XVA Calculator base with dynamic credit. More...

#include <orea/aggregation/dynamiccreditxvacalculator.hpp>

Inheritance diagram for DynamicCreditXvaCalculator:

Collaboration diagram for DynamicCreditXvaCalculator:

Public Member Functions
	DynamicCreditXvaCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &cptyCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=0, const Size nettingSetEneIndex=1, const Size cptySpIndex=0, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND")

virtual const Real	calculateCvaIncrement (const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override

virtual const Real	calculateDvaIncrement (const string &tid, const Date &d0, const Date &d1, const Real &rr) override

virtual const Real	calculateNettingSetCvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override

virtual const Real	calculateNettingSetDvaIncrement (const string &nid, const Date &d0, const Date &d1, const Real &rr) override

virtual const Real	calculateFbaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override

virtual const Real	calculateFcaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override

virtual const Real	calculateNettingSetFbaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override

virtual const Real	calculateNettingSetFcaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override

virtual const Real	calculateNettingSetMvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf) override

Public Member Functions inherited from ValueAdjustmentCalculator
	ValueAdjustmentCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND")

virtual	~ValueAdjustmentCalculator ()

virtual void	build ()
	Compute cva along all paths and fill result structures. More...

virtual const vector< Date > &	dates ()

virtual const Date	asof ()

virtual const Real	calculateCvaIncrement (const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateDvaIncrement (const string &tid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateNettingSetCvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateNettingSetDvaIncrement (const string &nid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateFbaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateFcaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetFbaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetFcaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetMvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf)=0

const map< string, Real > &	tradeCva ()
	CVA map for all the trades. More...

const map< string, Real > &	tradeDva ()
	DVA map for all the trades. More...

const map< string, Real > &	nettingSetCva ()
	CVA map for all the netting sets. More...

const map< string, Real > &	nettingSetDva ()
	DVA map for all the netting sets. More...

const map< string, Real > &	nettingSetSumCva ()
	Sum CVA map for all the netting sets. More...

const map< string, Real > &	nettingSetSumDva ()
	Sum DVA map for all the netting sets. More...

const Real &	tradeCva (const string &trade)
	CVA for the specified trade. More...

const Real &	tradeDva (const string &trade)
	DVA for the specified trade. More...

const Real &	tradeFba (const string &trade)
	FBA for the specified trade. More...

const Real &	tradeFba_exOwnSp (const string &trade)
	FBA (excl own survival probability) for the specified trade. More...

const Real &	tradeFba_exAllSp (const string &trade)
	FBA (excl all survival probability) for the specified trade. More...

const Real &	tradeFca (const string &trade)
	FCA for the specified trade. More...

const Real &	tradeFca_exOwnSp (const string &trade)
	FCA (excl own survival probability) for the specified trade. More...

const Real &	tradeFca_exAllSp (const string &trade)
	FCA (excl all survival probability) for the specified trade. More...

const Real &	tradeMva (const string &trade)
	MVA for the specified trade. More...

const Real &	nettingSetSumCva (const string &nettingSet)
	Sum of trades' CVA for the specified netting set. More...

const Real &	nettingSetSumDva (const string &nettingSet)
	Sum of trades' DVA for the specified netting set. More...

const Real &	nettingSetCva (const string &nettingSet)
	CVA for the specified netting set. More...

const Real &	nettingSetDva (const string &nettingSet)
	DVA for the specified netting set. More...

const Real &	nettingSetFba (const string &nettingSet)
	FBA for the specified netting set. More...

const Real &	nettingSetFba_exOwnSp (const string &nettingSet)
	FBA (excl own survival probability) for the specified netting set. More...

const Real &	nettingSetFba_exAllSp (const string &nettingSet)
	FBA (excl all survival probability) for the specified netting set. More...

const Real &	nettingSetFca (const string &nettingSet)
	FCA for the specified netting set. More...

const Real &	nettingSetFca_exOwnSp (const string &nettingSet)
	FCA (excl own survival probability) for the specified netting set. More...

const Real &	nettingSetFca_exAllSp (const string &nettingSet)
	FCA (excl all survival probability) for the specified netting set. More...

const Real &	nettingSetMva (const string &nettingSet)
	MVA for the specified netting set. More...

