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

ScenarioSimMarket description. More...

#include <orea/scenario/scenariosimmarketparameters.hpp>

+ Inheritance diagram for ScenarioSimMarketParameters:

Public Member Functions

 ScenarioSimMarketParameters ()
 Default constructor.
 
Inspectors
const string & baseCcy () const
 
const vector< string > & ccys () const
 
vector< string > paramsLookup (RiskFactorKey::KeyType k) const
 
bool hasParamsName (RiskFactorKey::KeyType kt, string name) const
 
void addParamsName (RiskFactorKey::KeyType kt, vector< string > names)
 
bool paramsSimulate (RiskFactorKey::KeyType kt) const
 
void setParamsSimulate (RiskFactorKey::KeyType kt, bool simulate)
 
vector< string > discountCurveNames () const
 
vector< string > yieldCurveNames () const
 
const map< string, string > & yieldCurveCurrencies () const
 
const vector< Period > & yieldCurveTenors (const string &key) const
 
bool hasYieldCurveTenors (const string &key) const
 
vector< string > indices () const
 
const map< string, string > & swapIndices () const
 
const string & interpolation () const
 
const string & extrapolation () const
 
const map< string, vector< Period > > & yieldCurveTenors () const
 
bool simulateFxSpots () const
 
vector< string > fxCcyPairs () const
 
bool simulateSwapVols () const
 
bool swapVolIsCube (const string &key) const
 
bool simulateSwapVolATMOnly () const
 
const vector< Period > & swapVolTerms (const string &key) const
 
const vector< Period > & swapVolExpiries (const string &key) const
 
vector< string > swapVolKeys () const
 
const string & swapVolDecayMode () const
 
const vector< Real > & swapVolStrikeSpreads (const string &key) const
 
const string & swapVolSmileDynamics (const string &key) const
 
bool simulateYieldVols () const
 
const vector< Period > & yieldVolTerms () const
 
const vector< Period > & yieldVolExpiries () const
 
vector< string > yieldVolNames () const
 
const string & yieldVolDecayMode () const
 
const string & yieldVolSmileDynamics (const string &key) const
 
bool simulateCapFloorVols () const
 
vector< string > capFloorVolKeys () const
 
const vector< Period > & capFloorVolExpiries (const string &key) const
 
bool hasCapFloorVolExpiries (const string &key) const
 
const vector< QuantLib::Rate > & capFloorVolStrikes (const std::string &key) const
 
bool capFloorVolIsAtm (const std::string &key) const
 
const string & capFloorVolDecayMode () const
 
bool capFloorVolAdjustOptionletPillars () const
 
bool capFloorVolUseCapAtm () const
 
const string & capFloorVolSmileDynamics (const string &key) const
 
bool simulateYoYInflationCapFloorVols () const
 
vector< string > yoyInflationCapFloorVolNames () const
 
const vector< Period > & yoyInflationCapFloorVolExpiries (const string &key) const
 
bool hasYoYInflationCapFloorVolExpiries (const string &key) const
 
const vector< Real > & yoyInflationCapFloorVolStrikes (const std::string &key) const
 
const string & yoyInflationCapFloorVolDecayMode () const
 
const string & yoyInflationCapFloorVolSmileDynamics (const string &key) const
 
bool simulateZeroInflationCapFloorVols () const
 
vector< string > zeroInflationCapFloorVolNames () const
 
const vector< Period > & zeroInflationCapFloorVolExpiries (const string &key) const
 
