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

#include <orea/app/inputparameters.hpp>

Inheritance diagram for InputParameters:

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::filesystem::path &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	setMporOverlappingPeriods (bool b)

void	setMporDate (const QuantLib::Date &d)

void	setMporCalendar (const std::string &s)

void	setMporForward (bool b)

void	setOutputAdditionalResults (bool b)

void	setAdditionalResultsReportPrecision (std::size_t p)

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	setOptimiseRiskFactors (bool b)

void	setAlignPillars (bool b)

void	setOutputJacobi (bool b)

void	setUseSensiSpreadedTermStructures (bool b)

void	setSensiThreshold (Real r)

void	setSensiRecalibrateModels (bool b)

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 QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setScenarioSimMarketParams (const std::string &xml)

void	setScenarioSimMarketParamsFromFile (const std::string &fileName)

void	setScenarioOutputFile (const std::string &filename)

void	setStressThreshold (Real r)

void	setStressOptimiseRiskFactors (bool optimise)

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 QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setStressSensitivityScenarioData (const std::string &xml)

void	setStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setStressLowerBoundCapFloorVolatility (const double value)

void	setStressUpperBoundCapFloorVolatility (const double value)

void	setStressLowerBoundSurvivalProb (const double value)

void	setStressUpperBoundSurvivalProb (const double value)

void	setStressLowerBoundRatesDiscountFactor (const double value)

void	setStressUpperBoundRatesDiscountFactor (const double value)

void	setStressAccurary (const double value)

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	setBenchmarkVarPeriod (const std::string &period)

void	setHistoricalScenarioReader (const std::string &fileName)

void	setSensitivityStreamFromBuffer (const std::string &buffer)

void	setHistVarSimMarketParamsFromFile (const std::string &fileName)

void	setOutputHistoricalScenarios (const bool b)

void	setSalvageCorrelationMatrix (bool b)

void	setAmc (bool b)

void	setAmcCg (bool b)

void	setXvaCgBumpSensis (bool b)

void	setXvaCgSensiScenarioData (const std::string &xml)

void	setXvaCgSensiScenarioDataFromFile (const std::string &fileName)

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 QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setAmcPricingEngine (const std::string &xml)

void	setAmcPricingEngineFromFile (const std::string &fileName)

void	setAmcPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setNettingSetManager (const std::string &xml)

void	setNettingSetManagerFromFile (const std::string &fileName)

void	setCollateralBalances (const std::string &xml)

void	setCollateralBalancesFromFile (const std::string &fileName)

void	setXvaBaseCurrency (const std::string &s)

void	setLoadCube (bool b)

void	setCubeFromFile (const std::string &file)

void	setCube (const QuantLib::ext::shared_ptr< NPVCube > &cube)

void	setNettingSetCubeFromFile (const std::string &file)

void	setCptyCubeFromFile (const std::string &file)

void	setMarketCubeFromFile (const std::string &file)

void	setMarketCube (const QuantLib::ext::shared_ptr< AggregationScenarioData > &cube)

void	setFlipViewXVA (bool b)

void	setMporCashFlowMode (const MporCashFlowMode m)

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	setDimModel (const std::string &s)

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 QuantLib::ext::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	setXvaStressSimMarketParams (const std::string &xml)

void	setXvaStressSimMarketParamsFromFile (const std::string &f)

void	setXvaStressScenarioData (const std::string &s)

void	setXvaStressScenarioDataFromFile (const std::string &s)

void	setXvaStressSensitivityScenarioData (const std::string &xml)

void	setXvaStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setXvaStressWriteCubes (const bool writeCubes)

void	setXvaSensiSimMarketParams (const std::string &xml)

void	setXvaSensiSimMarketParamsFromFile (const std::string &fileName)

void	setXvaSensiScenarioData (const std::string &xml)

void	setXvaSensiScenarioDataFromFile (const std::string &fileName)

void	setXvaSensiPricingEngine (const std::string &xml)

void	setXvaSensiPricingEngineFromFile (const std::string &fileName)

void	setXvaSensiPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setSimmVersion (const std::string &s)

