XVA Calculator base class. More...

#include <orea/aggregation/xvacalculator.hpp>

Inheritance diagram for ValueAdjustmentCalculator:

Collaboration diagram for ValueAdjustmentCalculator:

Public Member Functions
	ValueAdjustmentCalculator (const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND")

virtual	~ValueAdjustmentCalculator ()

virtual void	build ()
	Compute cva along all paths and fill result structures. More...

virtual const vector< Date > &	dates ()

virtual const Date	asof ()

virtual const Real	calculateCvaIncrement (const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateDvaIncrement (const string &tid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateNettingSetCvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateNettingSetDvaIncrement (const string &nid, const Date &d0, const Date &d1, const Real &rr)=0

virtual const Real	calculateFbaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateFcaIncrement (const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetFbaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetFcaIncrement (const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf)=0

virtual const Real	calculateNettingSetMvaIncrement (const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf)=0

const map< string, Real > &	tradeCva ()
	CVA map for all the trades. More...

const map< string, Real > &	tradeDva ()
	DVA map for all the trades. More...

const map< string, Real > &	nettingSetCva ()
	CVA map for all the netting sets. More...

const map< string, Real > &	nettingSetDva ()
	DVA map for all the netting sets. More...

const map< string, Real > &	nettingSetSumCva ()
	Sum CVA map for all the netting sets. More...

const map< string, Real > &	nettingSetSumDva ()
	Sum DVA map for all the netting sets. More...

const Real &	tradeCva (const string &trade)
	CVA for the specified trade. More...

const Real &	tradeDva (const string &trade)
	DVA for the specified trade. More...

const Real &	tradeFba (const string &trade)
	FBA for the specified trade. More...

const Real &	tradeFba_exOwnSp (const string &trade)
	FBA (excl own survival probability) for the specified trade. More...

const Real &	tradeFba_exAllSp (const string &trade)
	FBA (excl all survival probability) for the specified trade. More...

const Real &	tradeFca (const string &trade)
	FCA for the specified trade. More...

const Real &	tradeFca_exOwnSp (const string &trade)
	FCA (excl own survival probability) for the specified trade. More...

const Real &	tradeFca_exAllSp (const string &trade)
	FCA (excl all survival probability) for the specified trade. More...

const Real &	tradeMva (const string &trade)
	MVA for the specified trade. More...

const Real &	nettingSetSumCva (const string &nettingSet)
	Sum of trades' CVA for the specified netting set. More...

const Real &	nettingSetSumDva (const string &nettingSet)
	Sum of trades' DVA for the specified netting set. More...

const Real &	nettingSetCva (const string &nettingSet)
	CVA for the specified netting set. More...

const Real &	nettingSetDva (const string &nettingSet)
	DVA for the specified netting set. More...

const Real &	nettingSetFba (const string &nettingSet)
	FBA for the specified netting set. More...

const Real &	nettingSetFba_exOwnSp (const string &nettingSet)
	FBA (excl own survival probability) for the specified netting set. More...

const Real &	nettingSetFba_exAllSp (const string &nettingSet)
	FBA (excl all survival probability) for the specified netting set. More...

const Real &	nettingSetFca (const string &nettingSet)
	FCA for the specified netting set. More...

const Real &	nettingSetFca_exOwnSp (const string &nettingSet)
	FCA (excl own survival probability) for the specified netting set. More...

const Real &	nettingSetFca_exAllSp (const string &nettingSet)
	FCA (excl all survival probability) for the specified netting set. More...

const Real &	nettingSetMva (const string &nettingSet)
	MVA for the specified netting set. More...

Protected Attributes
QuantLib::ext::shared_ptr< Portfolio >	portfolio_

QuantLib::ext::shared_ptr< Market >	market_

string	configuration_

string	baseCurrency_

string	dvaName_

string	fvaBorrowingCurve_

string	fvaLendingCurve_

bool	applyDynamicInitialMargin_

QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_

const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube_

const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube_

Size	tradeEpeIndex_

Size	tradeEneIndex_

Size	nettingSetEpeIndex_

Size	nettingSetEneIndex_

bool	flipViewXVA_

string	flipViewBorrowingCurvePostfix_

string	flipViewLendingCurvePostfix_

map< string, string >	nettingSetCpty_

map< string, Real >	tradeCva_

map< string, Real >	tradeDva_

map< string, Real >	tradeFba_

map< string, Real >	tradeFba_exOwnSp_

map< string, Real >	tradeFba_exAllSp_

map< string, Real >	tradeFca_

map< string, Real >	tradeFca_exOwnSp_

map< string, Real >	tradeFca_exAllSp_

map< string, Real >	tradeMva_

map< string, Real >	nettingSetSumCva_

map< string, Real >	nettingSetSumDva_

map< string, Real >	nettingSetCva_

map< string, Real >	nettingSetDva_

map< string, Real >	nettingSetFba_

map< string, Real >	nettingSetFba_exOwnSp_

map< string, Real >	nettingSetFba_exAllSp_

map< string, Real >	nettingSetFca_

map< string, Real >	nettingSetFca_exOwnSp_

map< string, Real >	nettingSetFca_exAllSp_

map< string, Real >	nettingSetMva_

Detailed Description

XVA Calculator base class.

