QPR-12046 -- Add SIMM exemption overrides at the netting set level for SA-CCR

Author: NathanielVolfango

OREData/ored/portfolio/nettingsetdefinition.cpp

@@ -124,13 +124,15 @@ NettingSetDefinition::NettingSetDefinition(const NettingSetDetails& nettingSetDe
                                            const string& marginPostFreq, const string& mpr, const Real& collatSpreadPay,
                                            const Real& collatSpreadRcv, const vector<string>& eligCollatCcys,
                                            bool applyInitialMargin, const string& initialMarginType,
-                                           const bool calculateIMAmount, const bool calculateVMAmount)
+                                           const bool calculateIMAmount, const bool calculateVMAmount,
+                                           const string& nonExemptIMRegulations)
     : nettingSetDetails_(nettingSetDetails), activeCsaFlag_(true) {
 
     csa_ = boost::make_shared<CSA>(
         parseCsaType(bilateral), csaCurrency, index, thresholdPay, thresholdRcv, mtaPay, mtaRcv, iaHeld, iaType,
         parsePeriod(marginCallFreq), parsePeriod(marginPostFreq), parsePeriod(mpr), collatSpreadPay, collatSpreadRcv,
-        eligCollatCcys, applyInitialMargin, parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount);
+        eligCollatCcys, applyInitialMargin, parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount,
+        nonExemptIMRegulations);
 
     validate();
     DLOG(nettingSetDetails_ << ": collateralised NettingSetDefinition built. ");
@@ -204,11 +206,14 @@ void NettingSetDefinition::fromXML(XMLNode* node) {
         bool calculateIMAmount = XMLUtils::getChildValueAsBool(csaChild, "CalculateIMAmount", false, false);
         bool calculateVMAmount = XMLUtils::getChildValueAsBool(csaChild, "CalculateVMAmount", false, false);
 
+        string nonExemptIMRegulations = XMLUtils::getChildValue(csaChild, "NonExemptIMRegulations", false);
+
         csa_ = boost::make_shared<CSA>(parseCsaType(csaTypeStr), csaCurrency, index, thresholdPay, thresholdRcv, mtaPay,
                                        mtaRcv, iaHeld, iaType, parsePeriod(marginCallFreqStr),
                                        parsePeriod(marginPostFreqStr), parsePeriod(mprStr), collatSpreadPay,
                                        collatSpreadRcv, eligCollatCcys, applyInitialMargin,
-                                       parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount);
+                                       parseCsaType(initialMarginType), calculateIMAmount, calculateVMAmount,
+                                       nonExemptIMRegulations);
     }
 
     validate();
@@ -260,6 +265,7 @@ XMLNode* NettingSetDefinition::toXML(XMLDocument& doc) {
         XMLUtils::addChild(doc, csaSubNode, "InitialMarginType", to_string(csa_->initialMarginType()));
         XMLUtils::addChild(doc, csaSubNode, "CalculateIMAmount", csa_->calculateIMAmount());
         XMLUtils::addChild(doc, csaSubNode, "CalculateVMAmount", csa_->calculateVMAmount());
+        XMLUtils::addChild(doc, csaSubNode, "NonExemptIMRegulations", csa_->nonExemptIMRegulations());
     }
 
     return node;

OREData/ored/portfolio/nettingsetdefinition.hpp

@@ -52,13 +52,15 @@ class CSA {
         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, // vector of three letter ISO codes
-        bool applyInitialMargin, Type initialMarginType, const bool calculateIMAmount, const bool calculateVMAmount)
+        bool applyInitialMargin, Type initialMarginType, const bool calculateIMAmount, const bool calculateVMAmount,
+        const string& nonExemptIMRegulations)
         : 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) {}
+          calculateIMAmount_(calculateIMAmount), calculateVMAmount_(calculateVMAmount),
+          nonExemptIMRegulations_(nonExemptIMRegulations) {}
 
     //! Inspectors
     //@{
@@ -101,7 +103,9 @@ class CSA {
     bool calculateIMAmount() { return calculateIMAmount_; }
     /*! Calculate VM from NPV (currently used only for SA-CCR) */
     bool calculateVMAmount() { return calculateVMAmount_; }
-     
+    /*! IM regulations (whose trade sensitivities are usually exempt from margin/sensi calc) that we wish to include
+        (currently used only for SA-CCR) */
+    const string& nonExemptIMRegulations() { return nonExemptIMRegulations_; } 
     /*! invert all relevant aspects of the CSA */
     void invertCSA();
 
@@ -126,6 +130,7 @@ class CSA {
     bool applyInitialMargin_;
     Type initialMarginType_;
     bool calculateIMAmount_, calculateVMAmount_;
+    string nonExemptIMRegulations_;
 };
 
 CSA::Type parseCsaType(const string& s);
@@ -165,7 +170,8 @@ class NettingSetDefinition : public XMLSerializable {
                          const Real& collatSpreadPay, const Real& collatSpreadRcv,
                          const vector<string>& eligCollatCcys, // vector of three letter ISO codes
                          bool applyInitialMargin = false, const string& initialMarginType = "Bilateral",
-                         const bool calculateIMAmount = false, const bool calculateVMAmount = false);
+                         const bool calculateIMAmount = false, const bool calculateVMAmount = false,
+                         const string& nonExemptIMRegulations = "");
 
     NettingSetDefinition(const string& nettingSetId, const string& bilateral,
                          const string& csaCurrency, // three letter ISO code
@@ -177,11 +183,12 @@ class NettingSetDefinition : public XMLSerializable {
                          const Real& collatSpreadPay, const Real& collatSpreadRcv,
                          const vector<string>& eligCollatCcys, // vector of three letter ISO codes
                          bool applyInitialMargin = false, const string& initialMarginType = "Bilateral",
-                         const bool calculateIMAmount = false, const bool calculateVMAmount = false)
+                         const bool calculateIMAmount = false, const bool calculateVMAmount = false,
+                         const string& nonExemptIMRegulations = "")
         : NettingSetDefinition(NettingSetDetails(nettingSetId), bilateral, csaCurrency, index, thresholdPay,
                                thresholdRcv, mtaPay, mtaRcv, iaHeld, iaType, marginCallFreq, marginPostFreq, mpr,
                                collatSpreadPay, collatSpreadRcv, eligCollatCcys, applyInitialMargin, initialMarginType,
-                               calculateIMAmount, calculateVMAmount) {}
+                               calculateIMAmount, calculateVMAmount, nonExemptIMRegulations) {}
 
     /*!
       loads NettingSetDefinition object from XML

xsd/nettingsetdefinitions.xsd

@@ -55,6 +55,7 @@
                   <xs:element type="csaType" name="InitialMarginType" minOccurs="0"/>
                   <xs:element type="xs:boolean" name="CalculateIMAmount" minOccurs="0"/>
                   <xs:element type="xs:boolean" name="CalculateVMAmount" minOccurs="0"/>
+                  <xs:element type="xs:string" name="NonExemptIMRegulations" minOccurs="0"/>
                 </xs:all>
               </xs:complexType>
             </xs:element>