#include <orea/simm/crifrecord.hpp>

Collaboration diagram for CrifRecord:

Public Types
enum class	RecordType { SIMM , FRTB , Generic }

enum class	RiskType { Empty , Commodity , CommodityVol , CreditNonQ , CreditQ , CreditVol , CreditVolNonQ , Equity , EquityVol , FX , FXVol , Inflation , IRCurve , IRVol , InflationVol , BaseCorr , XCcyBasis , ProductClassMultiplier , AddOnNotionalFactor , Notional , AddOnFixedAmount , PV , GIRR_DELTA , GIRR_VEGA , GIRR_CURV , CSR_NS_DELTA , CSR_NS_VEGA , CSR_NS_CURV , CSR_SNC_DELTA , CSR_SNC_VEGA , CSR_SNC_CURV , CSR_SC_DELTA , CSR_SC_VEGA , CSR_SC_CURV , EQ_DELTA , EQ_VEGA , EQ_CURV , COMM_DELTA , COMM_VEGA , COMM_CURV , FX_DELTA , FX_VEGA , FX_CURV , DRC_NS , DRC_SNC , DRC_SC , RRAO_1_PERCENT , RRAO_01_PERCENT , All }

enum class	ProductClass { RatesFX , Rates , FX , Credit , Equity , Commodity , Empty , Other , AddOnNotionalFactor , AddOnFixedAmount , All }

enum class	CurvatureScenario { Empty , Up , Down }
	There are two entries for curvature risk in frtb, a up and down shift. More...

typedef std::tuple< std::string, NettingSetDetails, ProductClass, RiskType, std::string, std::string, std::string, std::string, std::string, std::string >	SimmAmountCcyKey

Public Member Functions
	CrifRecord ()

	CrifRecord (std::string tradeId, std::string tradeType, NettingSetDetails nettingSetDetails, ProductClass productClass, RiskType riskType, std::string qualifier, std::string bucket, std::string label1, std::string label2, std::string amountCurrency, QuantLib::Real amount, QuantLib::Real amountUsd, std::string imModel="", std::string collectRegulations="", std::string postRegulations="", std::string endDate="", std::map< std::string, std::string > extraFields={})

	CrifRecord (std::string tradeId, std::string tradeType, std::string portfolioId, ProductClass productClass, RiskType riskType, std::string qualifier, std::string bucket, std::string label1, std::string label2, std::string amountCurrency, QuantLib::Real amount, QuantLib::Real amountUsd, std::string imModel="", std::string collectRegulations="", std::string postRegulations="", std::string endDate="", std::map< std::string, std::string > additionalFields={})

RecordType	type () const

bool	hasAmountCcy () const

bool	hasAmount () const

bool	hasAmountUsd () const

bool	hasResultCcy () const

bool	hasAmountResultCcy () const

bool	requiresAmountUsd () const

bool	isSimmParameter () const

bool	isEmpty () const

bool	isFrtbCurvatureRisk () const

CurvatureScenario	frtbCurveatureScenario () const

std::string	getAdditionalFieldAsStr (const std::string &fieldName) const

double	getAdditionalFieldAsDouble (const std::string &fieldName) const

bool	getAdditionalFieldAsBool (const std::string &fieldName) const

const SimmAmountCcyKey	getSimmAmountCcyKey () const

bool	operator< (const CrifRecord &cr) const
	Define how CRIF records are compared. More...

bool	operator== (const CrifRecord &cr) const

Static Public Member Functions
static bool	amountCcyLTCompare (const CrifRecord &cr1, const CrifRecord &cr2)

static bool	amountCcyEQCompare (const CrifRecord &cr1, const CrifRecord &cr2)

Public Attributes
std::string	tradeId

std::string	portfolioId

ProductClass	productClass = ProductClass::Empty

RiskType	riskType = RiskType::Notional

std::string	qualifier

std::string	bucket

std::string	label1

std::string	label2

std::string	amountCurrency

QuantLib::Real	amount = QuantLib::Null<QuantLib::Real>()

QuantLib::Real	amountUsd = QuantLib::Null<QuantLib::Real>()

std::string	resultCurrency

QuantLib::Real	amountResultCcy = QuantLib::Null<QuantLib::Real>()

std::string	tradeType

std::string	agreementType

std::string	callType

std::string	initialMarginType

std::string	legalEntityId

NettingSetDetails	nettingSetDetails

std::string	imModel

std::string	collectRegulations

std::string	postRegulations

std::string	endDate

std::string	label3

std::string	creditQuality

std::string	longShortInd

std::string	coveredBondInd

std::string	trancheThickness

std::string	bb_rw

std::map< std::string, std::variant< std::string, double, bool > >	additionalFields

Static Public Attributes
static std::vector< std::set< std::string > >	additionalHeaders = {}

Detailed Description

A container for holding single CRIF records or aggregated CRIF records. A CRIF record is a row of the CRIF file outlined in the document: ISDA SIMM Methodology, Risk Data Standards. Version 1.36: 1 February 2017. or an updated version thereof.

