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Reference manual - version orea_version
Public Member Functions | Protected Attributes | List of all members
InputParameters Class Reference

Base class for input data, also exposed via SWIG. More...

#include <orea/app/inputparameters.hpp>

Public Member Functions

void setAsOfDate (const std::string &s)
 
void setResultsPath (const std::string &s)
 
void setBaseCurrency (const std::string &s)
 
void setContinueOnError (bool b)
 
void setLazyMarketBuilding (bool b)
 
void setBuildFailedTrades (bool b)
 
void setObservationModel (const std::string &s)
 
void setImplyTodaysFixings (bool b)
 
void setMarketConfig (const std::string &config, const std::string &context)
 
void setRefDataManager (const std::string &xml)
 
void setRefDataManagerFromFile (const std::string &fileName)
 
void setScriptLibrary (const std::string &xml)
 
void setScriptLibraryFromFile (const std::string &fileName)
 
void setConventions (const std::string &xml)
 
void setConventionsFromFile (const std::string &fileName)
 
void setIborFallbackConfig (const std::string &xml)
 
void setIborFallbackConfigFromFile (const std::string &fileName)
 
void setCurveConfigs (const std::string &xml)
 
void setCurveConfigsFromFile (const std::string &fileName)
 
void setPricingEngine (const std::string &xml)
 
void setPricingEngineFromFile (const std::string &fileName)
 
void setTodaysMarketParams (const std::string &xml)
 
void setTodaysMarketParamsFromFile (const std::string &fileName)
 
void setPortfolio (const std::string &xml)
 
void setPortfolioFromFile (const std::string &fileNameString, const std::string &inputPath)
 
void setMarketConfigs (const std::map< std::string, std::string > &m)
 
void setThreads (int i)
 
void setEntireMarket (bool b)
 
void setAllFixings (bool b)
 
void setEomInflationFixings (bool b)
 
void setUseMarketDataFixings (bool b)
 
void setIborFallbackOverride (bool b)
 
void setReportNaString (const std::string &s)
 
void setCsvQuoteChar (const char &c)
 
void setCsvSeparator (const char &c)
 
void setCsvCommentCharacter (const char &c)
 
void setDryRun (bool b)
 
void setMporDays (Size s)
 
void setMporDate (const QuantLib::Date &d)
 
void setMporCalendar (const std::string &s)
 
void setMporForward (bool b)
 
void setOutputAdditionalResults (bool b)
 
void setIncludePastCashflows (bool b)
 
void setOutputCurves (bool b)
 
void setOutputTodaysMarketCalibration (bool b)
 
void setCurvesMarketConfig (const std::string &s)
 
void setCurvesGrid (const std::string &s)
 
void setXbsParConversion (bool b)
 
void setParSensi (bool b)
 
void setAlignPillars (bool b)
 
void setOutputJacobi (bool b)
 
void setUseSensiSpreadedTermStructures (bool b)
 
void setSensiThreshold (Real r)
 
void setSensiSimMarketParams (const std::string &xml)
 
void setSensiSimMarketParamsFromFile (const std::string &fileName)
 
void setSensiScenarioData (const std::string &xml)
 
void setSensiScenarioDataFromFile (const std::string &fileName)
 
void setSensiPricingEngine (const std::string &xml)
 
void setSensiPricingEngineFromFile (const std::string &fileName)
 
void setSensiPricingEngine (const boost::shared_ptr< EngineData > &engineData)
 
void setStressThreshold (Real r)
 
void setStressSimMarketParams (const std::string &xml)
 
void setStressSimMarketParamsFromFile (const std::string &fileName)
 
void setStressScenarioData (const std::string &xml)
 
void setStressScenarioDataFromFile (const std::string &fileName)
 
void setStressPricingEngine (const std::string &xml)
 
void setStressPricingEngineFromFile (const std::string &fileName)
 
void setStressPricingEngine (const boost::shared_ptr< EngineData > &engineData)
 
void setSalvageCovariance (bool b)
 
void setVarQuantiles (const std::string &s)
 
void setVarBreakDown (bool b)
 
void setPortfolioFilter (const std::string &s)
 
void setVarMethod (const std::string &s)
 
void setMcVarSamples (Size s)
 
void setMcVarSeed (long l)
 
