RiskFactorTypeScenarioFilter Class Reference

Filter that will only allow specified RiskFactorKey::KeyTypes. More...

#include <orea/scenario/scenariofilter.hpp>

Inheritance diagram for RiskFactorTypeScenarioFilter:

Public Member Functions
	RiskFactorTypeScenarioFilter (const std::vector< RiskFactorKey::KeyType > &factors)
	Include any RiskFactorKey::KeyTypes.
bool	allow (const RiskFactorKey &key) const override
	Allow this key to be updated.

Detailed Description

Filter that will only allow specified RiskFactorKey::KeyTypes.

To create an FX only scenario filter:

ScenarioFilter *sf = new RiskFactorTypeScenarioFilter( { FXSpot, FXVolatility });