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pcaspersfarahkhashman
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Merge branch 'feature/QPR-13632' into 'master'
QPR-13632 SIMM 2.8+2506 Closes QPR-13632 See merge request qs/oreplus!3010
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‎Configurations/SIMM/simmcalibration_2.8+2506.xml‎

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‎OREAnalytics/orea/CMakeLists.txt‎

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@@ -186,6 +186,7 @@ simm/simmconcentrationisdav2_5a.cpp
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simm/simmconcentrationisdav2_6.cpp
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simm/simmconcentrationisdav2_6_5.cpp
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simm/simmconcentrationisdav2_7_2412.cpp
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simm/simmconcentrationisdav2_8_2506.cpp
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simm/simmconfiguration.cpp
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simm/simmconfigurationbase.cpp
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simm/simmconfigurationcalibration.cpp
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simm/simmconfigurationisdav2_6.cpp
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simm/simmconfigurationisdav2_6_5.cpp
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simm/simmconfigurationisdav2_7_2412.cpp
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simm/simmconfigurationisdav2_8_2506.cpp
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simm/simmresults.cpp
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simm/simmtradedata.cpp
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simm/utilities.cpp
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simm/simmconcentrationisdav2_6.hpp
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simm/simmconcentrationisdav2_6_5.hpp
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simm/simmconcentrationisdav2_7_2412.hpp
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simm/simmconcentrationisdav2_8_2506.hpp
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simm/simmconfiguration.hpp
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simm/simmconfigurationbase.hpp
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simm/simmconfigurationcalibration.hpp
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simm/simmconfigurationisdav2_6.hpp
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simm/simmconfigurationisdav2_6_5.hpp
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simm/simmconfigurationisdav2_7_2412.hpp
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simm/simmconfigurationisdav2_8_2506.hpp
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simm/simmnamemapper.hpp
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simm/simmresults.hpp
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simm/simmtradedata.hpp

‎OREAnalytics/orea/orea.hpp‎

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#include <orea/simm/simmconcentrationisdav2_6.hpp>
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#include <orea/simm/simmconcentrationisdav2_6_5.hpp>
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#include <orea/simm/simmconcentrationisdav2_7_2412.hpp>
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#include <orea/simm/simmconcentrationisdav2_8_2506.hpp>
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#include <orea/simm/simmconfiguration.hpp>
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#include <orea/simm/simmconfigurationbase.hpp>
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#include <orea/simm/simmconfigurationcalibration.hpp>
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#include <orea/simm/simmconfigurationisdav2_6.hpp>
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#include <orea/simm/simmconfigurationisdav2_6_5.hpp>
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#include <orea/simm/simmconfigurationisdav2_7_2412.hpp>
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#include <orea/simm/simmconfigurationisdav2_8_2506.hpp>
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#include <orea/simm/simmnamemapper.hpp>
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#include <orea/simm/simmresults.hpp>
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#include <orea/simm/simmtradedata.hpp>