void setCovarianceData (ore::data::CSVReader &reader)
 
void setCovarianceDataFromFile (const std::string &fileName)
 
void setCovarianceDataFromBuffer (const std::string &xml)
 
void setSensitivityStreamFromFile (const std::string &fileName)
 
void setSensitivityStreamFromBuffer (const std::string &buffer)
 
void setSalvageCorrelationMatrix (bool b)
 
void setAmc (bool b)
 
void setAmcTradeTypes (const std::string &s)
 
void setExposureBaseCurrency (const std::string &s)
 
void setExposureObservationModel (const std::string &s)
 
void setNettingSetId (const std::string &s)
 
void setScenarioGenType (const std::string &s)
 
void setStoreFlows (bool b)
 
void setStoreCreditStateNPVs (Size states)
 
void setStoreSurvivalProbabilities (bool b)
 
void setWriteCube (bool b)
 
void setWriteScenarios (bool b)
 
void setExposureSimMarketParams (const std::string &xml)
 
void setExposureSimMarketParamsFromFile (const std::string &fileName)
 
void setScenarioGeneratorData (const std::string &xml)
 
void setScenarioGeneratorDataFromFile (const std::string &fileName)
 
void setCrossAssetModelData (const std::string &xml)
 
void setCrossAssetModelDataFromFile (const std::string &fileName)
 
void setSimulationPricingEngine (const std::string &xml)
 
void setSimulationPricingEngineFromFile (const std::string &fileName)
 
void setSimulationPricingEngine (const boost::shared_ptr< EngineData > &engineData)
 
void setAmcPricingEngine (const std::string &xml)
 
void setAmcPricingEngineFromFile (const std::string &fileName)
 
void setAmcPricingEngine (const boost::shared_ptr< EngineData > &engineData)
 
void setNettingSetManager (const std::string &xml)
 
void setNettingSetManagerFromFile (const std::string &fileName)
 
void setXvaBaseCurrency (const std::string &s)
 
void setLoadCube (bool b)
 
void setCubeFromFile (const std::string &file)
 
void setNettingSetCubeFromFile (const std::string &file)
 
void setCptyCubeFromFile (const std::string &file)
 
void setMarketCubeFromFile (const std::string &file)
 
void setFlipViewXVA (bool b)
 
void setFullInitialCollateralisation (bool b)
 
void setExposureProfiles (bool b)
 
void setExposureProfilesByTrade (bool b)
 
void setPfeQuantile (Real r)
 
void setCollateralCalculationType (const std::string &s)
 
void setExposureAllocationMethod (const std::string &s)
 
void setMarginalAllocationLimit (Real r)
 
void setExerciseNextBreak (bool b)
 
void setCvaAnalytic (bool b)
 
void setDvaAnalytic (bool b)
 
void setFvaAnalytic (bool b)
 
void setColvaAnalytic (bool b)
 
void setCollateralFloorAnalytic (bool b)
 
void setDimAnalytic (bool b)
 
void setMvaAnalytic (bool b)
 
void setKvaAnalytic (bool b)
 
void setDynamicCredit (bool b)
 
void setCvaSensi (bool b)
 
void setCvaSensiGrid (const std::string &s)
 
void setCvaSensiShiftSize (Real r)
 
void setDvaName (const std::string &s)
 
void setRawCubeOutput (bool b)
 
void setNetCubeOutput (bool b)
 
void setRawCubeOutputFile (const std::string &s)
 
void setNetCubeOutputFile (const std::string &s)
 
void setFvaBorrowingCurve (const std::string &s)
 
void setFvaLendingCurve (const std::string &s)
 
void setFlipViewBorrowingCurvePostfix (const std::string &s)
 
void setFlipViewLendingCurvePostfix (const std::string &s)
 
void setDeterministicInitialMargin (const std::string &n, TimeSeries< Real > v)
 
void setDeterministicInitialMarginFromFile (const std::string &fileName)
 
void setDimQuantile (Real r)
 
void setDimHorizonCalendarDays (Size s)
 
void setDimRegressionOrder (Size s)
 
void setDimRegressors (const std::string &s)
 
void setDimOutputGridPoints (const std::string &s)
 
void setDimOutputNettingSet (const std::string &s)
 
void setDimLocalRegressionEvaluations (Size s)
 
