RelativeXvaExposureAllocator Class Reference

#include <orea/aggregation/exposureallocator.hpp>

Inheritance diagram for RelativeXvaExposureAllocator:

Collaboration diagram for RelativeXvaExposureAllocator:

Public Member Functions
	RelativeXvaExposureAllocator (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &nettedExposureCube, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const map< string, Real > &tradeCva, const map< string, Real > &tradeDva, const map< string, Real > &nettingSetSumCva, const map< string, Real > &nettingSetSumDva, const Size allocatedTradeEpeIndex=2, const Size allocatedTradeEneIndex=3, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=0, const Size nettingSetEneIndex=1)
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

Protected Attributes
map< string, Real >	tradeCva_
map< string, Real >	tradeDva_
map< string, Real >	nettingSetSumCva_
map< string, Real >	nettingSetSumDva_
map< string, Real >	tradeValueToday_
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_

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

Detailed Description

Definition at line 119 of file exposureallocator.hpp.

Constructor & Destructor Documentation

RelativeXvaExposureAllocator()

RelativeXvaExposureAllocator	(	const QuantLib::ext::shared_ptr< Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< NPVCube > &	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	nettedExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube > &	npvCube,
		const map< string, Real > &	tradeCva,
		const map< string, Real > &	tradeDva,
		const map< string, Real > &	nettingSetSumCva,
		const map< string, Real > &	nettingSetSumDva,
		const Size	allocatedTradeEpeIndex = 2,
		const Size	allocatedTradeEneIndex = 3,
		const Size	tradeEpeIndex = 0,
		const Size	tradeEneIndex = 1,
		const Size	nettingSetEpeIndex = 0,
		const Size	nettingSetEneIndex = 1
	)

Definition at line 154 of file exposureallocator.cpp.

    : ExposureAllocator(portfolio, tradeExposureCube, nettedExposureCube,
                        allocatedTradeEpeIndex, allocatedTradeEneIndex,
                        tradeEpeIndex, tradeEneIndex,
                        nettingSetEpeIndex, nettingSetEneIndex),
      tradeCva_(tradeCva), tradeDva_(tradeDva),
      nettingSetSumCva_(nettingSetSumCva), nettingSetSumDva_(nettingSetSumDva) {}

Member Function Documentation

calculateAllocatedEpe()

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

overrideprotectedvirtual

Implements ExposureAllocator.

Definition at line 173 of file exposureallocator.cpp.

                                                                                              {
    Real netEPE = nettedExposureCube_->get(nid, date, sample, nettingSetEpeIndex_);
    return netEPE * tradeCva_[tid] / nettingSetSumCva_[nid];
}

calculateAllocatedEne()

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

overrideprotectedvirtual

Implements ExposureAllocator.

Definition at line 178 of file exposureallocator.cpp.

                                                                                              {
    Real netENE = nettedExposureCube_->get(nid, date, sample, nettingSetEneIndex_);
    return netENE * tradeDva_[tid] / nettingSetSumDva_[nid];
}

Member Data Documentation

tradeCva_

map<string, Real> tradeCva_

protected

Definition at line 137 of file exposureallocator.hpp.

tradeDva_

map<string, Real> tradeDva_

protected

Definition at line 138 of file exposureallocator.hpp.

nettingSetSumCva_

map<string, Real> nettingSetSumCva_

protected

Definition at line 139 of file exposureallocator.hpp.

nettingSetSumDva_

map<string, Real> nettingSetSumDva_

protected

Definition at line 140 of file exposureallocator.hpp.

tradeValueToday_

map<string, Real> tradeValueToday_

protected

Definition at line 141 of file exposureallocator.hpp.