sensitivityanalysis.hpp File Reference

Perform sensitivity analysis for a given portfolio. More...

#include <orea/cube/npvsensicube.hpp>
#include <orea/cube/sensitivitycube.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/sensitivityscenariogenerator.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/report/report.hpp>
#include <ored/utilities/progressbar.hpp>
#include <ored/marketdata/loader.hpp>
#include <map>
#include <set>
#include <tuple>

Classes
class	SensitivityAnalysis
	Sensitivity Analysis. More...

Namespaces
	ore
	ore::analytics

Functions
Real	getShiftSize (const RiskFactorKey &key, const SensitivityScenarioData &sensiParams, const boost::shared_ptr< ScenarioSimMarket > &simMarket, const std::string &marketConfiguration="")
boost::shared_ptr< ore::analytics::ScenarioSimMarket >	buildScenarioSimMarketForSensitivityAnalysis (const boost::shared_ptr< ore::data::Market > &market, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< SensitivityScenarioData > &sensitivityData, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const boost::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const boost::shared_ptr< ScenarioFactory > &scenFactory, const std::string &marketConfiguration, bool continueOnError, bool overrideTenors, IborFallbackConfig &iborFallback)

Detailed Description

Perform sensitivity analysis for a given portfolio.