void setDimLocalRegressionBandwidth (Real r)
 
void setKvaCapitalDiscountRate (Real r)
 
void setKvaAlpha (Real r)
 
void setKvaRegAdjustment (Real r)
 
void setKvaCapitalHurdle (Real r)
 
void setKvaOurPdFloor (Real r)
 
void setKvaTheirPdFloor (Real r)
 
void setKvaOurCvaRiskWeight (Real r)
 
void setKvaTheirCvaRiskWeight (Real r)
 
void setCreditMigrationAnalytic (bool b)
 
void setCreditMigrationDistributionGrid (const std::vector< Real > &grid)
 
void setCreditMigrationTimeSteps (const std::vector< Size > &ts)
 
void setCreditSimulationParameters (const boost::shared_ptr< CreditSimulationParameters > &c)
 
void setCreditSimulationParametersFromBuffer (const std::string &xml)
 
void setCreditSimulationParametersFromFile (const std::string &fileName)
 
void setCreditMigrationOutputFiles (const std::string &s)
 
void setCashflowHorizon (const std::string &s)
 
void setPortfolioFilterDate (const std::string &s)
 
void setSimmVersion (const std::string &s)
 
void setCrifLoader ()
 
void setCrifFromFile (const std::string &fileName, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')
 
void setCrifFromBuffer (const std::string &csvBuffer, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')
 
void setSimmNameMapper (const boost::shared_ptr< ore::analytics::SimmBasicNameMapper > &p)
 
void setSimmNameMapper (const std::string &xml)
 
void setSimmNameMapperFromFile (const std::string &fileName)
 
void setSimmBucketMapper (const boost::shared_ptr< ore::analytics::SimmBucketMapper > &p)
 
void setSimmBucketMapper (const std::string &xml)
 
void setSimmBucketMapperFromFile (const std::string &fileName)
 
void setSimmCalculationCurrency (const std::string &s)
 
void setSimmResultCurrency (const std::string &s)
 
void setSimmReportingCurrency (const std::string &s)
 
void setEnforceIMRegulations (bool b)
 
void setParConversionXbsParConversion (bool b)
 
void setParConversionAlignPillars (bool b)
 
void setParConversionOutputJacobi (bool b)
 
void setParConversionThreshold (Real r)
 
void setParConversionSimMarketParams (const std::string &xml)
 
void setParConversionSimMarketParamsFromFile (const std::string &fileName)
 
void setParConversionScenarioData (const std::string &xml)
 
void setParConversionScenarioDataFromFile (const std::string &fileName)
 
void setParConversionPricingEngine (const std::string &xml)
 
void setParConversionPricingEngineFromFile (const std::string &fileName)
 
void setParConversionPricingEngine (const boost::shared_ptr< EngineData > &engineData)
 
void setParConversionInputFile (const std::string &s)
 
void setParConversionInputIdColumn (const std::string &s)
 
void setParConversionInputRiskFactorColumn (const std::string &s)
 
void setParConversionInputDeltaColumn (const std::string &s)
 
void setParConversionInputCurrencyColumn (const std::string &s)
 
void setParConversionInputBaseNpvColumn (const std::string &s)
 
void setParConversionInputShiftSizeColumn (const std::string &s)
 
void setScenarioDistributionSteps (const Size s)
 
void setScenarioOutputZeroRate (const bool b)
 
void setAnalytics (const std::string &s)
 
void insertAnalytic (const std::string &s)
 
const QuantLib::Date & asof ()
 
const boost::filesystem::path & resultsPath () const
 
const std::string & baseCurrency ()
 
const std::string & resultCurrency ()
 
bool continueOnError ()
 
bool lazyMarketBuilding ()
 
bool buildFailedTrades ()
 
const std::string & observationModel ()
 
bool implyTodaysFixings ()
 
const std::map< std::string, std::string > & marketConfigs ()
 
const std::string & marketConfig (const std::string &context)
 
const boost::shared_ptr< ore::data::BasicReferenceDataManager > & refDataManager ()
 
const boost::shared_ptr< ore::data::Conventions > & conventions ()
 
const boost::shared_ptr< ore::data::IborFallbackConfig > & iborFallbackConfig () const
 
