dimflatcalculator.hpp

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/*
 Copyright (C) 2024 Quaternion Risk Management Ltd
 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/aggregation/dimregressioncalculator.hpp
    \brief Dynamic Initial Margin calculator by regression
    \ingroup analytics
*/
 
#pragma once
 
#include <orea/aggregation/dimcalculator.hpp>
 
namespace ore {
namespace analytics {
using namespace QuantLib;
using namespace QuantExt;
using namespace data;
using namespace std;
 
//! Dynamic Initial Margin Calculator using flat extrapolation of t0 IM
/*!
  Dynamic IM by extrapolating t0 IM
*/
class FlatDynamicInitialMarginCalculator : public DynamicInitialMarginCalculator {
public:
    FlatDynamicInitialMarginCalculator(
        //! Global input parameters
        const QuantLib::ext::shared_ptr<InputParameters>& inputs,
        //! Driving portfolio consistent with the cube below
        const QuantLib::ext::shared_ptr<Portfolio>& portfolio,
        //! NPV cube resulting from the Monte Carlo simulation loop
        const QuantLib::ext::shared_ptr<NPVCube>& cube,
        //! Interpretation of the cube, regular NPV, MPoR grid etc
        const QuantLib::ext::shared_ptr<CubeInterpretation>& cubeInterpretation,
         //! Additional output of the MC simulation loop with numeraires, index fixings, FX spots etc
        const QuantLib::ext::shared_ptr<AggregationScenarioData>& scenarioData);
 
    map<string, Real> unscaledCurrentDIM() override { return currentIM_; }
    void build() override;
    void exportDimEvolution(ore::data::Report& dimEvolutionReport) const override;
    const vector<Real>& dimResults(const std::string& nettingSet) const;
};
 
} // namespace analytics
} // namespace ore