Merge pull request #22 from rkapl123/fca_fba_enhancements

Fca fba SP enhancements
OpenSourceRisk · Jan 17, 2019 · 4ac5dc7 · 4ac5dc7
2 parents 8071c30 + 8136d36
commit 4ac5dc7
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Showing 3 changed files with 11 additions and 10 deletions.
diff --git a/OREAnalytics/orea/aggregation/postprocess.cpp b/OREAnalytics/orea/aggregation/postprocess.cpp
@@ -748,8 +748,6 @@ void PostProcess::updateStandAloneXVA() {
         nettingSetFBA_[nettingSetId] = 0.0;
         nettingSetFCA_[nettingSetId] = 0.0;
         nettingSetMVA_[nettingSetId] = 0.0;
-		nettingSetKVACCR_[nettingSetId] = 0.0;
-
         for (Size j = 0; j < dates; ++j) {
             Date d0 = j == 0 ? today : cube_->dates()[j - 1];
             Date d1 = cube_->dates()[j];
@@ -785,7 +783,6 @@ void PostProcess::updateStandAloneXVA() {
 			Real kvaCCRIncrement = kvaRC * kvaCapitalDiscount * ActualActual().yearFraction(d0, d1);
 			nettingSetKVACCR_[nettingSetId] += kvaCCRIncrement;
 
-
             // FIXME: Subtract the spread received on posted IM in MVA calculation
             if (applyMVA) {
                 Real mvaIncrement = cvaS0 * dvaS0 * borrowingSpreadDcf * edim[j];
@@ -1205,12 +1202,6 @@ Real PostProcess::nettingSetFCA(const string& nettingSetId) {
 }
 
 
-Real PostProcess::nettingSetKVACCR(const string& nettingSetId) {
-	QL_REQUIRE(nettingSetKVACCR_.find(nettingSetId) != nettingSetKVACCR_.end(),
-		"NettingSetId " << nettingSetId << " not found in nettingSet KVACCR map");
-	return nettingSetKVACCR_[nettingSetId];
-}
-
 Real PostProcess::allocatedTradeCVA(const string& allocatedTradeId) {
     QL_REQUIRE(allocatedTradeCVA_.find(allocatedTradeId) != allocatedTradeCVA_.end(),
                "AllocatedTradeId " << allocatedTradeId << " not found in allocatedTrade CVA map");

diff --git a/OREAnalytics/orea/aggregation/postprocess.hpp b/OREAnalytics/orea/aggregation/postprocess.hpp
@@ -221,6 +221,14 @@ class PostProcess {
     Real nettingSetFBA(const string& nettingSetId);
     //! Return netting set FCA
     Real nettingSetFCA(const string& nettingSetId);
+	//! Return netting set FBA excluding own survival probability
+	Real nettingSetFBA_exOwnSP(const string& nettingSetId);
+	//! Return netting set FCA excluding own survival probability
+	Real nettingSetFCA_exOwnSP(const string& nettingSetId);
+	//! Return netting set FBA excluding both survival probabilities
+	Real nettingSetFBA_exAllSP(const string& nettingSetId);
+	//! Return netting set FCA excluding both survival probabilities
+	Real nettingSetFCA_exAllSP(const string& nettingSetId);
 	//! Return netting set KVA
 	Real nettingSetKVACCR(const string& nettingSetId);
 
@@ -284,8 +292,9 @@ class PostProcess {
     map<string, Real> allocatedTradeCVA_, allocatedTradeDVA_;
     map<string, Real> nettingSetCVA_, nettingSetDVA_, nettingSetMVA_;
     map<string, Real> nettingSetCOLVA_, nettingSetCollateralFloor_;
+    map<string, Real> nettingSetFCA_, nettingSetFBA_, nettingSetFCA_exOwnSP_, nettingSetFBA_exOwnSP_, nettingSetFCA_exAllSP_, nettingSetFBA_exAllSP_;
     map<string, Real> nettingSetFCA_, nettingSetFBA_;
-	map<string, Real> effMatNumer_, effMatDenom_, nettingSetKVACCR_;
+	  map<string, Real> effMatNumer_, effMatDenom_, nettingSetKVACCR_;
 
     boost::shared_ptr<NPVCube> nettedCube_;
     boost::shared_ptr<NPVCube> dimCube_;

diff --git a/OREAnalytics/orea/app/oreapp.cpp b/OREAnalytics/orea/app/oreapp.cpp
@@ -871,6 +871,7 @@ void OREApp::runPostProcessor() {
         portfolio_, netting, market_, marketConfiguration, cube_, scenarioData_, analytics, baseCurrency,
         allocationMethod, marginalAllocationLimit, quantile, calculationType, dvaName, fvaBorrowingCurve,
         fvaLendingCurve, dimQuantile, dimHorizonCalendarDays, dimRegressionOrder, dimRegressors,
+        dimLocalRegressionEvaluations, dimLocalRegressionBandwidth, dimScaling, fullInitialCollateralisation);
         dimLocalRegressionEvaluations, dimLocalRegressionBandwidth, dimScaling, fullInitialCollateralisation, 
         kvaCapitalDiscountRate, kvaAlpha, kvaRegAdjustment, kvaCapitalHurdle);