bool hasZeroInflationCapFloorVolExpiries (const string &key) const
 
const vector< Real > & zeroInflationCapFloorVolStrikes (const string &key) const
 
const string & zeroInflationCapFloorVolDecayMode () const
 
const string & zeroInflationCapFloorVolSmileDynamics (const string &key) const
 
bool simulateSurvivalProbabilities () const
 
bool simulateRecoveryRates () const
 
vector< string > defaultNames () const
 
const string & defaultCurveCalendar (const string &key) const
 
const vector< Period > & defaultTenors (const string &key) const
 
bool hasDefaultTenors (const string &key) const
 
const string & defaultCurveExtrapolation () const
 
bool simulateCdsVols () const
 
bool simulateCdsVolATMOnly () const
 
const vector< Period > & cdsVolExpiries () const
 
vector< string > cdsVolNames () const
 
const string & cdsVolDecayMode () const
 
const string & cdsVolSmileDynamics (const string &key) const
 
vector< string > equityNames () const
 
const vector< Period > & equityDividendTenors (const string &key) const
 
bool hasEquityDividendTenors (const string &key) const
 
vector< string > equityDividendYields () const
 
bool simulateDividendYield () const
 
bool simulateFXVols () const
 
bool simulateFxVolATMOnly () const
 
bool fxVolIsSurface (const std::string &ccypair) const
 
bool fxUseMoneyness (const std::string &ccypair) const
 
const vector< Period > & fxVolExpiries (const string &key) const
 
const string & fxVolDecayMode () const
 
vector< string > fxVolCcyPairs () const
 
const vector< Real > & fxVolMoneyness (const string &ccypair) const
 
const vector< Real > & fxVolStdDevs (const string &ccypair) const
 
const string & fxVolSmileDynamics (const string &key) const
 
bool simulateEquityVols () const
 
bool simulateEquityVolATMOnly () const
 
bool equityUseMoneyness (const string &key) const
 
bool equityVolIsSurface (const string &key) const
 
const vector< Period > & equityVolExpiries (const string &key) const
 
const string & equityVolDecayMode () const
 
vector< string > equityVolNames () const
 
const vector< Real > & equityVolMoneyness (const string &key) const
 
const vector< Real > & equityVolStandardDevs (const string &key) const
 
const string & equityVolSmileDynamics (const string &key) const
 
const vector< string > & additionalScenarioDataIndices () const
 
const vector< string > & additionalScenarioDataCcys () const
 
const Size additionalScenarioDataNumberOfCreditStates () const
 
const vector< string > & additionalScenarioDataSurvivalWeights () const
 
bool securitySpreadsSimulate () const
 
vector< string > securities () const
 
bool simulateBaseCorrelations () const
 
const vector< Period > & baseCorrelationTerms () const
 
const vector< Real > & baseCorrelationDetachmentPoints () const
 
vector< string > baseCorrelationNames () const
 
vector< string > cpiIndices () const
 
vector< string > zeroInflationIndices () const
 
const vector< Period > & zeroInflationTenors (const string &key) const
 
bool hasZeroInflationTenors (const string &key) const
 
vector< string > yoyInflationIndices () const
 
const vector< Period > & yoyInflationTenors (const string &key) const
 
bool hasYoyInflationTenors (const string &key) const
 
bool commodityCurveSimulate () const
 
std::vector< std::string > commodityNames () const
 
const std::vector< QuantLib::Period > & commodityCurveTenors (const std::string &commodityName) const
 
bool hasCommodityCurveTenors (const std::string &commodityName) const
 
bool commodityVolSimulate () const
 
const std::string & commodityVolDecayMode () const
 
std::vector< std::string > commodityVolNames () const
 
const std::vector< QuantLib::Period > & commodityVolExpiries (const std::string &commodityName) const
 
const std::vector< QuantLib::Real > & commodityVolMoneyness (const std::string &commodityName) const
 
const string & commodityVolSmileDynamics (const string &commodityName) const
 
bool simulateCorrelations () const
 
bool correlationIsSurface () const
 
const vector< Period > & correlationExpiries () const
 
vector< std::string > correlationPairs () const
 
const vector< Real > & correlationStrikes () const
 
Size numberOfCreditStates () const
 
const std::map< RiskFactorKey::KeyType, std::pair< bool, std::set< std::string > > > & parameters () const
 
