CSA Class Reference

#include <ored/portfolio/nettingsetdefinition.hpp>

Collaboration diagram for CSA:

Public Types
enum	Type { Bilateral , CallOnly , PostOnly }

Public Member Functions
	CSA (const Type &type, const string &csaCurrency, const string &index, const Real &thresholdPay, const Real &thresholdRcv, const Real &mtaPay, const Real &mtaRcv, const Real &iaHeld, const string &iaType, const Period &marginCallFreq, const Period &marginPostFreq, const Period &mpr, const Real &collatSpreadPay, const Real &collatSpreadRcv, const vector< string > &eligCollatCcys, bool applyInitialMargin, Type initialMarginType, const bool calculateIMAmount, const bool calculateVMAmount, const string &nonExemptIMRegulations)
const Type &	type () const
	Inspectors. More...
const string &	csaCurrency () const
const string &	index () const
Real	thresholdPay () const
Real	thresholdRcv () const
Real	mtaPay () const
Real	mtaRcv () const
Real	independentAmountHeld () const
const string &	independentAmountType () const
const Period &	marginCallFrequency () const
const Period &	marginPostFrequency () const
const Period &	marginPeriodOfRisk () const
Real	collatSpreadRcv () const
Real	collatSpreadPay () const
vector< string >	eligCollatCcys () const
bool	applyInitialMargin ()
Type	initialMarginType ()
bool	calculateIMAmount ()
bool	calculateVMAmount ()
const string &	nonExemptIMRegulations ()
void	invertCSA ()
void	validate ()

Private Attributes
Type	type_
string	csaCurrency_
string	index_
Real	thresholdPay_
Real	thresholdRcv_
Real	mtaPay_
Real	mtaRcv_
Real	iaHeld_
string	iaType_
Period	marginCallFreq_
Period	marginPostFreq_
Period	mpr_
Real	collatSpreadPay_
Real	collatSpreadRcv_
vector< string >	eligCollatCcys_
bool	applyInitialMargin_
Type	initialMarginType_
bool	calculateIMAmount_
bool	calculateVMAmount_
string	nonExemptIMRegulations_

Detailed Description

Definition at line 38 of file nettingsetdefinition.hpp.

Member Enumeration Documentation

Type

enum Type

Enumeration 'Type' specifies what type of collateral agreement is in place.

• 'Bilateral' => both sides can request collateral margins
• 'PostOnly' => only the counterparty is allowed to issue a call for additional collateral
• 'CallOnly' => only WE are allowed to issue a margin call for additional collateral

Enumerator
Bilateral
CallOnly
PostOnly

Definition at line 47 of file nettingsetdefinition.hpp.

{ Bilateral, CallOnly, PostOnly };

Constructor & Destructor Documentation

CSA()

CSA	(	const Type &	type,
		const string &	csaCurrency,
		const string &	index,
		const Real &	thresholdPay,
		const Real &	thresholdRcv,
		const Real &	mtaPay,
		const Real &	mtaRcv,
		const Real &	iaHeld,
		const string &	iaType,
		const Period &	marginCallFreq,
		const Period &	marginPostFreq,
		const Period &	mpr,
		const Real &	collatSpreadPay,
		const Real &	collatSpreadRcv,
		const vector< string > &	eligCollatCcys,
		bool	applyInitialMargin,
		Type	initialMarginType,
		const bool	calculateIMAmount,
		const bool	calculateVMAmount,
		const string &	nonExemptIMRegulations
	)

Definition at line 49 of file nettingsetdefinition.hpp.

        : type_(type), csaCurrency_(csaCurrency), index_(index), thresholdPay_(thresholdPay),
          thresholdRcv_(thresholdRcv), mtaPay_(mtaPay), mtaRcv_(mtaRcv), iaHeld_(iaHeld), iaType_(iaType),
          marginCallFreq_(marginCallFreq), marginPostFreq_(marginPostFreq), mpr_(mpr),
          collatSpreadPay_(collatSpreadPay), collatSpreadRcv_(collatSpreadRcv), eligCollatCcys_(eligCollatCcys),
          applyInitialMargin_(applyInitialMargin), initialMarginType_(initialMarginType),
          calculateIMAmount_(calculateIMAmount), calculateVMAmount_(calculateVMAmount),
          nonExemptIMRegulations_(nonExemptIMRegulations) {}

Member Function Documentation

type()

const Type & type

(

)

const

Inspectors.

Nature of CSA margining agreement (e.g. Bilateral, PostOnly, CallOnly)

Definition at line 68 of file nettingsetdefinition.hpp.

