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Reference manual - version orea_version
Public Member Functions | List of all members
RiskFilter Class Reference

Risk Filter. More...

#include <orea/engine/riskfilter.hpp>

+ Inheritance diagram for RiskFilter:

Public Member Functions

 RiskFilter (const MarketRiskConfiguration::RiskClass &riskClass, const MarketRiskConfiguration::RiskType &riskType)
 
bool allow (const RiskFactorKey &t) const override
 Allow this key to be updated.
 

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.