Abstract base class defining the interface for a SIMM configuration. More...

#include <orea/simm/simmconfiguration.hpp>

Inheritance diagram for SimmConfiguration:

Collaboration diagram for SimmConfiguration:

Public Types
enum class	SimmSide { Call , Post }
	Enum indicating the relevant side of the SIMM calculation. More...

enum class	RiskClass { InterestRate , CreditQualifying , CreditNonQualifying , Equity , Commodity , FX , All }

enum class	MarginType { Delta , Vega , Curvature , BaseCorr , AdditionalIM , All }

enum class	IMModel { Schedule , SIMM , SIMM_R , SIMM_P }

enum	Regulation { APRA , CFTC , ESA , FINMA , KFSC , HKMA , JFSA , MAS , OSFI , RBI , SEC , SEC_unseg , USPR , NONREG , BACEN , SANT , SFC , UK , AMFQ , Included , Unspecified , Invalid }
	SIMM regulators. More...

Public Member Functions
virtual	~SimmConfiguration ()

virtual std::vector< std::string >	buckets (const CrifRecord::RiskType &rt) const =0

virtual bool	hasBuckets (const CrifRecord::RiskType &rt) const =0
	Return true if the SIMM risk type `rt` has buckets. More...

bool	hasBucketMapping (const CrifRecord::RiskType &rt, const std::string &qualifier) const override
	Return true if the SIMM risk type `rt` has buckets. More...

virtual std::vector< std::string >	labels1 (const CrifRecord::RiskType &rt) const =0

virtual std::vector< std::string >	labels2 (const CrifRecord::RiskType &rt) const =0

virtual void	addLabels2 (const CrifRecord::RiskType &rt, const std::string &label_2)=0

virtual QuantLib::Real	weight (const CrifRecord::RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const =0

virtual QuantLib::Real	curvatureWeight (const CrifRecord::RiskType &rt, const std::string &label_1) const =0

virtual QuantLib::Real	historicalVolatilityRatio (const CrifRecord::RiskType &rt) const =0

virtual QuantLib::Real	sigma (const CrifRecord::RiskType &rt, boost::optional< std::string > qualifier=boost::none, boost::optional< std::string > label_1=boost::none, const std::string &calculationCurrency="") const =0

virtual QuantLib::Real	curvatureMarginScaling () const =0

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

virtual bool	isValidRiskType (const CrifRecord::RiskType &rt) const =0

virtual QuantLib::Real	correlationRiskClasses (const RiskClass &rc_1, const RiskClass &rc_2) const =0
	Return the correlation between SIMM risk classes `rc_1` and `rc_2`. More...

virtual QuantLib::Real	correlation (const CrifRecord::RiskType &firstRt, const std::string &firstQualifier, const std::string &firstLabel_1, const std::string &firstLabel_2, const CrifRecord::RiskType &secondRt, const std::string &secondQualifier, const std::string &secondLabel_1, const std::string &secondLabel_2, const std::string &calculationCurrency="") const =0

virtual bool	isSimmConfigCalibration () const

Public Member Functions inherited from CrifConfiguration
virtual	~CrifConfiguration ()

virtual const std::string &	name () const =0
	Returns the SIMM configuration name. More...

virtual const std::string &	version () const =0
	Returns the SIMM configuration version. More...

virtual std::string	bucket (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0

virtual bool	hasBucketMapping (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0

virtual const QuantLib::ext::shared_ptr< SimmBucketMapper > &	bucketMapper () const =0
	Returns the SIMM bucket mapper used by the configuration. More...

virtual std::string	label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const

virtual std::string	label2 (const QuantLib::Period &p) const

Static Public Member Functions
static std::set< RiskClass >	riskClasses (bool includeAll=false)
	Give back a set containing the RiskClass values optionally excluding 'All'. More...

static std::set< CrifRecord::RiskType >	riskTypes (bool includeAll=false)
	Give back a set containing the RiskType values optionally excluding 'All'. More...

static std::set< MarginType >	marginTypes (bool includeAll=false)
	Give back a set containing the MarginType values optionally excluding 'All'. More...

static std::set< CrifRecord::ProductClass >	productClasses (bool includeAll=false)
	Give back a set containing the ProductClass values optionally excluding 'All'. More...