{ return type_; }

csaCurrency()

const string & csaCurrency

(

)

const

Master Currency of CSA

Definition at line 70 of file nettingsetdefinition.hpp.

{ return csaCurrency_; }

index()

const string & index

(

)

const

Index that determines the compounding rate

Definition at line 72 of file nettingsetdefinition.hpp.

{ return index_; }

thresholdPay()

Real thresholdPay

(

)

const

Threshold amount for margin calls issued by counterparty

Definition at line 74 of file nettingsetdefinition.hpp.

{ return thresholdPay_; }

thresholdRcv()

Real thresholdRcv

(

)

const

Threshold amount when issuing calls to counterparty

Definition at line 76 of file nettingsetdefinition.hpp.

{ return thresholdRcv_; }

mtaPay()

Real mtaPay

(

)

const

Minimum Transfer Amount when posting collateral to counterparty

Definition at line 78 of file nettingsetdefinition.hpp.

{ return mtaPay_; }

mtaRcv()

Real mtaRcv

(

)

const

Minimum Transfer Amount when receiving collateral from counterparty

Definition at line 80 of file nettingsetdefinition.hpp.

{ return mtaRcv_; }

independentAmountHeld()

Real independentAmountHeld

(

)

const

Sum of Independent Amounts covered by the CSA (positive => we hold the amount)

Definition at line 82 of file nettingsetdefinition.hpp.

{ return iaHeld_; }

independentAmountType()

const string & independentAmountType

(

)

const

'Type' of Independent Amount as specified in the CSA

Definition at line 84 of file nettingsetdefinition.hpp.

{ return iaType_; }

marginCallFrequency()

const Period & marginCallFrequency

(

)

const

Margining Frequency when requesting collateral from counterparty (e.g. "1D", "1W")

Definition at line 86 of file nettingsetdefinition.hpp.

{ return marginCallFreq_; }

marginPostFrequency()

const Period & marginPostFrequency

(

)

const

Margining Frequency when counterparty is requesting collateral (e.g. "1D", "1W")

Definition at line 88 of file nettingsetdefinition.hpp.

{ return marginPostFreq_; }

marginPeriodOfRisk()

const Period & marginPeriodOfRisk

(

)

const

Margin Period of Risk (e.g. "1M")

Definition at line 90 of file nettingsetdefinition.hpp.

{ return mpr_; }

collatSpreadRcv()

Real collatSpreadRcv

(

)

const

Spread for interest accrual on held collateral

Definition at line 92 of file nettingsetdefinition.hpp.

{ return collatSpreadRcv_; }

collatSpreadPay()

Real collatSpreadPay

(

)

const

Spread for interest accrual on posted collateral

Definition at line 94 of file nettingsetdefinition.hpp.

{ return collatSpreadPay_; }

eligCollatCcys()

vector< string > eligCollatCcys

(

)

const

Eligible Collateral Currencies

Definition at line 96 of file nettingsetdefinition.hpp.

{ return eligCollatCcys_; }

applyInitialMargin()

bool applyInitialMargin

(

)

Apply (dynamic) initial margin in addition to variation margin

Definition at line 98 of file nettingsetdefinition.hpp.

{ return applyInitialMargin_; }

initialMarginType()

Type initialMarginType

(

)

Direction of (dynamic) initial margin

Definition at line 100 of file nettingsetdefinition.hpp.

{ return initialMarginType_; }

calculateIMAmount()

bool calculateIMAmount

(

)

Calculate SIMM as IM (currently used only for SA-CCR)

Definition at line 103 of file nettingsetdefinition.hpp.

{ return calculateIMAmount_; }

calculateVMAmount()

bool calculateVMAmount

(

)

Calculate VM from NPV (currently used only for SA-CCR)

Definition at line 105 of file nettingsetdefinition.hpp.

{ return calculateVMAmount_; }

nonExemptIMRegulations()

const string & nonExemptIMRegulations

(

)

IM regulations (whose trade sensitivities are usually exempt from margin/sensi calc) that we wish to include (currently used only for SA-CCR)

Definition at line 108 of file nettingsetdefinition.hpp.

{ return nonExemptIMRegulations_; } 

invertCSA()

void invertCSA

(

)

invert all relevant aspects of the CSA

Definition at line 54 of file nettingsetdefinition.cpp.

                    {
    if (type_ != Bilateral) {
        type_ = (type_ == CallOnly ? PostOnly : CallOnly);
    }
    if (initialMarginType_ != Bilateral) {
        initialMarginType_ = (initialMarginType_ == CallOnly ? PostOnly : CallOnly);
    }
    std::swap(collatSpreadPay_, collatSpreadRcv_);
    std::swap(thresholdPay_, thresholdRcv_);
    std::swap(mtaPay_, mtaRcv_);
    iaHeld_ *= -1;
    std::swap(marginCallFreq_, marginPostFreq_);
}

validate()

void validate

(

)

Definition at line 68 of file nettingsetdefinition.cpp.

