ExposureAllocator Class Reference

Exposure allocator base class. More...

#include <orea/aggregation/exposureallocator.hpp>

Inheritance diagram for ExposureAllocator:

Collaboration diagram for ExposureAllocator:

Public Types
enum class	AllocationMethod {   None , Marginal , RelativeFairValueGross , RelativeFairValueNet ,   RelativeXVA }

Public Member Functions
	ExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2)
virtual	~ExposureAllocator ()
const QuantLib::ext::shared_ptr< NPVCube > &	exposureCube ()
virtual void	build ()
	Compute exposures along all paths and fill result structures. More...

Protected Member Functions
virtual Real	calculateAllocatedEpe (const string &tid, const string &nid, const Date &date, const Size sample)=0
virtual Real	calculateAllocatedEne (const string &tid, const string &nid, const Date &date, const Size sample)=0

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_
QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_
QuantLib::ext::shared_ptr< NPVCube >	nettedExposureCube_
Size	tradeEpeIndex_
Size	tradeEneIndex_
Size	allocatedTradeEpeIndex_
Size	allocatedTradeEneIndex_
Size	nettingSetEpeIndex_
Size	nettingSetEneIndex_
map< string, Real >	nettingSetValueToday_
map< string, Real >	nettingSetPositiveValueToday_
map< string, Real >	nettingSetNegativeValueToday_

Detailed Description

Exposure allocator base class.

Derived classes implement a constructor with the relevant additional input data and a build function that performs the XVA calculations for all netting sets and along all paths.

Definition at line 42 of file exposureallocator.hpp.

Member Enumeration Documentation

AllocationMethod

enum class AllocationMethod

strong

Enumerator
None
Marginal
RelativeFairValueGross
RelativeFairValueNet
RelativeXVA

Definition at line 45 of file exposureallocator.hpp.

                                {
        None,
        Marginal, // Pykhtin & Rosen, 2010
        RelativeFairValueGross,
        RelativeFairValueNet,
        RelativeXVA
    };

Constructor & Destructor Documentation

ExposureAllocator()

ExposureAllocator	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NPVCube > &	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettedExposureCube,
		const Size	allocatedTradeEpeIndex = 2,
		const Size	allocatedTradeEneIndex = 3,
		const Size	tradeEpeIndex = 0,
		const Size	tradeEneIndex = 1,
		const Size	nettingSetEpeIndex = 1,
		const Size	nettingSetEneIndex = 2
	)

Definition at line 30 of file exposureallocator.cpp.

    : portfolio_(portfolio), tradeExposureCube_(tradeExposureCube),
      nettedExposureCube_(nettedExposureCube),
      tradeEpeIndex_(tradeEpeIndex), tradeEneIndex_(tradeEneIndex),
      allocatedTradeEpeIndex_(allocatedTradeEpeIndex), allocatedTradeEneIndex_(allocatedTradeEneIndex),
      nettingSetEpeIndex_(nettingSetEpeIndex), nettingSetEneIndex_(nettingSetEneIndex) {}

~ExposureAllocator()

virtual ~ExposureAllocator ( )

virtual

Definition at line 61 of file exposureallocator.hpp.

{}

Member Function Documentation

exposureCube()

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

(

)

Definition at line 62 of file exposureallocator.hpp.

{ return tradeExposureCube_; }

build()

void build ( )

virtual

Compute exposures along all paths and fill result structures.

Definition at line 43 of file exposureallocator.cpp.

                              {
    LOG("Compute allocated trade exposures");
 
    for (const auto& [nettingSetId, idx] : nettedExposureCube_->idsAndIndexes()) {
 
        for (const auto & [tid, trade] : portfolio_->trades()) {
            string nid = trade->envelope().nettingSetId();
            if (nid != nettingSetId)
                continue;
            
 
            for (Date date : tradeExposureCube_->dates()) {
                for (Size k = 0; k < tradeExposureCube_->samples(); ++k) {
                    tradeExposureCube_->set(calculateAllocatedEpe(tid, nid, date, k),
                                            tid, date, k, allocatedTradeEpeIndex_);
                    tradeExposureCube_->set(calculateAllocatedEne(tid, nid, date, k),
                                            tid, date, k, allocatedTradeEneIndex_);
                }
            }
        }
    }
    LOG("Completed calculating allocated trade exposures");
}

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calculateAllocatedEpe()

virtual Real calculateAllocatedEpe ( const string &  tid, const string &  nid, const Date &  date, const Size  sample  )

protectedpure virtual

Implemented in RelativeFairValueNetExposureAllocator, RelativeFairValueGrossExposureAllocator, RelativeXvaExposureAllocator, and NoneExposureAllocator.

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calculateAllocatedEne()

virtual Real calculateAllocatedEne ( const string &  tid, const string &  nid, const Date &  date, const Size  sample  )

protectedpure virtual

Implemented in RelativeFairValueNetExposureAllocator, RelativeFairValueGrossExposureAllocator, RelativeXvaExposureAllocator, and NoneExposureAllocator.

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Member Data Documentation

portfolio_

QuantLib::ext::shared_ptr<Portfolio> portfolio_

protected

Definition at line 70 of file exposureallocator.hpp.

tradeExposureCube_

QuantLib::ext::shared_ptr<NPVCube> tradeExposureCube_

protected

Definition at line 71 of file exposureallocator.hpp.

nettedExposureCube_

QuantLib::ext::shared_ptr<NPVCube> nettedExposureCube_

protected

Definition at line 72 of file exposureallocator.hpp.

tradeEpeIndex_

Size tradeEpeIndex_

protected

Definition at line 73 of file exposureallocator.hpp.

tradeEneIndex_

Size tradeEneIndex_

protected

Definition at line 74 of file exposureallocator.hpp.

allocatedTradeEpeIndex_

Size allocatedTradeEpeIndex_

protected

Definition at line 75 of file exposureallocator.hpp.

allocatedTradeEneIndex_

Size allocatedTradeEneIndex_

protected

Definition at line 76 of file exposureallocator.hpp.

nettingSetEpeIndex_

Size nettingSetEpeIndex_

protected

Definition at line 77 of file exposureallocator.hpp.

nettingSetEneIndex_

Size nettingSetEneIndex_

protected

Definition at line 78 of file exposureallocator.hpp.

nettingSetValueToday_

map<string, Real> nettingSetValueToday_

protected

Definition at line 79 of file exposureallocator.hpp.

nettingSetPositiveValueToday_

map<string, Real> nettingSetPositiveValueToday_

protected

Definition at line 79 of file exposureallocator.hpp.

nettingSetNegativeValueToday_

map<string, Real> nettingSetNegativeValueToday_

protected

Definition at line 79 of file exposureallocator.hpp.