static std::pair< CrifRecord::RiskType, CrifRecord::RiskType >	riskClassToRiskType (const RiskClass &rc)
	For a given risk class, return the corresponding risk types. More...

static RiskClass	riskTypeToRiskClass (const CrifRecord::RiskType &rt)
	For a given rirsk type, return the corresponding risk class. More...

static bool	less_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)
	Define ordering for ProductClass according to a waterfall: More...

static bool	greater_than (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static bool	less_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static bool	greater_than_or_equal_to (const CrifRecord::ProductClass &lhs, const CrifRecord::ProductClass &rhs)

static CrifRecord::ProductClass	maxProductClass (CrifRecord::ProductClass pc1, CrifRecord::ProductClass pc2)
	Return the "worse" ProductClass using a waterfall logic: More...

Static Protected Attributes
static const QuantLib::Size	numberOfRiskClasses = riskClassMap.size()
	Number of risk classes including RiskClass::All. More...

static const QuantLib::Size	numberOfMarginTypes = marginTypeMap.size()
	Number of margin types including MarginType::All. More...

static const QuantLib::Size	numberOfRegulations = regulationsMap.size()
	Number of regulations. More...

Detailed Description

Abstract base class defining the interface for a SIMM configuration.

Definition at line 39 of file simmconfiguration.hpp.

Member Enumeration Documentation

◆ SimmSide

enum class SimmSide

strong

Enum indicating the relevant side of the SIMM calculation.

Enumerator
Call
Post

Definition at line 44 of file simmconfiguration.hpp.

44{ Call, Post };

ore::analytics::SimmConfiguration::SimmSide::Post

@ Post

ore::analytics::SimmConfiguration::SimmSide::Call

@ Call

◆ RiskClass

enum class RiskClass

strong

Risk class types in SIMM plus an All type for convenience

Warning:: The ordering here matters. It is used in indexing in to correlation matrices for the correlation between risk classes.

Warning:: Internal methods rely on the last element being 'All'

Enumerator
InterestRate
CreditQualifying
CreditNonQualifying
Equity
Commodity
FX
All

Definition at line 53 of file simmconfiguration.hpp.

53{ InterestRate, CreditQualifying, CreditNonQualifying, Equity, Commodity, FX, All };

ore::analytics::SimmConfiguration::RiskClass::Commodity

@ Commodity

ore::analytics::SimmConfiguration::RiskClass::CreditNonQualifying

@ CreditNonQualifying

ore::analytics::SimmConfiguration::RiskClass::CreditQualifying

@ CreditQualifying

ore::analytics::SimmConfiguration::RiskClass::All

@ All

ore::analytics::SimmConfiguration::RiskClass::FX

@ FX

ore::analytics::SimmConfiguration::RiskClass::InterestRate

@ InterestRate

ore::analytics::SimmConfiguration::RiskClass::Equity

@ Equity

◆ MarginType

enum class MarginType

strong

Margin types in SIMM plus an All type for convenience Internal methods rely on the last element being 'All'

Enumerator
Delta
Vega
Curvature
BaseCorr
AdditionalIM
All

Definition at line 59 of file simmconfiguration.hpp.

59{ Delta, Vega, Curvature, BaseCorr, AdditionalIM, All };

ore::analytics::SimmConfiguration::MarginType::Curvature

@ Curvature

ore::analytics::SimmConfiguration::MarginType::BaseCorr

@ BaseCorr

ore::analytics::SimmConfiguration::MarginType::Vega

@ Vega

ore::analytics::SimmConfiguration::MarginType::Delta

@ Delta

ore::analytics::SimmConfiguration::MarginType::AdditionalIM

@ AdditionalIM

◆ IMModel

enum class IMModel

strong

Enumerator
Schedule
SIMM
SIMM_R
SIMM_P

Definition at line 61 of file simmconfiguration.hpp.

                       {
        Schedule,
        SIMM,
        SIMM_R, // Equivalent to SIMM
        SIMM_P  // Equivalent to SIMM
    };

◆ Regulation

enum Regulation

SIMM regulators.

