#include <orea/simm/simmconfigurationbase.hpp>

Inheritance diagram for SimmConfigurationBase:

Collaboration diagram for SimmConfigurationBase:

Public Types
typedef std::map< std::tuple< std::string, std::string, std::string >, QuantLib::Real >	Amounts

Public Types inherited from SimmConfiguration
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
const std::string &	name () const override
	Returns the SIMM configuration name. More...

const std::string &	version () const override
	Returns the SIMM configuration version. More...

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

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

std::string	bucket (const CrifRecord::RiskType &rt, const std::string &qualifier) const override

const bool	checkValue (const std::string &, const std::vector< std::string > &) const

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

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

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

void	addLabels2 (const CrifRecord::RiskType &rt, const std::string &label_2) override
	Add SIMM Label2 values under certain circumstances. More...

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 override

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

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

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 override

QuantLib::Real	curvatureMarginScaling () const override

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

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

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

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 override

QuantLib::Size	mporDays () const
	MPOR in days. More...

Public Member Functions inherited from SimmConfiguration
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

Protected Member Functions
	SimmConfigurationBase (const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const std::string &name, const std::string version, QuantLib::Size mporDays=10)
	Constructor taking the SIMM configuration `name` and `version`. More...

const std::tuple< std::string, std::string, std::string >	makeKey (const std::string &, const std::string &, const std::string &) const

QuantLib::Size	labelIndex (const std::string &label, const std::vector< std::string > &labels) const
	Helper method to find the index of the `label` in `labels`. More...

void	addLabels2Impl (const CrifRecord::RiskType &rt, const std::string &label_2)
	A base implementation of addLabels2 that can be shared by derived classes. More...

Protected Attributes
std::string	version_
	SIMM configuration version. More...

QuantLib::ext::shared_ptr< SimmBucketMapper >	simmBucketMapper_
	Used to map SIMM Qualifier names to SIMM bucket values. More...

QuantLib::ext::shared_ptr< SimmConcentration >	simmConcentration_
	Used to get the concentration thresholds for a given risk type and qualifier. More...

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapBuckets_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_1_

std::map< CrifRecord::RiskType, std::vector< std::string > >	mapLabels_2_

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

std::map< CrifRecord::RiskType, Amounts >	rwBucket_

std::map< CrifRecord::RiskType, Amounts >	rwLabel_1_

std::map< CrifRecord::RiskType, std::vector< QuantLib::Real > >	curvatureWeights_

std::map< CrifRecord::RiskType, QuantLib::Real >	historicalVolatilityRatios_
	Map from risk type to a historical volatility ratio. More...

std::set< CrifRecord::RiskType >	validRiskTypes_
	Set of valid risk types for the current configuration. More...

Amounts	riskClassCorrelation_
	Risk class correlation matrix. More...

std::map< CrifRecord::RiskType, Amounts >	interBucketCorrelation_

std::map< CrifRecord::RiskType, Amounts >	intraBucketCorrelation_

QuantLib::Size	mporDays_

Single Correlations
Single correlation numbers that don't fit in to a structure. They can be populated in derived classes and are requested in the base implementation of the correlation method.
QuantLib::Real	xccyCorr_

QuantLib::Real	infCorr_
	Correlation between any yield and inflation in same currency. More...

QuantLib::Real	infVolCorr_
	Correlation between any yield volatility and inflation volatility in same currency. More...

QuantLib::Real	irSubCurveCorr_
	IR Label2 level i.e. sub-curve correlation. More...

QuantLib::Real	irInterCurrencyCorr_
	IR correlation across currencies. More...

QuantLib::Real	crqResidualIntraCorr_
	Credit-Q residual intra correlation. More...

QuantLib::Real	crqSameIntraCorr_
	Credit-Q non-residual intra correlation when same qualifier but different vertex/source. More...

QuantLib::Real	crqDiffIntraCorr_
	Credit-Q non-residual intra correlation when different qualifier. More...

QuantLib::Real	crnqResidualIntraCorr_
	Credit-NonQ residual intra correlation. More...

QuantLib::Real	crnqSameIntraCorr_
	Credit-NonQ non-residual intra correlation when same underlying names. More...

QuantLib::Real	crnqDiffIntraCorr_
	Credit-NonQ non-residual intra correlation when different underlying names. More...

QuantLib::Real	crnqInterCorr_
	Credit-NonQ non-residual inter bucket correlation. More...

QuantLib::Real	fxCorr_
	FX correlation. More...

QuantLib::Real	basecorrCorr_
	Base correlation risk factor correlation. More...

Private Member Functions
QuantLib::Real	sigmaMultiplier () const
	Calculate variable for use in sigma method. More...

