/
BaselCCR.m
3771 lines (2928 loc) · 151 KB
/
BaselCCR.m
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classdef (Sealed) BaselCCR < BaselInterface
%% Properties: Instance
properties (Access = private)
Collaterals
CurrentHedgingSet
CurrentNettingSet
Handles
Initialized
NettingSets
Result
ResultEAD
Trades
end
%% Constructor
methods (Access = public)
function this = BaselCCR()
fig = findall(0,'Tag','BaselCCR');
if (~isempty(fig))
if (isvalid(fig))
figure(fig);
return;
else
delete(fig);
end
end
this.Construct();
this.Initialized = false;
gui = struct();
gui.gui_Name = mfilename;
gui.gui_Singleton = false;
gui.gui_Callback = [];
gui.gui_OpeningFcn = @this.Form_Load;
gui.gui_OutputFcn = @this.Form_Output;
gui.gui_LayoutFcn = [];
gui_mainfcn(gui);
end
end
%% Destructor
methods (Access = private)
function delete(this)
if (~isempty(this.Handles))
this.Handles.BaselCCR.CloseRequestFcn = '';
delete(this.Handles.BaselCCR);
end
this.Collaterals = [];
this.CurrentHedgingSet = [];
this.CurrentNettingSet = [];
this.Handles = [];
this.Initialized = [];
this.NettingSets = [];
this.Result = [];
this.ResultEAD = [];
this.Trades = [];
this.Destruct();
end
end
%% Methods: Events
methods (Access = private)
function Form_Close(this,obj,evd) %#ok<INUSD>
delete(this);
end
function Form_Load(this,obj,evd,han,varargin) %#ok<INUSL>
obj.CloseRequestFcn = @this.Form_Close;
han.DatasetButtonClear.Callback = @this.DatasetButtonClear_Clicked;
han.DatasetButtonLoad.Callback = @this.DatasetButtonLoad_Clicked;
han.ResultButtonCalculate.Callback = @this.ResultButtonCalculate_Clicked;
han.ResultButtonExport.Callback = @this.ResultButtonExport_Clicked;
han.ResultButtonReset.Callback = @this.ResultButtonReset_Clicked;
han.ResultCheckboxSimplified.Callback = @this.ResultCheckboxSimplified_CheckedChanged;
han.TabGroup = uitabgroup('Parent',obj);
han.TabGroup.Units = 'pixels';
han.TabGroup.Position = [2 1 1024 768];
han.IntroductionTab = uitab('Parent',han.TabGroup);
han.IntroductionTab.Tag = 'IntroductionTab';
han.IntroductionTab.Title = 'Introduction';
han.IntroductionPanel.Parent = han.IntroductionTab;
han.DatasetTab = uitab('Parent',han.TabGroup);
han.DatasetTab.Tag = 'DatasetTab';
han.DatasetTab.Title = 'Dataset';
han.DatasetPanel.Parent = han.DatasetTab;
han.ResultTab = uitab('Parent',han.TabGroup);
han.ResultTab.Tag = 'ResultTab';
han.ResultTab.Title = 'Result';
han.ResultPanel.Parent = han.ResultTab;
guidata(obj,han);
this.Handles = guidata(obj);
uistack(han.Blank,'top');
scr = groot;
scr.Units = 'pixels';
scr_siz = scr.ScreenSize;
obj.Position = [((scr_siz(3) - 1024) / 2) ((scr_siz(4) - 768) / 2) 1024 768];
end
function varargout = Form_Output(this,obj,evd,han) %#ok<INUSD>
varargout = {};
import('java.awt.*');
bar = waitbar(0,'Initializing...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
try
uistack(this.Handles.Blank,'bottom');
this.SetupBox(this.Handles.IntroductionBox);
this.SetupTable(this.Handles.DatasetTableNetting, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.DatasetTableCollaterals, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.DatasetTableTrades, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.ResultTableNetting, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.ResultTableHedging, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Initialized = true;
catch e
delete(bar);
err = this.FormatException('The initialization process failed.',e);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
delete(this);
return;
end
drawnow();
pause(0.05);
waitbar(1,bar);
delete(bar);
end
function DatasetButtonClear_Clicked(this,obj,evd) %#ok<INUSD>
obj.Enable = 'off';
this.Collaterals = [];
this.CurrentHedgingSet = '';
this.CurrentNettingSet = '';
this.NettingSets = [];
this.Result = [];
this.ResultEAD = [];
this.Trades = [];
this.Handles.DatasetTextNetting.String = 'Netting Sets';
this.SetupTable(this.Handles.DatasetTableNetting, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextCollaterals.String = 'Collaterals';
this.SetupTable(this.Handles.DatasetTableCollaterals, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextTrades.String = 'Trades';
this.SetupTable(this.Handles.DatasetTableTrades, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextNotional.String = 'Total Notional: 0,00';
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
this.SetupTable(this.Handles.ResultTableNetting, ...
