ParStressTestConverter Class Reference

Public Member Functions
	ParStressTestConverter (const QuantLib::Date &asof, QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensiScenarioData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::Market > &todaysMarket, const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &iborFallbackConfig)
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	convertStressScenarioData (const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &scenarioData) const
	Convert all par shifts to zero shifts for all scenarios defined in the stresstest.
std::pair< QuantLib::ext::shared_ptr< ScenarioSimMarket >, QuantLib::ext::shared_ptr< ParSensitivityAnalysis > >	computeParSensitivity (const std::set< RiskFactorKey::KeyType > &typesDisabled) const

Member Function Documentation

computeParSensitivity()

std::pair<QuantLib::ext::shared_ptr<ScenarioSimMarket>, QuantLib::ext::shared_ptr<ParSensitivityAnalysis> > computeParSensitivity

(

const std::set< RiskFactorKey::KeyType > &

typesDisabled

)

const

Creates a SimMarket, aligns the pillars and strikes of sim and sensitivity scenario market, computes par sensitivites