Private Attributes
std::string	name_
	Name of the SIMM configuration. More...

Additional Inherited Members
Static Public Member Functions inherited from SimmConfiguration
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 inherited from SimmConfiguration
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

Definition at line 37 of file simmconfigurationbase.hpp.

Member Typedef Documentation

◆ Amounts

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

Definition at line 39 of file simmconfigurationbase.hpp.

Constructor & Destructor Documentation

◆ SimmConfigurationBase()

SimmConfigurationBase	(	const QuantLib::ext::shared_ptr< SimmBucketMapper > &	simmBucketMapper,
		const std::string &	name,
		const std::string	version,
		QuantLib::Size	mporDays = `10`
	)

protected

Constructor taking the SIMM configuration name and version.

Definition at line 75 of file simmconfigurationbase.cpp.

77 : name_(name), version_(version), simmBucketMapper_(simmBucketMapper), mporDays_(mporDays) {}

ore::analytics::SimmConfigurationBase::name_

std::string name_

Name of the SIMM configuration.

Definition: simmconfigurationbase.hpp:160

ore::analytics::SimmConfigurationBase::version_

std::string version_

SIMM configuration version.

Definition: simmconfigurationbase.hpp:170

ore::analytics::SimmConfigurationBase::mporDays

QuantLib::Size mporDays() const

MPOR in days.

Definition: simmconfigurationbase.hpp:156

ore::analytics::SimmConfigurationBase::mporDays_

QuantLib::Size mporDays_

Definition: simmconfigurationbase.hpp:276

ore::analytics::SimmConfigurationBase::name

const std::string & name() const override

Returns the SIMM configuration name.

Definition: simmconfigurationbase.hpp:42

ore::analytics::SimmConfigurationBase::version

const std::string & version() const override

Returns the SIMM configuration version.

Definition: simmconfigurationbase.hpp:45

ore::analytics::SimmConfigurationBase::simmBucketMapper_

QuantLib::ext::shared_ptr< SimmBucketMapper > simmBucketMapper_

Used to map SIMM Qualifier names to SIMM bucket values.

Definition: simmconfigurationbase.hpp:173

Member Function Documentation

◆ name()

const std::string & name ( ) const

overridevirtual

Returns the SIMM configuration name.

Implements CrifConfiguration.

Definition at line 42 of file simmconfigurationbase.hpp.

42{ return name_; }

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◆ version()

const std::string & version ( ) const

overridevirtual

Returns the SIMM configuration version.

Implements CrifConfiguration.

Definition at line 45 of file simmconfigurationbase.hpp.

45{ return version_; }

◆ bucketMapper()

const QuantLib::ext::shared_ptr< SimmBucketMapper > & bucketMapper ( ) const

overridevirtual

Returns the SIMM bucket mapper used by the configuration.

Implements CrifConfiguration.

Definition at line 48 of file simmconfigurationbase.hpp.

48{ return simmBucketMapper_; }

◆ hasBuckets()

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

overridevirtual

Return true if the SIMM risk type rt has buckets.

Implements SimmConfiguration.

Definition at line 79 of file simmconfigurationbase.cpp.

79{ return simmBucketMapper_->hasBuckets(rt); }

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◆ bucket()

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

overridevirtual

Return the SIMM bucket name for the given risk type rt and qualifier

Implements CrifConfiguration.

Definition at line 81 of file simmconfigurationbase.cpp.

                                                                                      {
    QL_REQUIRE(hasBuckets(rt), "The SIMM risk type " << rt << " does not have buckets");
    return simmBucketMapper_->bucket(rt, qualifier);
}

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◆ checkValue()

const bool checkValue	(	const std::string &	value,
		const std::vector< std::string > &	container
	)		const

Definition at line 86 of file simmconfigurationbase.cpp.

                                                                                                       {
    return std::find(container.begin(), container.end(), value) != container.end();
}

◆ buckets()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 90 of file simmconfigurationbase.cpp.

                                                                      {
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
    return lookup(rt, mapBuckets_);
}

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◆ labels1()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 96 of file simmconfigurationbase.cpp.

                                                                      {
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
    return lookup(rt, mapLabels_1_);
}

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◆ labels2()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 102 of file simmconfigurationbase.cpp.

                                                                      {
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
    return lookup(rt, mapLabels_2_);
}

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◆ addLabels2()

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

overridevirtual

Add SIMM Label2 values under certain circumstances.

Implements SimmConfiguration.

Reimplemented in 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.

Definition at line 73 of file simmconfigurationbase.hpp.

73{}

◆ weight()

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

overridevirtual

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

Implements SimmConfiguration.

Reimplemented in 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.

Definition at line 108 of file simmconfigurationbase.cpp.