'VerticalScrollbar', true);
this.Handles.ResultTextEAD.String = 'Total EAD: 0,00';
this.Handles.ResultTextHedging.String = 'Hedging Sets';
this.SetupTable(this.Handles.ResultTableHedging, ...
'VerticalScrollbar', true);
this.Handles.ResultTextRisk.String = 'Risk Factors';
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultTextType.String = 'Type: N/A';
this.Handles.ResultButtonCalculate.Enable = 'off';
this.Handles.ResultButtonReset.Enable = 'off';
this.Handles.ResultCheckboxSimplified.Enable = 'off';
this.Handles.ResultTextSimplified.Enable = 'off';
this.Handles.ResultCheckboxOffset.Enable = 'off';
this.Handles.ResultTextOffset.Enable = 'off';
this.Handles.ResultCheckboxCompact.Enable = 'off';
this.Handles.ResultTextCompact.Enable = 'off';
this.Handles.ResultCheckboxStyles.Enable = 'off';
this.Handles.ResultTextStyles.Enable = 'off';
this.Handles.ResultButtonExport.Enable = 'off';
this.Handles.DatasetButtonLoad.Enable = 'on';
end
function DatasetButtonLoad_Clicked(this,obj,evd) %#ok<INUSD>
obj.Enable = 'off';
this.Handles.DatasetCheckboxValidation.Enable = 'off';
this.Handles.DatasetTextValidation.Enable = 'off';
[name,path] = uigetfile({'*.xls;*.xlsx','Excel Spreadsheets (*.xls;*.xlsx)'},'Load Dataset',[pwd() '\Datasets']);
if (name == 0)
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
obj.Enable = 'on';
return;
end
import('java.awt.*');
bar = waitbar(0,'Loading Dataset...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
try
file = fullfile(path,name);
[nss,trds,cols,err] = this.DatasetLoad(file);
catch e
err = this.FormatException('The dataset could not be loaded.',e);
end
if (~isempty(err))
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
obj.Enable = 'on';
return;
end
waitbar(0.25,bar,'Validating Dataset...');
try
err = this.DatasetValidate(nss,trds,cols);
catch e
err = this.FormatException('The dataset could not be validated.',e);
end
if (~isempty(err))
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
obj.Enable = 'on';
return;
end
waitbar(0.50,bar,'Analyzing Dataset...');
try
[nss,cols,trds,data] = this.DatasetAnalyze(nss,cols,trds);
catch e
err = this.FormatException('The dataset could not be analyzed.',e);
end
if (~isempty(err))
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
obj.Enable = 'on';
return;
end
this.Collaterals = cols;
this.NettingSets = nss;
this.Trades = trds;
waitbar(0.75,bar,'Updating Interface...');
try
import('baseltools.*');
this.Handles.DatasetTextNetting.String = ['Netting Sets (' num2str(size(data.Sets,1)) ')'];
this.SetupTable(this.Handles.DatasetTableNetting, ...
'Data', data.Sets, ...
'FillHeight', false, ...
'Renderer', {'RendererCcrDataNets' data.SetsLengths}, ...
'RowsHeight', 24, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
if (isempty(data.Collaterals))
this.Handles.DatasetTextCollaterals.String = 'Collaterals (0)';
this.SetupTable(this.Handles.DatasetTableCollaterals, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
else
this.Handles.DatasetTextCollaterals.String = ['Collaterals (' num2str(size(data.Collaterals,1)) ')'];
this.SetupTable(this.Handles.DatasetTableCollaterals, ...
