Allow for interpretation of how data is stored within cube and AggregationScenarioData. More...

#include <orea/cube/cubeinterpretation.hpp>

Collaboration diagram for CubeInterpretation:

Public Member Functions
	CubeInterpretation (const bool storeFlows, const bool withCloseOutLag, const QuantLib::Handle< AggregationScenarioData > &aggregationScenarioData=QuantLib::Handle< AggregationScenarioData >(), const QuantLib::ext::shared_ptr< DateGrid > &dateGrid=nullptr, const Size storeCreditStateNPVs=0, const bool flipViewXVA=false)

bool	storeFlows () const
	inspectors More...

bool	withCloseOutLag () const

const QuantLib::Handle< AggregationScenarioData > &	aggregationScenarioData () const

const QuantLib::ext::shared_ptr< DateGrid > &	dateGrid () const

Size	storeCreditStateNPVs () const

bool	flipViewXVA () const

Size	requiredNpvCubeDepth () const
	npv cube depth that is at least required to work with this interpretation More...

Size	defaultDateNpvIndex () const
	indices in depth direction, might be Null<Size>() if not applicable More...

Size	closeOutDateNpvIndex () const

Size	mporFlowsIndex () const

Size	creditStateNPVsIndex () const

Real	getGenericValue (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx, Size depth) const
	Retrieve an arbitrary value from the Cube (user needs to know the precise location within depth axis) More...

Real	getDefaultNpv (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx) const
	Retrieve the default date NPV from the Cube. More...

Real	getCloseOutNpv (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx) const
	Retrieve the close-out date NPV from the Cube. More...

Real	getMporPositiveFlows (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx) const
	Retrieve the aggregate value of Margin Period of Risk positive cashflows from the Cube. More...

Real	getMporNegativeFlows (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx) const
	Retrieve the aggregate value of Margin Period of Risk negative cashflows from the Cube. More...

Real	getMporFlows (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size tradeIdx, Size dateIdx, Size sampleIdx) const
	Retrieve the aggregate value of Margin Period of Risk cashflows from the Cube. More...

Real	getDefaultAggregationScenarioData (const AggregationScenarioDataType &dataType, Size dateIdx, Size sampleIdx, const std::string &qualifier="") const
	Retrieve a (default date) simulated risk factor value from AggregationScenarioData. More...

Real	getCloseOutAggregationScenarioData (const AggregationScenarioDataType &dataType, Size dateIdx, Size sampleIdx, const std::string &qualifier="") const
	Retrieve a (default date) simulated risk factor value from AggregationScenarioData. More...

Size	getMporCalendarDays (const QuantLib::ext::shared_ptr< NPVCube > &cube, Size dateIdx) const
	Number of Calendar Days between a given default date and corresponding close-out date. More...

Private Attributes
bool	storeFlows_

bool	withCloseOutLag_

QuantLib::Handle< AggregationScenarioData >	aggregationScenarioData_

QuantLib::ext::shared_ptr< DateGrid >	dateGrid_

Size	storeCreditStateNPVs_

bool	flipViewXVA_

Size	requiredCubeDepth_

Size	defaultDateNpvIndex_ = QuantLib::Null<Size>()

Size	closeOutDateNpvIndex_ = QuantLib::Null<Size>()

Size	mporFlowsIndex_ = QuantLib::Null<Size>()

Size	creditStateNPVsIndex_ = QuantLib::Null<Size>()

Detailed Description

Allow for interpretation of how data is stored within cube and AggregationScenarioData.

Definition at line 44 of file cubeinterpretation.hpp.

Constructor & Destructor Documentation

◆ CubeInterpretation()

CubeInterpretation	(	const bool	storeFlows,
		const bool	withCloseOutLag,
		const QuantLib::Handle< AggregationScenarioData > &	aggregationScenarioData = `QuantLib::Handle<AggregationScenarioData>()`,
		const QuantLib::ext::shared_ptr< DateGrid > &	dateGrid = `nullptr`,
		const Size	storeCreditStateNPVs = `0`,
		const bool	flipViewXVA = `false`
	)

Definition at line 26 of file cubeinterpretation.cpp.