                                                                                                       {
 
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
 
    // If the risk type has flat risk weights, ignore last 2 parameters
    if (rwRiskType_.count(rt) > 0) {
        return rwRiskType_.at(rt);
    }
 
    // We now at least have bucket dependent risk weights so check qualifier and buckets
    QL_REQUIRE(qualifier, "Need a valid qualifier to return a risk weight because the risk type "
                              << rt << " has bucket dependent risk weights");
    QL_REQUIRE(!buckets(rt).empty(), "Could not find any buckets for risk type " << rt);
    string bucket = simmBucketMapper_->bucket(rt, *qualifier);
 
    // If risk weight for this risk type is bucket-dependent
    if (rwBucket_.find(rt) != rwBucket_.end()) {
        auto bucketKey = makeKey(bucket, "", "");
        if (rwBucket_.at(rt).find(bucketKey) != rwBucket_.at(rt).end())
            return rwBucket_.at(rt).at(bucketKey);
        else
            QL_FAIL("Could not find risk weight for risk type " << rt << " and key " << bucketKey);
    }
 
    // If we get to here, risk weight must depend on risk type, bucket and Label1
    if (rwLabel_1_.find(rt) != rwLabel_1_.end()) {
 
        QL_REQUIRE(label_1, "Need a valid Label1 value to return a risk weight because the risk type "
                                << rt << " has bucket and Label1 dependent risk weights");
        QL_REQUIRE(!labels1(rt).empty(), "Could not find any Label1 values for risk type " << rt);
        auto label1Key = makeKey(bucket, *label_1, "");
 
        if (rwLabel_1_.at(rt).find(label1Key) != rwLabel_1_.at(rt).end())
            return rwLabel_1_.at(rt).at(label1Key);
        else
            QL_FAIL("Could not find risk weight for risk type " << rt << " and key " << label1Key);
    }
 
    // If we get to here, we have failed to get a risk weight
    QL_FAIL("Could not find a risk weight for (risk type, qualifier, Label1) = (" << rt << "," << qualifier << ","
                                                                                  << label_1 << ")");
}

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◆ curvatureWeight()

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

overridevirtual

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.

Warning:: An error is thrown if there is no curvature from the risk type rt

Implements SimmConfiguration.

Definition at line 153 of file simmconfigurationbase.cpp.

                                                                                                      {
 
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
 
    QL_REQUIRE(curvatureWeights_.count(rt) > 0, "The risk type " << rt << " does not have a curvature weight.");
 
    QL_REQUIRE(!labels1(rt).empty(), "Could not find any Label1 values for risk type " << rt);
    auto idx = labelIndex(label_1, labels1(rt));
 
    return curvatureWeights_.at(rt)[idx];
}

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◆ historicalVolatilityRatio()

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

overridevirtual

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

Remarks: 1.0 is returned if there is no historical volatility ratio for rt

Implements SimmConfiguration.

Definition at line 166 of file simmconfigurationbase.cpp.

                                                                              {
    QL_REQUIRE(isValidRiskType(rt),
               "The risk type " << rt << " is not valid for SIMM configuration with name" << name_);
 
    if (historicalVolatilityRatios_.count(rt) > 0) {
        return historicalVolatilityRatios_.at(rt);
    } else {
        return 1.0;
    }
}

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◆ sigma()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 177 of file simmconfigurationbase.cpp.

                                                                                                                {
 
    Real sigmaMultiplier = SimmConfigurationBase::sigmaMultiplier();
 
    Real result = 1.0;
    Real deltaRiskWeight;
    std::string ccy1, ccy2;
    switch (rt) {
    case RiskType::CommodityVol:
        deltaRiskWeight = weight(RiskType::Commodity, qualifier, label_1);
        result = sigmaMultiplier * deltaRiskWeight;
        break;
    case RiskType::EquityVol:
        deltaRiskWeight = weight(RiskType::Equity, qualifier, label_1);
        result = sigmaMultiplier * deltaRiskWeight;
        break;
    case RiskType::FXVol:
        /*For FX vega (which depends on a pair of currencies), the risk weight to use here is
          the FX delta risk weight value. Before ISDA 2.2 this value is common for all currency pairs.
          For ISDA 2.2 the FX delta is from the sensitivity table, given explicitly
          in section I of the ISDA document, whose row is the FX volatility group of the first currency and
          whose column is the FX volatility group of the second currency.
         */
        ccy1 = (*qualifier).substr(0, 3);
        ccy2 = (*qualifier).substr(3, 3);
        // make sure they parse as currencies
        ore::data::parseCurrency(ccy1);
        ore::data::parseCurrency(ccy2);
        deltaRiskWeight = weight(RiskType::FX, ccy1, label_1, ccy2);
        result = sigmaMultiplier * deltaRiskWeight;
        break;
    default:
        break;
    }
 
    return result;
}

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◆ curvatureMarginScaling()

QuantLib::Real curvatureMarginScaling ( ) const

overridevirtual

Give back the scaling factor for the Interest Rate curvature margin

Implements SimmConfiguration.