'Data', data.Collaterals, ...
'FillHeight', false, ...
'Renderer', {'RendererCcrDataCols' data.CollateralsLengths}, ...
'RowsHeight', 24, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
end
this.Handles.DatasetTextTrades.String = ['Trades (' num2str(size(data.Trades,1)) ')'];
this.SetupTable(this.Handles.DatasetTableTrades, ...
'Data', data.Trades, ...
'FillHeight', false, ...
'Renderer', {'RendererCcrDataTrds' data.TradesLengths}, ...
'RowsHeight', 24, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextNotional.String = ['Total Notional: ' char(Environment.FormatNumber(data.TradesTotalNotional,true,2))];
this.Handles.DatasetButtonClear.Enable = 'on';
if (this.Handles.ResultCheckboxSimplified.Value == 0)
this.Handles.ResultCheckboxOffset.Enable = 'on';
this.Handles.ResultTextOffset.Enable = 'on';
end
this.Handles.ResultCheckboxSimplified.Enable = 'on';
this.Handles.ResultTextSimplified.Enable = 'on';
this.Handles.ResultButtonCalculate.Enable = 'on';
catch e
err = this.FormatException('The interface could not be updated.',e);
end
if (~isempty(err))
this.Collaterals = [];
this.NettingSets = [];
this.Trades = [];
this.Handles.DatasetTextNetting.String = 'Netting Sets';
this.SetupTable(this.Handles.DatasetTableNetting, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextCollaterals.String = 'Collaterals';
this.SetupTable(this.Handles.DatasetTableCollaterals, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextTrades.String = 'Trades';
this.SetupTable(this.Handles.DatasetTableTrades, ...
'Sorting', 2, ...
'VerticalScrollbar', true);
this.Handles.DatasetTextNotional.String = 'Total Notional: 0,00';
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
this.Handles.DatasetCheckboxValidation.Enable = 'on';
this.Handles.DatasetTextValidation.Enable = 'on';
obj.Enable = 'on';
return;
end
waitbar(1,bar);
delete(bar);
end
function ResultButtonCalculate_Clicked(this,obj,evd) %#ok<INUSD>
obj.Enable = 'off';
this.Handles.ResultCheckboxSimplified.Enable = 'off';
this.Handles.ResultTextSimplified.Enable = 'off';
this.Handles.ResultCheckboxOffset.Enable = 'off';
this.Handles.ResultTextOffset.Enable = 'off';
import('java.awt.*');
bar = waitbar(0,'Performing Calculations...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
err = '';
try
nss_len = height(this.NettingSets);
nss_res = cell((nss_len * 2),9);
nss_res_off = 1;
ead_tot = 0;
if (this.Handles.ResultCheckboxSimplified.Value == 0)
off = (this.Handles.ResultCheckboxOffset.Value == 1);
for i = 1:nss_len
ns = this.NettingSets(i,:);
trds = this.Trades(strcmp(this.Trades.NettingSetID,ns.ID),:);
cols = this.Collaterals(strcmp(this.Collaterals.NettingSetID,ns.ID),:);
if (ns.Margined)
[rc_umar,addon_umar,mul_umar,pfe_umar,ead_umar,hs_umar] = this.CalculateEAD_Full(ns,false,trds,cols,off);
[rc_mar,addon_mar,mul_mar,pfe_mar,ead_mar,hs_mar] = this.CalculateEAD_Full(ns,true,trds,cols,off);
if (ead_mar > ead_umar)
ead = ead_umar;
else
ead = ead_mar;
end
nss_res(nss_res_off,:) = {char(ns.ID) ead 'U' rc_umar addon_umar mul_umar pfe_umar ead_umar hs_umar};