Protected Attributes
const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube_

Size	cptySpIndex_

Protected Attributes inherited from ValueAdjustmentCalculator
QuantLib::ext::shared_ptr< Portfolio >	portfolio_

QuantLib::ext::shared_ptr< Market >	market_

string	configuration_

string	baseCurrency_

string	dvaName_

string	fvaBorrowingCurve_

string	fvaLendingCurve_

bool	applyDynamicInitialMargin_

QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_

const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_

const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube_

Size	tradeEpeIndex_

Size	tradeEneIndex_

Size	nettingSetEpeIndex_

Size	nettingSetEneIndex_

bool	flipViewXVA_

string	flipViewBorrowingCurvePostfix_

string	flipViewLendingCurvePostfix_

map< string, string >	nettingSetCpty_

map< string, Real >	tradeCva_

map< string, Real >	tradeDva_

map< string, Real >	tradeFba_

map< string, Real >	tradeFba_exOwnSp_

map< string, Real >	tradeFba_exAllSp_

map< string, Real >	tradeFca_

map< string, Real >	tradeFca_exOwnSp_

map< string, Real >	tradeFca_exAllSp_

map< string, Real >	tradeMva_

map< string, Real >	nettingSetSumCva_

map< string, Real >	nettingSetSumDva_

map< string, Real >	nettingSetCva_

map< string, Real >	nettingSetDva_

map< string, Real >	nettingSetFba_

map< string, Real >	nettingSetFba_exOwnSp_

map< string, Real >	nettingSetFba_exAllSp_

map< string, Real >	nettingSetFca_

map< string, Real >	nettingSetFca_exOwnSp_

map< string, Real >	nettingSetFca_exAllSp_

map< string, Real >	nettingSetMva_

Detailed Description

XVA Calculator base with dynamic credit.

XVA is calculated using survival probability from each path

Definition at line 39 of file dynamiccreditxvacalculator.hpp.

Constructor & Destructor Documentation

◆ DynamicCreditXvaCalculator()

DynamicCreditXvaCalculator	(	const QuantLib::ext::shared_ptr< Portfolio >	portfolio,
		const QuantLib::ext::shared_ptr< Market >	market,
		const string &	configuration,
		const string &	baseCurrency,
		const string &	dvaName,
		const string &	fvaBorrowingCurve,
		const string &	fvaLendingCurve,
		const bool	applyDynamicInitialMargin,
		const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator,
		const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube,
		const Size	tradeEpeIndex = `0`,
		const Size	tradeEneIndex = `1`,
		const Size	nettingSetEpeIndex = `0`,
		const Size	nettingSetEneIndex = `1`,
		const Size	cptySpIndex = `0`,
		const bool	flipViewXVA = `false`,
		const string &	flipViewBorrowingCurvePostfix = `"_BORROW"`,
		const string &	flipViewLendingCurvePostfix = `"_LEND"`
	)

Parameters

portfolio	Driving portfolio consistent with the cube below
market	Today's market
configuration	Market configuration to be used
baseCurrency	Base currency amounts will be converted to
dvaName	Own party name for DVA calculations
fvaBorrowingCurve	FVA borrowing curve
fvaLendingCurve	FVA lending curve
applyDynamicInitialMargin	Deactivate initial margin calculation even if active at netting set level
dimCalculator	Dynamic Initial Margin calculator
tradeExposureCube	Storage ofdefault NPVs, close-out NPVs, cash flows at trade level
nettingSetExposureCube	Storage of sensitivity vectors at netting set level
cptyCube	Storage for counterparty survival probabilities
tradeEpeIndex	Index of the trade EPE storage in the internal exposure cube
tradeEneIndex	Index of the trade ENE storage in the internal exposure cube
nettingSetEpeIndex	Index of the netting set EPE storage in the internal exposure cube
nettingSetEneIndex	Index of the netting set ENE storage in the internal exposure cube
cptySpIndex	Index of the counterparty survivalprobability storage
flipViewXVA	Flag to indicate flipped xva calculation
flipViewBorrowingCurvePostfix	Postfix for flipView borrowing curves for fva
flipViewLendingCurvePostfix	Postfix for flipView lending curves for fva

Definition at line 34 of file dynamiccreditxvacalculator.cpp.