Enumerator
APRA
CFTC
ESA
FINMA
KFSC
HKMA
JFSA
MAS
OSFI
RBI
SEC
SEC_unseg
USPR
NONREG
BACEN
SANT
SFC
UK
AMFQ
Included
Unspecified
Invalid

Definition at line 69 of file simmconfiguration.hpp.

                    {
        APRA,
        CFTC,
        ESA,
        FINMA,
        KFSC,
        HKMA,
        JFSA,
        MAS,
        OSFI,
        RBI,
        SEC,
        SEC_unseg,
        USPR,
        NONREG,
        BACEN,
        SANT,
        SFC,
        UK,
        AMFQ,
        Included,
        Unspecified,
        Invalid
    };

Constructor & Destructor Documentation

◆ ~SimmConfiguration()

virtual ~SimmConfiguration ( )

virtual

Definition at line 41 of file simmconfiguration.hpp.

41{}

Member Function Documentation

◆ riskClasses()

set< SimmConfiguration::RiskClass > riskClasses ( bool includeAll = false )

static

Give back a set containing the RiskClass values optionally excluding 'All'.

Definition at line 91 of file simmconfiguration.cpp.

                                                                              {
 
    // This only works if 'All' is the last enum value
    Size bound = includeAll ? numberOfRiskClasses : numberOfRiskClasses - 1;
 
    // Return the set of values
    set<RiskClass> result;
    for (Size i = 0; i < bound; ++i) {
        result.insert(RiskClass(i));
    }
    return result;
}

◆ riskTypes()

set< CrifRecord::RiskType > riskTypes ( bool includeAll = false )

static

Give back a set containing the RiskType values optionally excluding 'All'.

Definition at line 104 of file simmconfiguration.cpp.

                                                                    {
 
    static std::set<CrifRecord::RiskType> simmRiskTypes = {
        // SIMM Risk Types
        CrifRecord::RiskType::Commodity,
        CrifRecord::RiskType::CommodityVol,
        CrifRecord::RiskType::CreditNonQ,
        CrifRecord::RiskType::CreditQ,
        CrifRecord::RiskType::CreditVol,
        CrifRecord::RiskType::CreditVolNonQ,
        CrifRecord::RiskType::Equity,
        CrifRecord::RiskType::EquityVol,
        CrifRecord::RiskType::FX,
        CrifRecord::RiskType::FXVol,
        CrifRecord::RiskType::Inflation,
        CrifRecord::RiskType::IRCurve,
        CrifRecord::RiskType::IRVol,
        CrifRecord::RiskType::InflationVol,
        CrifRecord::RiskType::BaseCorr,
        CrifRecord::RiskType::XCcyBasis,
        CrifRecord::RiskType::ProductClassMultiplier,
        CrifRecord::RiskType::AddOnNotionalFactor,
        CrifRecord::RiskType::Notional,
        CrifRecord::RiskType::AddOnFixedAmount,
        CrifRecord::RiskType::PV, // IM Schedule
    };
 
    // This only works if 'All' is the last enum value
    if (includeAll) {
        simmRiskTypes.insert(CrifRecord::RiskType::All);
    }
    return simmRiskTypes;
}

◆ marginTypes()

set< SimmConfiguration::MarginType > marginTypes ( bool includeAll = false )

static

Give back a set containing the MarginType values optionally excluding 'All'.

Definition at line 138 of file simmconfiguration.cpp.

                                                                               {
 
    // This only works if 'All' is the last enum value
    Size bound = includeAll ? numberOfMarginTypes : numberOfMarginTypes - 1;
 
    // Return the set of values
    set<MarginType> result;
    for (Size i = 0; i < bound; ++i) {
        result.insert(MarginType(i));
    }
    return result;
}

◆ productClasses()

set< CrifRecord::ProductClass > productClasses ( bool includeAll = false )

static

Give back a set containing the ProductClass values optionally excluding 'All'.

Definition at line 151 of file simmconfiguration.cpp.