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 QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &p)

void	setSimmNameMapper (const std::string &xml)

void	setSimmNameMapperFromFile (const std::string &fileName)

void	setSimmBucketMapper (const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &p)

void	setSimmBucketMapper (const std::string &xml)

void	setSimmBucketMapperFromFile (const std::string &fileName)

void	setSimmCalibrationData (const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &s)

void	setSimmCalibrationDataFromFile (const std::string &fileName)

void	setSimmCalculationCurrencyCall (const std::string &s)

void	setSimmCalculationCurrencyPost (const std::string &s)

void	setSimmResultCurrency (const std::string &s)

void	setSimmReportingCurrency (const std::string &s)

void	setEnforceIMRegulations (bool b)

void	setWriteSimmIntermediateReports (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 QuantLib::ext::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	setParStressSimMarketParams (const std::string &xml)

void	setParStressSimMarketParamsFromFile (const std::string &fileName)

void	setParStressScenarioData (const std::string &xml)

void	setParStressScenarioDataFromFile (const std::string &fileName)

void	setParStressPricingEngine (const std::string &xml)

void	setParStressPricingEngineFromFile (const std::string &fileName)

void	setParStressPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setParStressSensitivityScenarioData (const std::string &xml)

void	setParStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setParStressLowerBoundCapFloorVolatility (const double value)

void	setParStressUpperBoundCapFloorVolatility (const double value)

void	setParStressLowerBoundSurvivalProb (const double value)

void	setParStressUpperBoundSurvivalProb (const double value)

void	setParStressLowerBoundRatesDiscountFactor (const double value)

void	setParStressUpperBoundRatesDiscountFactor (const double value)

void	setParStressAccurary (const double value)

void	setZeroToParShiftSimMarketParams (const std::string &xml)

void	setZeroToParShiftSimMarketParamsFromFile (const std::string &fileName)

void	setZeroToParShiftScenarioData (const std::string &xml)

void	setZeroToParShiftScenarioDataFromFile (const std::string &fileName)

void	setZeroToParShiftPricingEngine (const std::string &xml)

void	setZeroToParShiftPricingEngineFromFile (const std::string &fileName)

void	setZeroToParShiftPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setZeroToParShiftSensitivityScenarioData (const std::string &xml)

void	setZeroToParShiftSensitivityScenarioDataFromFile (const std::string &fileName)

void	setAnalytics (const std::string &s)

void	insertAnalytic (const std::string &s)

const QuantLib::Date &	asof () const

const boost::filesystem::path &	resultsPath () const

const std::string &	baseCurrency () const

const std::string &	resultCurrency () const

bool	continueOnError () const

bool	lazyMarketBuilding () const

bool	buildFailedTrades () const

const std::string &	observationModel () const

bool	implyTodaysFixings () const

const std::map< std::string, std::string > &	marketConfigs () const

const std::string &	marketConfig (const std::string &context)

const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > &	refDataManager () const

const QuantLib::ext::shared_ptr< ore::data::Conventions > &	conventions () const

const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &	iborFallbackConfig () const

CurveConfigurationsManager &	curveConfigs ()

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	pricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams () const

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	useCounterpartyOriginalPortfolio () const

QuantLib::Size	maxRetries () const

QuantLib::Size	nThreads () const

bool	entireMarket () const

bool	allFixings () const

bool	eomInflationFixings () const

bool	useMarketDataFixings () const

bool	iborFallbackOverride () const

const std::string &	reportNaString () const

char	csvCommentCharacter () const

char	csvEolChar () const

char	csvQuoteChar () const

char	csvSeparator () const

char	csvEscapeChar () const

bool	dryRun () const

QuantLib::Size	mporDays () const

QuantLib::Date	mporDate ()

const QuantLib::Calendar	mporCalendar ()

bool	mporOverlappingPeriods () const

bool	mporForward () const

bool	outputAdditionalResults () const

std::size_t	additionalResultsReportPrecision () const

bool	includePastCashflows () const

bool	outputCurves () const

bool	outputTodaysMarketCalibration () const

const std::string &	curvesMarketConfig ()

const std::string &	curvesGrid () const

bool	xbsParConversion ()

bool	parSensi () const

bool	optimiseRiskFactors () const

bool	alignPillars () const

bool	outputJacobi () const

bool	useSensiSpreadedTermStructures () const

QuantLib::Real	sensiThreshold () const

bool	sensiRecalibrateModels () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	sensiSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensiScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	sensiPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	scenarioSimMarketParams () const

