...

Protected Attributes
QuantLib::ext::shared_ptr< SimmConfiguration >	configuration_
	Simm configuration that is used during loading of CRIF records. More...

std::vector< std::set< std::string > >	additionalHeaders_
	Defines accepted column headers, beyond required and optional headers, see crifloader.cpp. More...

bool	updateMapper_

bool	aggregateTrades_

Static Protected Attributes
static std::map< QuantLib::Size, std::set< std::string > >	requiredHeaders
	Map giving required CRIF file headers and their allowable alternatives. More...

static std::map< QuantLib::Size, std::set< std::string > >	optionalHeaders
	Map giving optional CRIF file headers and their allowable alternatives. More...

Detailed Description

A class for loading CRIF records. The records are aggregated and stored in a SimmNetSensitivities object so that they can later be used in a SIMM calculation

Definition at line 40 of file crifloader.hpp.

Constructor & Destructor Documentation

◆ CrifLoader()

CrifLoader	(	const QuantLib::ext::shared_ptr< SimmConfiguration > &	configuration,
		const std::vector< std::set< std::string > > &	additionalHeaders = `{}`,
		bool	updateMapper = `false`,
		bool	aggregateTrades = `true`
	)

Constructor We set the trade ID to an empty string if we are going to be netting at portfolio level. This is the default. To override this the flag keepTradeId may be set to true.

Definition at line 46 of file crifloader.hpp.

                                                                       {},
               bool updateMapper = false, bool aggregateTrades = true)
        : configuration_(configuration), additionalHeaders_(additionalHeaders), updateMapper_(updateMapper),
          aggregateTrades_(aggregateTrades) {}

◆ ~CrifLoader()

virtual ~CrifLoader ( )

virtual

Destructor

Definition at line 53 of file crifloader.hpp.

53{}

Member Function Documentation

◆ loadCrif()

virtual Crif loadCrif ( )

virtual

Definition at line 55 of file crifloader.hpp.

                            {
        auto crif = loadCrifImpl();
        if (updateMapper_ && configuration_->bucketMapper() != nullptr) {
            configuration_->bucketMapper()->updateFromCrif(crif);
        }
        return crif;
    }

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◆ simmConfiguration()

const QuantLib::ext::shared_ptr< SimmConfiguration > & simmConfiguration ( )

SIMM configuration getter.

Definition at line 64 of file crifloader.hpp.

64{ return configuration_; }

◆ loadCrifImpl()

virtual Crif loadCrifImpl ( )

protectedpure virtual

Implemented in StringStreamCrifLoader.

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◆ addRecordToCrif()

void addRecordToCrif	(	Crif &	crif,
		CrifRecord &&	recordToAdd
	)		const

protected

Definition at line 95 of file crifloader.cpp.

                                                                           {
    bool add = recordToAdd.type() != CrifRecord::RecordType::Generic;
    if (recordToAdd.type() == CrifRecord::RecordType::SIMM) {
        validateSimmRecord(recordToAdd);
        currencyOverrides(recordToAdd);
        add = configuration_->isValidRiskType(recordToAdd.riskType);
    }
    if (aggregateTrades_) {
        recordToAdd.tradeId = "";
    }
    if (add) {
        crif.addRecord(recordToAdd);
    } else {
        QL_FAIL("Risk type string " << recordToAdd.riskType << " does not correspond to a valid SimmConfiguration::RiskType");
    }
}

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◆ validateSimmRecord()

void validateSimmRecord ( const CrifRecord & cr ) const

protected

Check if the record is a valid Simm Crif Record.

Definition at line 112 of file crifloader.cpp.

                                                              {   
    switch (cr.riskType) {
    case RiskType::AddOnFixedAmount:
    case RiskType::AddOnNotionalFactor:
        QL_REQUIRE(cr.productClass == ProductClass::Empty,
                   "Expected product class " << ProductClass::Empty << " for risk type " << cr.riskType);
        break;
    case RiskType::ProductClassMultiplier: {
 
        QL_REQUIRE(cr.productClass == ProductClass::Empty,
                   "Expected product class " << ProductClass::Empty << " for risk type " << cr.riskType);
        // Check that the qualifier is a valid Product class
        auto pc = parseProductClass(cr.qualifier);
        QL_REQUIRE(pc != ProductClass::Empty,
                   "The qualifier " << cr.qualifier << " should parse to a valid product class for risk type "
                                    << cr.riskType);
        // Check that the amount is a number >= 1.0
        QL_REQUIRE(cr.amount >= 0.0, "Expected an amount greater than or equal to 0 "
                                         << "for risk type " << cr.riskType << " and qualifier " << cr.qualifier
                                         << " but got " << cr.amount);
        break;
    }
    case RiskType::Notional:
    case RiskType::PV:
        if (cr.imModel == "Schedule")
            QL_REQUIRE(!cr.endDate.empty(),
                       "Expected end date for risk type " << cr.riskType << " and im_model=\'Schedule\'");
        break;
    default:
        break;
    }
}

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◆ currencyOverrides()

void currencyOverrides ( CrifRecord & crifRecord ) const

protected

Override currency codes.

Definition at line 145 of file crifloader.cpp.