Reimplemented in 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.

Definition at line 120 of file simmconfigurationbase.hpp.

120{ return 2.3; }

◆ concentrationThreshold()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 125 of file simmconfigurationbase.hpp.

                                                                                                                 {
        return simmConcentration_->threshold(rt, qualifier);
    }

◆ isValidRiskType()

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

overridevirtual

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

Implements SimmConfiguration.

Definition at line 132 of file simmconfigurationbase.hpp.

132{ return validRiskTypes_.count(rt) > 0; }

ore::analytics::SimmConfigurationBase::validRiskTypes_

std::set< CrifRecord::RiskType > validRiskTypes_

Set of valid risk types for the current configuration.

Definition: simmconfigurationbase.hpp:223

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◆ correlationRiskClasses()

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

overridevirtual

Return the correlation between SIMM risk classes rc_1 and rc_2.

Implements SimmConfiguration.

Definition at line 442 of file simmconfigurationbase.cpp.

                                                                                                             {
 
    if (rc_1 == rc_2)
        return 1.0;
 
    auto rcLabel12Key = makeKey("", ore::data::to_string(rc_1), ore::data::to_string(rc_2));
 
    QL_REQUIRE(riskClassCorrelation_.find(rcLabel12Key) != riskClassCorrelation_.end(),
               "Could not find risk class correlation between " << rc_1 << " and " << rc_2 << ".");
 
    return riskClassCorrelation_.at(rcLabel12Key);
}

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◆ correlation()

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

overridevirtual

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

Remarks: if not using firstLabel_1 and secondLabel_1, just enter an empty string for both. Similarly for firstLabel_2 and secondLabel_2.

Warning:: Returns 0 if no correlation found

Implements SimmConfiguration.

Reimplemented in 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.

Definition at line 216 of file simmconfigurationbase.cpp.

                                                                          {
 
    // First check that we have valid risk types for the configuration in question
    QL_REQUIRE(isValidRiskType(firstRt),
               "The risk type " << firstRt << " is not valid for SIMM configuration with name" << name());
    QL_REQUIRE(isValidRiskType(secondRt),
               "The risk type " << secondRt << " is not valid for SIMM configuration with name" << name());
 
    // Deal with trivial case of everything equal
    if (firstRt == secondRt && firstQualifier == secondQualifier && firstLabel_1 == secondLabel_1 &&
        firstLabel_2 == secondLabel_2) {
        return 1.0;
    }
 
    // Deal with Equity correlations
    if ((firstRt == RiskType::Equity && secondRt == RiskType::Equity) ||
        (firstRt == RiskType::EquityVol && secondRt == RiskType::EquityVol)) {
 
        // Get the bucket of each qualifier
        string bucket_1 = simmBucketMapper_->bucket(firstRt, firstQualifier);
        string bucket_2 = simmBucketMapper_->bucket(secondRt, secondQualifier);
 
        // Residual is special, 0 correlation inter and intra except if same qualifier
        if (bucket_1 == "Residual" || bucket_2 == "Residual") {
            return firstQualifier == secondQualifier ? 1.0 : 0.0;
        }
 
        // Non-residual
        // Get the bucket index of each qualifier
        if (bucket_1 == bucket_2) {
            auto bucketKey = makeKey(bucket_1, "", "");
            // If same bucket, return the intra-bucket correlation
            return firstQualifier == secondQualifier ? 1.0 : intraBucketCorrelation_.at(RiskType::Equity).at(bucketKey);
        } else {
            // If different buckets, return the inter-bucket correlation
            auto label12Key = makeKey("", bucket_1, bucket_2);
            return interBucketCorrelation_.at(RiskType::Equity).at(label12Key);
        }
    }
 
    // Deal with CreditQ correlations
    if ((firstRt == RiskType::CreditQ && secondRt == RiskType::CreditQ) ||
        (firstRt == RiskType::CreditVol && secondRt == RiskType::CreditVol)) {
 
        // Get the bucket of each qualifier
        string bucket_1 = simmBucketMapper_->bucket(firstRt, firstQualifier);
        string bucket_2 = simmBucketMapper_->bucket(secondRt, secondQualifier);
 
        // Residual is special
        if (bucket_1 == "Residual" || bucket_2 == "Residual") {
            if (bucket_1 == bucket_2) {
                // Both Residual
                return crqResidualIntraCorr_;
            } else {
                // One is a residual bucket and the other is not
                return 0.0;
            }
        }
 
