simmconcentrationcalibration.hpp

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/*
 Copyright (C) 2023 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/simm/simmconcentrationcalibration.hpp
    \brief SIMM concentration thresholds built from SIMM calibration
*/
 
#pragma once
 
#include <orea/simm/simmconcentration.hpp>
#include <orea/simm/simmcalibration.hpp>
 
#include <map>
#include <orea/simm/simmbucketmapper.hpp>
#include <orea/simm/crifrecord.hpp>
#include <set>
#include <string>
 
namespace ore{
namespace analytics {
 
//! Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration
class SimmConcentrationCalibration: public SimmConcentrationBase {
public:
    //! Default constructor that adds fixed known mappings
    SimmConcentrationCalibration(const QuantLib::ext::shared_ptr<SimmCalibration>& simmCalibration,
                                 const QuantLib::ext::shared_ptr<SimmBucketMapper>& simmBucketMapper);
 
    /*! Return the SIMM <em>concentration threshold</em> for a given SIMM
        <em>RiskType</em> and SIMM <em>Qualifier</em>.
 
        \warning If the risk type is not covered <code>QL_MAX_REAL</code> is
                 returned i.e. no concentration threshold
     */
    QuantLib::Real threshold(const CrifRecord::RiskType& riskType, const std::string& qualifier) const override;
 
private:
    //! Help getting SIMM buckets from SIMM qualifiers
    QuantLib::ext::shared_ptr<SimmBucketMapper> simmBucketMapper_;
};
 
} // namespace analytics
} // namespace ore