nss_res(nss_res_off+1,:) = {'' ead 'M' rc_mar addon_mar mul_mar pfe_mar ead_mar hs_mar};
else
[rc,addon,mul,pfe,ead,hs] = this.CalculateEAD_Full(ns,false,trds,cols,off);
nss_res(nss_res_off,:) = {char(ns.ID) ead 'U' rc addon mul pfe ead hs};
nss_res(nss_res_off+1,:) = {'' ead 'M' NaN NaN NaN NaN NaN {}};
end
nss_res_off = nss_res_off + 2;
ead_tot = ead_tot + ead;
end
else
for i = 1:nss_len
ns = this.NettingSets(i,:);
trds = this.Trades(strcmp(this.Trades.NettingSetID,ns.ID),:);
if (ns.Margined)
[rc,addon,mul,pfe,ead,hs] = this.CalculateEAD_Simple(ns,true,trds);
nss_res(nss_res_off,:) = {char(ns.ID) ead 'U' NaN NaN NaN NaN NaN {}};
nss_res(nss_res_off+1,:) = {'' ead 'M' rc addon mul pfe ead hs};
else
[rc,addon,mul,pfe,ead,hs] = this.CalculateEAD_Simple(ns,false,trds);
nss_res(nss_res_off,:) = {char(ns.ID) ead 'U' rc addon mul pfe ead hs};
nss_res(nss_res_off+1,:) = {'' ead 'M' NaN NaN NaN NaN NaN {}};
end
nss_res_off = nss_res_off + 2;
ead_tot = ead_tot + ead;
end
end
nss_tab = nss_res(:,1:end-1);
catch e
err = this.FormatException('The calculations could not be performed.',e);
end
if (~isempty(err))
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
if (this.Handles.ResultCheckboxSimplified.Value == 0)
this.Handles.ResultCheckboxOffset.Enable = 'on';
this.Handles.ResultTextOffset.Enable = 'on';
end
this.Handles.ResultCheckboxSimplified.Enable = 'on';
this.Handles.ResultTextSimplified.Enable = 'on';
obj.Enable = 'on';
return;
end
this.CurrentNettingSet = '';
this.CurrentHedgingSet = '';
this.Result = nss_res;
this.ResultEAD = ead_tot;
waitbar(0.50,bar,'Updating Interface...');
try
import('baseltools.*');
nss_tab(:,1) = pad(nss_tab(:,1));
nss_tab(:,2) = this.FormatCurrency(nss_tab(:,2),true,false);
nss_tab(:,[4:5 7:8]) = this.FormatCurrency(nss_tab(:,[4:5 7:8]),true,true);
nss_tab(:,6) = this.FormatNumber(nss_tab(:,6),false,4);
this.SetupTable(this.Handles.ResultTableNetting, ...
'Data', nss_tab, ...
'FillHeight', false, ...
'MouseEntered', @this.ResultTable_MouseEntered, ...
'MouseExited', @this.ResultTable_MouseExited, ...
'MouseReleased', @this.ResultTableNetting_Selected, ...
'Renderer', {'RendererCcrRsltNets'}, ...
'RowsHeight', 24, ...
'Selection', [false false false], ...
'VerticalScrollbar', true);
this.Handles.ResultTextEAD.String = ['Total EAD: ' char(Environment.FormatNumber(ead_tot,true,2))];
this.SetupTable(this.Handles.ResultTableHedging, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultCheckboxCompact.Enable = 'on';
this.Handles.ResultTextCompact.Enable = 'on';
this.Handles.ResultCheckboxStyles.Enable = 'on';
this.Handles.ResultTextStyles.Enable = 'on';
this.Handles.ResultButtonReset.Enable = 'on';
this.Handles.ResultButtonExport.Enable = 'on';
catch e
err = this.FormatException('The interface could not be updated.',e);
end
if (~isempty(err))
this.Result = [];
this.ResultEAD = [];
this.SetupTable(this.Handles.ResultTableNetting, ...
'VerticalScrollbar', true);
this.Handles.ResultTextEAD.String = 'Total EAD: 0,00';
this.SetupTable(this.Handles.ResultTableHedging, ...