        // Non-residual
        if (bucket_1 == bucket_2) {
            // If same bucket
            if (firstQualifier != secondQualifier) {
                // If different qualifier (i.e. here issuer/seniority)
                return crqDiffIntraCorr_;
            } else {
                // If same qualifier (i.e. here issuer/seniority)
                return crqSameIntraCorr_;
            }
        } else {
            // Get the bucket indices of each qualifier for reading the matrix
            RiskType rt = RiskType::CreditQ;
            auto label12Key = makeKey("", bucket_1, bucket_2);
            if (interBucketCorrelation_.at(rt).find(label12Key) != interBucketCorrelation_.at(rt).end())
                return interBucketCorrelation_.at(rt).at(label12Key);
            else
                QL_FAIL("Could not find correlation for risk type " << rt << " and key " << label12Key);
        }
    }
 
    // Deal with CreditNonQ correlations
    if ((firstRt == RiskType::CreditNonQ && secondRt == RiskType::CreditNonQ) ||
        (firstRt == RiskType::CreditVolNonQ && secondRt == RiskType::CreditVolNonQ)) {
 
        // Get the bucket of each qualifier
        string bucket_1 = simmBucketMapper_->bucket(firstRt, firstQualifier);
        string bucket_2 = simmBucketMapper_->bucket(secondRt, secondQualifier);
 
        // Residual is special
        if (bucket_1 == "Residual" || bucket_2 == "Residual") {
            if (bucket_1 == bucket_2) {
                // Both Residual
                return crnqResidualIntraCorr_;
            } else {
                // One is a residual bucket and the other is not
                return 0.0;
            }
        }
 
        // Non-residual
        if (bucket_1 == bucket_2) {
            SimmVersion thresholdVersion = SimmVersion::V2_2;
            if (isSimmConfigCalibration() || parseSimmVersion(version_) >= thresholdVersion) {
                // In ISDA SIMM version 2.2 or greater, the CRNQ correlations differ depending on whether or not
                // the entities have the same group name i.e. CMBX.
                return firstLabel_2 == secondLabel_2 ? crnqSameIntraCorr_ : crnqDiffIntraCorr_;
            }
            // TODO:
            // If same bucket. For ISDA SIMM < 2.2 there is a section in the documentation where
            // you choose between a correlation if the underlying names are the same and another
            // correlation if the underlying names are different. The underlying names being the
            // same is defined in terms of an overlap of 80% in notional terms in underlying names.
            // Don't know how to pass this down yet so we just go on qualifiers here.
            return firstQualifier == secondQualifier ? crnqSameIntraCorr_ : crnqDiffIntraCorr_;
        } else {
            // If different buckets, return the inter-bucket correlation
            return crnqInterCorr_;
        }
    }
 
    // Deal with Commodity correlations
    if ((firstRt == RiskType::Commodity && secondRt == RiskType::Commodity) ||
        (firstRt == RiskType::CommodityVol && secondRt == RiskType::CommodityVol)) {
 
        // Get the bucket index of each qualifier
        const string& bucket_1 = simmBucketMapper_->bucket(firstRt, firstQualifier);
        const string& bucket_2 = simmBucketMapper_->bucket(secondRt, secondQualifier);
 
        if (bucket_1 == bucket_2) {
            auto bucketKey = makeKey(bucket_1, "", "");
            // If same bucket, return the intra-bucket correlation
            return firstQualifier == secondQualifier ? 1.0 : intraBucketCorrelation_.at(RiskType::Commodity).at(bucketKey);
        } else {
            // If different buckets, return the inter-bucket correlation
            auto label12Key = makeKey("", bucket_1, bucket_2);
            return interBucketCorrelation_.at(RiskType::Commodity).at(label12Key);
        }
    }
 
    // Deal with case of different risk types
    if ((firstRt != secondRt) && (firstQualifier == secondQualifier)) {
        if (((firstRt == RiskType::IRCurve || firstRt == RiskType::Inflation) && secondRt == RiskType::XCcyBasis) ||
            (firstRt == RiskType::XCcyBasis && (secondRt == RiskType::IRCurve || secondRt == RiskType::Inflation))) {
            // Between xccy basis and any yield or inflation in same currency
            return xccyCorr_;
        }
        if ((firstRt == RiskType::IRCurve && secondRt == RiskType::Inflation) ||
            (firstRt == RiskType::Inflation && secondRt == RiskType::IRCurve)) {
            // Between any yield and inflation in same currency
            return infCorr_;
        }
        if ((firstRt == RiskType::IRVol && secondRt == RiskType::InflationVol) ||
            (firstRt == RiskType::InflationVol && secondRt == RiskType::IRVol)) {
            // Between any yield volatility and inflation volatility in same currency
            return infVolCorr_;
        }
    }
 