const std::string &	scenarioOutputFile () const

QuantLib::Real	stressThreshold () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	stressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	stressScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	stressPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	stressSensitivityScenarioData () const

bool	stressOptimiseRiskFactors () const

double	stressLowerBoundCapFloorVolatility () const

double	stressUpperBoundCapFloorVolatility () const

double	stressLowerBoundSurvivalProb () const

double	stressUpperBoundSurvivalProb () const

double	stressLowerBoundRatesDiscountFactor () const

double	stressUpperBoundRatesDiscountFactor () const

double	stressAccurary () const

bool	salvageCovariance () const

const std::vector< Real > &	varQuantiles () const

bool	varBreakDown () const

const std::string &	portfolioFilter () const

const std::string &	varMethod () const

Size	mcVarSamples () const

long	mcVarSeed () const

const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > &	covarianceData () const

const QuantLib::ext::shared_ptr< SensitivityStream > &	sensitivityStream () const

std::string	benchmarkVarPeriod () const

QuantLib::ext::shared_ptr< HistoricalScenarioReader >	historicalScenarioReader () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	histVarSimMarketParams () const

bool	outputHistoricalScenarios () const

bool	salvageCorrelationMatrix () const

bool	amc () const

bool	amcCg () const

bool	xvaCgBumpSensis () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaCgSensiScenarioData () const

const std::set< std::string > &	amcTradeTypes () const

const std::string &	exposureBaseCurrency () const

const std::string &	exposureObservationModel () const

const std::string &	nettingSetId () const

const std::string &	scenarioGenType () const

bool	storeFlows () const

Size	storeCreditStateNPVs () const

bool	storeSurvivalProbabilities () const

bool	writeCube () const

bool	writeScenarios () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	exposureSimMarketParams () const

const QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData () const

const QuantLib::ext::shared_ptr< CrossAssetModelData > &	crossAssetModelData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	simulationPricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	amcPricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &	nettingSetManager () const

const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &	collateralBalances () const

const Real &	simulationBootstrapTolerance () const

const std::string &	xvaBaseCurrency () const

bool	loadCube ()

const QuantLib::ext::shared_ptr< NPVCube > &	cube () const

const QuantLib::ext::shared_ptr< NPVCube > &	nettingSetCube () const

const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube () const

const QuantLib::ext::shared_ptr< AggregationScenarioData > &	mktCube () const

bool	flipViewXVA () const

MporCashFlowMode	mporCashFlowMode () const

bool	fullInitialCollateralisation () const

bool	exposureProfiles () const

bool	exposureProfilesByTrade () const

Real	pfeQuantile () const

const std::string &	collateralCalculationType () const

const std::string &	exposureAllocationMethod () const

Real	marginalAllocationLimit () const

bool	exerciseNextBreak () const

bool	cvaAnalytic () const

bool	dvaAnalytic () const

bool	fvaAnalytic () const

bool	colvaAnalytic () const

bool	collateralFloorAnalytic () const

bool	dimAnalytic () const

const std::string &	dimModel () const

bool	mvaAnalytic () const

bool	kvaAnalytic () const

bool	dynamicCredit () const

bool	cvaSensi () const

const std::vector< Period > &	cvaSensiGrid () const

Real	cvaSensiShiftSize () const

const std::string &	dvaName () const

bool	rawCubeOutput () const

bool	netCubeOutput () const

const std::string &	rawCubeOutputFile () const

const std::string &	netCubeOutputFile () const

const std::string &	fvaBorrowingCurve () const

const std::string &	fvaLendingCurve () const

const std::string &	flipViewBorrowingCurvePostfix () const

const std::string &	flipViewLendingCurvePostfix () const

TimeSeries< Real >	deterministicInitialMargin (const std::string &n)