Derived classes implement a constructor with the relevant additional input data and a build function that performs the XVA calculations for all netting sets and along all paths.

Definition at line 48 of file xvacalculator.hpp.

Constructor & Destructor Documentation

◆ ValueAdjustmentCalculator()

ValueAdjustmentCalculator	(	const QuantLib::ext::shared_ptr< Portfolio >	portfolio,
		const QuantLib::ext::shared_ptr< Market >	market,
		const string &	configuration,
		const string &	baseCurrency,
		const string &	dvaName,
		const string &	fvaBorrowingCurve,
		const string &	fvaLendingCurve,
		const bool	applyDynamicInitialMargin,
		const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator,
		const QuantLib::ext::shared_ptr< NPVCube >	tradeExposureCube,
		const QuantLib::ext::shared_ptr< NPVCube >	nettingSetExposureCube,
		const Size	tradeEpeIndex = `0`,
		const Size	tradeEneIndex = `1`,
		const Size	nettingSetEpeIndex = `1`,
		const Size	nettingSetEneIndex = `2`,
		const bool	flipViewXVA = `false`,
		const string &	flipViewBorrowingCurvePostfix = `"_BORROW"`,
		const string &	flipViewLendingCurvePostfix = `"_LEND"`
	)

Parameters

portfolio	Driving portfolio consistent with the cube below
market	Today's market
configuration	Market configuration to be used
baseCurrency	Base currency amounts will be converted to
dvaName	Own party name for DVA calculations
fvaBorrowingCurve	FVA borrowing curve
fvaLendingCurve	FVA lending curve
applyDynamicInitialMargin	Deactivate initial margin calculation even if active at netting set level
dimCalculator	Dynamic Initial Margin calculator
tradeExposureCube	Storage ofdefault NPVs, close-out NPVs, cash flows at trade level
nettingSetExposureCube	Storage of sensitivity vectors at netting set level
tradeEpeIndex	Index of the trade EPE storage in the internal exposure cube
tradeEneIndex	Index of the trade ENE storage in the internal exposure cube
nettingSetEpeIndex	Index of the netting set EPE storage in the internal exposure cube
nettingSetEneIndex	Index of the netting set ENE storage in the internal exposure cube
flipViewXVA	Flag to indicate flipped xva calculation
flipViewBorrowingCurvePostfix	Postfix for flipView borrowing curve for fva
flipViewLendingCurvePostfix	Postfix for flipView lending curve for fva

Definition at line 36 of file xvacalculator.cpp.

    : portfolio_(portfolio), market_(market), configuration_(configuration),
      baseCurrency_(baseCurrency), dvaName_(dvaName),
      fvaBorrowingCurve_(fvaBorrowingCurve), fvaLendingCurve_(fvaLendingCurve),
      applyDynamicInitialMargin_(applyDynamicInitialMargin),
      dimCalculator_(dimCalculator),
      tradeExposureCube_(tradeExposureCube),
      nettingSetExposureCube_(nettingSetExposureCube),
      tradeEpeIndex_(tradeEpeIndex), tradeEneIndex_(tradeEneIndex), nettingSetEpeIndex_(nettingSetEpeIndex),
      nettingSetEneIndex_(nettingSetEneIndex), flipViewXVA_(flipViewXVA),
      flipViewBorrowingCurvePostfix_(flipViewBorrowingCurvePostfix), flipViewLendingCurvePostfix_(flipViewLendingCurvePostfix) {
 
    QL_REQUIRE(portfolio_, "portfolio is null");
 
    for (const auto& [tradeId, trade] : portfolio_->trades()) {
        string nettingSetId = trade->envelope().nettingSetId();
        if (nettingSetCpty_.find(nettingSetId) == nettingSetCpty_.end()) {
            nettingSetCpty_[nettingSetId] = trade->envelope().counterparty();
        }
    }
 
    
 
    QL_REQUIRE(tradeExposureCube_->numIds() == portfolio_->trades().size(),
        "number of trades in tradeExposureCube and portfolio mismatch ("
        << tradeExposureCube_->numIds() << " vs " << portfolio_->trades().size() << ")");
 
    QL_REQUIRE(nettingSetExposureCube_->numIds() == nettingSetCpty_.size(),
        "number of netting sets in nettingSetExposureCube and nettingSetCpty map mismatch ("
        << nettingSetExposureCube_->numIds() << " vs " << nettingSetCpty_.size() << ")");
 
    QL_REQUIRE(tradeExposureCube_->numDates() == nettingSetExposureCube_->numDates(),
        "number of dates in tradeExposureCube and nettingSetExposureCube mismatch ("
        << tradeExposureCube_->numDates() << " vs " << nettingSetExposureCube_->numDates() << ")");
 
    for (Size i = 0; i < tradeExposureCube_->numDates(); i++) {
        QL_REQUIRE(tradeExposureCube_->dates()[i] == nettingSetExposureCube_->dates()[i],
            "date at " << i << " in tradeExposureCube and nettingSetExposureCube mismatch ("
            << tradeExposureCube_->dates()[i] << " vs " << nettingSetExposureCube_->dates()[i] << ")");
    }
 