Definition at line 40 of file crifrecord.hpp.

Member Typedef Documentation

◆ SimmAmountCcyKey

typedef std::tuple<std::string, NettingSetDetails, ProductClass, RiskType, std::string, std::string, std::string, std::string, std::string, std::string> SimmAmountCcyKey

Definition at line 130 of file crifrecord.hpp.

Member Enumeration Documentation

◆ RecordType

enum class RecordType

strong

Enumerator
SIMM
FRTB
Generic

Definition at line 42 of file crifrecord.hpp.

                          {
        SIMM,
        FRTB,
        Generic
    };

◆ RiskType

enum class RiskType

strong

Risk types plus an All type for convenience Internal methods rely on the last element being 'All' Note that the risk type inflation has to be treated as an additional, single tenor bucket in IRCurve

Enumerator
Empty
Commodity
CommodityVol
CreditNonQ
CreditQ
CreditVol
CreditVolNonQ
Equity
EquityVol
FX
FXVol
Inflation
IRCurve
IRVol
InflationVol
BaseCorr
XCcyBasis
ProductClassMultiplier
AddOnNotionalFactor
Notional
AddOnFixedAmount
PV
GIRR_DELTA
GIRR_VEGA
GIRR_CURV
CSR_NS_DELTA
CSR_NS_VEGA
CSR_NS_CURV
CSR_SNC_DELTA
CSR_SNC_VEGA
CSR_SNC_CURV
CSR_SC_DELTA
CSR_SC_VEGA
CSR_SC_CURV
EQ_DELTA
EQ_VEGA
EQ_CURV
COMM_DELTA
COMM_VEGA
COMM_CURV
FX_DELTA
FX_VEGA
FX_CURV
DRC_NS
DRC_SNC
DRC_SC
RRAO_1_PERCENT
RRAO_01_PERCENT
All

Definition at line 53 of file crifrecord.hpp.

                        {
        // Empty for null, misisng field
        Empty,
        // SIMM Risk Types
        Commodity,
        CommodityVol,
        CreditNonQ,
        CreditQ,
        CreditVol,
        CreditVolNonQ,
        Equity,
        EquityVol,
        FX,
        FXVol,
        Inflation,
        IRCurve,
        IRVol,
        InflationVol,
        BaseCorr,
        XCcyBasis,
        ProductClassMultiplier,
        AddOnNotionalFactor,
        Notional,
        AddOnFixedAmount,
        PV, // IM Schedule
        // FRTB Risk Types
        GIRR_DELTA,
        GIRR_VEGA,
        GIRR_CURV,
        CSR_NS_DELTA,
        CSR_NS_VEGA,
        CSR_NS_CURV,
        CSR_SNC_DELTA,
        CSR_SNC_VEGA,
        CSR_SNC_CURV,
        CSR_SC_DELTA,
        CSR_SC_VEGA,
        CSR_SC_CURV,
        EQ_DELTA,
        EQ_VEGA,
        EQ_CURV,
        COMM_DELTA,
        COMM_VEGA,
        COMM_CURV,
        FX_DELTA,
        FX_VEGA,
        FX_CURV,
        DRC_NS,
        DRC_SNC,
        DRC_SC,
        RRAO_1_PERCENT,
        RRAO_01_PERCENT,
        // All type for aggreggation purposes
        All
    };

◆ ProductClass

enum class ProductClass

strong

Product class types in SIMM plus an All type for convenience Internal methods rely on the last element being 'All'

Enumerator
RatesFX
Rates
FX
Credit
Equity
Commodity
Empty
Other
AddOnNotionalFactor
AddOnFixedAmount
All

Definition at line 111 of file crifrecord.hpp.