Real	dimQuantile () const

Size	dimHorizonCalendarDays () const

Size	dimRegressionOrder () const

const std::vector< std::string > &	dimRegressors () const

const std::vector< Size > &	dimOutputGridPoints () const

const std::string &	dimOutputNettingSet () const

Size	dimLocalRegressionEvaluations () const

Real	dimLocalRegressionBandwidth () const

Real	kvaCapitalDiscountRate () const

Real	kvaAlpha () const

Real	kvaRegAdjustment () const

Real	kvaCapitalHurdle () const

Real	kvaOurPdFloor () const

Real	kvaTheirPdFloor () const

Real	kvaOurCvaRiskWeight () const

Real	kvaTheirCvaRiskWeight () const

bool	creditMigrationAnalytic () const

const std::vector< Real > &	creditMigrationDistributionGrid () const

std::vector< Size >	creditMigrationTimeSteps () const

const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters () const

const std::string &	creditMigrationOutputFiles () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaStressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	xvaStressScenarioData () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaStressSensitivityScenarioData () const

bool	xvaStressWriteCubes () const

const QuantLib::Date &	cashflowHorizon () const

const QuantLib::Date &	portfolioFilterDate () const

const std::string &	simmVersion () const

const ore::analytics::Crif &	crif () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &	simmNameMapper () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &	simmBucketMapper () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &	simmCalibrationData () const

const std::string &	simmCalculationCurrencyCall () const

const std::string &	simmCalculationCurrencyPost () const

const std::string &	simmResultCurrency () const

const std::string &	simmReportingCurrency () const

bool	enforceIMRegulations () const

QuantLib::ext::shared_ptr< SimmConfiguration >	getSimmConfiguration ()

bool	writeSimmIntermediateReports () const

bool	parConversionXbsParConversion () const

bool	parConversionAlignPillars () const

bool	parConversionOutputJacobi () const

QuantLib::Real	parConversionThreshold () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parConversionSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parConversionScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parConversionPricingEngine () const

const std::string &	parConversionInputFile () const

const std::string &	parConversionInputIdColumn () const

const std::string &	parConversionInputRiskFactorColumn () const

const std::string &	parConversionInputDeltaColumn () const

const std::string &	parConversionInputCurrencyColumn () const

const std::string &	parConversionInputBaseNpvColumn () const

const std::string &	parConversionInputShiftSizeColumn () const

const Size &	scenarioDistributionSteps () const

const bool &	scenarioOutputZeroRate () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parStressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	parStressScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parStressPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parStressSensitivityScenarioData () const

double	parStressLowerBoundCapFloorVolatility () const

double	parStressUpperBoundCapFloorVolatility () const

double	parStressLowerBoundSurvivalProb () const

double	parStressUpperBoundSurvivalProb () const

double	parStressLowerBoundRatesDiscountFactor () const

double	parStressUpperBoundRatesDiscountFactor () const

double	parStressAccurary () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaSensiSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaSensiScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	xvaSensiPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	zeroToParShiftSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	zeroToParShiftScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	zeroToParShiftPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	zeroToParShiftSensitivityScenarioData () const

const std::set< std::string > &	analytics () const

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_

QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager >	refDataManager_

QuantLib::ext::shared_ptr< ore::data::Conventions >	conventions_

QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig >	iborFallbackConfig_

CurveConfigurationsManager	curveConfigs_

QuantLib::ext::shared_ptr< ore::data::EngineData >	pricingEngine_

QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_

QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_

QuantLib::ext::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

bool	mporOverlappingPeriods_ = true

QuantLib::Calendar	mporCalendar_

bool	mporForward_ = true

bool	outputAdditionalResults_ = false

std::size_t	additionalResultsReportPrecision_ = 6

bool	outputCurves_ = false

std::string	curvesMarketConfig_ = Market::defaultConfiguration

std::string	curvesGrid_ = "240,1M"

bool	outputTodaysMarketCalibration_ = true

bool	includePastCashflows_ = false

QuantLib::Date	cashflowHorizon_

QuantLib::Date	portfolioFilterDate_

bool	xbsParConversion_ = false

bool	parSensi_ = false

bool	optimiseRiskFactors_ = false

bool	outputJacobi_ = false

bool	alignPillars_ = false

bool	useSensiSpreadedTermStructures_ = true

QuantLib::Real	sensiThreshold_ = 1e-6

bool	sensiRecalibrateModels_ = true

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	sensiSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	sensiScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	sensiPricingEngine_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	scenarioSimMarketParams_

std::string	scenarioOutputFile_

QuantLib::Real	stressThreshold_ = 0.0

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	stressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	stressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	stressSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	stressPricingEngine_

bool	stressOptimiseRiskFactors_ = false

double	stressLowerBoundCapFloorVolatility_

double	stressUpperBoundCapFloorVolatility_

double	stressLowerBoundSurvivalProb_

double	stressUpperBoundSurvivalProb_

double	stressLowerBoundRatesDiscountFactor_

double	stressUpperBoundRatesDiscountFactor_

double	stressAccurary_

bool	salvageCovariance_ = false

std::vector< Real >	varQuantiles_

bool	varBreakDown_ = false

std::string	portfolioFilter_

std::string	varMethod_ = "DeltaGammaNormal"