    // Deal with IRCurve and IRVol correlations
    if ((firstRt == RiskType::IRCurve && secondRt == RiskType::IRCurve) ||
        (firstRt == RiskType::IRVol && secondRt == RiskType::IRVol)) {
 
        // If the qualifiers, i.e. currencies, are the same
        if (firstQualifier == secondQualifier) {
            // Label2 level, i.e. sub-curve, correlations
            if (firstLabel_2 != secondLabel_2) {
                QL_REQUIRE(
                    firstLabel_1 == "" && secondLabel_1 == "",
                    "When asking for Label2 level correlations, "
                        << "the Label1 level values should both contain the default parameter i.e. empty string");
                QL_REQUIRE(firstRt != RiskType::IRVol, "There is no correlation at the Label2 level for Risk_IRVol");
                return irSubCurveCorr_;
            }
 
            // Label1 level, i.e. tenor, correlations
            RiskType rt = RiskType::IRCurve;
            auto label12Key = makeKey("", firstLabel_1, secondLabel_1);
            if (intraBucketCorrelation_.at(rt).find(label12Key) != intraBucketCorrelation_.at(rt).end())
                return intraBucketCorrelation_.at(rt).at(label12Key);
            else
                QL_FAIL("Could not find correlation for risk type " << rt << " and key " << label12Key);
        } else {
            // If the qualifiers, i.e. currencies, are not the same
            return irInterCurrencyCorr_;
        }
    }
 
    // Deal with inflation volatility correlations
    if (firstRt == RiskType::InflationVol && secondRt == RiskType::InflationVol) {
        return 1.0;
    }
 
    // Deal with FX correlations
    // TODO:
    // For FXVol, qualifier is a currency pair. Is it possible to get here
    // and to have something like secondQualifier = USDJPY and firstQualifier =
    // JPYUSD an to give back 0.5
    if ((firstRt == RiskType::FX && secondRt == RiskType::FX) ||
        (firstRt == RiskType::FXVol && secondRt == RiskType::FXVol)) {
        return firstQualifier == secondQualifier ? 1.0 : fxCorr_;
    }
 
    // Both risk types Base correlation
    if (firstRt == RiskType::BaseCorr && secondRt == RiskType::BaseCorr) {
        return basecorrCorr_;
    }
 
    // If we get to here
    return 0.0;
}

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◆ mporDays()

QuantLib::Size mporDays ( ) const

MPOR in days.

Definition at line 156 of file simmconfigurationbase.hpp.

156{ return mporDays_; }

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◆ sigmaMultiplier()

Real sigmaMultiplier ( ) const

private

Calculate variable for use in sigma method.

Definition at line 431 of file simmconfigurationbase.cpp.

                                                  {
    // return 2.19486471232815;
    // Use boost inverse normal here as opposed to QL. Using QL inverse normal
    // will cause the ISDA SIMM unit tests to fail
 
    /* We write sqrt(365.0 / (1.4 * mporDays_)) so that this function is
       sqrt(365.0 / 14) for MPOR = 10 as expected and sqrt(365.0 / 1.4) for MPOR = 1.
       This is described in SIMM:Technical Paper (Version 10), Section I.2 */
    return sqrt(365.0 / (1.4 * mporDays_)) / boost::math::quantile(boost::math::normal(), 0.99);
}

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◆ makeKey()

const tuple< string, string, string > makeKey	(	const std::string &	bucket,
		const std::string &	label1,
		const std::string &	label2
	)		const

protected

Definition at line 70 of file simmconfigurationbase.cpp.

                                                                                                     {
    return std::make_tuple(bucket, label1, label2);
}

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◆ labelIndex()

Size labelIndex	(	const std::string &	label,
		const std::vector< std::string > &	labels
	)		const

protected

Helper method to find the index of the label in labels.

Definition at line 455 of file simmconfigurationbase.cpp.

                                                                                              {
    QL_REQUIRE(!labels.empty(), "Labels cannot be empty");
    auto it = std::find(labels.begin(), labels.end(), label);
    QL_REQUIRE(it != labels.end(), "The label '" << label << "' could not be found in the labels.");
    return std::distance(labels.begin(), it);
}

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◆ addLabels2Impl()

void addLabels2Impl	(	const CrifRecord::RiskType &	rt,
		const std::string &	label_2
	)

protected

A base implementation of addLabels2 that can be shared by derived classes.

Definition at line 462 of file simmconfigurationbase.cpp.

