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pcaspersjenkins
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QPR-12406 pass initial IM to regression dim calculator
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Lines changed: 24 additions & 12 deletions

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‎Examples/Example_10/Input/ore.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_iah_0.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_iah_0.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_iah_1.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_iah_1.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_mpor.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_mpor.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_mta.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_mta.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_threshold.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_threshold_break.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎Examples/Example_10/Input/ore_threshold_dim.xml‎

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<Analytic type="xva">
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<Parameter name="active">Y</Parameter>
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<Parameter name="csaFile">netting_threshold.xml</Parameter>
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<Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter>
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<!-- <Parameter name="collateralBalancesFile">collateralbalances.xml</Parameter> -->
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<Parameter name="cubeFile">cube.csv.gz</Parameter>
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<Parameter name="scenarioFile">scenariodata.csv.gz</Parameter>
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<Parameter name="baseCurrency">EUR</Parameter>

‎OREAnalytics/orea/app/analytics/xvaanalytic.cpp‎

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@@ -555,11 +555,23 @@ void XvaAnalyticImpl::runPostProcessor() {
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if (!dimCalculator_ && (analytics["mva"] || analytics["dim"])) {
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if (inputs_->dimModel() == "Regression") {
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LOG("dim calculator not set, create RegressionDynamicInitialMarginCalculator");
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std::map<std::string, Real> currentIM;
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if (inputs_->collateralBalances()) {
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for (auto const& [n, b] : inputs_->collateralBalances()->collateralBalances()) {
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currentIM[n.nettingSetId()] =
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b->initialMargin() * (b->currency() == baseCurrency
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? 1.0
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: analytic()
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->market()
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->fxRate(b->currency() + baseCurrency, marketConfiguration)
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->value());
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}
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}
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dimCalculator_ = boost::make_shared<RegressionDynamicInitialMarginCalculator>(
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inputs_, analytic()->portfolio(), cube_, cubeInterpreter_, *scenarioData_, dimQuantile, dimHorizonCalendarDays, dimRegressionOrder,
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dimRegressors, dimLocalRegressionEvaluations, dimLocalRegressionBandwidth);
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}
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else {
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inputs_, analytic()->portfolio(), cube_, cubeInterpreter_, *scenarioData_, dimQuantile,
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dimHorizonCalendarDays, dimRegressionOrder, dimRegressors, dimLocalRegressionEvaluations,
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dimLocalRegressionBandwidth, currentIM);
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} else {
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LOG("dim calculator not set, create FlatDynamicInitialMarginCalculator");
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dimCalculator_ = boost::make_shared<FlatDynamicInitialMarginCalculator>(
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inputs_, analytic()->portfolio(), cube_, cubeInterpreter_, *scenarioData_);

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