Setters
string & baseCcy ()
 
vector< string > & ccys ()
 
void setDiscountCurveNames (vector< string > names)
 
void setYieldCurveNames (vector< string > names)
 
map< string, string > & yieldCurveCurrencies ()
 
void setYieldCurveTenors (const string &key, const vector< Period > &p)
 
void setIndices (vector< string > names)
 
map< string, string > & swapIndices ()
 
string & interpolation ()
 
string & extrapolation ()
 
void setSimulateFxSpots (bool simulate)
 
void setFxCcyPairs (vector< string > names)
 
void setSimulateSwapVols (bool simulate)
 
void setSwapVolIsCube (const string &key, bool isCube)
 
bool & simulateSwapVolATMOnly ()
 
void setSwapVolTerms (const string &key, const vector< Period > &p)
 
void setSwapVolKeys (vector< string > names)
 
void setSwapVolExpiries (const string &key, const vector< Period > &p)
 
void setSwapVolStrikeSpreads (const std::string &key, const std::vector< QuantLib::Rate > &strikes)
 
string & swapVolDecayMode ()
 
void setSwapVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateYieldVols (bool simulate)
 
vector< Period > & yieldVolTerms ()
 
void setYieldVolNames (vector< string > names)
 
vector< Period > & yieldVolExpiries ()
 
string & yieldVolDecayMode ()
 
void setYieldVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateCapFloorVols (bool simulate)
 
void setCapFloorVolKeys (vector< string > names)
 
void setCapFloorVolExpiries (const string &key, const vector< Period > &p)
 
void setCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)
 
void setCapFloorVolIsAtm (const std::string &key, bool isAtm)
 
string & capFloorVolDecayMode ()
 
void setCapFloorVolAdjustOptionletPillars (bool capFloorVolAdjustOptionletPillars)
 
void setCapFloorVolUseCapAtm (bool capFloorVolUseCapAtm)
 
void setCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateYoYInflationCapFloorVols (bool simulate)
 
void setYoYInflationCapFloorVolNames (vector< string > names)
 
void setYoYInflationCapFloorVolExpiries (const string &key, const vector< Period > &p)
 
void setYoYInflationCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)
 
string & yoyInflationCapFloorVolDecayMode ()
 
void setYoYInflationCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateZeroInflationCapFloorVols (bool simulate)
 
void setZeroInflationCapFloorNames (vector< string > names)
 
void setZeroInflationCapFloorVolExpiries (const string &key, const vector< Period > &p)
 
void setZeroInflationCapFloorVolStrikes (const std::string &key, const std::vector< QuantLib::Rate > &strikes)
 
string & zeroInflationCapFloorVolDecayMode ()
 
void setZeroInflationCapFloorVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateSurvivalProbabilities (bool simulate)
 
void setSimulateRecoveryRates (bool simulate)
 
void setDefaultNames (vector< string > names)
 
void setDefaultTenors (const string &key, const vector< Period > &p)
 
void setDefaultCurveCalendars (const string &key, const string &p)
 
void setDefaultCurveExtrapolation (const std::string &e)
 
void setSimulateCdsVols (bool simulate)
 
void setSimulateCdsVolsATMOnly (bool simulateATMOnly)
 
vector< Period > & cdsVolExpiries ()
 
void setCdsVolNames (vector< string > names)
 
string & cdsVolDecayMode ()
 
void setCdsVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setEquityNames (vector< string > names)
 
void setEquityDividendCurves (vector< string > names)
 
void setEquityDividendTenors (const string &key, const vector< Period > &p)
 
void setSimulateDividendYield (bool simulate)
 
void setSimulateFXVols (bool simulate)
 
void setSimulateFxVolATMOnly (bool simulateATMOnly)
 
void setFxVolIsSurface (const string &ccypair, bool val)
 
void setFxVolIsSurface (bool val)
 
void setFxVolExpiries (const string &name, const vector< Period > &expiries)
 
void setFxVolDecayMode (const string &val)
 
void setFxVolCcyPairs (vector< string > names)
 
void setFxVolMoneyness (const string &ccypair, const vector< Real > &moneyness)
 
void setFxVolMoneyness (const vector< Real > &moneyness)
 
void setFxVolStdDevs (const string &ccypair, const vector< Real > &stdDevs)
 
void setFxVolStdDevs (const vector< Real > &stdDevs)
 