    QL_REQUIRE(tradeEpeIndex < tradeExposureCube_->depth(), "tradeEpeIndex("
        << tradeEpeIndex << ") exceeds depth of tradeExposureCube("
        << tradeExposureCube_->depth() << ")");
 
    QL_REQUIRE(tradeEneIndex < tradeExposureCube_->depth(), "tradeEneIndex("
        << tradeEneIndex << ") exceeds depth of tradeExposureCube("
        << tradeExposureCube_->depth() << ")");
 
    QL_REQUIRE(nettingSetEpeIndex < nettingSetExposureCube_->depth(), "nettingSetEpeIndex("
        << nettingSetEpeIndex << ") exceeds depth of nettingSetExposureCube("
        << nettingSetExposureCube_->depth() << ")");
 
    QL_REQUIRE(nettingSetEneIndex < nettingSetExposureCube_->depth(), "nettingSetEneIndex("
        << nettingSetEneIndex << ") exceeds depth of nettingSetExposureCube("
        << nettingSetExposureCube_->depth() << ")");
    
}

◆ ~ValueAdjustmentCalculator()

virtual ~ValueAdjustmentCalculator ( )

virtual

Definition at line 89 of file xvacalculator.hpp.

89{}

Member Function Documentation

◆ build()

void build ( )

virtual

Compute cva along all paths and fill result structures.

Definition at line 273 of file xvacalculator.cpp.

                                      {
    const auto& numDates = dates().size();
    const auto& today = asof();
 
    Handle<YieldTermStructure> borrowingCurve, lendingCurve, oisCurve;
    if (baseCurrency_ != "")
        oisCurve = market_->discountCurve(baseCurrency_, configuration_);
 
    string origDvaName = dvaName_;
    // Trade XVA
    for (const auto& [tid, trade] : portfolio_->trades()) {
        try {
            LOG("Update XVA for trade " << tid
                                        << (flipViewXVA_ ? ", inverted (flipViewXVA = Y)"
                                                         : ", regular (flipViewXVA = N)"));
            string cid;
            if (flipViewXVA_) {
                cid = origDvaName;
                dvaName_ = trade->envelope().counterparty();
                fvaBorrowingCurve_ = dvaName_ + flipViewBorrowingCurvePostfix_;
                fvaLendingCurve_ = dvaName_ + flipViewLendingCurvePostfix_;
            } else {
                cid = trade->envelope().counterparty();
            }
            if (fvaBorrowingCurve_ != "")
                borrowingCurve = market_->yieldCurve(fvaBorrowingCurve_, configuration_);
            if (fvaLendingCurve_ != "")
                lendingCurve = market_->yieldCurve(fvaLendingCurve_, configuration_);
 
            if (!borrowingCurve.empty() || !lendingCurve.empty()) {
                QL_REQUIRE(baseCurrency_ != "", "baseCurrency required for FVA calculation");
            }
            string nid = trade->envelope().nettingSetId();
            Real cvaRR = market_->recoveryRate(cid, configuration_)->value();
            Real dvaRR = 0.0;
            if (dvaName_ != "")
                dvaRR = market_->recoveryRate(dvaName_, configuration_)->value();
 
            tradeCva_[tid] = 0.0;
            tradeDva_[tid] = 0.0;
            tradeFca_[tid] = 0.0;
            tradeFca_exOwnSp_[tid] = 0.0;
            tradeFca_exAllSp_[tid] = 0.0;
            tradeFba_[tid] = 0.0;
            tradeFba_exOwnSp_[tid] = 0.0;
            tradeFba_exAllSp_[tid] = 0.0;
            tradeMva_[tid] = 0.0;
            for (Size j = 0; j < numDates; ++j) {
 
                // CVA / DVA
                Date d0 = j == 0 ? today : dates()[j - 1];
                Date d1 = dates()[j];
                Real cvaIncrement = calculateCvaIncrement(tid, cid, d0, d1, cvaRR);
                Real dvaIncrement = dvaName_ != "" ? calculateDvaIncrement(tid, d0, d1, dvaRR) : 0;
                tradeCva_[tid] += cvaIncrement;
                tradeDva_[tid] += dvaIncrement;
 
                // FCA
                if (!borrowingCurve.empty()) {
                    Real dcf = borrowingCurve->discount(d0) / borrowingCurve->discount(d1) -
                               oisCurve->discount(d0) / oisCurve->discount(d1);
                    Real fcaIncrement = calculateFcaIncrement(tid, cid, dvaName_, d0, d1, dcf);
                    Real fcaIncrement_exOwnSP = calculateFcaIncrement(tid, cid, "", d0, d1, dcf);
                    Real fcaIncrement_exAllSP = calculateFcaIncrement(tid, "", "", d0, d1, dcf);
                    tradeFca_[tid] += fcaIncrement;
                    tradeFca_exOwnSp_[tid] += fcaIncrement_exOwnSP;
                    tradeFca_exAllSp_[tid] += fcaIncrement_exAllSP;
                }
 