CurveConfigurationsManager & curveConfigs ()
 
const boost::shared_ptr< ore::data::EngineData > & pricingEngine ()
 
const boost::shared_ptr< ore::data::TodaysMarketParameters > & todaysMarketParams ()
 
const boost::shared_ptr< ore::data::Portfolio > & portfolio ()
 
const boost::shared_ptr< ore::data::Portfolio > & useCounterpartyOriginalPortfolio ()
 
QuantLib::Size maxRetries () const
 
QuantLib::Size nThreads () const
 
bool entireMarket ()
 
bool allFixings ()
 
bool eomInflationFixings ()
 
bool useMarketDataFixings ()
 
bool iborFallbackOverride ()
 
const std::string & reportNaString ()
 
char csvCommentCharacter () const
 
char csvEolChar () const
 
char csvQuoteChar () const
 
char csvSeparator () const
 
char csvEscapeChar () const
 
bool dryRun () const
 
QuantLib::Size mporDays ()
 
QuantLib::Date mporDate ()
 
const QuantLib::Calendar mporCalendar ()
 
bool mporForward ()
 
bool outputAdditionalResults () const
 
bool includePastCashflows ()
 
bool outputCurves () const
 
bool outputTodaysMarketCalibration () const
 
const std::string & curvesMarketConfig ()
 
const std::string & curvesGrid () const
 
bool xbsParConversion ()
 
bool parSensi () const
 
bool alignPillars () const
 
bool outputJacobi () const
 
bool useSensiSpreadedTermStructures ()
 
QuantLib::Real sensiThreshold () const
 
const boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & sensiSimMarketParams ()
 
const boost::shared_ptr< ore::analytics::SensitivityScenarioData > & sensiScenarioData ()
 
const boost::shared_ptr< ore::data::EngineData > & sensiPricingEngine ()
 
QuantLib::Real stressThreshold ()
 
const boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & stressSimMarketParams ()
 
const boost::shared_ptr< ore::analytics::StressTestScenarioData > & stressScenarioData ()
 
const boost::shared_ptr< ore::data::EngineData > & stressPricingEngine ()
 
bool salvageCovariance ()
 
const std::vector< Real > & varQuantiles ()
 
bool varBreakDown ()
 
const std::string & portfolioFilter ()
 
const std::string & varMethod ()
 
Size mcVarSamples ()
 
long mcVarSeed ()
 
const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > & covarianceData ()
 
const boost::shared_ptr< SensitivityStream > & sensitivityStream ()
 
bool salvageCorrelationMatrix ()
 
bool amc ()
 
const std::set< std::string > & amcTradeTypes ()
 
const std::string & exposureBaseCurrency ()
 
const std::string & exposureObservationModel ()
 
const std::string & nettingSetId ()
 
const std::string & scenarioGenType ()
 
bool storeFlows ()
 
Size storeCreditStateNPVs ()
 
bool storeSurvivalProbabilities ()
 
bool writeCube ()
 
bool writeScenarios ()
 
const boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & exposureSimMarketParams ()
 
const boost::shared_ptr< ScenarioGeneratorData > scenarioGeneratorData ()
 
const boost::shared_ptr< CrossAssetModelData > & crossAssetModelData ()
 
const boost::shared_ptr< ore::data::EngineData > & simulationPricingEngine ()
 
const boost::shared_ptr< ore::data::EngineData > & amcPricingEngine ()
 
const boost::shared_ptr< ore::data::NettingSetManager > & nettingSetManager ()
 
const std::string & xvaBaseCurrency ()
 
bool loadCube ()
 
const boost::shared_ptr< NPVCube > & cube ()
 
const boost::shared_ptr< NPVCube > & nettingSetCube ()
 
const boost::shared_ptr< NPVCube > & cptyCube ()
 
const boost::shared_ptr< AggregationScenarioData > & mktCube ()
 
bool flipViewXVA ()
 
bool fullInitialCollateralisation ()
 
bool exposureProfiles ()
 
bool exposureProfilesByTrade ()
 
Real pfeQuantile ()
 
const std::string & collateralCalculationType ()
 
const std::string & exposureAllocationMethod ()
 