‎OREAnalytics/orea/simm/simmconcentrationisdav2_8_2506.cpp‎

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/*
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Copyright (C) 2025 Quaternion Risk Management Ltd.
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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#include <orea/simm/simmconcentrationisdav2_8_2506.hpp>
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#include <ored/utilities/log.hpp>
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#include <ql/errors.hpp>
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using namespace QuantLib;
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using std::map;
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using std::set;
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using std::string;
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namespace ore {
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namespace analytics {
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SimmConcentration_ISDA_V2_8_2506::SimmConcentration_ISDA_V2_8_2506(const QuantLib::ext::shared_ptr<SimmBucketMapper>& simmBucketMapper)
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: simmBucketMapper_(simmBucketMapper) {
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// Populate IR categories that are used for concentration thresholds
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irCategories_ = {{"1", {}},{"2", {"EUR", "GBP", "USD"}},{"3", {"AUD", "CAD", "CHF", "DKK", "HKD", "KRW", "NOK", "NZD", "SEK", "SGD", "TWD"}},{"4", {"JPY"}}};
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// Populate FX categories that are used for concentration thresholds
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fxCategories_ = {{"1", {"AUD", "CAD", "CHF", "EUR", "GBP", "JPY", "USD"}},{"2", {"BRL", "CNY", "HKD", "INR", "KRW", "MXN", "NOK", "NZD", "RUB", "SEK", "SGD", "TRY", "ZAR"}},{"3", {}}};
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// Initialise the data
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// clang-format off
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// Populate flat thresholds
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flatThresholds_[CrifRecord::RiskType::CreditVol] = 270;
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flatThresholds_[CrifRecord::RiskType::CreditVolNonQ] = 22;
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// Populate bucketed thresholds
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bucketedThresholds_[CrifRecord::RiskType::IRCurve] = {
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{ "1", 51 },
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{ "2", 210 },
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{ "3", 100 },
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{ "4", 230 }
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};
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bucketedThresholds_[CrifRecord::RiskType::CreditQ] = {
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{ "1", 1.0 },
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{ "2", 0.19 },
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{ "3", 0.19 },
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{ "4", 0.19 },
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{ "5", 0.19 },
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{ "6", 0.19 },
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{ "7", 1.0 },
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{ "8", 0.19 },
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{ "9", 0.19 },
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{ "10", 0.19 },
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{ "11", 0.19 },
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{ "12", 0.19 },
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{ "Residual", 0.19 }
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};
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bucketedThresholds_[CrifRecord::RiskType::CreditNonQ] = {
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{ "1", 4.2 },
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{ "2", 0.19 },
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{ "Residual", 0.19 }
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};
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bucketedThresholds_[CrifRecord::RiskType::Equity] = {
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{ "1", 2.8 },
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{ "2", 2.8 },
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{ "3", 2.8 },
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{ "4", 2.8 },
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{ "5", 14 },
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{ "6", 14 },
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{ "7", 14 },
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{ "8", 14 },
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{ "9", 0.70 },
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{ "10", 0.33 },
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{ "11", 730 },
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{ "12", 730 },
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{ "Residual", 0.33 }
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};
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bucketedThresholds_[CrifRecord::RiskType::Commodity] = {
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{ "1", 310 },
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{ "2", 2500 },
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{ "3", 1700 },
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{ "4", 1700 },
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{ "5", 1700 },
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{ "6", 2300 },
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{ "7", 2300 },
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{ "8", 1800 },
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{ "9", 1800 },
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{ "10", 52 },
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{ "11", 530 },
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{ "12", 1600 },
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{ "13", 100 },
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{ "14", 100 },
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{ "15", 100 },
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{ "16", 52 },
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{ "17", 4000 }
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};
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bucketedThresholds_[CrifRecord::RiskType::FX] = {
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{ "1", 3100 },
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{ "2", 950 },
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{ "3", 160 }
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};
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bucketedThresholds_[CrifRecord::RiskType::IRVol] = {
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{ "1", 110 },
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{ "2", 4400 },
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{ "3", 480 },
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{ "4", 860 }
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};
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bucketedThresholds_[CrifRecord::RiskType::EquityVol] = {
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{ "1", 270 },
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{ "2", 270 },
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{ "3", 270 },
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{ "4", 270 },
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{ "5", 780 },
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{ "6", 780 },
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{ "7", 780 },
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{ "8", 780 },
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{ "9", 84 },
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{ "10", 290 },
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{ "11", 3200 },
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{ "12", 3200 },
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{ "Residual", 84 }
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};
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bucketedThresholds_[CrifRecord::RiskType::CommodityVol] = {
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{ "1", 480 },
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{ "2", 2400 },
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{ "3", 250 },
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{ "4", 250 },
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{ "5", 250 },
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{ "6", 7000 },
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{ "7", 7000 },
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{ "8", 1300 },
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{ "9", 1300 },
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{ "10", 100 },
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{ "11", 520 },
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{ "12", 740 },
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{ "13", 790 },
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{ "14", 790 },
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{ "15", 790 },
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{ "16", 62 },
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{ "17", 62 }
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};
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bucketedThresholds_[CrifRecord::RiskType::FXVol] = {
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{ "1", 2800 },
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{ "2", 1400 },
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{ "3", 740 },
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{ "4", 670 },
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{ "5", 440 },
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{ "6", 270 }
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};
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// clang-format on
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}
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Real SimmConcentration_ISDA_V2_8_2506::threshold(const CrifRecord::RiskType& riskType, const string& qualifier) const {
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return thresholdImpl(simmBucketMapper_, riskType, qualifier);
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}
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} // namespace analytics
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} // namespace ore

‎OREAnalytics/orea/simm/simmconcentrationisdav2_8_2506.hpp‎

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/*
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Copyright (C) 2025 Quaternion Risk Management Ltd.
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All rights reserved.
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This file is part of ORE, a free-software/open-source library
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for transparent pricing and risk analysis - http://opensourcerisk.org
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ORE is free software: you can redistribute it and/or modify it
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under the terms of the Modified BSD License. You should have received a
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copy of the license along with this program.
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The license is also available online at <http://opensourcerisk.org>
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This program is distributed on the basis that it will form a useful
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contribution to risk analytics and model standardisation, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
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FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file orea/simm/simmconcentrationisdav2_8_2506.hpp
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\brief SIMM concentration thresholds for SIMM version 2.8+2506
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*/
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#pragma once
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#include <orea/simm/simmconcentration.hpp>
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#include <map>
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#include <orea/simm/simmbucketmapper.hpp>
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#include <set>
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#include <string>
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namespace ore {
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namespace analytics {
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/*! Class giving the SIMM concentration thresholds as outlined in the document
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<em>ISDA SIMM Methodology, version 2.8+2506 .
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Effective Date: December 06, 2025.</em>
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*/
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class SimmConcentration_ISDA_V2_8_2506 : public SimmConcentrationBase {
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public:
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//! Default constructor that adds fixed known mappings
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SimmConcentration_ISDA_V2_8_2506(const QuantLib::ext::shared_ptr<SimmBucketMapper>& simmBucketMapper);
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/*! Return the SIMM <em>concentration threshold</em> for a given SIMM
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<em>RiskType</em> and SIMM <em>Qualifier</em>.
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\warning If the risk type is not covered <code>QL_MAX_REAL</code> is
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returned i.e. no concentration threshold
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*/
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QuantLib::Real threshold(const CrifRecord::RiskType& riskType, const std::string& qualifier) const override;
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private:
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//! Help getting SIMM buckets from SIMM qualifiers
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QuantLib::ext::shared_ptr<SimmBucketMapper> simmBucketMapper_;
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};
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} // namespace analytics
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} // namespace ore

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