void setFxVolSmileDynamics (const string &name, const string &smileDynamics)
 
void setSimulateEquityVols (bool simulate)
 
void setSimulateEquityVolATMOnly (bool simulateATMOnly)
 
void setEquityVolIsSurface (const string &name, bool isSurface)
 
void setEquityVolExpiries (const string &name, const vector< Period > &expiries)
 
void setEquityVolDecayMode (const string &val)
 
void setEquityVolNames (vector< string > names)
 
void setEquityVolMoneyness (const string &name, const vector< Real > &moneyness)
 
void setEquityVolStandardDevs (const string &name, const vector< Real > &standardDevs)
 
void setEquityVolSmileDynamics (const string &name, const string &smileDynamics)
 
vector< string > & additionalScenarioDataIndices ()
 
void setAdditionalScenarioDataIndices (const vector< string > &asdi)
 
vector< string > & additionalScenarioDataCcys ()
 
void setAdditionalScenarioDataCcys (const vector< string > &ccys)
 
void setSecuritySpreadsSimulate (bool simulate)
 
void setSecurities (vector< string > names)
 
void setRecoveryRates (vector< string > names)
 
void setCprs (const vector< string > &names)
 
void setSimulateCprs (bool simulate)
 
bool simulateCprs () const
 
const vector< string > & cprs () const
 
void setSimulateBaseCorrelations (bool simulate)
 
vector< Period > & baseCorrelationTerms ()
 
vector< Real > & baseCorrelationDetachmentPoints ()
 
void setBaseCorrelationNames (vector< string > names)
 
void setCpiIndices (vector< string > names)
 
void setZeroInflationIndices (vector< string > names)
 
void setZeroInflationTenors (const string &key, const vector< Period > &p)
 
void setYoyInflationIndices (vector< string > names)
 
void setYoyInflationTenors (const string &key, const vector< Period > &p)
 
void setCommodityCurveSimulate (bool simulate)
 
void setCommodityNames (vector< string > names)
 
void setCommodityCurves (vector< string > names)
 
void setCommodityCurveTenors (const std::string &commodityName, const std::vector< QuantLib::Period > &p)
 
void setCommodityVolSimulate (bool simulate)
 
std::string & commodityVolDecayMode ()
 
void setCommodityVolNames (vector< string > names)
 
std::vector< QuantLib::Period > & commodityVolExpiries (const std::string &commodityName)
 
std::vector< QuantLib::Real > & commodityVolMoneyness (const std::string &commodityName)
 
void setCommodityVolSmileDynamics (const string &key, const string &smileDynamics)
 
void setSimulateCorrelations (bool simulate)
 
bool & correlationIsSurface ()
 
vector< Period > & correlationExpiries ()
 
void setCorrelationPairs (vector< string > names)
 
vector< Real > & correlationStrikes ()
 
void setNumberOfCreditStates (Size numberOfCreditStates)
 
Serialisation
virtual void fromXML (XMLNode *node) override
 
virtual XMLNode * toXML (ore::data::XMLDocument &doc) const override
 
- Public Member Functions inherited from XMLSerializable
void fromXMLString (const std::string &xml)
 
std::string toXMLString () const
 

Equality Operators

bool operator== (const ScenarioSimMarketParameters &rhs)
 
bool operator!= (const ScenarioSimMarketParameters &rhs)
 

Detailed Description

ScenarioSimMarket description.

Member Function Documentation

◆ capFloorVolAdjustOptionletPillars()

bool capFloorVolAdjustOptionletPillars ( ) const

If true, the capFloorVolExpiries are interpreted as cap maturities and the pillars for the optionlet structure are set equal to the fixing date of the last optionlet on the cap. If false, the capFloorVolExpiries are the pillars for the optionlet structure.

◆ capFloorVolUseCapAtm()

bool capFloorVolUseCapAtm ( ) const

If true, use ATM cap rate when capFloorVolIsAtm is true when querying the todaysmarket optionlet volatility structure at the configured expiries. Otherwise, use the index forward rate.

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