                                                                             {
 
    
    static std::set<CrifRecord::ProductClass> simmProductClasses = {
        CrifRecord::ProductClass::RatesFX,
        CrifRecord::ProductClass::Rates, // extension for IM Schedule
        CrifRecord::ProductClass::FX,    // extension for IM Schedule
        CrifRecord::ProductClass::Credit,
        CrifRecord::ProductClass::Equity,
        CrifRecord::ProductClass::Commodity,
        CrifRecord::ProductClass::Empty,
        CrifRecord::ProductClass::Other,               // extension for IM Schedule
        CrifRecord::ProductClass::AddOnNotionalFactor, // extension for additional IM
        CrifRecord::ProductClass::AddOnFixedAmount};
    
    if (includeAll) {
        simmProductClasses.insert(CrifRecord::ProductClass::All);
    }
    return simmProductClasses;
}

◆ riskClassToRiskType()

pair< CrifRecord::RiskType, CrifRecord::RiskType > riskClassToRiskType ( const RiskClass & rc )

static

For a given risk class, return the corresponding risk types.

Definition at line 173 of file simmconfiguration.cpp.

                                                          {
    CrifRecord::RiskType deltaRiskType, vegaRiskType;
    switch (rc) {
    case RiskClass::InterestRate:
        deltaRiskType = CrifRecord::RiskType::IRCurve;
        vegaRiskType = CrifRecord::RiskType::IRVol;
        break;
    case RiskClass::CreditQualifying:
        deltaRiskType = CrifRecord::RiskType::CreditQ;
        vegaRiskType = CrifRecord::RiskType::CreditVol;
        break;
    case RiskClass::CreditNonQualifying:
        deltaRiskType = CrifRecord::RiskType::CreditNonQ;
        vegaRiskType = CrifRecord::RiskType::CreditVolNonQ;
        break;
    case RiskClass::Equity:
        deltaRiskType = CrifRecord::RiskType::Equity;
        vegaRiskType = CrifRecord::RiskType::EquityVol;
        break;
    case RiskClass::Commodity:
        deltaRiskType = CrifRecord::RiskType::Commodity;
        vegaRiskType = CrifRecord::RiskType::CommodityVol;
        break;
    case RiskClass::FX:
        deltaRiskType = CrifRecord::RiskType::FX;
        vegaRiskType = CrifRecord::RiskType::FXVol;
        break;
    default:
        QL_FAIL("riskClassToRiskType: Unexpected risk class");
    }
 
    return std::make_pair(deltaRiskType, vegaRiskType);
}

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◆ riskTypeToRiskClass()

SimmConfiguration::RiskClass riskTypeToRiskClass ( const CrifRecord::RiskType & rt )

static

For a given rirsk type, return the corresponding risk class.

Definition at line 207 of file simmconfiguration.cpp.

                                                                                              {
    switch (rt) {
    case CrifRecord::RiskType::Commodity:
    case CrifRecord::RiskType::CommodityVol:
        return SimmConfiguration::RiskClass::Commodity;
    case CrifRecord::RiskType::CreditQ:
    case CrifRecord::RiskType::CreditVol:
    case CrifRecord::RiskType::BaseCorr:
        return SimmConfiguration::RiskClass::CreditQualifying;
    case CrifRecord::RiskType::CreditNonQ:
    case CrifRecord::RiskType::CreditVolNonQ:
        return SimmConfiguration::RiskClass::CreditNonQualifying;
    case CrifRecord::RiskType::Equity:
    case CrifRecord::RiskType::EquityVol:
        return SimmConfiguration::RiskClass::Equity;
    case CrifRecord::RiskType::FX:
    case CrifRecord::RiskType::FXVol:
        return SimmConfiguration::RiskClass::FX;
    case CrifRecord::RiskType::Inflation:
    case CrifRecord::RiskType::InflationVol:
    case CrifRecord::RiskType::IRCurve:
    case CrifRecord::RiskType::IRVol:
    case CrifRecord::RiskType::XCcyBasis:
        return SimmConfiguration::RiskClass::InterestRate;
    default:
        QL_FAIL("riskTypeToRiskClass: Invalid risk type");
    }
}

◆ less_than()

bool less_than	(	const CrifRecord::ProductClass &	lhs,
		const CrifRecord::ProductClass &	rhs
	)

static

Define ordering for ProductClass according to a waterfall:

Define ordering for ProductClass.

Definition at line 402 of file simmconfiguration.cpp.

