RiskFilter Class Reference

Risk Filter. More...

#include <orea/engine/riskfilter.hpp>

Inheritance diagram for RiskFilter:

Public Member Functions
	RiskFilter (const Size riskClassIndex, const Size riskTypeIndex)
	for both risk class and risk type, index 0 stands for "all"
bool	allow (const RiskFactorKey &t) const override
	Allow this key to be updated.
const std::string &	riskClassLabel () const
const std::string &	riskTypeLabel () const

Static Public Member Functions
static Size	numberOfRiskClasses ()
static Size	numberOfRiskTypes ()

Detailed Description

Risk Filter.

The risk filter class groups risk factor keys w.r.t. a risk class (IR, FX, EQ...) and a risk type (delta-gamma, vega, ...). It can e.g. be used to break down a var report.