                   {
    QL_REQUIRE(csaCurrency_.size() == 3, "NettingSetDefinition build error;"
                                             << " CSA currency should be a three-letter ISO code");
 
    QL_REQUIRE(thresholdPay_ >= 0, "NettingSetDefinition build error; negative thresholdPay");
    QL_REQUIRE(thresholdRcv_ >= 0, "NettingSetDefinition build error; negative thresholdRcv");
    QL_REQUIRE(mtaPay_ >= 0, "NettingSetDefinition build error; negative mtaPay");
    QL_REQUIRE(mtaRcv_ >= 0, "NettingSetDefinition build error; negative mtaRcv");
    QL_REQUIRE(iaType_ == "FIXED", "NettingSetDefinition build error;"
                                       << " unsupported independent amount type; " << iaType_);
 
    QL_REQUIRE(marginCallFreq_ > Period(0, Days) && marginPostFreq_ > Period(0, Days),
               "NettingSetDefinition build error;"
                   << " non-positive margining frequency");
    QL_REQUIRE(mpr_ >= Period(0, Days), "NettingSetDefinition build error;"
                                            << " negative margin period of risk");
    if (mpr_ < marginCallFreq_ || mpr_ < marginPostFreq_) {
        LOG("NettingSetDefinition has CSA margining frequency ("
            << marginCallFreq_ << ", " << marginPostFreq_ << ") longer than assumed margin period of risk " << mpr_);
    }
 
    for (Size i = 0; i < eligCollatCcys_.size(); i++) {
        QL_REQUIRE(eligCollatCcys_[i].size() == 3,
                   "NettingSetDefinition build error;"
                       << "EligibleCollaterals currency should be a three-letter ISO code");
    }
 
    // unilateral CSA - set threshold near infinity to disable margining
    switch (type_) {
    case CallOnly: {
        thresholdPay_ = std::numeric_limits<double>::max();
        break;
    }
    case PostOnly: {
        thresholdRcv_ = std::numeric_limits<double>::max();
    }
    default:
        break;
    }
}

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Member Data Documentation

type_

Type type_

private

Definition at line 115 of file nettingsetdefinition.hpp.

csaCurrency_

string csaCurrency_

private

Definition at line 116 of file nettingsetdefinition.hpp.

index_

string index_

private

Definition at line 117 of file nettingsetdefinition.hpp.

thresholdPay_

Real thresholdPay_

private

Definition at line 118 of file nettingsetdefinition.hpp.

thresholdRcv_

Real thresholdRcv_

private

Definition at line 119 of file nettingsetdefinition.hpp.

mtaPay_

Real mtaPay_

private

Definition at line 120 of file nettingsetdefinition.hpp.

mtaRcv_

Real mtaRcv_

private

Definition at line 121 of file nettingsetdefinition.hpp.

iaHeld_

Real iaHeld_

private

Definition at line 122 of file nettingsetdefinition.hpp.

iaType_

string iaType_

private

Definition at line 123 of file nettingsetdefinition.hpp.

marginCallFreq_

Period marginCallFreq_

private

Definition at line 124 of file nettingsetdefinition.hpp.

marginPostFreq_

Period marginPostFreq_

private

Definition at line 125 of file nettingsetdefinition.hpp.

mpr_

Period mpr_

private

Definition at line 126 of file nettingsetdefinition.hpp.

collatSpreadPay_

Real collatSpreadPay_

private

Definition at line 127 of file nettingsetdefinition.hpp.

collatSpreadRcv_

Real collatSpreadRcv_

private

Definition at line 128 of file nettingsetdefinition.hpp.

eligCollatCcys_

vector<string> eligCollatCcys_

private

Definition at line 129 of file nettingsetdefinition.hpp.

applyInitialMargin_

bool applyInitialMargin_

private

Definition at line 130 of file nettingsetdefinition.hpp.

initialMarginType_

Type initialMarginType_

private

Definition at line 131 of file nettingsetdefinition.hpp.

calculateIMAmount_

bool calculateIMAmount_

private

Definition at line 132 of file nettingsetdefinition.hpp.

calculateVMAmount_

bool calculateVMAmount_

private

Definition at line 132 of file nettingsetdefinition.hpp.

nonExemptIMRegulations_

string nonExemptIMRegulations_

private

Definition at line 133 of file nettingsetdefinition.hpp.