                                                       {
    switch (cr.riskType) {
    case RiskType::IRCurve:
    case RiskType::IRVol:
    case RiskType::Inflation:
    case RiskType::InflationVol:
    case RiskType::XCcyBasis:
    case RiskType::FX:
        // TODO: Do we really need to switch CNH to CNY here?
        //       How many more are like this?
        if (cr.qualifier == "CNH")
            cr.qualifier = "CNY";
        QL_REQUIRE(checkCurrency(cr.qualifier),
                   "currency code '" << cr.qualifier << "' is not a supported currency code");
        break;
    case RiskType::FXVol: {
 
        // Normalise the qualifier i.e. XXXYYY and YYYXXX are the same
        QL_REQUIRE(cr.qualifier.size() == 6,
                   "Expected a string of length 6 for FXVol qualifier but got " << cr.qualifier);
        auto ccy_1 = cr.qualifier.substr(0, 3);
        auto ccy_2 = cr.qualifier.substr(3);
        if (ccy_1 == "CNH")
            ccy_1 = "CNY";
        if (ccy_2 == "CNH")
            ccy_2 = "CNY";
        QL_REQUIRE(checkCurrency(ccy_1), "currency code 1 in pair '" << cr.qualifier << "' (" << ccy_1
                                                                     << ") is not a supported currency code");
        QL_REQUIRE(checkCurrency(ccy_2), "currency code 2 in pair '" << cr.qualifier << "' (" << ccy_2
                                                                     << ") is not a supported currency code");
        if (ccy_1 > ccy_2)
            ccy_1.swap(ccy_2);
        cr.qualifier = ccy_1 + ccy_2;
 
        break;
    }
    default:
        break;
    }
}

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◆ updateMapping()

void updateMapping ( const CrifRecord & cr ) const

protected

update bucket mappings

Definition at line 186 of file crifloader.cpp.

                                                         {    
    // Update the SIMM configuration's bucket mapper if the
    // loader has set this flag
    if (updateMapper_ && !cr.isSimmParameter()) {
        const auto& bm = configuration_->bucketMapper();
        if (bm->hasBuckets(cr.riskType)) {
            bm->addMapping(cr.riskType, cr.qualifier, cr.bucket);
        }
    }
}

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Member Data Documentation

◆ configuration_

QuantLib::ext::shared_ptr<SimmConfiguration> configuration_

protected

Simm configuration that is used during loading of CRIF records.

Definition at line 79 of file crifloader.hpp.

◆ additionalHeaders_

std::vector<std::set<std::string> > additionalHeaders_

protected

Defines accepted column headers, beyond required and optional headers, see crifloader.cpp.

Definition at line 82 of file crifloader.hpp.

◆ updateMapper_

bool updateMapper_

protected

If true, the SIMM configuration's bucket mapper is updated during the CRIF loading with the mapping from SIMM qualifier to SIMM bucket. This is useful when consuming CRIF files from elsewhere in that it allows for using the mapping that is already present in the external file.

Definition at line 89 of file crifloader.hpp.

◆ aggregateTrades_

bool aggregateTrades_

protected

If true, aggregate over trade ids

Definition at line 92 of file crifloader.hpp.

◆ requiredHeaders

map< Size, set< string > > requiredHeaders

staticprotected

Initial value:

= {
    {0, {"tradeid", "trade_id"}},
    {1, {"portfolioid", "portfolio_id"}},
    {2, {"productclass", "product_class", "asset_class"}},
    {3, {"risktype", "risk_type"}},
    {4, {"qualifier"}},
    {5, {"bucket"}},
    {6, {"label1"}},
    {7, {"label2"}},
    {8, {"amountcurrency", "currency", "amount_currency"}},
    {9, {"amount"}},
    {10, {"amountusd", "amount_usd"}}}

Map giving required CRIF file headers and their allowable alternatives.

Definition at line 95 of file crifloader.hpp.

◆ optionalHeaders

map< Size, set< string > > optionalHeaders

staticprotected

Initial value:

= {
    
    {11, {"agreementtype", "agreement_type"}},
    {12, {"calltype", "call_type"}},
    {13, {"initialmargintype", "initial_margin_type"}},
    {14, {"legalentityid", "legal_entity_id"}},
    {15, {"tradetype", "trade_type"}},
    {16, {"immodel", "im_model"}},
    {17, {"post_regulations"}},
    {18, {"collect_regulations"}},
    {19, {"end_date"}},
    {20, {"label_3"}},
    {21, {"creditquality"}},
    {22, {"longshortind"}},
    {23, {"coveredbonind"}},
    {24, {"tranchethickness"}},
    {25, {"bb_rw"}}}

Map giving optional CRIF file headers and their allowable alternatives.

Definition at line 98 of file crifloader.hpp.

Public Member Functions

Protected Member Functions

Protected Attributes

Static Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CrifLoader()

◆ ~CrifLoader()

Member Function Documentation

◆ loadCrif()

◆ simmConfiguration()

◆ loadCrifImpl()

◆ addRecordToCrif()

◆ validateSimmRecord()

◆ currencyOverrides()

◆ updateMapping()

Member Data Documentation

◆ configuration_

◆ additionalHeaders_

◆ updateMapper_

◆ aggregateTrades_

◆ requiredHeaders

◆ optionalHeaders