                                                                                    {
    // Only currently need this for risk type CreditQ
    QL_REQUIRE(rt == RiskType::CreditQ, "addLabels2 only supported for RiskType_CreditQ");
 
    // Expect label of the form "CCY" or "CCY,Sec"
    if (label_2.size() == 3) {
        QL_REQUIRE(checkCurrency(label_2), "Expected a Label2 of size 3 to be a valid currency code");
    }
 
    if (label_2.size() == 7) {
        QL_REQUIRE(checkCurrency(label_2.substr(0, 3)), "Expected first 3 characters of Label2 ("
                                                            << label_2.substr(0, 3) << ") to be a valid currency code");
        QL_REQUIRE(label_2.substr(4) == "Sec", "Last 3 characters of Label2 should be 'Sec'");
        QL_REQUIRE(checkCurrency(label_2.substr(3, 1)), "Delimiter should be a comma");
    }
 
    QL_FAIL("Label2 passed to addLabels2 is unusable for RiskType " << rt);
}

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Member Data Documentation

◆ name_

std::string name_

private

Name of the SIMM configuration.

Definition at line 160 of file simmconfigurationbase.hpp.

◆ version_

std::string version_

protected

SIMM configuration version.

Definition at line 170 of file simmconfigurationbase.hpp.

◆ simmBucketMapper_

QuantLib::ext::shared_ptr<SimmBucketMapper> simmBucketMapper_

protected

Used to map SIMM Qualifier names to SIMM bucket values.

Definition at line 173 of file simmconfigurationbase.hpp.

◆ simmConcentration_

QuantLib::ext::shared_ptr<SimmConcentration> simmConcentration_

protected

Used to get the concentration thresholds for a given risk type and qualifier.

Definition at line 176 of file simmconfigurationbase.hpp.

◆ mapBuckets_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapBuckets_

protected

Map giving the SIMM bucket names for each risk type. If risk type is not present in the map keys => there are no buckets for that risk type

Definition at line 190 of file simmconfigurationbase.hpp.

◆ mapLabels_1_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapLabels_1_

protected

Map giving the possible SIMM Label1 values for each risk type. If risk type is not present in the map keys then the Label1 value is not used for that risk type

Definition at line 196 of file simmconfigurationbase.hpp.

◆ mapLabels_2_

std::map<CrifRecord::RiskType, std::vector<std::string> > mapLabels_2_

protected

Map giving the possible SIMM Label2 values for each risk type. If risk type is not present in the map keys then the Label2 value is not used for that risk type

Definition at line 202 of file simmconfigurationbase.hpp.

◆ rwRiskType_

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

protected

Risk weights, there are three types:

risk type dependent only
risk type and bucket dependent
risk type, bucket and label1 dependent

Definition at line 209 of file simmconfigurationbase.hpp.

◆ rwBucket_

std::map<CrifRecord::RiskType, Amounts> rwBucket_

protected

Definition at line 210 of file simmconfigurationbase.hpp.

◆ rwLabel_1_

std::map<CrifRecord::RiskType, Amounts> rwLabel_1_

protected

Definition at line 211 of file simmconfigurationbase.hpp.

◆ curvatureWeights_

std::map<CrifRecord::RiskType, std::vector<QuantLib::Real> > curvatureWeights_

protected

Map from risk type to a vector of curvature weights. The size of the vector of weights for a given risk type must equal the size of the vector of Label1 values for that risk type in the map mapLabels_1_

Definition at line 217 of file simmconfigurationbase.hpp.

◆ historicalVolatilityRatios_

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

protected

Map from risk type to a historical volatility ratio.

Definition at line 220 of file simmconfigurationbase.hpp.

◆ validRiskTypes_

std::set<CrifRecord::RiskType> validRiskTypes_

protected

Set of valid risk types for the current configuration.

Definition at line 223 of file simmconfigurationbase.hpp.

◆ riskClassCorrelation_

Amounts riskClassCorrelation_

protected

Risk class correlation matrix.

Definition at line 226 of file simmconfigurationbase.hpp.

◆ interBucketCorrelation_

std::map<CrifRecord::RiskType, Amounts> interBucketCorrelation_

protected

Map from risk type to a matrix of inter-bucket correlations for that risk type i.e. correlation between qualifiers of the risk type that fall in different buckets

Definition at line 232 of file simmconfigurationbase.hpp.

◆ intraBucketCorrelation_

std::map<CrifRecord::RiskType, Amounts> intraBucketCorrelation_

protected

Map from risk type to an intra-bucket correlation for that risk type i.e. correlation between qualifiers of the risk type that fall in the same bucket

Definition at line 238 of file simmconfigurationbase.hpp.

◆ xccyCorr_

QuantLib::Real xccyCorr_

protected

Correlation between xccy basis and any yield or inflation in same currency

Definition at line 247 of file simmconfigurationbase.hpp.

