MarketRiskConfiguration Class Reference

Public Types
enum class	RiskClass {   All , InterestRate , Inflation , Credit ,   Equity , FX , Commodity }
enum class	RiskType { All , DeltaGamma , Vega , BaseCorrelation }

Static Public Member Functions
static std::set< RiskClass >	riskClasses (bool includeAll=false)
	Give back a set containing the RiskClass values optionally excluding 'All'.
static std::set< RiskType >	riskTypes (bool includeAll=false)
	Give back a set containing the RiskType values optionally excluding 'All'.

Member Enumeration Documentation

RiskClass

enum RiskClass

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Risk class types in VaR plus an All type for convenience

Warning:

The ordering here matters. It is used in indexing in to correlation matrices for the correlation between risk classes.

Warning:

Internal methods rely on the first element being 'All'

RiskType

enum RiskType

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Risk Type types in VaR plus an All type for convenience

Warning:

Internal methods rely on the first element being 'All'