    : ValueAdjustmentCalculator(portfolio, market, configuration, baseCurrency, dvaName,
                                fvaBorrowingCurve, fvaLendingCurve, applyDynamicInitialMargin,
                                dimCalculator, tradeExposureCube, nettingSetExposureCube, tradeEpeIndex, tradeEneIndex, 
                                nettingSetEpeIndex, nettingSetEneIndex, 
                                flipViewXVA, flipViewBorrowingCurvePostfix, flipViewLendingCurvePostfix),
      cptyCube_(cptyCube), cptySpIndex_(cptySpIndex) {
    // check consistency of input
 
    QL_REQUIRE(tradeExposureCube_->numDates() == cptyCube->numDates(),
        "number of dates in tradeExposureCube and cptyCube mismatch ("
        << tradeExposureCube_->numDates() << " vs " << cptyCube->numDates() << ")");
 
    QL_REQUIRE(cptySpIndex < cptyCube->depth(), "cptySpIndex("
        << cptySpIndex << ") exceeds depth of cptyCube("
        << cptyCube->depth() << ")");
    
    for (Size i = 0; i < tradeExposureCube_->numDates(); i++) {
        QL_REQUIRE(tradeExposureCube_->dates()[i] == cptyCube->dates()[i],
            "date at " << i << " in tradeExposureCube and cptyCube mismatch ("
            << tradeExposureCube_->dates()[i] << " vs " << cptyCube->dates()[i] << ")");
    }
}

Member Function Documentation

◆ calculateCvaIncrement()

const Real calculateCvaIncrement	(	const string &	tid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 71 of file dynamiccreditxvacalculator.cpp.

                                                                                          {
    Real increment = 0.0;
    for (Size k = 0; k < tradeExposureCube_->samples(); ++k) {
        Real s0 = d0 == asof() ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = cptyCube_->get(cid, d1, k, cptySpIndex_);
        Real epe = tradeExposureCube_->get(tid, d1, k, tradeEpeIndex_);
        increment += (s0 - s1) * epe;
    }
    return (1.0 - rr) * increment / tradeExposureCube_->samples();
}

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◆ calculateDvaIncrement()

const Real calculateDvaIncrement	(	const string &	tid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 83 of file dynamiccreditxvacalculator.cpp.

                                                                       {
    Real increment = 0.0;
    for (Size k = 0; k < tradeExposureCube_->samples(); ++k) {
        Real s0 = d0 == asof() ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real s1 = cptyCube_->get(dvaName_, d1, k, cptySpIndex_);
        Real ene = tradeExposureCube_->get(tid, d1, k, tradeEneIndex_);
        increment += (s0 - s1) * ene;
    }
    return (1.0 - rr) * increment / tradeExposureCube_->samples();
}

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◆ calculateNettingSetCvaIncrement()

const Real calculateNettingSetCvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 95 of file dynamiccreditxvacalculator.cpp.

                                                                                          {
    Real increment = 0.0;
    for (Size k = 0; k < nettingSetExposureCube_->samples(); ++k) {
        Real s0 = d0 == asof() ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = cptyCube_->get(cid, d1, k, cptySpIndex_);
        Real epe = nettingSetExposureCube_->get(nid, d1, k, nettingSetEpeIndex_);
        increment += (s0 - s1) * epe;
    }
    return (1.0 - rr) * increment / nettingSetExposureCube_->samples();
}

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◆ calculateNettingSetDvaIncrement()

const Real calculateNettingSetDvaIncrement	(	const string &	nid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 107 of file dynamiccreditxvacalculator.cpp.

                                                                       {
    Real increment = 0.0;
    for (Size k = 0; k < nettingSetExposureCube_->samples(); ++k) {
        Real s0 = d0 == asof() ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real s1 = cptyCube_->get(dvaName_, d1, k, cptySpIndex_);
        Real ene = nettingSetExposureCube_->get(nid, d1, k, nettingSetEneIndex_);
        increment += (s0 - s1) * ene;
    }
    return (1.0 - rr) * increment / nettingSetExposureCube_->samples();
}

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◆ calculateFbaIncrement()

const Real calculateFbaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 119 of file dynamiccreditxvacalculator.cpp.