                // FBA
                if (!lendingCurve.empty()) {
                    Real dcf = lendingCurve->discount(d0) / lendingCurve->discount(d1) -
                               oisCurve->discount(d0) / oisCurve->discount(d1);
                    Real fbaIncrement = calculateFbaIncrement(tid, cid, dvaName_, d0, d1, dcf);
                    Real fbaIncrement_exOwnSP = calculateFbaIncrement(tid, cid, "", d0, d1, dcf);
                    Real fbaIncrement_exAllSP = calculateFbaIncrement(tid, "", "", d0, d1, dcf);
                    tradeFba_[tid] += fbaIncrement;
                    tradeFba_exOwnSp_[tid] += fbaIncrement_exOwnSP;
                    tradeFba_exAllSp_[tid] += fbaIncrement_exAllSP;
                }
            }
            if (nettingSetSumCva_.find(nid) == nettingSetSumCva_.end()) {
                nettingSetSumCva_[nid] = 0.0;
                nettingSetSumDva_[nid] = 0.0;
            }
            nettingSetSumCva_[nid] += tradeCva_[tid];
            nettingSetSumDva_[nid] += tradeDva_[tid];
        } catch (const std::exception& e) {
            StructuredAnalyticsErrorMessage("ValueAdjustmentCalculator", "Error processing trade.", e.what(),
                                            {{"tradeId", tid}})
                .log();
        }
    }
 
    // Netting Set XVA
    for (const auto& pair : nettingSetCpty_) {
        string nid = pair.first;
        LOG("Update XVA for netting set "
            << nid << (flipViewXVA_ ? ", inverted (flipViewXVA = Y)" : ", regular (flipViewXVA = N)"));
        try {
            string cid;
            if (flipViewXVA_) {
                cid = origDvaName;
                dvaName_ = pair.second;
                fvaBorrowingCurve_ = dvaName_ + flipViewBorrowingCurvePostfix_;
                fvaLendingCurve_ = dvaName_ + flipViewLendingCurvePostfix_;
            } else {
                cid = pair.second;
            }
            Real cvaRR = market_->recoveryRate(cid, configuration_)->value();
            Real dvaRR = 0.0;
            if (dvaName_ != "") {
                dvaRR = market_->recoveryRate(dvaName_, configuration_)->value();
            }
            if (fvaBorrowingCurve_ != "")
                borrowingCurve = market_->yieldCurve(fvaBorrowingCurve_, configuration_);
            if (fvaLendingCurve_ != "")
                lendingCurve = market_->yieldCurve(fvaLendingCurve_, configuration_);
 
            if (!borrowingCurve.empty() || !lendingCurve.empty()) {
                QL_REQUIRE(baseCurrency_ != "", "baseCurrency required for FVA calculation");
            }
 
            nettingSetCva_[nid] = 0.0;
            nettingSetDva_[nid] = 0.0;
            nettingSetFca_[nid] = 0.0;
            nettingSetFca_exOwnSp_[nid] = 0.0;
            nettingSetFca_exAllSp_[nid] = 0.0;
            nettingSetFba_[nid] = 0.0;
            nettingSetFba_exOwnSp_[nid] = 0.0;
            nettingSetFba_exAllSp_[nid] = 0.0;
            nettingSetMva_[nid] = 0.0;
            for (Size j = 0; j < numDates; ++j) {
                // CVA / DVA
                Date d0 = j == 0 ? today : dates()[j - 1];
                Date d1 = dates()[j];
                Real cvaIncrement = calculateNettingSetCvaIncrement(nid, cid, d0, d1, cvaRR);
                Real dvaIncrement = dvaName_ != "" ? calculateNettingSetDvaIncrement(nid, d0, d1, dvaRR) : 0;
                nettingSetCva_[nid] += cvaIncrement;
                nettingSetDva_[nid] += dvaIncrement;
 
                // FCA
                if (!borrowingCurve.empty()) {
                    Real dcf = borrowingCurve->discount(d0) / borrowingCurve->discount(d1) -
                               oisCurve->discount(d0) / oisCurve->discount(d1);
                    Real fcaIncrement = calculateNettingSetFcaIncrement(nid, cid, dvaName_, d0, d1, dcf);
                    Real fcaIncrement_exOwnSP = calculateNettingSetFcaIncrement(nid, cid, "", d0, d1, dcf);
                    Real fcaIncrement_exAllSP = calculateNettingSetFcaIncrement(nid, "", "", d0, d1, dcf);
                    nettingSetFca_[nid] += fcaIncrement;
                    nettingSetFca_exOwnSp_[nid] += fcaIncrement_exOwnSP;
                    nettingSetFca_exAllSp_[nid] += fcaIncrement_exAllSP;
 