                            {
        RatesFX,
        Rates, // extension for IM Schedule
        FX,    // extension for IM Schedule
        Credit,
        Equity,
        Commodity,
        Empty,
        Other, // extension for IM Schedule
        AddOnNotionalFactor, // extension for additional IM
        AddOnFixedAmount,    // extension for additional IM
        All
    };

◆ CurvatureScenario

enum class CurvatureScenario

strong

There are two entries for curvature risk in frtb, a up and down shift.

Enumerator
Empty
Up
Down

Definition at line 126 of file crifrecord.hpp.

126{ Empty, Up, Down };

ore::analytics::CrifRecord::CurvatureScenario::Down

@ Down

ore::analytics::CrifRecord::CurvatureScenario::Up

@ Up

Constructor & Destructor Documentation

◆ CrifRecord() [1/3]

CrifRecord ( )

Definition at line 174 of file crifrecord.hpp.

174{}

◆ CrifRecord() [2/3]

CrifRecord	(	std::string	tradeId,
		std::string	tradeType,
		NettingSetDetails	nettingSetDetails,
		ProductClass	productClass,
		RiskType	riskType,
		std::string	qualifier,
		std::string	bucket,
		std::string	label1,
		std::string	label2,
		std::string	amountCurrency,
		QuantLib::Real	amount,
		QuantLib::Real	amountUsd,
		std::string	imModel = `""`,
		std::string	collectRegulations = `""`,
		std::string	postRegulations = `""`,
		std::string	endDate = `""`,
		std::map< std::string, std::string >	extraFields = `{}`
	)

Definition at line 176 of file crifrecord.hpp.

                                                          {})
        : tradeId(tradeId), portfolioId(nettingSetDetails.nettingSetId()),
          productClass(productClass), riskType(riskType), qualifier(qualifier),
          bucket(bucket), label1(label1), label2(label2), amountCurrency(amountCurrency), amount(amount),
          amountUsd(amountUsd), tradeType(tradeType), nettingSetDetails(nettingSetDetails), imModel(imModel),
          collectRegulations(collectRegulations), postRegulations(postRegulations), endDate(endDate) {
        for (const auto& [key, value] : extraFields) {
            additionalFields[key] = value;
        }
    }

◆ CrifRecord() [3/3]

CrifRecord	(	std::string	tradeId,
		std::string	tradeType,
		std::string	portfolioId,
		ProductClass	productClass,
		RiskType	riskType,
		std::string	qualifier,
		std::string	bucket,
		std::string	label1,
		std::string	label2,
		std::string	amountCurrency,
		QuantLib::Real	amount,
		QuantLib::Real	amountUsd,
		std::string	imModel = `""`,
		std::string	collectRegulations = `""`,
		std::string	postRegulations = `""`,
		std::string	endDate = `""`,
		std::map< std::string, std::string >	additionalFields = `{}`
	)

Definition at line 192 of file crifrecord.hpp.

                                                               {})
        : CrifRecord(tradeId, tradeType, NettingSetDetails(portfolioId), productClass, riskType, qualifier,
                     bucket, label1, label2, amountCurrency, amount, amountUsd, imModel,
                     collectRegulations, postRegulations, endDate, additionalFields) {}

Member Function Documentation

◆ type()

CrifRecord::RecordType type ( ) const

Definition at line 186 of file crifrecord.cpp.