    : storeFlows_(storeFlows), withCloseOutLag_(withCloseOutLag), aggregationScenarioData_(aggregationScenarioData),
      dateGrid_(dateGrid), storeCreditStateNPVs_(storeCreditStateNPVs), flipViewXVA_(flipViewXVA) {
 
    // determine required cube depth and layout
 
    requiredCubeDepth_ = 1;
    defaultDateNpvIndex_ = 0;
 
    if (withCloseOutLag_) {
        closeOutDateNpvIndex_ = requiredCubeDepth_++;
        QL_REQUIRE(dateGrid_ != nullptr, "CubeInterpretation: dateGrid is required when withCloseOutLag is true");
    }
 
    if (storeFlows_) {
        mporFlowsIndex_ = requiredCubeDepth_;
        requiredCubeDepth_ += 2;
    }
 
    if (storeCreditStateNPVs_ > 0) {
        creditStateNPVsIndex_ = requiredCubeDepth_;
        requiredCubeDepth_ += storeCreditStateNPVs_;
    }
}

Member Function Documentation

◆ storeFlows()

bool storeFlows ( ) const

inspectors

Definition at line 54 of file cubeinterpretation.cpp.

54{ return storeFlows_; }

◆ withCloseOutLag()

bool withCloseOutLag ( ) const

Definition at line 56 of file cubeinterpretation.cpp.

56{ return withCloseOutLag_; }

◆ aggregationScenarioData()

const QuantLib::Handle< AggregationScenarioData > & aggregationScenarioData ( ) const

Definition at line 60 of file cubeinterpretation.cpp.

                                                                                                 {
    return aggregationScenarioData_;
}

◆ dateGrid()

const QuantLib::ext::shared_ptr< DateGrid > & dateGrid ( ) const

Definition at line 64 of file cubeinterpretation.cpp.

64{ return dateGrid_; }

◆ storeCreditStateNPVs()

Size storeCreditStateNPVs ( ) const

Definition at line 58 of file cubeinterpretation.cpp.

58{ return storeCreditStateNPVs_; }

◆ flipViewXVA()

bool flipViewXVA ( ) const

Definition at line 66 of file cubeinterpretation.cpp.

66{ return flipViewXVA_; }

◆ requiredNpvCubeDepth()

Size requiredNpvCubeDepth ( ) const

npv cube depth that is at least required to work with this interpretation

Definition at line 68 of file cubeinterpretation.cpp.

68{ return requiredCubeDepth_; }

◆ defaultDateNpvIndex()

Size defaultDateNpvIndex ( ) const

indices in depth direction, might be Null<Size>() if not applicable

Definition at line 70 of file cubeinterpretation.cpp.

70{ return defaultDateNpvIndex_; }

◆ closeOutDateNpvIndex()

Size closeOutDateNpvIndex ( ) const

Definition at line 71 of file cubeinterpretation.cpp.

71{ return closeOutDateNpvIndex_; }

◆ mporFlowsIndex()

Size mporFlowsIndex ( ) const

Definition at line 72 of file cubeinterpretation.cpp.

72{ return mporFlowsIndex_; }

◆ creditStateNPVsIndex()

Size creditStateNPVsIndex ( ) const

Definition at line 73 of file cubeinterpretation.cpp.

73{ return creditStateNPVsIndex_; }

◆ getGenericValue()

Real getGenericValue	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx,
		Size	depth
	)		const

Retrieve an arbitrary value from the Cube (user needs to know the precise location within depth axis)

Definition at line 75 of file cubeinterpretation.cpp.

                                                                           {
    if (flipViewXVA_) {
        return -cube->get(tradeIdx, dateIdx, sampleIdx, depth);
    } else {
        return cube->get(tradeIdx, dateIdx, sampleIdx, depth);
    }
}

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◆ getDefaultNpv()

Real getDefaultNpv	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx
	)		const

Retrieve the default date NPV from the Cube.

Definition at line 84 of file cubeinterpretation.cpp.

                                                             {
    return getGenericValue(cube, tradeIdx, dateIdx, sampleIdx, defaultDateNpvIndex_);
}

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◆ getCloseOutNpv()

Real getCloseOutNpv	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx
	)		const

Retrieve the close-out date NPV from the Cube.

