Regit PRIIPs

Computes the Category-1 market-risk-measure class via the trivial point-8 lookup (class 7, or 6 for the point-4(c) exception) -- no VaR/VEV simulation. Use for PRIIPs with no market-risk-measure volatility, per Annex II Part 1 point 4.

Computes the Category-2 market risk measure: VaR and VEV from the observed return history via moments and Cornish-Fisher, per Annex II Part 1 points 5 / 9-14. Use for non-leveraged (or constant-multiple) PRIIPs with sufficient price history.

Routes Category-3 market risk to either complete governed valuations (formula 7 over simulated PRIIP values) or the exact Annex II point-24 unconditional- protection shortcut. Use for PRIIPs whose value depends on complex or path-dependent underlyings requiring simulation.

Computes the Category-4 market risk measure: routes each component (Category-2, Category-3, protected, or manufacturer-governed unobserved) to its own VEV engine and combines them by proportional weight, per Annex II Part 1 points 25-29. Use for PRIIPs with components not fully observed in the market.

Maps a VaR-equivalent volatility (VEV) to a market-risk-measure class 1-7 via the Annex II Part 1 point-2 threshold table, applying the points 15/18 monthly-only +1 adjustment. Use for Category 2, 3, or 4 PRIIPs; Category 1 is rejected (use mrm_cat1 instead).

Re-attributes the MRM class using a strict-majority vote over per-reference-point MRM-class observations across the preceding four months, per Annex II Part 3 points 53/55, with an explicit policy/strategy-change predicate. Use during ongoing KID review of a PRIIP's market risk.

Derives a PRIIP's per-year past-performance return series (NAV basis, income reinvested) and an aligned benchmark series, per Annex VIII points 2 / 4 / 11-14. Use for UCITS/AIF/unit-linked products required to show a past-performance chart.

Applies the atomic Annex IV point-42/44/45/46 monetary and percentage presentation rules (receipt summation, monetary rounding, ordinary and derivative returns) over already-selected scenario outcomes. Use as the final presentation step after any performance-scenario engine; it does not select scenarios or price payoffs.

Applies exact-time cash-flow, annualisation, and blank-cell presentation arithmetic over four already-selected complete autocall path outcomes (Annex IV/V; current Q&A XII.1). Use for autocallable products after path selection; it does not model the payoff or barrier.

Routes Category-1 performance scenarios to one of three treatments (Annex IV points 29-31): the Category-3 engine for point-4(a) or non-traded point-4(b) PRIIPs, governed best estimates for point 31, or a pay-off-structure graph for exchange-traded futures/options. Use for Category-1 PRIIPs.

Computes the four Category-2 performance scenarios (favourable / moderate / unfavourable / stress) at the recommended holding period from historical net returns via rolling sub-intervals and Cornish-Fisher stress, per Annex IV points 5-20. Use for non-leveraged PRIIPs with sufficient price history.

Finalizes Category-3 performance scenarios from complete governed observed-drift and stress PRIIP valuation batches, selecting percentile outcomes per Annex IV points 21-27. Use for complex/path-dependent PRIIPs after market-state simulation.

Finalizes Category-3 performance scenarios at an intermediate (non-RHP) holding period from complete governed valuations, or applies the point-38 RHP-only election. Use for complex PRIIPs that must show shorter-horizon scenarios.

Blends per-component performance-scenario values (Category-2/3 market components plus manufacturer-supplied unobserved-factor components) into a weighted-average favourable/moderate/unfavourable/stress set, per Annex IV point 28. Use for Category-4 PRIIPs with components not fully observed in the market.

Computes the four Category-2 scenarios at the Annex IV points 32-34 intermediate holding-period set (end of year 1, half-RHP, RHP) by re-running the Category-2 historical method at each shorter sub-interval length. Use for Category-2 PRIIPs whose recommended holding period exceeds one year.

Computes complete manufacturer-supplied Annex IV point-31 best-estimate scenarios at every displayed horizon, for Category-1 point-4(c) PRIIPs or the Category-2 Q&A VI.15 governed-estimate route. Use when the standard historical/simulated method cannot apply.

Composes the final summary risk indicator (SRI 1-7) from the MRM (1-7) and CRM (1-6) classes via the Annex II Part 3/4 point-52 grid, applies the optional point-52a manufacturer increase, and classifies liquidity risk (points 56-58). Use as the final SRI step for any PRIIP.