                                            {
    switch (riskType) {
    case RiskType::Commodity:
    case RiskType::CommodityVol:
    case RiskType::CreditNonQ:
    case RiskType::CreditQ:
    case RiskType::CreditVol:
    case RiskType::CreditVolNonQ:
    case RiskType::Equity:
    case RiskType::EquityVol:
    case RiskType::FX:
    case RiskType::FXVol:
    case RiskType::Inflation:
    case RiskType::IRCurve:
    case RiskType::IRVol:
    case RiskType::InflationVol:
    case RiskType::BaseCorr:
    case RiskType::XCcyBasis:
    case RiskType::ProductClassMultiplier:
    case RiskType::AddOnNotionalFactor:
    case RiskType::Notional:
    case RiskType::AddOnFixedAmount:
    case RiskType::PV:
        return RecordType::SIMM;
    case RiskType::GIRR_DELTA:
    case RiskType::GIRR_VEGA:
    case RiskType::GIRR_CURV:
    case RiskType::CSR_NS_DELTA:
    case RiskType::CSR_NS_VEGA:
    case RiskType::CSR_NS_CURV:
    case RiskType::CSR_SNC_DELTA:
    case RiskType::CSR_SNC_VEGA:
    case RiskType::CSR_SNC_CURV:
    case RiskType::CSR_SC_DELTA:
    case RiskType::CSR_SC_VEGA:
    case RiskType::CSR_SC_CURV:
    case RiskType::EQ_DELTA:
    case RiskType::EQ_VEGA:
    case RiskType::EQ_CURV:
    case RiskType::COMM_DELTA:
    case RiskType::COMM_VEGA:
    case RiskType::COMM_CURV:
    case RiskType::FX_DELTA:
    case RiskType::FX_VEGA:
    case RiskType::FX_CURV:
    case RiskType::DRC_NS:
    case RiskType::DRC_SNC:
    case RiskType::DRC_SC:
    case RiskType::RRAO_1_PERCENT:
    case RiskType::RRAO_01_PERCENT:
        return RecordType::FRTB;
    case RiskType::All:
    case RiskType::Empty:
        return RecordType::Generic;
    default:
        QL_FAIL("Unexpected RiskType " << riskType);
    }
}

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◆ hasAmountCcy()

bool hasAmountCcy ( ) const

Definition at line 204 of file crifrecord.hpp.

204{ return !amountCurrency.empty(); }

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◆ hasAmount()

bool hasAmount ( ) const

Definition at line 205 of file crifrecord.hpp.

205{ return amount != QuantLib::Null<QuantLib::Real>(); }

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◆ hasAmountUsd()

bool hasAmountUsd ( ) const

Definition at line 206 of file crifrecord.hpp.

206{ return amountUsd != QuantLib::Null<QuantLib::Real>(); }

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◆ hasResultCcy()

bool hasResultCcy ( ) const

Definition at line 207 of file crifrecord.hpp.

207{ return !resultCurrency.empty(); }

ore::analytics::CrifRecord::resultCurrency

std::string resultCurrency

Definition: crifrecord.hpp:147

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◆ hasAmountResultCcy()

bool hasAmountResultCcy ( ) const

Definition at line 208 of file crifrecord.hpp.

208{ return amountResultCcy != QuantLib::Null<QuantLib::Real>(); }

ore::analytics::CrifRecord::amountResultCcy

QuantLib::Real amountResultCcy

Definition: crifrecord.hpp:148

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◆ requiresAmountUsd()

bool requiresAmountUsd ( ) const

Definition at line 212 of file crifrecord.hpp.

                                   {
        return riskType != RiskType::AddOnNotionalFactor &&
               riskType != RiskType::ProductClassMultiplier;
    }

◆ isSimmParameter()

bool isSimmParameter ( ) const

Definition at line 217 of file crifrecord.hpp.

                                 {
        return riskType == RiskType::AddOnFixedAmount ||
               riskType == RiskType::AddOnNotionalFactor ||
               riskType == RiskType::ProductClassMultiplier;
    }

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◆ isEmpty()

bool isEmpty ( ) const

Definition at line 223 of file crifrecord.hpp.

223{ return riskType == RiskType::Empty; }

◆ isFrtbCurvatureRisk()

bool isFrtbCurvatureRisk ( ) const

Definition at line 226 of file crifrecord.hpp.

                                     {
        switch (riskType) {
        case RiskType::GIRR_CURV:
        case RiskType::CSR_NS_CURV:
        case RiskType::CSR_SNC_CURV:
        case RiskType::CSR_SC_CURV:
        case RiskType::EQ_CURV:
        case RiskType::COMM_CURV:
        case RiskType::FX_CURV:
            return true;
        default:
            return false;
        }
    }

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◆ frtbCurveatureScenario()

CurvatureScenario frtbCurveatureScenario ( ) const

Definition at line 241 of file crifrecord.hpp.

                                                     {
        double shift = 0.0;
        if (isFrtbCurvatureRisk() && ore::data::tryParseReal(label1, shift) && shift < 0.0) {
            return CurvatureScenario::Down;
        } else if (isFrtbCurvatureRisk()) {
            return CurvatureScenario::Up;
        } else {
            return CurvatureScenario::Empty;
        }
    }

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◆ getAdditionalFieldAsStr()

std::string getAdditionalFieldAsStr ( const std::string & fieldName ) const

Definition at line 252 of file crifrecord.hpp.

