ScenarioSimMarket description. More...
#include <orea/scenario/scenariosimmarketparameters.hpp>
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) override |
Public Member Functions inherited from XMLSerializable | |
void | fromXMLString (const std::string &xml) |
std::string | toXMLString () |
Equality Operators | |
bool | operator== (const ScenarioSimMarketParameters &rhs) |
bool | operator!= (const ScenarioSimMarketParameters &rhs) |
ScenarioSimMarket description.
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.
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.