#include <orea/aggregation/exposureallocator.hpp>

Inheritance diagram for NoneExposureAllocator:

Collaboration diagram for NoneExposureAllocator:

Public Member Functions
	NoneExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube)

Public Member Functions inherited from 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)

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) override

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

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

Additional Inherited Members
Public Types inherited from ExposureAllocator
enum class	AllocationMethod { None , Marginal , RelativeFairValueGross , RelativeFairValueNet , RelativeXVA }

Protected Attributes inherited from ExposureAllocator
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

Definition at line 144 of file exposureallocator.hpp.

Constructor & Destructor Documentation

◆ NoneExposureAllocator()

NoneExposureAllocator	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NPVCube > &	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettedExposureCube
	)

Definition at line 184 of file exposureallocator.cpp.

188 : ExposureAllocator(portfolio, tradeExposureCube, nettedExposureCube) {}

ore::analytics::ExposureAllocator::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: exposureallocator.cpp:30

Member Function Documentation

◆ calculateAllocatedEpe()

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

overrideprotectedvirtual

Implements ExposureAllocator.

Definition at line 190 of file exposureallocator.cpp.

                                                                                       {
    return 0;
}

◆ calculateAllocatedEne()

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

overrideprotectedvirtual

Implements ExposureAllocator.

Definition at line 194 of file exposureallocator.cpp.

                                                                                       {
    return 0;
}

Public Member Functions