                                                                     {
    QL_REQUIRE(lhs != CrifRecord::ProductClass::All && rhs != CrifRecord::ProductClass::All,
               "Cannot compare the \"All\" ProductClass.");
    QL_REQUIRE(static_cast<int>(CrifRecord::ProductClass::All) == 10,
               "Number of SIMM Product classes is not 11. Some order comparisons are not handled.");
 
    // all branches end in returns so no breaks are included.
    switch (lhs) {
    case CrifRecord::ProductClass::AddOnFixedAmount:
    case CrifRecord::ProductClass::AddOnNotionalFactor:
    case CrifRecord::ProductClass::Empty:
    case CrifRecord::ProductClass::Other:
        switch (rhs) {
        case CrifRecord::ProductClass::AddOnFixedAmount:
        case CrifRecord::ProductClass::AddOnNotionalFactor:
        case CrifRecord::ProductClass::Empty:
        case CrifRecord::ProductClass::Other:
            return false;
        default:
            return true;
        }
    case CrifRecord::ProductClass::RatesFX:
    case CrifRecord::ProductClass::Rates:
    case CrifRecord::ProductClass::FX:
        switch (rhs) {
        case CrifRecord::ProductClass::Empty:
        case CrifRecord::ProductClass::Other:
        case CrifRecord::ProductClass::RatesFX:
        case CrifRecord::ProductClass::Rates:
        case CrifRecord::ProductClass::FX:
            return false;
        default:
            return true;
        }
    case CrifRecord::ProductClass::Equity:
        switch (rhs) {
        case CrifRecord::ProductClass::Empty:
        case CrifRecord::ProductClass::Other:
        case CrifRecord::ProductClass::RatesFX:
        case CrifRecord::ProductClass::Rates:
        case CrifRecord::ProductClass::FX:
        case CrifRecord::ProductClass::Equity:
            return false;
        default:
            return true;
        }
    case CrifRecord::ProductClass::Commodity:
        if (rhs != CrifRecord::ProductClass::Credit) {
            return false;
        } else {
            return true;
        }
    case CrifRecord::ProductClass::Credit:
        return false;
    case CrifRecord::ProductClass::All:
        // not handled, fall through to failure
        break;
    }
    QL_FAIL("Unhandled SIMM Product class in waterfall logic.");
}

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◆ greater_than()

bool greater_than	(	const CrifRecord::ProductClass &	lhs,
		const CrifRecord::ProductClass &	rhs
	)

static

Definition at line 464 of file simmconfiguration.cpp.

                                                                        {
    return SimmConfiguration::less_than(rhs, lhs);
}

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◆ less_than_or_equal_to()

bool less_than_or_equal_to	(	const CrifRecord::ProductClass &	lhs,
		const CrifRecord::ProductClass &	rhs
	)

static

Definition at line 468 of file simmconfiguration.cpp.

                                                                                 {
    return !SimmConfiguration::greater_than(lhs, rhs);
}

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◆ greater_than_or_equal_to()

bool greater_than_or_equal_to	(	const CrifRecord::ProductClass &	lhs,
		const CrifRecord::ProductClass &	rhs
	)

static

Definition at line 472 of file simmconfiguration.cpp.

                                                                                    {
    return !SimmConfiguration::less_than(lhs, rhs);
}

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◆ maxProductClass()

static CrifRecord::ProductClass maxProductClass	(	CrifRecord::ProductClass	pc1,
		CrifRecord::ProductClass	pc2
	)

static

Return the "worse" ProductClass using a waterfall logic:

Definition at line 123 of file simmconfiguration.hpp.

                                                                                                          {
        QL_REQUIRE(pc1 != CrifRecord::ProductClass::All && pc2 != CrifRecord::ProductClass::All,
                   "Cannot define worse product type if even one of the product classes is indeterminate.");
        return (less_than(pc1, pc2) ? pc2 : pc1);
    }

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◆ buckets()

virtual std::vector< std::string > buckets ( const CrifRecord::RiskType & rt ) const

pure virtual

Return the SIMM bucket names for the given risk type rt An empty vector is returned if the risk type has no buckets

Implemented in SimmConfigurationBase.

◆ hasBuckets()

virtual bool hasBuckets ( const CrifRecord::RiskType & rt ) const

pure virtual

Return true if the SIMM risk type rt has buckets.