Real marginalAllocationLimit ()
 
bool exerciseNextBreak ()
 
bool cvaAnalytic ()
 
bool dvaAnalytic ()
 
bool fvaAnalytic ()
 
bool colvaAnalytic ()
 
bool collateralFloorAnalytic ()
 
bool dimAnalytic ()
 
bool mvaAnalytic ()
 
bool kvaAnalytic ()
 
bool dynamicCredit ()
 
bool cvaSensi ()
 
const std::vector< Period > & cvaSensiGrid ()
 
Real cvaSensiShiftSize ()
 
const std::string & dvaName ()
 
bool rawCubeOutput ()
 
bool netCubeOutput ()
 
const std::string & rawCubeOutputFile ()
 
const std::string & netCubeOutputFile ()
 
const std::string & fvaBorrowingCurve ()
 
const std::string & fvaLendingCurve ()
 
const std::string & flipViewBorrowingCurvePostfix ()
 
const std::string & flipViewLendingCurvePostfix ()
 
TimeSeries< Real > deterministicInitialMargin (const std::string &n)
 
Real dimQuantile ()
 
Size dimHorizonCalendarDays ()
 
Size dimRegressionOrder ()
 
const std::vector< std::string > & dimRegressors ()
 
const std::vector< Size > & dimOutputGridPoints ()
 
const std::string & dimOutputNettingSet ()
 
Size dimLocalRegressionEvaluations ()
 
Real dimLocalRegressionBandwidth ()
 
Real kvaCapitalDiscountRate ()
 
Real kvaAlpha ()
 
Real kvaRegAdjustment ()
 
Real kvaCapitalHurdle ()
 
Real kvaOurPdFloor ()
 
Real kvaTheirPdFloor ()
 
Real kvaOurCvaRiskWeight ()
 
Real kvaTheirCvaRiskWeight ()
 
bool creditMigrationAnalytic () const
 
const std::vector< Real > & creditMigrationDistributionGrid () const
 
std::vector< Size > creditMigrationTimeSteps () const
 
const boost::shared_ptr< CreditSimulationParameters > & creditSimulationParameters () const
 
const std::string & creditMigrationOutputFiles () const
 
const QuantLib::Date & cashflowHorizon () const
 
const QuantLib::Date & portfolioFilterDate () const
 
const std::string & simmVersion ()
 
const boost::shared_ptr< ore::analytics::CrifLoader > & crifLoader ()
 
const boost::shared_ptr< ore::analytics::SimmBasicNameMapper > & simmNameMapper ()
 
const boost::shared_ptr< ore::analytics::SimmBucketMapper > & simmBucketMapper ()
 
const std::string & simmCalculationCurrency ()
 
const std::string & simmResultCurrency ()
 
const std::string & simmReportingCurrency ()
 
bool enforceIMRegulations ()
 
bool parConversionXbsParConversion ()
 
bool parConversionAlignPillars () const
 
bool parConversionOutputJacobi () const
 
QuantLib::Real parConversionThreshold () const
 
const boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & parConversionSimMarketParams ()
 
const boost::shared_ptr< ore::analytics::SensitivityScenarioData > & parConversionScenarioData ()
 
const boost::shared_ptr< ore::data::EngineData > & parConversionPricingEngine ()
 
const std::string & parConversionInputFile () const
 
const std::string & parConversionInputIdColumn ()
 
const std::string & parConversionInputRiskFactorColumn ()
 
const std::string & parConversionInputDeltaColumn ()
 
const std::string & parConversionInputCurrencyColumn ()
 
const std::string & parConversionInputBaseNpvColumn ()
 
const std::string & parConversionInputShiftSizeColumn ()
 
const Size & scenarioDistributionSteps ()
 
const bool & scenarioOutputZeroRate ()
 
const std::set< std::string > & analytics ()
 
virtual void loadParameters ()
 
virtual void writeOutParameters ()
 

Protected Attributes

std::set< std::string > analytics_
 
QuantLib::Date asof_
 
boost::filesystem::path resultsPath_
 
std::string baseCurrency_
 
std::string resultCurrency_
 
bool continueOnError_ = true
 
bool lazyMarketBuilding_ = true
 
bool buildFailedTrades_ = true
 
std::string observationModel_ = "None"
 
