SimmResults Class Reference

#include <orea/simm/simmresults.hpp>

Collaboration diagram for SimmResults:

Public Types
typedef CrifRecord::ProductClass	ProductClass
typedef SimmConfiguration::RiskClass	RiskClass
typedef SimmConfiguration::MarginType	MarginType
typedef std::tuple< ProductClass, RiskClass, MarginType, std::string >	Key

Public Member Functions
	SimmResults (const std::string &resultCcy="", const std::string &calcCcy="")
void	add (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string &b, QuantLib::Real im, const std::string &resultCurrency, const std::string &calculationCurrency, const bool overwrite)
void	add (const Key &key, QuantLib::Real im, const std::string &resultCurrency, const std::string &calculationCurrency, const bool overwrite)
void	convert (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &currency)
	Convert SIMM amounts to a different currency. More...
void	convert (QuantLib::Real fxSpot, const std::string &currency)
QuantLib::Real	get (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string b) const
bool	has (const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string b) const
bool	empty () const
	Return true if the container is empty, otherwise false. More...
void	clear ()
	Clear the results from the container. More...
const std::map< Key, QuantLib::Real > &	data () const
	Return the map containing the results. More...
std::map< Key, QuantLib::Real > &	data ()
std::string &	resultCurrency ()
const std::string &	resultCurrency () const
std::string &	calculationCurrency ()
const std::string &	calculationCurrency () const

Private Attributes
std::map< Key, QuantLib::Real >	data_
std::string	resultCcy_
std::string	calcCcy_

Detailed Description

A container for SIMM results broken down by product class, risk class and margin type.

Definition at line 38 of file simmresults.hpp.

Member Typedef Documentation

ProductClass

typedef CrifRecord::ProductClass ProductClass

Definition at line 40 of file simmresults.hpp.

RiskClass

typedef SimmConfiguration::RiskClass RiskClass

Definition at line 41 of file simmresults.hpp.

MarginType

typedef SimmConfiguration::MarginType MarginType

Definition at line 42 of file simmresults.hpp.

Key

typedef std::tuple<ProductClass, RiskClass, MarginType, std::string> Key

Definition at line 43 of file simmresults.hpp.

Constructor & Destructor Documentation

SimmResults()

SimmResults	(	const std::string &	resultCcy = "",
		const std::string &	calcCcy = ""
	)

Definition at line 45 of file simmresults.hpp.

        : resultCcy_(resultCcy), calcCcy_(calcCcy){};

Member Function Documentation

add() [1/2]

void add	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string &	b,
		QuantLib::Real	im,
		const std::string &	resultCurrency,
		const std::string &	calculationCurrency,
		const bool	overwrite
	)

Add initial margin value im to the results container for the given combination of SIMM product class, risk class and margin type

Remarks

If there is already a result in the container for that combination, it is overwritten if overwrite=true. Otherwise, the amounts are added together. Can check this using the has method before adding.

add() [2/2]

void add	(	const Key &	key,
		QuantLib::Real	im,
		const std::string &	resultCurrency,
		const std::string &	calculationCurrency,
		const bool	overwrite
	)

Definition at line 47 of file simmresults.cpp.

                                                                                  {
        // Add the value as long as the currencies are matching. If the SimmResults container does not yet have
        // a currency, we set it to be that of the incoming value
        if (resultCcy_.empty())
            resultCcy_ = resultCurrency;
        else
            QL_REQUIRE(resultCurrency == resultCcy_,
                       "Cannot add value to SimmResults with a different result currency ("
                           << resultCurrency << "). Expected " << resultCcy_ << ".");
 
        if (calcCcy_.empty())
            calcCcy_ = calculationCurrency;
        else
            QL_REQUIRE(calculationCurrency == calcCcy_,
                       "Cannot add value to SimmResults in a different calculation currency ("
                           << calculationCurrency << "). Expected " << calcCcy_ << ".");
 
        const bool hasResults = data_.find(key) != data_.end();
        if (hasResults && !overwrite)
            data_[key] += im;
        else
            data_[key] = im;
 }

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convert() [1/2]

void convert	(	const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const std::string &	currency
	)

Convert SIMM amounts to a different currency.

Definition at line 73 of file simmresults.cpp.

                                                                                                    {
    // Get corresponding FX spot rate
    Real fxSpot = market->fxRate(resultCcy_ + currency)->value();
 
    convert(fxSpot, currency);
}

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convert() [2/2]

void convert	(	QuantLib::Real	fxSpot,
		const std::string &	currency
	)

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get()

Real get	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string	b
	)		const

Get the initial margin value from the results container for the given combination of SIMM product class, risk class and margin type

Warning:

returns QuantLib::Null<QuantLib::Real> if there is no initial margin value in the results for the given combination. Can avoid this by first checking the results using the has method.

Definition at line 97 of file simmresults.cpp.

                                                                                   {
    if (has(pc, rc, mt, b)) {
        return data_.at(make_tuple(pc, rc, mt, b));
    } else {
        return Null<Real>();
    }
}

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has()

bool has	(	const CrifRecord::ProductClass &	pc,
		const SimmConfiguration::RiskClass &	rc,
		const SimmConfiguration::MarginType &	mt,
		const std::string	b
	)		const

Check if there is an initial margin value in the results container for the given combination of SIMM product class, risk class and margin type

Definition at line 106 of file simmresults.cpp.

                                                                                   {
    return data_.count(make_tuple(pc, rc, mt, b)) > 0;
}

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empty()

bool empty

(

)

const

Return true if the container is empty, otherwise false.

Definition at line 111 of file simmresults.cpp.

{ return data_.empty(); }

clear()

void clear

(

)

Clear the results from the container.

Definition at line 113 of file simmresults.cpp.

{ data_.clear(); }

data() [1/2]

const std::map< Key, QuantLib::Real > & data

(

)

const

Return the map containing the results.

Definition at line 92 of file simmresults.hpp.

{ return data_; }

data() [2/2]

std::map< Key, QuantLib::Real > & data

(

)

Definition at line 93 of file simmresults.hpp.

{ return data_; }

resultCurrency() [1/2]

std::string & resultCurrency

(

)

Definition at line 95 of file simmresults.hpp.

{ return resultCcy_; }

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resultCurrency() [2/2]

const std::string & resultCurrency

(

)

const

Definition at line 96 of file simmresults.hpp.

{ return resultCcy_; }

calculationCurrency() [1/2]

std::string & calculationCurrency

(

)

Definition at line 98 of file simmresults.hpp.

{ return calcCcy_; }

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calculationCurrency() [2/2]

const std::string & calculationCurrency

(

)

const

Definition at line 99 of file simmresults.hpp.

{ return calcCcy_; }

Member Data Documentation

data_

std::map<Key, QuantLib::Real> data_

private

Definition at line 102 of file simmresults.hpp.

resultCcy_

std::string resultCcy_

private

Definition at line 103 of file simmresults.hpp.

calcCcy_

std::string calcCcy_

private

Definition at line 104 of file simmresults.hpp.