◆ infCorr_

QuantLib::Real infCorr_

protected

Correlation between any yield and inflation in same currency.

Definition at line 249 of file simmconfigurationbase.hpp.

◆ infVolCorr_

QuantLib::Real infVolCorr_

protected

Correlation between any yield volatility and inflation volatility in same currency.

Definition at line 251 of file simmconfigurationbase.hpp.

◆ irSubCurveCorr_

QuantLib::Real irSubCurveCorr_

protected

IR Label2 level i.e. sub-curve correlation.

Definition at line 253 of file simmconfigurationbase.hpp.

◆ irInterCurrencyCorr_

QuantLib::Real irInterCurrencyCorr_

protected

IR correlation across currencies.

Definition at line 255 of file simmconfigurationbase.hpp.

◆ crqResidualIntraCorr_

QuantLib::Real crqResidualIntraCorr_

protected

Credit-Q residual intra correlation.

Definition at line 257 of file simmconfigurationbase.hpp.

◆ crqSameIntraCorr_

QuantLib::Real crqSameIntraCorr_

protected

Credit-Q non-residual intra correlation when same qualifier but different vertex/source.

Definition at line 259 of file simmconfigurationbase.hpp.

◆ crqDiffIntraCorr_

QuantLib::Real crqDiffIntraCorr_

protected

Credit-Q non-residual intra correlation when different qualifier.

Definition at line 261 of file simmconfigurationbase.hpp.

◆ crnqResidualIntraCorr_

QuantLib::Real crnqResidualIntraCorr_

protected

Credit-NonQ residual intra correlation.

Definition at line 263 of file simmconfigurationbase.hpp.

◆ crnqSameIntraCorr_

QuantLib::Real crnqSameIntraCorr_

protected

Credit-NonQ non-residual intra correlation when same underlying names.

Definition at line 265 of file simmconfigurationbase.hpp.

◆ crnqDiffIntraCorr_

QuantLib::Real crnqDiffIntraCorr_

protected

Credit-NonQ non-residual intra correlation when different underlying names.

Definition at line 267 of file simmconfigurationbase.hpp.

◆ crnqInterCorr_

QuantLib::Real crnqInterCorr_

protected

Credit-NonQ non-residual inter bucket correlation.

Definition at line 269 of file simmconfigurationbase.hpp.

◆ fxCorr_

QuantLib::Real fxCorr_

protected

FX correlation.

Definition at line 271 of file simmconfigurationbase.hpp.

◆ basecorrCorr_

QuantLib::Real basecorrCorr_

protected

Base correlation risk factor correlation.

Definition at line 273 of file simmconfigurationbase.hpp.

◆ mporDays_

QuantLib::Size mporDays_

protected

Margin Period of risk in days

Definition at line 276 of file simmconfigurationbase.hpp.

Public Types

Public Member Functions

Protected Member Functions

Protected Attributes

Private Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ Amounts

Constructor & Destructor Documentation

◆ SimmConfigurationBase()

Member Function Documentation

◆ name()

◆ version()

◆ bucketMapper()

◆ hasBuckets()

◆ bucket()

◆ checkValue()

◆ buckets()

◆ labels1()

◆ labels2()

◆ addLabels2()

◆ weight()

◆ curvatureWeight()

◆ historicalVolatilityRatio()

◆ sigma()

◆ curvatureMarginScaling()

◆ concentrationThreshold()

◆ isValidRiskType()

◆ correlationRiskClasses()

◆ correlation()

◆ mporDays()

◆ sigmaMultiplier()

◆ makeKey()

◆ labelIndex()

◆ addLabels2Impl()

Member Data Documentation

◆ name_

◆ version_

◆ simmBucketMapper_

◆ simmConcentration_

◆ mapBuckets_

◆ mapLabels_1_

◆ mapLabels_2_

◆ rwRiskType_

◆ rwBucket_

◆ rwLabel_1_

◆ curvatureWeights_

◆ historicalVolatilityRatios_

◆ validRiskTypes_

◆ riskClassCorrelation_

◆ interBucketCorrelation_

◆ intraBucketCorrelation_

◆ xccyCorr_

◆ infCorr_

◆ infVolCorr_

◆ irSubCurveCorr_

◆ irInterCurrencyCorr_

◆ crqResidualIntraCorr_

◆ crqSameIntraCorr_

◆ crqDiffIntraCorr_

◆ crnqResidualIntraCorr_

◆ crnqSameIntraCorr_

◆ crnqDiffIntraCorr_

◆ crnqInterCorr_

◆ fxCorr_

◆ basecorrCorr_

◆ mporDays_