bool implyTodaysFixings_ = false
 
std::map< std::string, std::string > marketConfigs_
 
boost::shared_ptr< ore::data::BasicReferenceDataManager > refDataManager_
 
boost::shared_ptr< ore::data::Conventions > conventions_
 
boost::shared_ptr< ore::data::IborFallbackConfig > iborFallbackConfig_
 
CurveConfigurationsManager curveConfigs_
 
boost::shared_ptr< ore::data::EngineData > pricingEngine_
 
boost::shared_ptr< ore::data::TodaysMarketParameters > todaysMarketParams_
 
boost::shared_ptr< ore::data::Portfolio > portfolio_
 
boost::shared_ptr< ore::data::Portfolio > useCounterpartyOriginalPortfolio_
 
QuantLib::Size maxRetries_ = 7
 
QuantLib::Size nThreads_ = 1
 
bool entireMarket_ = false
 
bool allFixings_ = false
 
bool eomInflationFixings_ = true
 
bool useMarketDataFixings_ = true
 
bool iborFallbackOverride_ = false
 
bool csvCommentCharacter_ = true
 
char csvEolChar_ = '\n'
 
char csvSeparator_ = ','
 
char csvQuoteChar_ = '\0'
 
char csvEscapeChar_ = '\\'
 
std::string reportNaString_ = "#N/A"
 
bool dryRun_ = false
 
QuantLib::Date mporDate_
 
QuantLib::Size mporDays_ = 10
 
QuantLib::Calendar mporCalendar_
 
bool mporForward_ = true
 
bool outputAdditionalResults_ = false
 
bool outputCurves_ = false
 
std::string curvesMarketConfig_ = Market::defaultConfiguration
 
std::string curvesGrid_ = "240,1M"
 
bool outputTodaysMarketCalibration_ = false
 
bool includePastCashflows_ = false
 
QuantLib::Date cashflowHorizon_
 
QuantLib::Date portfolioFilterDate_
 
bool xbsParConversion_ = false
 
bool parSensi_ = false
 
bool outputJacobi_ = false
 
bool alignPillars_ = false
 
bool useSensiSpreadedTermStructures_ = true
 
QuantLib::Real sensiThreshold_ = 1e-6
 
boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > sensiSimMarketParams_
 
boost::shared_ptr< ore::analytics::SensitivityScenarioData > sensiScenarioData_
 
boost::shared_ptr< ore::data::EngineData > sensiPricingEngine_
 
QuantLib::Real stressThreshold_ = 0.0
 
boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > stressSimMarketParams_
 
boost::shared_ptr< ore::analytics::StressTestScenarioData > stressScenarioData_
 
boost::shared_ptr< ore::data::EngineData > stressPricingEngine_
 
bool salvageCovariance_ = false
 
std::vector< Real > varQuantiles_
 
bool varBreakDown_ = false
 
std::string portfolioFilter_
 
std::string varMethod_
 
Size mcVarSamples_ = 0
 
long mcVarSeed_ = 0
 
std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > covarianceData_
 
boost::shared_ptr< SensitivityStream > sensitivityStream_
 
bool salvageCorrelationMatrix_ = false
 
bool amc_ = false
 
std::set< std::string > amcTradeTypes_
 
std::string exposureBaseCurrency_ = ""
 
std::string exposureObservationModel_ = "Disable"
 
std::string nettingSetId_ = ""
 
std::string scenarioGenType_ = ""
 
bool storeFlows_ = false
 
Size storeCreditStateNPVs_ = 0
 
bool storeSurvivalProbabilities_ = false
 
bool writeCube_ = false
 
bool writeScenarios_ = false
 
boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > exposureSimMarketParams_
 
boost::shared_ptr< ScenarioGeneratorData > scenarioGeneratorData_
 
boost::shared_ptr< CrossAssetModelData > crossAssetModelData_
 
boost::shared_ptr< ore::data::EngineData > simulationPricingEngine_
 
boost::shared_ptr< ore::data::EngineData > amcPricingEngine_
 
boost::shared_ptr< ore::data::NettingSetManager > nettingSetManager_
 
bool exposureProfiles_ = true
 
bool exposureProfilesByTrade_ = true
 
Real pfeQuantile_ = 0.95
 
bool fullInitialCollateralisation_ = false
 
std::string collateralCalculationType_ = "NoLag"
 
std::string exposureAllocationMethod_ = "None"
 
