SimmCalibration Class Reference

#include <orea/simm/simmcalibration.hpp>

Inheritance diagram for SimmCalibration:

Collaboration diagram for SimmCalibration:

Classes
class	Amount
class	RiskClassData

Public Types
typedef std::map< std::tuple< std::string, std::string, std::string >, std::string >	Amounts
typedef std::map< std::tuple< std::string, std::string, std::string >, std::set< std::string > >	CurrencyLists

Public Member Functions
	SimmCalibration ()
	SimmCalibration (ore::data::XMLNode *node)
const std::string &	version () const
const std::vector< std::string > &	versionNames () const
const std::vector< std::pair< std::string, std::string > > &	additionalFields () const
Public Member Functions inherited from XMLSerializable
virtual	~XMLSerializable ()
virtual void	fromXML (XMLNode *node)=0
virtual XMLNode *	toXML (XMLDocument &doc) const=0
void	fromFile (const std::string &filename)
void	toFile (const std::string &filename) const
void	fromXMLString (const std::string &xml)
std::string	toXMLString () const

Serialisation
std::string	id_
std::vector< std::string >	versionNames_
std::vector< std::pair< std::string, std::string > >	additionalFields_
std::map< SimmConfiguration::RiskClass, QuantLib::ext::shared_ptr< RiskClassData > >	riskClassData_
Amounts	riskClassCorrelations_
ore::data::XMLNode *	toXML (ore::data::XMLDocument &doc) const override
void	fromXML (ore::data::XMLNode *node) override
const std::map< SimmConfiguration::RiskClass, QuantLib::ext::shared_ptr< RiskClassData > > &	riskClassData () const
const Amounts &	riskClassCorrelations () const
void	validate () const
const std::string &	id () const

Detailed Description

Definition at line 37 of file simmcalibration.hpp.

Member Typedef Documentation

Amounts

typedef std::map<std::tuple<std::string, std::string, std::string>, std::string> Amounts

Definition at line 39 of file simmcalibration.hpp.

CurrencyLists

typedef std::map<std::tuple<std::string, std::string, std::string>, std::set<std::string> > CurrencyLists

Definition at line 40 of file simmcalibration.hpp.

Constructor & Destructor Documentation

SimmCalibration() [1/2]

SimmCalibration

(

)

Definition at line 267 of file simmcalibration.hpp.

{}

SimmCalibration() [2/2]

SimmCalibration

(

ore::data::XMLNode *

node

)

Definition at line 268 of file simmcalibration.hpp.

{ fromXML(node); }

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Member Function Documentation

version()

const string & version

(

)

const

Definition at line 521 of file simmcalibration.cpp.

{ return versionNames_.front(); }

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versionNames()

const std::vector< std::string > & versionNames

(

)

const

Definition at line 271 of file simmcalibration.hpp.

{ return versionNames_; }

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additionalFields()

const std::vector< std::pair< std::string, std::string > > & additionalFields

(

)

const

Definition at line 272 of file simmcalibration.hpp.

{ return additionalFields_; }

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toXML()

XMLNode * toXML ( ore::data::XMLDocument &  doc ) const

overridevirtual

Implements XMLSerializable.

Definition at line 523 of file simmcalibration.cpp.

                                                      {
    XMLNode* simmCalibrationNode = doc.allocNode("SIMMCalibration");
    XMLUtils::addAttribute(doc, simmCalibrationNode, "id", id_);
 
    // Version names
    XMLNode* versionNamesNode = doc.allocNode("VersionNames");
    for (const string& vname : versionNames()) {
        XMLUtils::addChild(doc, versionNamesNode, "Name", vname);
    }
    XMLUtils::appendNode(simmCalibrationNode, versionNamesNode);
 
    // Additional fields
    XMLNode* additionalFieldsNode = doc.allocNode("AdditionalFields");
    for (const auto& [nodeName, nodeValue] : additionalFields()) {
        XMLUtils::addChild(doc, additionalFieldsNode, nodeName, nodeValue);
    }
    XMLUtils::appendNode(simmCalibrationNode, additionalFieldsNode);
 
    // Risk class-specific nodes (e.g. InterestRate, CreditQ, CreditNonQ, etc.)
    for (const auto& [riskClass, rcData] : riskClassData_) {
        const string rcString = ore::data::to_string(riskClass);
        auto rcNode = rcData->toXML(doc);
        XMLUtils::appendNode(simmCalibrationNode, rcNode);
    }
 