                    // MVA
                    if (dimCalculator_) {
                        Real mvaIncrement = calculateNettingSetMvaIncrement(nid, cid, d0, d1, dcf);
                        nettingSetMva_[nid] += mvaIncrement;
                    }
                }
 
                // FBA
                if (!lendingCurve.empty()) {
                    Real dcf = lendingCurve->discount(d0) / lendingCurve->discount(d1) -
                               oisCurve->discount(d0) / oisCurve->discount(d1);
                    Real fbaIncrement = calculateNettingSetFbaIncrement(nid, cid, dvaName_, d0, d1, dcf);
                    Real fbaIncrement_exOwnSP = calculateNettingSetFbaIncrement(nid, cid, "", d0, d1, dcf);
                    Real fbaIncrement_exAllSP = calculateNettingSetFbaIncrement(nid, "", "", d0, d1, dcf);
                    nettingSetFba_[nid] += fbaIncrement;
                    nettingSetFba_exOwnSp_[nid] += fbaIncrement_exOwnSP;
                    nettingSetFba_exAllSp_[nid] += fbaIncrement_exAllSP;
                }
            }
        } catch (const std::exception& e) {
            StructuredAnalyticsErrorMessage("ValueAdjustmentCalculator", "Error processing netting set.", e.what(),
                                            {{"nettingSetId", nid}})
                .log();
        }
    }
}

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◆ dates()

virtual const vector< Date > & dates ( )

virtual

Definition at line 94 of file xvacalculator.hpp.

94{ return tradeExposureCube_->dates(); };

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◆ asof()

virtual const Date asof ( )

virtual

Definition at line 96 of file xvacalculator.hpp.

96{ return market_->asofDate(); };

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◆ calculateCvaIncrement()

virtual const Real calculateCvaIncrement	(	const string &	tid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

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◆ calculateDvaIncrement()

virtual const Real calculateDvaIncrement	(	const string &	tid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

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◆ calculateNettingSetCvaIncrement()

virtual const Real calculateNettingSetCvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

◆ calculateNettingSetDvaIncrement()

virtual const Real calculateNettingSetDvaIncrement	(	const string &	nid,
		const Date &	d0,
		const Date &	d1,
		const Real &	rr
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

◆ calculateFbaIncrement()

virtual const Real calculateFbaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

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◆ calculateFcaIncrement()

virtual const Real calculateFcaIncrement	(	const string &	tid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

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◆ calculateNettingSetFbaIncrement()

virtual const Real calculateNettingSetFbaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

◆ calculateNettingSetFcaIncrement()

virtual const Real calculateNettingSetFcaIncrement	(	const string &	nid,
		const string &	cid,
		const string &	dvaName,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

◆ calculateNettingSetMvaIncrement()

virtual const Real calculateNettingSetMvaIncrement	(	const string &	nid,
		const string &	cid,
		const Date &	d0,
		const Date &	d1,
		const Real &	dcf
	)

pure virtual

Implemented in DynamicCreditXvaCalculator, and StaticCreditXvaCalculator.

◆ tradeCva() [1/2]

const map< string, Real > & tradeCva ( )

CVA map for all the trades.

Definition at line 109 of file xvacalculator.cpp.

                                                             {
    return tradeCva_;
}

◆ tradeDva() [1/2]

const map< string, Real > & tradeDva ( )

DVA map for all the trades.

Definition at line 113 of file xvacalculator.cpp.

                                                             {
    return tradeDva_;
}

◆ nettingSetCva() [1/2]

const map< string, Real > & nettingSetCva ( )

CVA map for all the netting sets.

Definition at line 117 of file xvacalculator.cpp.

                                                                  {
    return nettingSetCva_;
}

◆ nettingSetDva() [1/2]

const map< string, Real > & nettingSetDva ( )

DVA map for all the netting sets.

Definition at line 121 of file xvacalculator.cpp.

                                                                  {
    return nettingSetDva_;
}

◆ nettingSetSumCva() [1/2]

const map< string, Real > & nettingSetSumCva ( )

Sum CVA map for all the netting sets.

Definition at line 125 of file xvacalculator.cpp.

                                                                     {
    return nettingSetSumCva_;
}

◆ nettingSetSumDva() [1/2]

const map< string, Real > & nettingSetSumDva ( )

Sum DVA map for all the netting sets.

Definition at line 129 of file xvacalculator.cpp.

                                                                     {
    return nettingSetSumDva_;
}

◆ tradeCva() [2/2]

const Real & tradeCva ( const string & trade )

CVA for the specified trade.

Definition at line 133 of file xvacalculator.cpp.

                                                                      {
    if (tradeCva_.find(trade) != tradeCva_.end())
        return tradeCva_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected CVA results");
}

◆ tradeDva() [2/2]

const Real & tradeDva ( const string & trade )

DVA for the specified trade.

Definition at line 140 of file xvacalculator.cpp.

                                                                      {
    if (tradeDva_.find(trade) != tradeDva_.end())
        return tradeDva_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected DVA results");
}

◆ tradeFba()

const Real & tradeFba ( const string & trade )

FBA for the specified trade.

