IMScheduleResults Class Reference

#include <orea/simm/imscheduleresults.hpp>

Collaboration diagram for IMScheduleResults:

Public Member Functions
	IMScheduleResults (const std::string &ccy="")
void	add (const CrifRecord::ProductClass &pc, const std::string &calculationCurrency, const QuantLib::Real grossIM, const QuantLib::Real grossRC, const QuantLib::Real netRC, const QuantLib::Real ngr, const QuantLib::Real scheduleIM)
IMScheduleResult	get (const CrifRecord::ProductClass &pc) const
	Convert Schedule IM amounts to a different currency. More...
bool	has (const CrifRecord::ProductClass &pc) const
bool	empty () const
	Return true if the container is empty, otherwise false. More...
void	clear ()
	Clear the results from the container. More...
const std::map< CrifRecord::ProductClass, IMScheduleResult > &	data () const
	Return the map containing the results. More...
const std::string &	currency () const
std::string &	currency ()

Private Attributes
std::map< CrifRecord::ProductClass, IMScheduleResult >	data_
std::string	ccy_

Detailed Description

A container for Schedule IM results broken down by product class, risk class and margin type.

Definition at line 53 of file imscheduleresults.hpp.

Constructor & Destructor Documentation

IMScheduleResults()

IMScheduleResults

(

const std::string &

ccy = ""

)

Definition at line 55 of file imscheduleresults.hpp.

: ccy_(ccy){};

Member Function Documentation

add()

void add	(	const CrifRecord::ProductClass &	pc,
		const std::string &	calculationCurrency,
		const QuantLib::Real	grossIM,
		const QuantLib::Real	grossRC,
		const QuantLib::Real	netRC,
		const QuantLib::Real	ngr,
		const QuantLib::Real	scheduleIM
	)

Add initial margin value im to the results container for the given combination of Schedule product class, risk class and margin type

Remarks

If there is already a result in the container for that combination, it is overwritten. Can check this using the has method before adding.

Definition at line 33 of file imscheduleresults.cpp.

                                                                                                         {
 
    // Add the value as long as the currencies are matching. If the IMScheduleResults container does not yet have
    // a currency, we set it to be that of the incoming value
    if (ccy_.empty())
        ccy_ = calculationCcy;
    else
        QL_REQUIRE(calculationCcy == ccy_, "Cannot add value to IMScheduleResults in a different currency ("
                                               << calculationCcy << "). Expected " << ccy_ << ".");
 
    if (has(pc)) {
        QL_REQUIRE(grossIM != Null<Real>(), "IMScheduleResults: Gross IM cannot be null.");
        data_[pc].grossIM += grossIM;
    } else {
        IMScheduleResult result = IMScheduleResult(grossIM, grossRC, netRC, ngr, scheduleIM);
        data_[pc] = result;
    }
}

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get()

IMScheduleResult get

(

const CrifRecord::ProductClass &

pc

)

const

Convert Schedule IM amounts to a different currency.

Get the initial margin value from the results container for the given combination of Schedule product class, risk class and margin type

Warning:

returns QuantLib::Null<QuantLib::Real> if there is no initial margin value in the results for the given combination. Can avoid this by first checking the results using the has method.

Definition at line 77 of file imscheduleresults.cpp.

                                                                              {
    if (has(pc))
        return data_.at(pc);
    else
        return IMScheduleResult(QuantLib::Null<Real>(), QuantLib::Null<Real>(), QuantLib::Null<Real>(),
                                QuantLib::Null<Real>(), QuantLib::Null<Real>());
}

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has()

bool has

(

const CrifRecord::ProductClass &

pc

)

const

Check if there is an initial margin value in the results container for the given combination of Schedule product class, risk class and margin type

Definition at line 85 of file imscheduleresults.cpp.

{ return data_.count(pc) > 0; }

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empty()

bool empty

(

)

const

Return true if the container is empty, otherwise false.

Definition at line 87 of file imscheduleresults.cpp.

{ return data_.empty(); }

clear()

void clear

(

)

Clear the results from the container.

Definition at line 89 of file imscheduleresults.cpp.

{ data_.clear(); }

data()

const std::map< CrifRecord::ProductClass, IMScheduleResult > & data

(

)

const

Return the map containing the results.

Definition at line 95 of file imscheduleresults.hpp.

{ return data_; }

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currency() [1/2]

const std::string & currency

(

)

const

Definition at line 97 of file imscheduleresults.hpp.

{ return ccy_; }

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currency() [2/2]

std::string & currency

(

)

Definition at line 99 of file imscheduleresults.hpp.

{ return ccy_; }

Member Data Documentation

data_

std::map<CrifRecord::ProductClass, IMScheduleResult> data_

private

Definition at line 102 of file imscheduleresults.hpp.

ccy_

std::string ccy_

private

Definition at line 103 of file imscheduleresults.hpp.