    // Risk class correlations
    XMLNode* riskClassCorrelationsNode = doc.allocNode("RiskClassCorrelations");
    for (const auto& [rcCorrKey, rcCorrelation] : riskClassCorrelations_) {
        Amount amount(rcCorrKey, rcCorrelation);
        auto corrNode = amount.toXML(doc);
        XMLUtils::setNodeName(doc, corrNode, "Correlation");
        XMLUtils::appendNode(riskClassCorrelationsNode, corrNode);
    }
    XMLUtils::appendNode(simmCalibrationNode, riskClassCorrelationsNode);
    return simmCalibrationNode;
}

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fromXML()

void fromXML ( ore::data::XMLNode *  node )

overridevirtual

Implements XMLSerializable.

Definition at line 560 of file simmcalibration.cpp.

                                           {
    XMLUtils::checkNode(node, "SIMMCalibration");
 
    id_ = XMLUtils::getAttribute(node, "id");
 
    // Version names
    XMLNode* versionNamesNode = XMLUtils::getChildNode(node, "VersionNames");
    for (XMLNode* name : XMLUtils::getChildrenNodes(versionNamesNode, "Name"))
        versionNames_.push_back(XMLUtils::getNodeValue(name));
    QL_REQUIRE(!versionNames_.empty(), "Must provide at least one version name for SIMM calibration");
 
    // Additional fields
    XMLNode* addFieldsNode = XMLUtils::getChildNode(node, "AdditionalFields");
    if (addFieldsNode)
        for (XMLNode* child = XMLUtils::getChildNode(addFieldsNode); child; child = XMLUtils::getNextSibling(child))
            additionalFields_.push_back(std::make_pair(XMLUtils::getNodeName(child), XMLUtils::getNodeValue(child)));
 
    // Risk class-specific nodes (e.g. InterestRate, CreditQ, CreditNonQ, etc.)
    XMLNode* riskClassNode;
    for (const SimmConfiguration::RiskClass& rc :
        { RC::InterestRate, RC::CreditQualifying, RC::CreditNonQualifying, RC::Equity, RC::Commodity, RC::FX }) {
        riskClassNode = XMLUtils::getChildNode(node, ore::data::to_string(rc));
        auto riskClassData = QuantLib::ext::make_shared<RiskClassData>(rc);
        riskClassData->fromXML(riskClassNode);
        riskClassData_[rc] = riskClassData;
    }
 
    // Risk class correlations
    auto rcCorrsNode = XMLUtils::getChildNode(node, "RiskClassCorrelations");
    riskClassCorrelations_.clear();
    for (auto rcCorrNode : XMLUtils::getChildrenNodes(rcCorrsNode, "Correlation")) {
        Amount amount(rcCorrNode);
        riskClassCorrelations_[amount.key()] = amount.value();
    }
}

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riskClassData()

const std::map< SimmConfiguration::RiskClass, QuantLib::ext::shared_ptr< RiskClassData > > & riskClassData

(

)

const

Definition at line 279 of file simmcalibration.hpp.

                                                                                                          {
        return riskClassData_;
    }

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riskClassCorrelations()

const Amounts & riskClassCorrelations

(

)

const

Definition at line 282 of file simmcalibration.hpp.

{ return riskClassCorrelations_; }

validate()

void validate

(

)

const

Definition at line 285 of file simmcalibration.hpp.

{}

id()

const std::string & id

(

)

const

Definition at line 287 of file simmcalibration.hpp.

{ return id_; }

Member Data Documentation

id_

std::string id_

private

Definition at line 290 of file simmcalibration.hpp.

versionNames_

std::vector<std::string> versionNames_

private

Definition at line 291 of file simmcalibration.hpp.

additionalFields_

std::vector<std::pair<std::string, std::string> > additionalFields_

private

Definition at line 292 of file simmcalibration.hpp.

riskClassData_

std::map<SimmConfiguration::RiskClass, QuantLib::ext::shared_ptr<RiskClassData> > riskClassData_

private

Definition at line 293 of file simmcalibration.hpp.

riskClassCorrelations_

Amounts riskClassCorrelations_

private

Definition at line 294 of file simmcalibration.hpp.