SensitivityScenarioData Class Reference

Description of sensitivity shift scenarios. More...

#include <orea/scenario/sensitivityscenariodata.hpp>

Inheritance diagram for SensitivityScenarioData:

Classes
struct	BaseCorrelationShiftData
struct	CapFloorVolShiftData
struct	CapFloorVolShiftParData
struct	CdsVolShiftData
struct	CurveShiftData
struct	CurveShiftParData
struct	GenericYieldVolShiftData
struct	ShiftData
struct	VolShiftData

Public Types
using	SpotShiftData = ShiftData

Public Member Functions
	SensitivityScenarioData (bool parConversion=true)
	Default constructor.
Inspectors
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	discountCurveShiftData () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	indexCurveShiftData () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	yieldCurveShiftData () const
const map< string, SpotShiftData > &	fxShiftData () const
const map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	capFloorVolShiftData () const
const map< string, GenericYieldVolShiftData > &	swaptionVolShiftData () const
const map< string, GenericYieldVolShiftData > &	yieldVolShiftData () const
const map< string, VolShiftData > &	fxVolShiftData () const
const map< string, CdsVolShiftData > &	cdsVolShiftData () const
const map< string, BaseCorrelationShiftData > &	baseCorrelationShiftData () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	zeroInflationCurveShiftData () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	yoyInflationCurveShiftData () const
const map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	yoyInflationCapFloorVolShiftData () const
const map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	zeroInflationCapFloorVolShiftData () const
const map< string, string > &	creditCcys () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	creditCurveShiftData () const
const map< string, SpotShiftData > &	equityShiftData () const
const map< string, VolShiftData > &	equityVolShiftData () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	dividendYieldShiftData () const
const map< string, string > &	commodityCurrencies () const
const map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	commodityCurveShiftData () const
const map< string, VolShiftData > &	commodityVolShiftData () const
const map< string, VolShiftData > &	correlationShiftData () const
const map< string, SpotShiftData > &	securityShiftData () const
const vector< pair< string, string > > &	crossGammaFilter () const
const bool	computeGamma () const
const bool	useSpreadedTermStructures () const
const ShiftData &	shiftData (const ore::analytics::RiskFactorKey::KeyType &keyType, const std::string &name) const
	Give back the shift data for the given risk factor type, keyType, with the given name.
Setters
bool &	parConversion ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	discountCurveShiftData ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	indexCurveShiftData ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	yieldCurveShiftData ()
map< string, SpotShiftData > &	fxShiftData ()
map< string, GenericYieldVolShiftData > &	swaptionVolShiftData ()
map< string, GenericYieldVolShiftData > &	yieldVolShiftData ()
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	capFloorVolShiftData ()
map< string, VolShiftData > &	fxVolShiftData ()
map< string, CdsVolShiftData > &	cdsVolShiftData ()
map< string, BaseCorrelationShiftData > &	baseCorrelationShiftData ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	zeroInflationCurveShiftData ()
map< string, string > &	creditCcys ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	creditCurveShiftData ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	yoyInflationCurveShiftData ()
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	yoyInflationCapFloorVolShiftData ()
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > > &	zeroInflationCapFloorVolShiftData ()
map< string, SpotShiftData > &	equityShiftData ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	dividendYieldShiftData ()
map< string, VolShiftData > &	equityVolShiftData ()
map< string, string > &	commodityCurrencies ()
map< string, QuantLib::ext::shared_ptr< CurveShiftData > > &	commodityCurveShiftData ()
map< string, VolShiftData > &	commodityVolShiftData ()
map< string, VolShiftData > &	correlationShiftData ()
map< string, SpotShiftData > &	securityShiftData ()
vector< pair< string, string > > &	crossGammaFilter ()
bool &	computeGamma ()
bool &	useSpreadedTermStructures ()
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
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	discountCurveShiftData_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	indexCurveShiftData_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	yieldCurveShiftData_
map< string, SpotShiftData >	fxShiftData_
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > >	capFloorVolShiftData_
map< string, GenericYieldVolShiftData >	swaptionVolShiftData_
map< string, GenericYieldVolShiftData >	yieldVolShiftData_
map< string, VolShiftData >	fxVolShiftData_
map< string, CdsVolShiftData >	cdsVolShiftData_
map< string, BaseCorrelationShiftData >	baseCorrelationShiftData_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	zeroInflationCurveShiftData_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	yoyInflationCurveShiftData_
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > >	yoyInflationCapFloorVolShiftData_
map< string, QuantLib::ext::shared_ptr< CapFloorVolShiftData > >	zeroInflationCapFloorVolShiftData_
map< string, string >	creditCcys_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	creditCurveShiftData_
map< string, SpotShiftData >	equityShiftData_
map< string, VolShiftData >	equityVolShiftData_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	dividendYieldShiftData_
map< string, std::string >	commodityCurrencies_
map< string, QuantLib::ext::shared_ptr< CurveShiftData > >	commodityCurveShiftData_
map< string, VolShiftData >	correlationShiftData_
map< string, VolShiftData >	commodityVolShiftData_
map< string, SpotShiftData >	securityShiftData_
vector< pair< string, string > >	crossGammaFilter_
bool	computeGamma_
bool	useSpreadedTermStructures_
bool	parConversion_
string	getIndexCurrency (string indexName)
	Utilities.
void	shiftDataFromXML (XMLNode *child, ShiftData &data)
void	curveShiftDataFromXML (XMLNode *child, CurveShiftData &data)
void	volShiftDataFromXML (XMLNode *child, VolShiftData &data, const bool requireShiftStrikes=true)
void	shiftDataToXML (ore::data::XMLDocument &doc, XMLNode *node, const ShiftData &data) const
	toXML helper methods
void	curveShiftDataToXML (ore::data::XMLDocument &doc, XMLNode *node, const CurveShiftData &data) const
void	volShiftDataToXML (ore::data::XMLDocument &doc, XMLNode *node, const VolShiftData &data) const

Detailed Description

Description of sensitivity shift scenarios.