Definition at line 147 of file xvacalculator.cpp.

                                                                      {
    if (tradeFba_.find(trade) != tradeFba_.end())
        return tradeFba_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FBA results");
}

◆ tradeFba_exOwnSp()

const Real & tradeFba_exOwnSp ( const string & trade )

FBA (excl own survival probability) for the specified trade.

Definition at line 154 of file xvacalculator.cpp.

                                                                              {
    if (tradeFba_exOwnSp_.find(trade) != tradeFba_exOwnSp_.end())
        return tradeFba_exOwnSp_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FBA ex own sp results");
}

◆ tradeFba_exAllSp()

const Real & tradeFba_exAllSp ( const string & trade )

FBA (excl all survival probability) for the specified trade.

Definition at line 161 of file xvacalculator.cpp.

                                                                              {
    if (tradeFba_exAllSp_.find(trade) != tradeFba_exAllSp_.end())
        return tradeFba_exAllSp_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FBA ex all sp results");
}

◆ tradeFca()

const Real & tradeFca ( const string & trade )

FCA for the specified trade.

Definition at line 168 of file xvacalculator.cpp.

                                                                      {
    if (tradeFca_.find(trade) != tradeFca_.end())
        return tradeFca_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FCA results");
}

◆ tradeFca_exOwnSp()

const Real & tradeFca_exOwnSp ( const string & trade )

FCA (excl own survival probability) for the specified trade.

Definition at line 175 of file xvacalculator.cpp.

                                                                              {
    if (tradeFca_exOwnSp_.find(trade) != tradeFca_exOwnSp_.end())
        return tradeFca_exOwnSp_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FCA ex own sp results");
}

◆ tradeFca_exAllSp()

const Real & tradeFca_exAllSp ( const string & trade )

FCA (excl all survival probability) for the specified trade.

Definition at line 182 of file xvacalculator.cpp.

                                                                              {
    if (tradeFca_exAllSp_.find(trade) != tradeFca_exAllSp_.end())
        return tradeFca_exAllSp_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected FCA ex all sp results");
}

◆ tradeMva()

const Real & tradeMva ( const string & trade )

MVA for the specified trade.

Definition at line 189 of file xvacalculator.cpp.

                                                                      {
    if (tradeMva_.find(trade) != tradeMva_.end())
        return tradeMva_[trade];
    else
        QL_FAIL("trade " << trade << " not found in expected MVA results");
}

◆ nettingSetSumCva() [2/2]

const Real & nettingSetSumCva ( const string & nettingSet )

Sum of trades' CVA for the specified netting set.

Definition at line 196 of file xvacalculator.cpp.

                                                                                   {
    if (nettingSetSumCva_.find(nettingSet) != nettingSetSumCva_.end())
        return nettingSetSumCva_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected CVA results");
}

◆ nettingSetSumDva() [2/2]

const Real & nettingSetSumDva ( const string & nettingSet )

Sum of trades' DVA for the specified netting set.

Definition at line 203 of file xvacalculator.cpp.

                                                                                   {
    if (nettingSetSumDva_.find(nettingSet) != nettingSetSumDva_.end())
        return nettingSetSumDva_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected DVA results");
}

◆ nettingSetCva() [2/2]

const Real & nettingSetCva ( const string & nettingSet )

CVA for the specified netting set.

Definition at line 210 of file xvacalculator.cpp.

                                                                                {
    if (nettingSetCva_.find(nettingSet) != nettingSetCva_.end())
        return nettingSetCva_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected CVA results");
}

◆ nettingSetDva() [2/2]

const Real & nettingSetDva ( const string & nettingSet )

DVA for the specified netting set.

Definition at line 217 of file xvacalculator.cpp.

                                                                                {
    if (nettingSetDva_.find(nettingSet) != nettingSetDva_.end())
        return nettingSetDva_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected DVA results");
}

◆ nettingSetFba()

const Real & nettingSetFba ( const string & nettingSet )

FBA for the specified netting set.

Definition at line 224 of file xvacalculator.cpp.

                                                                                {
    if (nettingSetFba_.find(nettingSet) != nettingSetFba_.end())
        return nettingSetFba_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA results");
}

◆ nettingSetFba_exOwnSp()

const Real & nettingSetFba_exOwnSp ( const string & nettingSet )

FBA (excl own survival probability) for the specified netting set.

Definition at line 231 of file xvacalculator.cpp.

                                                                                        {
    if (nettingSetFba_exOwnSp_.find(nettingSet) != nettingSetFba_exOwnSp_.end())
        return nettingSetFba_exOwnSp_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA ex own sp results");
}

◆ nettingSetFba_exAllSp()

const Real & nettingSetFba_exAllSp ( const string & nettingSet )

FBA (excl all survival probability) for the specified netting set.

Definition at line 238 of file xvacalculator.cpp.