'VerticalScrollbar', true);
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultButtonReset.Enable = 'off';
this.Handles.ResultCheckboxCompact.Enable = 'off';
this.Handles.ResultTextCompact.Enable = 'off';
this.Handles.ResultCheckboxStyles.Enable = 'off';
this.Handles.ResultTextStyles.Enable = 'off';
this.Handles.ResultButtonExport.Enable = 'off';
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
if (this.Handles.ResultCheckboxSimplified.Value == 0)
this.Handles.ResultCheckboxOffset.Enable = 'on';
this.Handles.ResultTextOffset.Enable = 'on';
end
this.Handles.ResultCheckboxSimplified.Enable = 'on';
this.Handles.ResultTextSimplified.Enable = 'on';
obj.Enable = 'on';
return;
end
waitbar(1,bar);
delete(bar);
end
function ResultButtonExport_Clicked(this,obj,evd) %#ok<INUSD>
obj.Enable = 'off';
this.Handles.ResultCheckboxCompact.Enable = 'off';
this.Handles.ResultTextCompact.Enable = 'off';
this.Handles.ResultCheckboxStyles.Enable = 'off';
this.Handles.ResultTextStyles.Enable = 'off';
rel_path = ['\Results\ResultCCR-' datestr(now(),'ddmmyyyy') '.xlsx'];
file = fullfile(pwd(),rel_path);
if (exist(file,'file') == 2)
res = questdlg(['The destination file "' file '" already exist. Do you want to overwrite it?'],'Alert','Yes','No','No');
if (strcmp(res,'No'))
quit = false;
while (true)
res = inputdlg('Please, enter a valid file name or relative path:','File',1,{rel_path});
if (isempty(res))
quit = true;
break;
end
if (~endsWith(res,'.xlsx'))
continue;
end
mat = regexpi(res,'^[a-z]:\\');
if (size(mat{1},1) > 0)
continue;
end
file = fullfile(pwd(),res);
break;
end
if (quit)
this.Handles.ResultCheckboxCompact.Enable = 'on';
this.Handles.ResultTextCompact.Enable = 'on';
this.Handles.ResultCheckboxStyles.Enable = 'on';
this.Handles.ResultTextStyles.Enable = 'on';
obj.Enable = 'on';
return;
end
end
end
import('java.awt.*');
bar = waitbar(0,'Expoting Data...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
err = '';
try
this.ExportData(file);
catch e
err = this.FormatException('The exportation process failed.',e);
end
if (~isempty(err))
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
this.Handles.ResultCheckboxCompact.Enable = 'on';
this.Handles.ResultTextCompact.Enable = 'on';
this.Handles.ResultCheckboxStyles.Enable = 'on';
this.Handles.ResultTextStyles.Enable = 'on';
obj.Enable = 'on';
return;
end
waitbar(1,bar);
delete(bar);
this.Handles.ResultCheckboxCompact.Enable = 'on';
this.Handles.ResultTextCompact.Enable = 'on';
this.Handles.ResultCheckboxStyles.Enable = 'on';
this.Handles.ResultTextStyles.Enable = 'on';
obj.Enable = 'on';
end
function ResultButtonReset_Clicked(this,obj,evd) %#ok<INUSD>
obj.Enable = 'off';
this.CurrentHedgingSet = '';
this.CurrentNettingSet = '';
this.Result = [];
this.ResultEAD = [];
this.SetupTable(this.Handles.ResultTableNetting, ...
'VerticalScrollbar', true);
this.Handles.ResultTextEAD.String = 'Total EAD: 0,00';
this.Handles.ResultTextHedging.String = 'Hedging Sets';
this.SetupTable(this.Handles.ResultTableHedging, ...