                                                     {
    Real increment = 0.0;
    for (Size k = 0; k < tradeExposureCube_->samples(); ++k) {
        Real s0 = (d0 == asof() || cid == "") ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = (d0 == asof() || dvaName == "") ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real ene = tradeExposureCube_->get(tid, d1, k, tradeEneIndex_);
        increment += s0 * s1 * ene;
    }
    return increment * dcf / tradeExposureCube_->samples();
}

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◆ calculateFcaIncrement()

const Real calculateFcaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 132 of file dynamiccreditxvacalculator.cpp.

                                                     {
    Real increment = 0.0;
    for (Size k = 0; k < tradeExposureCube_->samples(); ++k) {
        Real s0 = (d0 == asof() || cid == "") ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = (d0 == asof() || dvaName == "") ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real epe = tradeExposureCube_->get(tid, d1, k, tradeEpeIndex_);
        increment += s0 * s1 * epe;
    }
    return increment * dcf / tradeExposureCube_->samples();
}

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◆ calculateNettingSetFbaIncrement()

const Real calculateNettingSetFbaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 145 of file dynamiccreditxvacalculator.cpp.

                                                     {
    Real increment = 0.0;
    for (Size k = 0; k < nettingSetExposureCube_->samples(); ++k) {
        Real s0 = (d0 == asof() || cid == "") ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = (d0 == asof() || dvaName == "") ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real ene = nettingSetExposureCube_->get(nid, d1, k, nettingSetEneIndex_);
        increment += s0 * s1 * ene;
    }
    return increment * dcf / nettingSetExposureCube_->samples();
}

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◆ calculateNettingSetFcaIncrement()

const Real calculateNettingSetFcaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 158 of file dynamiccreditxvacalculator.cpp.

                                                     {
    Real increment = 0.0;
    for (Size k = 0; k < nettingSetExposureCube_->samples(); ++k) {
        Real s0 = (d0 == asof() || cid == "") ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = (d0 == asof() || dvaName == "") ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real epe = nettingSetExposureCube_->get(nid, d1, k, nettingSetEpeIndex_);
        increment += s0 * s1 * epe;
    }
    return increment * dcf / nettingSetExposureCube_->samples();
}

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◆ calculateNettingSetMvaIncrement()

const Real calculateNettingSetMvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

overridevirtual

Implements ValueAdjustmentCalculator.

Definition at line 171 of file dynamiccreditxvacalculator.cpp.

                                                                                           {
 
    Real increment = 0.0;
    for (Size k = 0; k < nettingSetExposureCube_->samples(); ++k) {
        Real s0 = (d0 == asof() || cid == "") ? 1.0 : cptyCube_->get(cid, d0, k, cptySpIndex_);
        Real s1 = (d0 == asof() || dvaName_ == "") ? 1.0 : cptyCube_->get(dvaName_, d0, k, cptySpIndex_);
        Real im = dimCalculator_->dimCube()->get(nid, d1, k);
        increment += s0 * s1 * im;
    }
    return increment * dcf / nettingSetExposureCube_->samples();
}

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Member Data Documentation

◆ cptyCube_

const QuantLib::ext::shared_ptr<NPVCube>& cptyCube_

protected

Definition at line 103 of file dynamiccreditxvacalculator.hpp.

◆ cptySpIndex_

Size cptySpIndex_

protected

Definition at line 104 of file dynamiccreditxvacalculator.hpp.

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ DynamicCreditXvaCalculator()

Member Function Documentation

◆ calculateCvaIncrement()

◆ calculateDvaIncrement()

◆ calculateNettingSetCvaIncrement()

◆ calculateNettingSetDvaIncrement()

◆ calculateFbaIncrement()

◆ calculateFcaIncrement()

◆ calculateNettingSetFbaIncrement()

◆ calculateNettingSetFcaIncrement()

◆ calculateNettingSetMvaIncrement()

Member Data Documentation

◆ cptyCube_

◆ cptySpIndex_