Reference manual - version orea_version
Stress Test Analysis. More...
#include <orea/engine/stresstest.hpp>
Public Member Functions | |
| StressTest (const boost::shared_ptr< ore::data::Portfolio > &portfolio, const boost::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const boost::shared_ptr< ore::data::EngineData > &engineData, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< StressTestScenarioData > &stressData, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), boost::shared_ptr< ScenarioFactory > scenarioFactory={}, const boost::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), bool continueOnError=false) | |
| Constructor. | |
| const std::set< std::string > & | trades () |
| Return set of trades analysed. | |
| const std::set< std::string > & | stressTests () |
| Return unique set of factors shifted. | |
| const std::map< std::string, Real > & | baseNPV () |
| Return base NPV by trade, before shift. | |
| const std::map< std::pair< std::string, std::string >, Real > & | shiftedNPV () |
| Return shifted NPVs by trade and scenario. | |
| const std::map< std::pair< std::string, std::string >, Real > & | delta () |
| Return delta NPV by trade and scenario. | |
| void | writeReport (const boost::shared_ptr< ore::data::Report > &report, Real outputThreshold=0.0) |
| Write NPV by trade/scenario to a file (base and shifted NPVs, delta) | |
Stress Test Analysis.
This class wraps functionality to perform a stress testing analysis for a given portfolio. It comprises