Size	mcVarSamples_ = 1000000

long	mcVarSeed_ = 42

std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real >	covarianceData_

QuantLib::ext::shared_ptr< SensitivityStream >	sensitivityStream_

std::string	benchmarkVarPeriod_

QuantLib::ext::shared_ptr< HistoricalScenarioReader >	historicalScenarioReader_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	histVarSimMarketParams_

std::string	baseScenarioLoc_

bool	outputHistoricalScenarios_ = false

bool	salvageCorrelationMatrix_ = false

bool	amc_ = false

bool	amcCg_ = false

bool	xvaCgBumpSensis_ = false

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaCgSensiScenarioData_

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

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	exposureSimMarketParams_

QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_

QuantLib::ext::shared_ptr< CrossAssetModelData >	crossAssetModelData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	simulationPricingEngine_

QuantLib::ext::shared_ptr< ore::data::EngineData >	amcPricingEngine_

QuantLib::ext::shared_ptr< ore::data::NettingSetManager >	nettingSetManager_

QuantLib::ext::shared_ptr< ore::data::CollateralBalances >	collateralBalances_

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

QuantLib::ext::shared_ptr< NPVCube >	cube_

QuantLib::ext::shared_ptr< NPVCube >	nettingSetCube_

QuantLib::ext::shared_ptr< NPVCube >	cptyCube_

QuantLib::ext::shared_ptr< AggregationScenarioData >	mktCube_

Real	simulationBootstrapTolerance_ = 0.0001

std::string	xvaBaseCurrency_ = ""

bool	loadCube_ = false

bool	flipViewXVA_ = false

MporCashFlowMode	mporCashFlowMode_ = MporCashFlowMode::Unspecified

bool	exerciseNextBreak_ = false

bool	cvaAnalytic_ = true

bool	dvaAnalytic_ = false

bool	fvaAnalytic_ = false

bool	colvaAnalytic_ = false

bool	collateralFloorAnalytic_ = false

bool	dimAnalytic_ = false

std::string	dimModel_ = "Regression"

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_

QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_

std::string	creditMigrationOutputFiles_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaStressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	xvaStressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaStressSensitivityScenarioData_

bool	xvaStressWriteCubes_ = false

std::string	simmVersion_

ore::analytics::Crif	crif_

QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper >	simmNameMapper_

QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper >	simmBucketMapper_

QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData >	simmCalibrationData_

std::string	simmCalculationCurrencyCall_ = ""

std::string	simmCalculationCurrencyPost_ = ""

std::string	simmResultCurrency_ = ""

std::string	simmReportingCurrency_ = ""

bool	enforceIMRegulations_ = false

bool	useSimmParameters_ = true

bool	writeSimmIntermediateReports_ = true

bool	parConversionXbsParConversion_ = false

bool	parConversionOutputJacobi_ = false

bool	parConversionAlignPillars_ = false

QuantLib::Real	parConversionThreshold_ = 1e-6

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parConversionSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parConversionScenarioData_

QuantLib::ext::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

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parStressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	parStressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parStressSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	parStressPricingEngine_

double	parStressLowerBoundCapFloorVolatility_

double	parStressUpperBoundCapFloorVolatility_

double	parStressLowerBoundSurvivalProb_

double	parStressUpperBoundSurvivalProb_

double	parStressLowerBoundRatesDiscountFactor_

double	parStressUpperBoundRatesDiscountFactor_

double	parStressAccurary_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	zeroToParShiftSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	zeroToParShiftScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	zeroToParShiftSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	zeroToParShiftPricingEngine_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaSensiSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaSensiScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	xvaSensiPricingEngine_

Detailed Description

Base class for input data, also exposed via SWIG.

Public Member Functions

Protected Attributes

Detailed Description