                                                                        {
        auto it = additionalFields.find(fieldName);
        std::string value;
        if (it != additionalFields.end()) {
            if (const std::string* vstr = std::get_if<std::string>(&it->second)) {
                value = *vstr;
            } else if (const double* vdouble = std::get_if<double>(&it->second)) {
                value = ore::data::to_string(*vdouble);
            } else {
                const bool* vbool = std::get_if<bool>(&it->second);
                value = ore::data::to_string(*vbool);
            }
        }
        return value;
    }

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◆ getAdditionalFieldAsDouble()

double getAdditionalFieldAsDouble ( const std::string & fieldName ) const

Definition at line 268 of file crifrecord.hpp.

                                                                        {
        auto it = additionalFields.find(fieldName);
        double value = QuantLib::Null<double>();
        if (it != additionalFields.end()) {
            if (const double* vdouble = std::get_if<double>(&it->second)) {
                value = *vdouble;
            } else if (const std::string* vstr = std::get_if<std::string>(&it->second)) {
                value = ore::data::parseReal(*vstr);
            }
        }
        return value;
    }

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◆ getAdditionalFieldAsBool()

bool getAdditionalFieldAsBool ( const std::string & fieldName ) const

Definition at line 281 of file crifrecord.hpp.

                                                                    {
        auto it = additionalFields.find(fieldName);
        bool value = false;
        if (it != additionalFields.end()) {
            if (const bool* vbool = std::get_if<bool>(&it->second)) {
                value = *vbool;
            } else if (const std::string* vstr = std::get_if<std::string>(&it->second)) {
                value = ore::data::parseBool(*vstr);
            }
        }
        return value;
    }

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◆ getSimmAmountCcyKey()

const SimmAmountCcyKey getSimmAmountCcyKey ( ) const

Definition at line 294 of file crifrecord.hpp.

                                                       {
        return std::make_tuple(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
                               collectRegulations, postRegulations);
    }

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◆ operator<()

bool operator< ( const CrifRecord & cr ) const

Define how CRIF records are compared.

Definition at line 300 of file crifrecord.hpp.

                                               {
        if (type() == RecordType::FRTB || cr.type() == RecordType::FRTB) {
            return std::tie(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
                            label3, endDate, creditQuality, longShortInd, coveredBondInd, trancheThickness, bb_rw,
                            amountCurrency, collectRegulations, postRegulations) <
                   std::tie(cr.tradeId, cr.nettingSetDetails, cr.productClass, cr.riskType, cr.qualifier, cr.bucket,
                            cr.label1, cr.label2, cr.label3, cr.endDate, cr.creditQuality, cr.longShortInd,
                            cr.coveredBondInd, cr.trancheThickness, cr.bb_rw, cr.amountCurrency, cr.collectRegulations,
                            cr.postRegulations);
        } else {
            return std::tie(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
                            amountCurrency, collectRegulations, postRegulations) <
                   std::tie(cr.tradeId, cr.nettingSetDetails, cr.productClass, cr.riskType, cr.qualifier, cr.bucket,
                            cr.label1, cr.label2, cr.amountCurrency, cr.collectRegulations, cr.postRegulations);
        }
    }

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◆ amountCcyLTCompare()

static bool amountCcyLTCompare	(	const CrifRecord &	cr1,
		const CrifRecord &	cr2
	)

static

Definition at line 317 of file crifrecord.hpp.

                                                                                 {
        if (cr1.type() == RecordType::FRTB || cr2.type() == RecordType::FRTB) {
            return std::tie(cr1.tradeId, cr1.nettingSetDetails, cr1.productClass, cr1.riskType, cr1.qualifier,
                            cr1.bucket, cr1.label1, cr1.label2, cr1.label3, cr1.endDate, cr1.creditQuality,
                            cr1.longShortInd, cr1.coveredBondInd, cr1.trancheThickness, cr1.bb_rw,
                            cr1.collectRegulations, cr1.postRegulations) <
                   std::tie(cr2.tradeId, cr2.nettingSetDetails, cr2.productClass, cr2.riskType, cr2.qualifier,
                            cr2.bucket, cr2.label1, cr2.label2, cr2.label3, cr2.endDate, cr2.creditQuality,
                            cr2.longShortInd, cr2.coveredBondInd, cr2.trancheThickness, cr2.bb_rw,
                            cr2.collectRegulations, cr2.postRegulations);
        } else {
            return std::tie(cr1.tradeId, cr1.nettingSetDetails, cr1.productClass, cr1.riskType, cr1.qualifier,
                            cr1.bucket, cr1.label1, cr1.label2, cr1.collectRegulations, cr1.postRegulations) <
                   std::tie(cr2.tradeId, cr2.nettingSetDetails, cr2.productClass, cr2.riskType, cr2.qualifier,
                            cr2.bucket, cr2.label1, cr2.label2, cr2.collectRegulations, cr2.postRegulations);
        }
    }

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◆ operator==()

bool operator== ( const CrifRecord & cr ) const

Definition at line 335 of file crifrecord.hpp.