Definition at line 89 of file cubeinterpretation.cpp.

                                                              {
    if (withCloseOutLag_)
        return getGenericValue(cube, tradeIdx, dateIdx, sampleIdx, closeOutDateNpvIndex_) /
               getCloseOutAggregationScenarioData(AggregationScenarioDataType::Numeraire, dateIdx, sampleIdx);
    else
        return getGenericValue(cube, tradeIdx, dateIdx + 1, sampleIdx, defaultDateNpvIndex_);
}

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◆ getMporPositiveFlows()

Real getMporPositiveFlows	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx
	)		const

Retrieve the aggregate value of Margin Period of Risk positive cashflows from the Cube.

Definition at line 98 of file cubeinterpretation.cpp.

                                                                   {
    if (mporFlowsIndex_ == QuantLib::Null<Size>())
        return 0.0;
    Real aggMporFlowsVal = 0.0;
    try {
        aggMporFlowsVal = getGenericValue(cube, tradeIdx, dateIdx, sampleIdx, mporFlowsIndex_);
    } catch (std::exception& e) {
        DLOG("Unable to retrieve MPOR flows for trade " << tradeIdx << ", date " << dateIdx << ", sample " << sampleIdx
                                                        << "; " << e.what());
    }
    return aggMporFlowsVal;
}

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◆ getMporNegativeFlows()

Real getMporNegativeFlows	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx
	)		const

Retrieve the aggregate value of Margin Period of Risk negative cashflows from the Cube.

Definition at line 112 of file cubeinterpretation.cpp.

                                                                   {
    if (mporFlowsIndex_ == QuantLib::Null<Size>())
        return 0.0;
    Real aggMporFlowsVal = 0.0;
    try {
        aggMporFlowsVal = getGenericValue(cube, tradeIdx, dateIdx, sampleIdx, mporFlowsIndex_ + 1);
    } catch (std::exception& e) {
        DLOG("Unable to retrieve MPOR flows for trade " << tradeIdx << ", date " << dateIdx << ", sample " << sampleIdx
                                                        << "; " << e.what());
    }
    return aggMporFlowsVal;
}

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◆ getMporFlows()

Real getMporFlows	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	tradeIdx,
		Size	dateIdx,
		Size	sampleIdx
	)		const

Retrieve the aggregate value of Margin Period of Risk cashflows from the Cube.

Definition at line 126 of file cubeinterpretation.cpp.

                                                            {
    return getMporPositiveFlows(cube, tradeIdx, dateIdx, sampleIdx) + getMporNegativeFlows(cube, tradeIdx, dateIdx, sampleIdx) ;
}

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◆ getDefaultAggregationScenarioData()

Real getDefaultAggregationScenarioData	(	const AggregationScenarioDataType &	dataType,
		Size	dateIdx,
		Size	sampleIdx,
		const std::string &	qualifier = `""`
	)		const

Retrieve a (default date) simulated risk factor value from AggregationScenarioData.

Definition at line 131 of file cubeinterpretation.cpp.

                                                                                                             {
    QL_REQUIRE(!aggregationScenarioData_.empty(),
               "CubeInterpretation::getDefaultAggregationScenarioData(): no aggregation scenario data given");
    return aggregationScenarioData_->get(dateIdx, sampleIdx, dataType, qualifier);
}

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◆ getCloseOutAggregationScenarioData()

Real getCloseOutAggregationScenarioData	(	const AggregationScenarioDataType &	dataType,
		Size	dateIdx,
		Size	sampleIdx,
		const std::string &	qualifier = `""`
	)		const

Retrieve a (default date) simulated risk factor value from AggregationScenarioData.

Definition at line 138 of file cubeinterpretation.cpp.