Real marginalAllocationLimit_ = 1.0
 
boost::shared_ptr< NPVCube > cube_
 
boost::shared_ptr< NPVCube > nettingSetCube_
 
boost::shared_ptr< NPVCube > cptyCube_
 
boost::shared_ptr< AggregationScenarioData > mktCube_
 
std::string xvaBaseCurrency_ = ""
 
bool loadCube_ = false
 
bool flipViewXVA_ = false
 
bool exerciseNextBreak_ = false
 
bool cvaAnalytic_ = true
 
bool dvaAnalytic_ = false
 
bool fvaAnalytic_ = false
 
bool colvaAnalytic_ = false
 
bool collateralFloorAnalytic_ = false
 
bool dimAnalytic_ = false
 
bool mvaAnalytic_ = false
 
bool kvaAnalytic_ = false
 
bool dynamicCredit_ = false
 
bool cvaSensi_ = false
 
std::vector< Period > cvaSensiGrid_
 
Real cvaSensiShiftSize_ = 0.0001
 
std::string dvaName_ = ""
 
bool rawCubeOutput_ = false
 
bool netCubeOutput_ = false
 
std::string rawCubeOutputFile_ = ""
 
std::string netCubeOutputFile_ = ""
 
std::string fvaBorrowingCurve_ = ""
 
std::string fvaLendingCurve_ = ""
 
std::string flipViewBorrowingCurvePostfix_ = "_BORROW"
 
std::string flipViewLendingCurvePostfix_ = "_LEND"
 
std::map< std::string, TimeSeries< Real > > deterministicInitialMargin_
 
Real dimQuantile_ = 0.99
 
Size dimHorizonCalendarDays_ = 14
 
Size dimRegressionOrder_ = 0
 
vector< string > dimRegressors_
 
vector< Size > dimOutputGridPoints_
 
string dimOutputNettingSet_
 
Size dimLocalRegressionEvaluations_ = 0
 
Real dimLocalRegressionBandwidth_ = 0.25
 
Real kvaCapitalDiscountRate_ = 0.10
 
Real kvaAlpha_ = 1.4
 
Real kvaRegAdjustment_ = 12.5
 
Real kvaCapitalHurdle_ = 0.012
 
Real kvaOurPdFloor_ = 0.03
 
Real kvaTheirPdFloor_ = 0.03
 
Real kvaOurCvaRiskWeight_ = 0.05
 
Real kvaTheirCvaRiskWeight_ = 0.05
 
bool creditMigrationAnalytic_ = false
 
std::vector< Real > creditMigrationDistributionGrid_
 
std::vector< Size > creditMigrationTimeSteps_
 
boost::shared_ptr< CreditSimulationParameters > creditSimulationParameters_
 
std::string creditMigrationOutputFiles_
 
std::string simmVersion_
 
boost::shared_ptr< ore::analytics::CrifLoader > crifLoader_
 
boost::shared_ptr< ore::analytics::SimmBasicNameMapper > simmNameMapper_
 
boost::shared_ptr< ore::analytics::SimmBucketMapper > simmBucketMapper_
 
std::string simmCalculationCurrency_ = ""
 
std::string simmResultCurrency_ = ""
 
std::string simmReportingCurrency_ = ""
 
bool enforceIMRegulations_ = false
 
bool useSimmParameters_ = true
 
bool parConversionXbsParConversion_ = false
 
bool parConversionOutputJacobi_ = false
 
bool parConversionAlignPillars_ = false
 
QuantLib::Real parConversionThreshold_ = 1e-6
 
boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters > parConversionSimMarketParams_
 
boost::shared_ptr< ore::analytics::SensitivityScenarioData > parConversionScenarioData_
 
boost::shared_ptr< ore::data::EngineData > parConversionPricingEngine_
 
std::string parConversionInputFile_
 
std::string parConversionInputIdColumn_ = "TradeId"
 
std::string parConversionInputRiskFactorColumn_ = "Factor_1"
 
std::string parConversionInputDeltaColumn_ = "Delta"
 
std::string parConversionInputCurrencyColumn_ = "Currency"
 
std::string parConversionInputBaseNpvColumn_ = "Base NPV"
 
std::string parConversionInputShiftSizeColumn_ = "ShiftSize_1"
 
Size scenarioDistributionSteps_ = 20
 
bool scenarioOutputZeroRate_ = false
 

Detailed Description

Base class for input data, also exposed via SWIG.

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