Classes | |
class | DummyMarket |
class | CollateralAccount |
Collateral Account. More... | |
class | CollateralExposureHelper |
Collateral Exposure Helper. More... | |
class | CreditMigrationCalculator |
Credit Migration Calculator. More... | |
class | CreditMigrationHelper |
class | CreditSimulationParameters |
Credit simulation description. More... | |
class | CVASpreadSensitivityCalculator |
CVA Spread Sensitivity Calculator. More... | |
class | DynamicInitialMarginCalculator |
Dynamic Initial Margin Calculator base class. More... | |
class | RegressionDynamicInitialMarginCalculator |
Dynamic Initial Margin Calculator using polynomial regression. More... | |
class | DynamicCreditXvaCalculator |
XVA Calculator base with dynamic credit. More... | |
class | ExposureAllocator |
Exposure allocator base class. More... | |
class | RelativeFairValueNetExposureAllocator |
class | RelativeFairValueGrossExposureAllocator |
class | RelativeXvaExposureAllocator |
class | NoneExposureAllocator |
class | ExposureCalculator |
XVA Calculator base class. More... | |
class | NettedExposureCalculator |
XVA Calculator base class. More... | |
class | PostProcess |
Exposure Aggregation and XVA Calculation. More... | |
class | StaticCreditXvaCalculator |
XVA Calculator base with static credit. More... | |
class | ValueAdjustmentCalculator |
XVA Calculator base class. More... | |
class | Analytic |
class | MarketDataAnalyticImpl |
class | MarketDataAnalytic |
class | ParConversionAnalyticImpl |
class | ParConversionAnalytic |
class | PricingAnalyticImpl |
class | PricingAnalytic |
class | ScenarioStatisticsAnalyticImpl |
class | ScenarioStatisticsAnalytic |
class | SimmAnalyticImpl |
class | SimmAnalytic |
class | VarAnalyticImpl |
class | VarAnalytic |
class | XvaAnalyticImpl |
class | XvaAnalytic |
class | AnalyticsManager |
class | InputParameters |
Base class for input data, also exposed via SWIG. More... | |
class | OutputParameters |
Traditional ORE input via ore.xml and various files, output into files. More... | |
class | MarketCalibrationReportBase |
class | MarketCalibrationReport |
class | MarketDataCsvLoaderImpl |
class | MarketDataCsvLoader |
class | MarketDataInMemoryLoaderImpl |
class | MarketDataInMemoryLoader |
class | StructuredFixingWarningMessage |
Utility class for Structured Fixing warnings. More... | |
class | MarketDataLoaderImpl |
class | MarketDataLoader |
class | OREApp |
Orchestrates the processes covered by ORE, data loading, analytics and reporting. More... | |
class | Parameters |
Provides the input data and references to input files used in OREApp. More... | |
class | ReportWriter |
Write ORE outputs to reports. More... | |
class | SensitivityRunner |
class | StructuredAnalyticsErrorMessage |
class | StructuredAnalyticsWarningMessage |
class | XvaRunner |
class | ZeroSensitivityLoader |
class | CubeCsvReader |
Read an NPV cube from a human readable text file. More... | |
class | CubeInterpretation |
Allow for interpretation of how data is stored within cube and AggregationScenarioData. More... | |
class | CubeWriter |
Write an NPV cube to a human readable text file. More... | |
class | InMemoryCubeBase |
InMemoryCube stores the cube in memory using nested STL vectors. More... | |
class | InMemoryCube1 |
InMemoryCube of fixed depth 1. More... | |
class | InMemoryCubeN |
InMemoryCube of variable depth. More... | |
class | TradeBlock |
class | DepthCalculator |
class | ConstantDepthCalculator |
class | JaggedCube |
JaggedCube stores the cube in memory using a vector of trade specific blocks. More... | |
class | JointNPVCube |
class | JointNPVSensiCube |
class | NPVCube |
NPV Cube class stores both future and current NPV values. More... | |
class | NPVSensiCube |
NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date. More... | |
class | SensiCube |
SensiCube stores only npvs not equal to the base npvs. More... | |
class | SensitivityCube |
SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements. More... | |
class | SparseNpvCube |
class | AMCValuationEngine |
AMC Valuation Engine. More... | |
class | BufferedSensitivityStream |
class | CounterpartyCalculator |
CounterpartyCalculator interface. More... | |
class | SurvivalProbabilityCalculator |
SurvivalProbabilityCalculator. More... | |
class | FilteredSensitivityStream |
Class that wraps a sensitivity stream and filters out negligible records. More... | |
class | HistoricalPnlGenerator |
class | PNLCalculator |
class | CovarianceCalculator |
class | HistoricalSensiPnlCalculator |
class | HistoricalSimulationVarCalculator |
class | MPORCalculator |
MPORCalculator. More... | |
class | MultiStateNPVCalculator |
MultiStateNPVCalculator. More... | |
class | MultiThreadedValuationEngine |