Implemented in SimmConfigurationBase.

◆ hasBucketMapping()

bool hasBucketMapping	(	const CrifRecord::RiskType &	rt,
		const std::string &	qualifier
	)		const

overridevirtual

Return true if the SIMM risk type rt has buckets.

Implements CrifConfiguration.

Definition at line 137 of file simmconfiguration.hpp.

                                                                                                   {
        return bucketMapper()->has(rt, qualifier);
    }

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◆ labels1()

virtual std::vector< std::string > labels1 ( const CrifRecord::RiskType & rt ) const

pure virtual

Return the list of SIMM Label1 values for risk type rt An empty vector is returned if the risk type does not use Label1

Implemented in SimmConfigurationBase.

◆ labels2()

virtual std::vector< std::string > labels2 ( const CrifRecord::RiskType & rt ) const

pure virtual

Return the list of SIMM Label2 values for risk type rt An empty vector is returned if the risk type does not use Label2

Implemented in SimmConfigurationBase.

◆ addLabels2()

virtual void addLabels2	(	const CrifRecord::RiskType &	rt,
		const std::string &	label_2
	)

pure virtual

Add SIMM Label2 values under certain circumstances.

For example, in v338 and later, CreditQ label2 should have the payment currency if sensitivty is not the result of a securitisation and "payment currency,Sec" if sensitivty is the result of a securitisation. Adding to label2 in the configuration means you do not have to have an exhaustive list up front.

Implemented in SimmConfigurationBase, SimmConfigurationCalibration, SimmConfiguration_ISDA_V1_3_38, SimmConfiguration_ISDA_V2_0, SimmConfiguration_ISDA_V2_1, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_5A, and SimmConfiguration_ISDA_V2_6.

◆ weight()

virtual QuantLib::Real weight	(	const CrifRecord::RiskType &	rt,
		boost::optional< std::string >	qualifier = `boost::none`,
		boost::optional< std::string >	label_1 = `boost::none`,
		const std::string &	calculationCurrency = `""`
	)		const

pure virtual

Return the SIMM risk weight for the given risk type rt with the given qualifier and the given label_1. Three possibilities:

there is a flat risk weight for the risk factor's RiskType so only need rt
there is a qualifier-dependent risk weight for the risk factor's RiskType so need rt and qualifier
there is a qualifier-dependent and label1-dependent risk weight for the risk factor's RiskType so need all three parameters

Implemented in SimmConfigurationBase, SimmConfigurationCalibration, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_5A, and SimmConfiguration_ISDA_V2_6.

◆ curvatureWeight()

virtual QuantLib::Real curvatureWeight	(	const CrifRecord::RiskType &	rt,
		const std::string &	label_1
	)		const

pure virtual

Gives back the value of the scaling function used in the calculation of curvature risk for the risk type rt with SIMM Label1 value label_1. The scaling function is:

\[ SF(t) = 0.5 \times \min \left(1, \frac{14}{t} \right) \]

where \(t\) is given in days.

Implemented in SimmConfigurationBase.

◆ historicalVolatilityRatio()

virtual QuantLib::Real historicalVolatilityRatio ( const CrifRecord::RiskType & rt ) const

pure virtual

Give back the SIMM historical volatility ratio for the risk type rt

Implemented in SimmConfigurationBase.

◆ sigma()

virtual QuantLib::Real sigma	(	const CrifRecord::RiskType &	rt,
		boost::optional< std::string >	qualifier = `boost::none`,
		boost::optional< std::string >	label_1 = `boost::none`,
		const std::string &	calculationCurrency = `""`
	)		const

pure virtual

Give back the value of \(\sigma_{kj}\) from the SIMM docs for risk type rt. In general, rt is a volatility risk type and the method returns:

\[ \sigma_{kj} = \frac{RW_k \sqrt{\frac{365}{14}}}{\Phi^{-1}(0.99)} \]

where \(RW_k\) is the corresponding delta risk weight and \(\Phi(z)\) is the cumulative standard normal distribution.

Remarks: For convenience, returns 1.0 if not applicable for risk type rt

Implemented in SimmConfigurationBase.