                                                                                                              {
    if (withCloseOutLag_) {
        QL_REQUIRE(dataType == AggregationScenarioDataType::Numeraire,
                   "close out aggr scen data only available for numeraire");
        // this is an approximation
        return getDefaultAggregationScenarioData(dataType, dateIdx, sampleIdx, qualifier);
    } else {
        QL_REQUIRE(!aggregationScenarioData_.empty(), "CubeInterpretation::getCloseOutAggregationScenarioData(): no "
                                                      "aggregation scenario data given");
        return aggregationScenarioData_->get(dateIdx + 1, sampleIdx, dataType, qualifier);
    }
}

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◆ getMporCalendarDays()

Size getMporCalendarDays	(	const QuantLib::ext::shared_ptr< NPVCube > &	cube,
		Size	dateIdx
	)		const

Number of Calendar Days between a given default date and corresponding close-out date.

Definition at line 152 of file cubeinterpretation.cpp.

                                                                                                           {
    if (withCloseOutLag_) {
        QuantLib::Date dd = dateGrid_->valuationDates()[dateIdx];
        QuantLib::Date cd = dateGrid_->closeOutDates()[dateIdx];
        QL_REQUIRE(cd > dd, "close-out date (" << cd << ") must be greater than default date (" << dd << ") at index "
                                               << dateIdx);
        return (cd - dd);
    } else {
        return cube->dates()[dateIdx + 1] - cube->dates()[dateIdx];
    }
}

Member Data Documentation

◆ storeFlows_

bool storeFlows_

private

Definition at line 101 of file cubeinterpretation.hpp.

◆ withCloseOutLag_

bool withCloseOutLag_

private

Definition at line 102 of file cubeinterpretation.hpp.

◆ aggregationScenarioData_

QuantLib::Handle<AggregationScenarioData> aggregationScenarioData_

private

Definition at line 103 of file cubeinterpretation.hpp.

◆ dateGrid_

QuantLib::ext::shared_ptr<DateGrid> dateGrid_

private

Definition at line 104 of file cubeinterpretation.hpp.

◆ storeCreditStateNPVs_

Size storeCreditStateNPVs_

private

Definition at line 105 of file cubeinterpretation.hpp.

◆ flipViewXVA_

bool flipViewXVA_

private

Definition at line 106 of file cubeinterpretation.hpp.

◆ requiredCubeDepth_

Size requiredCubeDepth_

private

Definition at line 108 of file cubeinterpretation.hpp.

◆ defaultDateNpvIndex_

Size defaultDateNpvIndex_ = QuantLib::Null<Size>()

private

Definition at line 109 of file cubeinterpretation.hpp.

◆ closeOutDateNpvIndex_

Size closeOutDateNpvIndex_ = QuantLib::Null<Size>()

private

Definition at line 110 of file cubeinterpretation.hpp.

◆ mporFlowsIndex_

Size mporFlowsIndex_ = QuantLib::Null<Size>()

private

Definition at line 111 of file cubeinterpretation.hpp.

◆ creditStateNPVsIndex_

Size creditStateNPVsIndex_ = QuantLib::Null<Size>()

private

Definition at line 112 of file cubeinterpretation.hpp.

Public Member Functions

Private Attributes

Detailed Description

Constructor & Destructor Documentation

◆ CubeInterpretation()

Member Function Documentation

◆ storeFlows()

◆ withCloseOutLag()

◆ aggregationScenarioData()

◆ dateGrid()

◆ storeCreditStateNPVs()

◆ flipViewXVA()

◆ requiredNpvCubeDepth()

◆ defaultDateNpvIndex()

◆ closeOutDateNpvIndex()

◆ mporFlowsIndex()

◆ creditStateNPVsIndex()

◆ getGenericValue()

◆ getDefaultNpv()

◆ getCloseOutNpv()

◆ getMporPositiveFlows()

◆ getMporNegativeFlows()

◆ getMporFlows()

◆ getDefaultAggregationScenarioData()

◆ getCloseOutAggregationScenarioData()

◆ getMporCalendarDays()

Member Data Documentation

◆ storeFlows_

◆ withCloseOutLag_

◆ aggregationScenarioData_

◆ dateGrid_

◆ storeCreditStateNPVs_

◆ flipViewXVA_

◆ requiredCubeDepth_

◆ defaultDateNpvIndex_

◆ closeOutDateNpvIndex_

◆ mporFlowsIndex_

◆ creditStateNPVsIndex_