Risk Filter. More...
#include <orea/engine/riskfilter.hpp>
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. | |
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.