Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration. More...

#include <orea/simm/simmconcentrationcalibration.hpp>

Inheritance diagram for SimmConcentrationCalibration:

Collaboration diagram for SimmConcentrationCalibration:

Public Member Functions
	SimmConcentrationCalibration (const QuantLib::ext::shared_ptr< SimmCalibration > &simmCalibration, const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper)
	Default constructor that adds fixed known mappings. More...

QuantLib::Real	threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override

Public Member Functions inherited from SimmConcentrationBase
	SimmConcentrationBase ()

QuantLib::Real	threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const override

Public Member Functions inherited from SimmConcentration
virtual	~SimmConcentration ()
	Destructor. More...

virtual QuantLib::Real	threshold (const CrifRecord::RiskType &riskType, const std::string &qualifier) const =0

Private Attributes
QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Help getting SIMM buckets from SIMM qualifiers. More...

Additional Inherited Members
Protected Member Functions inherited from SimmConcentrationBase
QuantLib::Real	thresholdImpl (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const CrifRecord::RiskType &riskType, const std::string &qualifier) const

QuantLib::Real	fxVolThreshold (const std::string &fxPair) const
	Return concentration threshold for Risk_FXVol given the `fxPair`. More...

std::string	category (const std::string &qualifier, const std::map< std::string, std::set< std::string > > &categories) const
	Find the concentration threshold category of the `qualifier`. More...

Protected Attributes inherited from SimmConcentrationBase
QuantLib::Real	units_
	The units of quotation of the threshold amount e.g. $1MM. More...

std::map< CrifRecord::RiskType, QuantLib::Real >	flatThresholds_

std::map< CrifRecord::RiskType, std::map< std::string, QuantLib::Real > >	bucketedThresholds_

std::map< std::string, std::set< std::string > >	irCategories_

std::map< std::string, std::set< std::string > >	fxCategories_

QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Maps SIMM qualifiers to SIMM buckets. More...

Detailed Description

Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration.

Definition at line 38 of file simmconcentrationcalibration.hpp.

Constructor & Destructor Documentation

◆ SimmConcentrationCalibration()

SimmConcentrationCalibration	(	const QuantLib::ext::shared_ptr< SimmCalibration > &	simmCalibration,
		const QuantLib::ext::shared_ptr< SimmBucketMapper > &	simmBucketMapper
	)

Default constructor that adds fixed known mappings.

Definition at line 25 of file simmconcentrationcalibration.cpp.

    : simmBucketMapper_(simmBucketMapper) {
 
    for (const auto& [riskClass, rcData] : simmCalibration->riskClassData()) {
 
        const auto& concThresholds = rcData->concentrationThresholds();
 
        // IR and FX currency lists
        if (riskClass == RiskClass::InterestRate || riskClass == RiskClass::FX) {
            const auto& irFxThresholds = QuantLib::ext::dynamic_pointer_cast<IRFXConcentrationThresholds>(concThresholds);
            QL_REQUIRE(irFxThresholds, "Cannot cast ConcentrationThresholds to IRFXConcentrationThresholds");
            const auto& ccyLists = irFxThresholds->currencyLists();
 
            auto& categories = riskClass == RiskClass::InterestRate ? irCategories_ : fxCategories_;
            for (const auto& [ccyKey, ccyList] : ccyLists) {
                const string& bucket = std::get<0>(ccyKey);
                for (const string& ccy : ccyList) {
                    if (ccy == "Other") {
                        categories[bucket].clear();
                    } else {
                        categories[bucket].insert(ccy);
                    }
                }
            }
        }
 
        const auto& delta = concThresholds->delta();
        const auto& vega = concThresholds->vega();
 
        const auto& [deltaRiskType, vegaRiskType] = SimmConfiguration::riskClassToRiskType(riskClass);
 
        // Delta concentration thresholds
        if (delta.size() == 1) {
            flatThresholds_[deltaRiskType] = ore::data::parseReal(delta.begin()->second);
        } else if (delta.size() > 1) {
            for (const auto& [key, dTh] : delta) {
                const string& bucket = std::get<0>(key);
                bucketedThresholds_[deltaRiskType][bucket] = ore::data::parseReal(dTh);
            }
        }
 
        // Vega concentration thresholds
        if (vega.size() == 1) {
            flatThresholds_[vegaRiskType] = ore::data::parseReal(vega.begin()->second);
        } else if (vega.size() > 1) {
            for (const auto& [key, vTh] : vega) {
                const string& bucket = std::get<0>(key);
                bucketedThresholds_[vegaRiskType][bucket] = ore::data::parseReal(vTh);
            }
        }
    }
}

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Member Function Documentation

◆ threshold()

Real threshold	(	const CrifRecord::RiskType &	riskType,
		const std::string &	qualifier
	)		const

overridevirtual

Return the SIMM concentration threshold for a given SIMM RiskType and SIMM Qualifier.

Warning:: If the risk type is not covered QL_MAX_REAL is returned i.e. no concentration threshold

Reimplemented from SimmConcentrationBase.

Definition at line 79 of file simmconcentrationcalibration.cpp.

                                                                                                    {
    return thresholdImpl(simmBucketMapper_, riskType, qualifier);
}

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Member Data Documentation

◆ simmBucketMapper_

QuantLib::ext::shared_ptr<SimmBucketMapper> simmBucketMapper_

private

Help getting SIMM buckets from SIMM qualifiers.

Definition at line 54 of file simmconcentrationcalibration.hpp.

Public Member Functions

Private Attributes