                                                                                        {
    if (nettingSetFba_exAllSp_.find(nettingSet) != nettingSetFba_exAllSp_.end())
        return nettingSetFba_exAllSp_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA ex all sp results");
}

◆ nettingSetFca()

const Real & nettingSetFca ( const string & nettingSet )

FCA for the specified netting set.

Definition at line 245 of file xvacalculator.cpp.

                                                                                {
    if (nettingSetFca_.find(nettingSet) != nettingSetFca_.end())
        return nettingSetFca_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA results");
}

◆ nettingSetFca_exOwnSp()

const Real & nettingSetFca_exOwnSp ( const string & nettingSet )

FCA (excl own survival probability) for the specified netting set.

Definition at line 252 of file xvacalculator.cpp.

                                                                                        {
    if (nettingSetFca_exOwnSp_.find(nettingSet) != nettingSetFca_exOwnSp_.end())
        return nettingSetFca_exOwnSp_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA ex own sp results");
}

◆ nettingSetFca_exAllSp()

const Real & nettingSetFca_exAllSp ( const string & nettingSet )

FCA (excl all survival probability) for the specified netting set.

Definition at line 259 of file xvacalculator.cpp.

                                                                                        {
    if (nettingSetFca_exAllSp_.find(nettingSet) != nettingSetFca_exAllSp_.end())
        return nettingSetFca_exAllSp_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected FBA ex all sp results");
}

◆ nettingSetMva()

const Real & nettingSetMva ( const string & nettingSet )

MVA for the specified netting set.

Definition at line 266 of file xvacalculator.cpp.

                                                                                {
    if (nettingSetMva_.find(nettingSet) != nettingSetMva_.end())
        return nettingSetMva_[nettingSet];
    else
        QL_FAIL("netting set " << nettingSet << " not found in expected MVA results");
}

Member Data Documentation

◆ portfolio_

QuantLib::ext::shared_ptr<Portfolio> portfolio_

protected

Definition at line 196 of file xvacalculator.hpp.

◆ market_

QuantLib::ext::shared_ptr<Market> market_

protected

Definition at line 197 of file xvacalculator.hpp.

◆ configuration_

string configuration_

protected

Definition at line 198 of file xvacalculator.hpp.

◆ baseCurrency_

string baseCurrency_

protected

Definition at line 199 of file xvacalculator.hpp.

◆ dvaName_

string dvaName_

protected

Definition at line 200 of file xvacalculator.hpp.

◆ fvaBorrowingCurve_

string fvaBorrowingCurve_

protected

Definition at line 201 of file xvacalculator.hpp.

◆ fvaLendingCurve_

string fvaLendingCurve_

protected

Definition at line 202 of file xvacalculator.hpp.

◆ applyDynamicInitialMargin_

bool applyDynamicInitialMargin_

protected

Definition at line 203 of file xvacalculator.hpp.

◆ dimCalculator_

QuantLib::ext::shared_ptr<DynamicInitialMarginCalculator> dimCalculator_

protected

Definition at line 204 of file xvacalculator.hpp.

◆ tradeExposureCube_

const QuantLib::ext::shared_ptr<NPVCube> tradeExposureCube_

protected

Definition at line 205 of file xvacalculator.hpp.

◆ nettingSetExposureCube_

const QuantLib::ext::shared_ptr<NPVCube> nettingSetExposureCube_

protected

Definition at line 206 of file xvacalculator.hpp.

◆ tradeEpeIndex_

Size tradeEpeIndex_

protected

Definition at line 207 of file xvacalculator.hpp.

◆ tradeEneIndex_

Size tradeEneIndex_

protected

Definition at line 208 of file xvacalculator.hpp.

◆ nettingSetEpeIndex_

Size nettingSetEpeIndex_

protected

Definition at line 209 of file xvacalculator.hpp.

◆ nettingSetEneIndex_

Size nettingSetEneIndex_

protected

Definition at line 210 of file xvacalculator.hpp.

◆ flipViewXVA_

bool flipViewXVA_

protected

Definition at line 211 of file xvacalculator.hpp.

◆ flipViewBorrowingCurvePostfix_

string flipViewBorrowingCurvePostfix_

protected

Definition at line 212 of file xvacalculator.hpp.

◆ flipViewLendingCurvePostfix_

string flipViewLendingCurvePostfix_

protected

Definition at line 213 of file xvacalculator.hpp.

◆ nettingSetCpty_

map<string, string> nettingSetCpty_

protected

Definition at line 215 of file xvacalculator.hpp.

◆ tradeCva_

map<string, Real> tradeCva_

protected

Definition at line 217 of file xvacalculator.hpp.

◆ tradeDva_

map<string, Real> tradeDva_

protected

Definition at line 218 of file xvacalculator.hpp.

◆ tradeFba_

map<string, Real> tradeFba_

protected

Definition at line 219 of file xvacalculator.hpp.

◆ tradeFba_exOwnSp_

map<string, Real> tradeFba_exOwnSp_

protected

Definition at line 220 of file xvacalculator.hpp.

