crif.hpp

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/*
 Copyright (C) 2023 AcadiaSoft Inc.
 All rights reserved.
 
 This file is part of ORE, a free-software/open-source library
 for transparent pricing and risk analysis - http://opensourcerisk.org
 
 ORE is free software: you can redistribute it and/or modify it
 under the terms of the Modified BSD License.  You should have received a
 copy of the license along with this program.
 The license is also available online at <http://opensourcerisk.org>
 
 This program is distributed on the basis that it will form a useful
 contribution to risk analytics and model standardisation, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
*/
 
/*! \file orea/simm/crif.hpp
    \brief Struct for holding CRIF records
*/
 
#pragma once
#include <orea/simm/crifrecord.hpp>
#include <ored/report/report.hpp>
#include <ored/marketdata/market.hpp>
 
namespace ore {
namespace analytics {
 
struct crifRecordIsSimmParameter {
    bool operator()(const CrifRecord& x) { return x.isSimmParameter(); }
};
 
class Crif {
public:
    enum class CrifType { Empty, Frtb, Simm };
    Crif() = default;
 
    CrifType type() const { return type_; }
 
    void addRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies = false, bool sortFxVolQualifer = true);
    void addRecords(const Crif& crif, bool aggregateDifferentAmountCurrencies = false, bool sortFxVolQualfier = true);
 
    void clear() { records_.clear(); }
 
    std::set<CrifRecord>::const_iterator begin() const { return records_.cbegin(); }
    std::set<CrifRecord>::const_iterator end() const { return records_.cend(); }
    std::set<CrifRecord>::const_iterator find(const CrifRecord& r) const { return records_.find(r); }
    
    //! Find first element
    std::set<CrifRecord>::const_iterator findBy(const NettingSetDetails nsd, CrifRecord::ProductClass pc,
                                                const CrifRecord::RiskType rt, const std::string& qualifier) const;
   
    bool empty() const { return records_.empty(); }
 
    size_t size() const { return records_.size(); }
 
    //! check if there are crif records beside simmParameters
    const bool hasCrifRecords() const;
    
    //! Simm methods
    //! Give back the set of portfolio IDs that have been loaded
    const std::set<std::string>& portfolioIds() const;
    const std::set<ore::data::NettingSetDetails>& nettingSetDetails() const;
 
    //! check if the Crif contains simmParameters
    const bool hasSimmParameters() const;
 
    //! returns a crif without zero amount records, FXRisk entries in currency *alwaysIncludeFxRiskCcy* are always included
    Crif filterNonZeroAmount(double threshold = 0.0, std::string alwaysIncludeFxRiskCcy = "") const;
 
    //! returns a Crif containing only simmParameter entries
    Crif simmParameters() const;
    
    //! deletes all existing simmParameter and replaces them with the new one
    void setSimmParameters(const Crif& crif);
 
    //! deletes all existing simmParameter and replaces them with the new one
    void setCrifRecords(const Crif& crif);
 
    //! For each CRIF record checks if amountCurrency and amount are 
    //! defined and uses these to populate the record's amountUsd
    void fillAmountUsd(const QuantLib::ext::shared_ptr<ore::data::Market> market);
    
    //! Check if netting set details are used anywhere, instead of just the netting set ID
    bool hasNettingSetDetails() const;
 
    //! Aggregate all existing records
    Crif aggregate() const;
 
    size_t countMatching(const NettingSetDetails& nsd, const CrifRecord::ProductClass pc, const CrifRecord::RiskType rt,
                   const std::string& qualifier) const;
 
    std::set<CrifRecord::ProductClass> ProductClassesByNettingSetDetails(const NettingSetDetails nsd) const;
    
    std::set<std::string> qualifiersBy(const NettingSetDetails nsd, CrifRecord::ProductClass pc,
                                       const CrifRecord::RiskType rt) const;
 
    std::vector<CrifRecord> filterByQualifierAndBucket(const NettingSetDetails& nsd, const CrifRecord::ProductClass pc,
                                                       const CrifRecord::RiskType rt, const std::string& qualifier,
                                                       const std::string& bucket) const;
    
    std::vector<CrifRecord> filterByQualifier(const NettingSetDetails& nsd, const CrifRecord::ProductClass pc,
                                              const CrifRecord::RiskType rt, const std::string& qualifier) const;
 
    std::vector<CrifRecord> filterByBucket(const NettingSetDetails& nsd, const CrifRecord::ProductClass pc,
                                           const CrifRecord::RiskType rt, const std::string& bucket) const;
 
    std::vector<CrifRecord> filterBy(const NettingSetDetails& nsd, const CrifRecord::ProductClass pc,
                                     const CrifRecord::RiskType rt) const;
    std::vector<CrifRecord> filterBy(const CrifRecord::RiskType rt) const;
    std::vector<CrifRecord> filterByTradeId(const std::string& id) const;
    std::set<std::string> tradeIds() const;
 
private:
    void insertCrifRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies = false);
    void addFrtbCrifRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies = false, bool sortFxVolQualifer =true);
    void addSimmCrifRecord(const CrifRecord& record, bool aggregateDifferentAmountCurrencies = false, bool sortFxVolQualifer =true);
    void addSimmParameterRecord(const CrifRecord& record);
    void updateAmountExistingRecord(std::set<CrifRecord>::iterator& it, const CrifRecord& record);
    void updateAmountExistingRecord(std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*>::iterator& it, const CrifRecord& record);
 
 
    CrifType type_ = CrifType::Empty;
    std::set<CrifRecord> records_;
    std::map<CrifRecord::SimmAmountCcyKey, const CrifRecord*> diffAmountCurrenciesIndex_;
 
    //SIMM members
    //! Set of portfolio IDs that have been loaded
    std::set<std::string> portfolioIds_;
    std::set<ore::data::NettingSetDetails> nettingSetDetails_;
    
};
 
 
} // namespace analytics
} // namespace ore