'VerticalScrollbar', true);
this.Handles.ResultTextRisk.String = 'Risk Factors';
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultTextType.String = 'Type: N/A';
if (this.Handles.ResultCheckboxSimplified.Value == 0)
this.Handles.ResultCheckboxOffset.Enable = 'on';
this.Handles.ResultTextOffset.Enable = 'on';
end
this.Handles.ResultCheckboxSimplified.Enable = 'on';
this.Handles.ResultTextSimplified.Enable = 'on';
this.Handles.ResultCheckboxCompact.Enable = 'off';
this.Handles.ResultTextCompact.Enable = 'off';
this.Handles.ResultCheckboxStyles.Enable = 'off';
this.Handles.ResultTextStyles.Enable = 'off';
this.Handles.ResultButtonExport.Enable = 'off';
this.Handles.ResultButtonCalculate.Enable = 'on';
end
function ResultCheckboxSimplified_CheckedChanged(this,obj,evd) %#ok<INUSD>
if (obj.Value == 0)
this.Handles.ResultCheckboxOffset.Enable = 'on';
else
this.Handles.ResultCheckboxOffset.Value = 0;
this.Handles.ResultCheckboxOffset.Enable = 'off';
end
end
function ResultTable_MouseEntered(this,obj,evd) %#ok<INUSD>
this.Handles.BaselCCR.Pointer = 'hand';
end
function ResultTable_MouseExited(this,obj,evd) %#ok<INUSD>
this.Handles.BaselCCR.Pointer = 'arrow';
end
function ResultTableHedging_Selected(this,obj,evd)
import('javax.swing.SwingUtilities');
if (~SwingUtilities.isLeftMouseButton(evd))
return;
end
row = obj.rowAtPoint(evd.getPoint());
if (row < 0)
return;
end
if (mod(row,2) == 0)
hsid = obj.getValueAt(row,0);
else
hsid = obj.getValueAt(row-1,0);
end
if (strcmp(hsid,this.CurrentHedgingSet))
return;
end
this.CurrentHedgingSet = hsid;
import('java.awt.*');
bar = waitbar(0,'Displaying Risk Factors...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
err = '';
try
ns_idx = strcmp(this.Result(:,1),this.CurrentNettingSet);
ns_idx(find(ns_idx == 1) + 1) = 1;
ns = this.Result(ns_idx,:);
hs_umar = ns{1,end};
hs_umar_emp = isempty(hs_umar);
hs_mar = ns{2,end};
hs_mar_emp = isempty(hs_mar);
if (hs_umar_emp)
rfs_umar = {};
rfs_umar_emp = true;
else
rfs_umar = hs_umar{strcmp(hs_umar(:,1),hsid),4};
rfs_umar_emp = isempty(rfs_umar);
end
if (hs_mar_emp)
rfs_mar = {};
rfs_mar_emp = true;
else
rfs_mar = hs_mar{strcmp(hs_mar(:,1),hsid),4};
rfs_mar_emp = isempty(rfs_mar);
end
if (rfs_umar_emp && rfs_mar_emp)
this.Handles.ResultTextRisk.String = 'Risk Factors';
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultTextType.String = 'Type: N/A';
else
if (hs_umar_emp)
hs_idx = strcmp(hs_mar(:,1),hsid);
else
hs_idx = strcmp(hs_umar(:,1),hsid);
end
hs_idx_pos = find(hs_idx == 1);
if (hs_idx_pos ~= 1)
hs_idx_pos = (hs_idx_pos * 2) - 1;
end
if (rfs_umar_emp)
rfs_umar = num2cell(nan(size(rfs_mar)));
rfs_umar(:,1) = rfs_mar(:,1);
elseif (rfs_mar_emp)
rfs_mar = num2cell(nan(size(rfs_umar)));
rfs_mar(:,1) = rfs_umar(:,1);
end
rfs_size = size(rfs_umar,1);
rfs_tab = cell((rfs_size * 2),6);
rfs_tab_off = 1;
for i = 1:rfs_size
rfs_tab(rfs_tab_off,:) = {rfs_umar{i,1} 'U' rfs_umar{i,2:end}};
rfs_tab(rfs_tab_off+1,:) = {'' 'M' rfs_mar{i,2:end}};
rfs_tab_off = rfs_tab_off + 2;
end
rfs_tab(:,3:end) = this.FormatCurrency(rfs_tab(:,3:end),true,true);
obj.getModel().setTag(int32(hs_idx_pos));
obj.repaint();
this.Handles.ResultTextRisk.String = ['Risk Factors (Hedging Set: "' hsid '")'];
this.SetupTable(this.Handles.ResultTableRisk, ...
'Data', rfs_tab, ...
'FillHeight', false, ...
'Renderer', {'RendererCcrRsltRisk' hsid}, ...
'RowsHeight', 24, ...