◆ tradeFba_exAllSp_

map<string, Real> tradeFba_exAllSp_

protected

Definition at line 221 of file xvacalculator.hpp.

◆ tradeFca_

map<string, Real> tradeFca_

protected

Definition at line 222 of file xvacalculator.hpp.

◆ tradeFca_exOwnSp_

map<string, Real> tradeFca_exOwnSp_

protected

Definition at line 223 of file xvacalculator.hpp.

◆ tradeFca_exAllSp_

map<string, Real> tradeFca_exAllSp_

protected

Definition at line 224 of file xvacalculator.hpp.

◆ tradeMva_

map<string, Real> tradeMva_

protected

Definition at line 225 of file xvacalculator.hpp.

◆ nettingSetSumCva_

map<string, Real> nettingSetSumCva_

protected

Definition at line 228 of file xvacalculator.hpp.

◆ nettingSetSumDva_

map<string, Real> nettingSetSumDva_

protected

Definition at line 229 of file xvacalculator.hpp.

◆ nettingSetCva_

map<string, Real> nettingSetCva_

protected

Definition at line 230 of file xvacalculator.hpp.

◆ nettingSetDva_

map<string, Real> nettingSetDva_

protected

Definition at line 231 of file xvacalculator.hpp.

◆ nettingSetFba_

map<string, Real> nettingSetFba_

protected

Definition at line 232 of file xvacalculator.hpp.

◆ nettingSetFba_exOwnSp_

map<string, Real> nettingSetFba_exOwnSp_

protected

Definition at line 233 of file xvacalculator.hpp.

◆ nettingSetFba_exAllSp_

map<string, Real> nettingSetFba_exAllSp_

protected

Definition at line 234 of file xvacalculator.hpp.

◆ nettingSetFca_

map<string, Real> nettingSetFca_

protected

Definition at line 235 of file xvacalculator.hpp.

◆ nettingSetFca_exOwnSp_

map<string, Real> nettingSetFca_exOwnSp_

protected

Definition at line 236 of file xvacalculator.hpp.

◆ nettingSetFca_exAllSp_

map<string, Real> nettingSetFca_exAllSp_

protected

Definition at line 237 of file xvacalculator.hpp.

◆ nettingSetMva_

map<string, Real> nettingSetMva_

protected

Definition at line 238 of file xvacalculator.hpp.

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ ValueAdjustmentCalculator()

◆ ~ValueAdjustmentCalculator()

Member Function Documentation

◆ build()

◆ dates()

◆ asof()

◆ calculateCvaIncrement()

◆ calculateDvaIncrement()

◆ calculateNettingSetCvaIncrement()

◆ calculateNettingSetDvaIncrement()

◆ calculateFbaIncrement()

◆ calculateFcaIncrement()

◆ calculateNettingSetFbaIncrement()

◆ calculateNettingSetFcaIncrement()

◆ calculateNettingSetMvaIncrement()

◆ tradeCva() [1/2]

◆ tradeDva() [1/2]

◆ nettingSetCva() [1/2]

◆ nettingSetDva() [1/2]

◆ nettingSetSumCva() [1/2]

◆ nettingSetSumDva() [1/2]

◆ tradeCva() [2/2]

◆ tradeDva() [2/2]

◆ tradeFba()

◆ tradeFba_exOwnSp()

◆ tradeFba_exAllSp()

◆ tradeFca()

◆ tradeFca_exOwnSp()

◆ tradeFca_exAllSp()

◆ tradeMva()

◆ nettingSetSumCva() [2/2]

◆ nettingSetSumDva() [2/2]

◆ nettingSetCva() [2/2]

◆ nettingSetDva() [2/2]

◆ nettingSetFba()

◆ nettingSetFba_exOwnSp()

◆ nettingSetFba_exAllSp()

◆ nettingSetFca()

◆ nettingSetFca_exOwnSp()

◆ nettingSetFca_exAllSp()

◆ nettingSetMva()

Member Data Documentation

◆ portfolio_

◆ market_

◆ configuration_

◆ baseCurrency_

◆ dvaName_

◆ fvaBorrowingCurve_

◆ fvaLendingCurve_

◆ applyDynamicInitialMargin_

◆ dimCalculator_

◆ tradeExposureCube_

◆ nettingSetExposureCube_

◆ tradeEpeIndex_

◆ tradeEneIndex_

◆ nettingSetEpeIndex_

◆ nettingSetEneIndex_

◆ flipViewXVA_

◆ flipViewBorrowingCurvePostfix_

◆ flipViewLendingCurvePostfix_

◆ nettingSetCpty_

◆ tradeCva_

◆ tradeDva_

◆ tradeFba_

◆ tradeFba_exOwnSp_

◆ tradeFba_exAllSp_

◆ tradeFca_

◆ tradeFca_exOwnSp_

◆ tradeFca_exAllSp_

◆ tradeMva_

◆ nettingSetSumCva_

◆ nettingSetSumDva_

◆ nettingSetCva_

◆ nettingSetDva_

◆ nettingSetFba_

◆ nettingSetFba_exOwnSp_