                                                {
        if (type() == RecordType::FRTB || cr.type() == RecordType::FRTB) {
            return std::tie(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
                            label3, endDate, creditQuality, longShortInd, coveredBondInd, trancheThickness, bb_rw,
                            amountCurrency, collectRegulations, postRegulations) ==
                   std::tie(cr.tradeId, cr.nettingSetDetails, cr.productClass, cr.riskType, cr.qualifier, cr.bucket,
                            cr.label1, cr.label2, cr.label3, cr.endDate, cr.creditQuality, cr.longShortInd,
                            cr.coveredBondInd, cr.trancheThickness, cr.bb_rw, cr.amountCurrency, cr.collectRegulations,
                            cr.postRegulations);
        } else {
            return std::tie(tradeId, nettingSetDetails, productClass, riskType, qualifier, bucket, label1, label2,
                            amountCurrency, collectRegulations, postRegulations) ==
                   std::tie(cr.tradeId, cr.nettingSetDetails, cr.productClass, cr.riskType, cr.qualifier, cr.bucket,
                            cr.label1, cr.label2, cr.amountCurrency, cr.collectRegulations, cr.postRegulations);
        }
    }

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◆ amountCcyEQCompare()

static bool amountCcyEQCompare	(	const CrifRecord &	cr1,
		const CrifRecord &	cr2
	)

static

Definition at line 351 of file crifrecord.hpp.

                                                                                 {
        if (cr1.type() == RecordType::FRTB || cr2.type() == RecordType::FRTB) {
            return std::tie(cr1.tradeId, cr1.nettingSetDetails, cr1.productClass, cr1.riskType, cr1.qualifier,
                            cr1.bucket, cr1.label1, cr1.label2, cr1.label3, cr1.endDate, cr1.creditQuality,
                            cr1.longShortInd, cr1.coveredBondInd, cr1.trancheThickness, cr1.bb_rw,
                            cr1.collectRegulations, cr1.postRegulations) ==
                   std::tie(cr2.tradeId, cr2.nettingSetDetails, cr2.productClass, cr2.riskType, cr2.qualifier,
                            cr2.bucket, cr2.label1, cr2.label2, cr2.label3, cr2.endDate, cr2.creditQuality,
                            cr2.longShortInd, cr2.coveredBondInd, cr2.trancheThickness, cr2.bb_rw,
                            cr2.collectRegulations, cr2.postRegulations);
        } else {
            return std::tie(cr1.tradeId, cr1.nettingSetDetails, cr1.productClass, cr1.riskType, cr1.qualifier,
                            cr1.bucket, cr1.label1, cr1.label2, cr1.collectRegulations, cr1.postRegulations) ==
                   std::tie(cr2.tradeId, cr2.nettingSetDetails, cr2.productClass, cr2.riskType, cr2.qualifier,
                            cr2.bucket, cr2.label1, cr2.label2, cr2.collectRegulations, cr2.postRegulations);
        }
    }

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Member Data Documentation

◆ tradeId

std::string tradeId

Definition at line 134 of file crifrecord.hpp.

◆ portfolioId

std::string portfolioId

Definition at line 135 of file crifrecord.hpp.

◆ productClass

ProductClass productClass = ProductClass::Empty

Definition at line 136 of file crifrecord.hpp.

◆ riskType

RiskType riskType = RiskType::Notional

Definition at line 137 of file crifrecord.hpp.

◆ qualifier

std::string qualifier

Definition at line 138 of file crifrecord.hpp.

◆ bucket

std::string bucket

Definition at line 139 of file crifrecord.hpp.

◆ label1

std::string label1

Definition at line 140 of file crifrecord.hpp.

◆ label2

std::string label2

Definition at line 141 of file crifrecord.hpp.

