Enums - Atoti Hub

The framework defines three enums in the api/enums/ package. These are part of the public API and are used as parameters throughout the measure interfaces.

ExposureMetric

ExposureMetric identifies the six exposure metrics that the framework can compute.

Constant	Label	Numeric	Description
`PFE`	`"PFE"`	Yes	Potential Future Exposure: the quantile of the bank-side exposure distribution at the configured confidence level.
`EE`	`"EE"`	Yes	Expected Exposure: the mean of bank-side exposure across all scenarios.
`ES`	`"ES"`	Yes	Expected Shortfall: the mean of bank-side exposure over the tail scenarios, the largest values at and beyond the PFE position.
`ENE`	`"ENE"`	Yes	Expected Negative Exposure: the mean of counterparty-side exposure across all scenarios.
`PFE_INDEX`	`"PFE Scenario Index"`	No	The scenario index that produced the PFE value, starting at 1 with the default `index-offset`.
`PFE_SCENARIO_NAME`	`"PFE Scenario Name"`	No	The human-readable name of the PFE scenario.

The isNumeric() method returns true for PFE, EE, ES, and ENE. It returns false for PFE_INDEX and PFE_SCENARIO_NAME. The getNumericMetrics() method returns an array of the four numeric metric constants. Usage in the public API:

IExposureMetrics metrics = grossMeasures.exposureMetrics();
NamedCopperMeasure pfe = metrics.getExposureMetric(ExposureMetric.PFE);
// or via convenience method:
NamedCopperMeasure pfeConvenience = metrics.getPotentialFutureExposure();

Side

Side identifies which counterparty perspective the exposure is computed from.

Constant	Label	Description
`BANK`	`"Bank"`	The bank’s perspective. Bank-side exposure is the positive part of the MtF sum: loss if the counterparty defaults and the position has positive value to the bank.
`CPTY`	`"Cpty"`	The counterparty’s perspective. Counterparty-side exposure is the negative part: the value of the position from the counterparty’s point of view.

The other() method returns the opposite side: BANK.other() returns CPTY and vice versa. The getLabel() method returns the string label ("Bank" or "Cpty"), which is used as a suffix in measure names.

ReportingOrCollateral

ReportingOrCollateral classifies each simulation date in the SimulationDates table.

Constant	Description
`R`	The time point is used for reporting purposes (exposure metrics, profile output).
`C`	The time point is used for collateral evaluation only (intermediate date needed for the holding-period look-back). Collateral algorithms skip these time points when they compute balances and exposures.

A time point can appear in SimulationDates with value R (reporting only), C (collateral only), or both (by having two rows, or by a consuming cube supplying its own classification logic).

​ExposureMetric

​Side

​ReportingOrCollateral

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ExposureMetric

Side

ReportingOrCollateral

Related pages