'VerticalScrollbar', true);
if (startsWith(hsid,'INTEREST RATE'))
this.Handles.ResultTextType.String = 'Type: Pairwise Correlation';
else
this.Handles.ResultTextType.String = 'Type: Single Factor Model Correlation';
end
end
catch e
err = this.FormatException('The risk factors could not be displayed.',e);
end
if (~isempty(err))
this.Handles.ResultTextRisk.String = 'Risk Factors';
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultTextType.String = 'Type: N/A';
delete(bar);
dlg = errordlg(err,'Error','modal');
uiwait(dlg);
return;
end
waitbar(1,bar);
delete(bar);
end
function ResultTableNetting_Selected(this,obj,evd)
import('javax.swing.SwingUtilities');
if (~SwingUtilities.isLeftMouseButton(evd))
return;
end
row = obj.rowAtPoint(evd.getPoint());
if (row < 0)
return;
end
if (mod(row,2) == 0)
nsid = obj.getValueAt(row,0);
else
nsid = obj.getValueAt(row-1,0);
end
if (strcmp(nsid,this.CurrentNettingSet))
return;
end
this.CurrentHedgingSet = '';
this.CurrentNettingSet = nsid;
import('java.awt.*');
bar = waitbar(0,'Displaying Hedging Sets...','CloseRequestFcn','','WindowStyle','modal');
frm = Frame.getFrames();
frm(end).setAlwaysOnTop(true);
err = '';
try
ns_idx = strcmp(this.Result(:,1),nsid);
ns_idx_pos = find(ns_idx == 1);
ns_idx(ns_idx_pos + 1) = 1;
ns = this.Result(ns_idx,:);
hs_umar = ns{1,end};
hs_umar_emp = isempty(hs_umar);
hs_mar = ns{2,end};
hs_mar_emp = isempty(hs_mar);
if (hs_umar_emp)
hs_size = size(hs_mar);
hs_len = hs_size(1);
hs_umar = num2cell(nan(hs_size));
hs_umar(:,1) = hs_mar(:,1);
elseif (hs_mar_emp)
hs_size = size(hs_umar);
hs_len = hs_size(1);
hs_mar = num2cell(nan(hs_size));
hs_mar(:,1) = hs_umar(:,1);
else
hs_len = size(hs_umar,1);
end
hs_tab = cell(hs_len,5);
hs_tab_off = 1;
for i = 1:hs_len
rfs_umar = hs_umar{i,4};
if (iscell(rfs_umar))
rfs_umar_size = size(rfs_umar,1);
else
rfs_umar_size = NaN;
end
rfs_mar = hs_mar{i,4};
if (iscell(rfs_mar))
rfs_mar_size = size(rfs_mar,1);
else
rfs_mar_size = NaN;
end
hs_tab(hs_tab_off,:) = {hs_umar{i,1} 'U' hs_umar{i,2} hs_umar{i,3} rfs_umar_size};
hs_tab(hs_tab_off+1,:) = {'' 'M' hs_mar{i,2} hs_mar{i,3} rfs_mar_size};
hs_tab_off = hs_tab_off + 2;
end
hs_tab(:,3:4) = this.FormatCurrency(hs_tab(:,3:4),true,true);
hs_tab(:,end) = this.FormatNumber(hs_tab(:,end),false,0);
obj.getModel().setTag(int32(ns_idx_pos));
obj.repaint();
this.Handles.ResultTextHedging.String = ['Hedging Sets (Netting Set ID: ' ns{1,1} ')'];
this.SetupTable(this.Handles.ResultTableHedging, ...
'Data', hs_tab, ...
'FillHeight', false, ...
'MouseEntered', @this.ResultTable_MouseEntered, ...
'MouseExited', @this.ResultTable_MouseExited, ...
'MouseReleased', @this.ResultTableHedging_Selected, ...
'Renderer', {'RendererCcrRsltHeds'}, ...
'RowsHeight', 24, ...
'Selection', [false false false], ...
'VerticalScrollbar', true);
this.Handles.ResultTextRisk.String = 'Risk Factors';
this.SetupTable(this.Handles.ResultTableRisk, ...
'VerticalScrollbar', true);
this.Handles.ResultTextType.String = 'Type: N/A';
catch e
err = this.FormatException('The hedging sets could not be displayed.',e);
end
if (~isempty(err))
this.CurrentHedgingSet = '';
this.CurrentNettingSet = nsid;
this.Handles.ResultTextHedging.String = 'Hedging Sets';
this.SetupTable(this.Handles.ResultTableHedging, ...