◆ amountCurrency

std::string amountCurrency

Definition at line 142 of file crifrecord.hpp.

◆ amount

QuantLib::Real amount = QuantLib::Null<QuantLib::Real>()

mutable

Definition at line 143 of file crifrecord.hpp.

◆ amountUsd

QuantLib::Real amountUsd = QuantLib::Null<QuantLib::Real>()

mutable

Definition at line 144 of file crifrecord.hpp.

◆ resultCurrency

std::string resultCurrency

Definition at line 147 of file crifrecord.hpp.

◆ amountResultCcy

QuantLib::Real amountResultCcy = QuantLib::Null<QuantLib::Real>()

mutable

Definition at line 148 of file crifrecord.hpp.

◆ tradeType

std::string tradeType

Definition at line 151 of file crifrecord.hpp.

◆ agreementType

std::string agreementType

Definition at line 152 of file crifrecord.hpp.

◆ callType

std::string callType

Definition at line 153 of file crifrecord.hpp.

◆ initialMarginType

std::string initialMarginType

Definition at line 154 of file crifrecord.hpp.

◆ legalEntityId

std::string legalEntityId

Definition at line 155 of file crifrecord.hpp.

◆ nettingSetDetails

NettingSetDetails nettingSetDetails

Definition at line 156 of file crifrecord.hpp.

◆ imModel

std::string imModel

mutable

Definition at line 157 of file crifrecord.hpp.

◆ collectRegulations

std::string collectRegulations

mutable

Definition at line 158 of file crifrecord.hpp.

◆ postRegulations

std::string postRegulations

mutable

Definition at line 159 of file crifrecord.hpp.

◆ endDate

std::string endDate

Definition at line 160 of file crifrecord.hpp.

◆ label3

std::string label3

Definition at line 163 of file crifrecord.hpp.

◆ creditQuality

std::string creditQuality

Definition at line 164 of file crifrecord.hpp.

◆ longShortInd

std::string longShortInd

Definition at line 165 of file crifrecord.hpp.

◆ coveredBondInd

std::string coveredBondInd

Definition at line 166 of file crifrecord.hpp.

◆ trancheThickness

std::string trancheThickness

Definition at line 167 of file crifrecord.hpp.

◆ bb_rw

std::string bb_rw

Definition at line 168 of file crifrecord.hpp.

◆ additionalFields

std::map<std::string, std::variant<std::string, double, bool> > additionalFields

Definition at line 171 of file crifrecord.hpp.

◆ additionalHeaders

std::vector< std::set< std::string > > additionalHeaders = {}

static

Definition at line 369 of file crifrecord.hpp.

Public Types

Public Member Functions

Static Public Member Functions

Public Attributes

Static Public Attributes

Detailed Description

Member Typedef Documentation

◆ SimmAmountCcyKey

Member Enumeration Documentation

◆ RecordType

◆ RiskType

◆ ProductClass

◆ CurvatureScenario

Constructor & Destructor Documentation

◆ CrifRecord() [1/3]

◆ CrifRecord() [2/3]

◆ CrifRecord() [3/3]

Member Function Documentation

◆ type()

◆ hasAmountCcy()

◆ hasAmount()

◆ hasAmountUsd()

◆ hasResultCcy()

◆ hasAmountResultCcy()

◆ requiresAmountUsd()

◆ isSimmParameter()

◆ isEmpty()

◆ isFrtbCurvatureRisk()

◆ frtbCurveatureScenario()

◆ getAdditionalFieldAsStr()

◆ getAdditionalFieldAsDouble()

◆ getAdditionalFieldAsBool()

◆ getSimmAmountCcyKey()

◆ operator<()

◆ amountCcyLTCompare()

◆ operator==()

◆ amountCcyEQCompare()

Member Data Documentation

◆ tradeId

◆ portfolioId

◆ productClass

◆ riskType

◆ qualifier

◆ bucket

◆ label1

◆ label2

◆ amountCurrency

◆ amount

◆ amountUsd

◆ resultCurrency

◆ amountResultCcy

◆ tradeType

◆ agreementType

◆ callType

◆ initialMarginType

◆ legalEntityId

◆ nettingSetDetails

◆ imModel

◆ collectRegulations

◆ postRegulations

◆ endDate

◆ label3

◆ creditQuality

◆ longShortInd

◆ coveredBondInd

◆ trancheThickness

◆ bb_rw

◆ additionalFields

◆ additionalHeaders