◆ curvatureMarginScaling()

virtual QuantLib::Real curvatureMarginScaling ( ) const

pure virtual

Give back the scaling factor for the Interest Rate curvature margin

Implemented in SimmConfigurationBase, SimmConfigurationCalibration, SimmConfiguration_ISDA_V2_1, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_5A, and SimmConfiguration_ISDA_V2_6.

◆ concentrationThreshold()

virtual QuantLib::Real concentrationThreshold	(	const CrifRecord::RiskType &	rt,
		const std::string &	qualifier
	)		const

pure virtual

Give back the SIMM concentration threshold for the risk type rt and the SIMM qualifier

Implemented in SimmConfigurationBase.

◆ isValidRiskType()

virtual bool isValidRiskType ( const CrifRecord::RiskType & rt ) const

pure virtual

Return true if rt is a valid SIMM RiskType under the current configuration. Otherwise, return false.

Implemented in SimmConfigurationBase.

◆ correlationRiskClasses()

virtual QuantLib::Real correlationRiskClasses	(	const RiskClass &	rc_1,
		const RiskClass &	rc_2
	)		const

pure virtual

Return the correlation between SIMM risk classes rc_1 and rc_2.

Implemented in SimmConfigurationBase.

◆ correlation()

virtual QuantLib::Real correlation	(	const CrifRecord::RiskType &	firstRt,
		const std::string &	firstQualifier,
		const std::string &	firstLabel_1,
		const std::string &	firstLabel_2,
		const CrifRecord::RiskType &	secondRt,
		const std::string &	secondQualifier,
		const std::string &	secondLabel_1,
		const std::string &	secondLabel_2,
		const std::string &	calculationCurrency = `""`
	)		const

pure virtual

Return the correlation between the firstQualifier with risk type firstRt, Label1 value of firstLabel_1 and Label2 value of firstLabel_2 and the secondQualifier with risk type secondRt, Label1 value of secondLabel_1 and Label2 value of secondLabel_2

Warning:: Returns 0 if no correlation found

Implemented in SimmConfigurationBase, SimmConfigurationCalibration, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_5A, and SimmConfiguration_ISDA_V2_6.

◆ isSimmConfigCalibration()

virtual bool isSimmConfigCalibration ( ) const

virtual

Reimplemented in SimmConfigurationCalibration.

Definition at line 231 of file simmconfiguration.hpp.

231{ return false; }

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Member Data Documentation

◆ numberOfRiskClasses

const Size numberOfRiskClasses = riskClassMap.size()

staticprotected

Number of risk classes including RiskClass::All.

Definition at line 235 of file simmconfiguration.hpp.

◆ numberOfMarginTypes

const Size numberOfMarginTypes = marginTypeMap.size()

staticprotected

Number of margin types including MarginType::All.

Definition at line 237 of file simmconfiguration.hpp.

◆ numberOfRegulations

const Size numberOfRegulations = regulationsMap.size()

staticprotected

Number of regulations.

Definition at line 239 of file simmconfiguration.hpp.

Public Types

Public Member Functions

Static Public Member Functions

Static Protected Attributes

Detailed Description

Member Enumeration Documentation

◆ SimmSide

◆ RiskClass

◆ MarginType

◆ IMModel

◆ Regulation

Constructor & Destructor Documentation

◆ ~SimmConfiguration()

Member Function Documentation

◆ riskClasses()

◆ riskTypes()

◆ marginTypes()

◆ productClasses()

◆ riskClassToRiskType()

◆ riskTypeToRiskClass()

◆ less_than()

◆ greater_than()

◆ less_than_or_equal_to()

◆ greater_than_or_equal_to()

◆ maxProductClass()

◆ buckets()

◆ hasBuckets()

◆ hasBucketMapping()

◆ labels1()

◆ labels2()

◆ addLabels2()

◆ weight()

◆ curvatureWeight()

◆ historicalVolatilityRatio()

◆ sigma()

◆ curvatureMarginScaling()

◆ concentrationThreshold()

◆ isValidRiskType()

◆ correlationRiskClasses()

◆ correlation()

◆ isSimmConfigCalibration()

Member Data Documentation

◆ numberOfRiskClasses

◆ numberOfMarginTypes

◆ numberOfRegulations