struct | NpvRecord |
class | ObservationMode |
The Global Observation setting. More... | |
class | ParametricVarCalculator |
class | ParametricVarReport |
Parametric VaR Calculator. More... | |
class | ParSensitivityAnalysis |
Par Sensitivity Analysis. More... | |
class | ParSensitivityConverter |
ParSensitivityConverter class. More... | |
class | ParSensitivityCubeStream |
class | RiskFilter |
Risk Filter. More... | |
class | SensitivityAggregator |
class | SensitivityAnalysis |
Sensitivity Analysis. More... | |
class | SensitivityCubeStream |
class | SensitivityInputStream |
Class for streaming SensitivityRecords from csv file. More... | |
class | SensitivityFileStream |
class | SensitivityBufferStream |
class | SensitivityInMemoryStream |
Class for streaming SensitivityRecords from csv file. More... | |
struct | SensitivityRecord |
class | SensitivityStream |
Base Class for streaming SensitivityRecords. More... | |
class | StressTest |
Stress Test Analysis. More... | |
class | ValuationCalculator |
ValuationCalculator interface. More... | |
class | NPVCalculator |
NPVCalculator. More... | |
class | CashflowCalculator |
CashflowCalculator. More... | |
class | NPVCalculatorFXT0 |
NPVCalculatorFXT0. More... | |
class | ValuationEngine |
Valuation Engine. More... | |
class | VarCalculator |
VaR Calculator. More... | |
class | ZeroToParCube |
ZeroToParCube class. More... | |
class | AggregationScenarioData |
Container for storing simulated market data. More... | |
class | InMemoryAggregationScenarioData |
A concrete in memory implementation of AggregationScenarioData. More... | |
class | ClonedScenarioGenerator |
class | CloneScenarioFactory |
Factory class for cloning scenario objects. More... | |
class | CrossAssetModelScenarioGenerator |
Scenario Generator using cross asset model paths. More... | |
class | CSVScenarioGenerator |
Class for generating scenarios from a csv file assumed to be in a format compatible with ScenarioWriter. More... | |
class | DeltaScenario |
Delta Scenario class. More... | |
class | DeltaScenarioFactory |
Factory class for cloning scenario objects. More... | |
class | HistoricalScenarioFileReader |
Class for reading historical scenarios from a csv file. More... | |
class | ReturnConfiguration |
Return type for historical scenario generation (absolute, relative, log) More... | |
class | HistoricalScenarioGenerator |
Historical Scenario Generator. More... | |
class | HistoricalScenarioGeneratorRandom |
Historical scenario generator generating random scenarios, for testing purposes. More... | |
class | HistoricalScenarioGeneratorTransform |
Historical scenario generator transform. More... | |
class | HistoricalScenarioGeneratorWithFilteredDates |
class | HistoricalScenarioLoader |
Class for loading historical scenarios. More... | |
class | HistoricalScenarioReader |
Base Class for reading historical scenarios. More... | |
class | LgmScenarioGenerator |
Scenario Generator using LGM model paths. More... | |
class | RiskFactorKey |
Data types stored in the scenario class. More... | |
class | Scenario |
Scenario Base Class. More... | |
class | ScenarioFactory |
Scenario factory base class. More... | |
class | RiskFactorTypeScenarioFilter |
Filter that will only allow specified RiskFactorKey::KeyTypes. More... | |
class | RiskFactorScenarioFilter |
Filter that will only allow specified keys. More... | |
class | CompositeScenarioFilter |
Filter for combining the above. More... | |
class | ScenarioGenerator |
Scenario generator base class. More... | |
class | ScenarioPathGenerator |
Scenario generator that generates an entire path. More... | |
class | StaticScenarioGenerator |
class | ScenarioGeneratorBuilder |
Build a ScenarioGenerator. More... | |
class | ScenarioGeneratorData |
Scenario Generator description. More... | |
class | ScenarioGeneratorTransform |
class | ScenarioShiftCalculator |
class | ScenarioFilter |
A scenario filter can exclude certain key from updating the scenario. More... | |
class | ScenarioSimMarket |
Simulation Market updated with discrete scenarios. More... | |
class | ScenarioSimMarketParameters |
ScenarioSimMarket description. More... | |
class | ScenarioWriter |
Class for writing scenarios to file. More... | |
class | SensitivityScenarioData |
Description of sensitivity shift scenarios. More... | |
class | SensitivityScenarioGenerator |
Sensitivity Scenario Generator. More... | |
class | ShiftScenarioGenerator |
Shift Scenario Generator. More... | |
class | SimpleScenario |
Simple Scenario class. More... | |
class | SimpleScenarioFactory |
Factory class for building simple scenario objects. More... | |
class | StressTestScenarioData |
Description of sensitivity shift scenarios. More... | |
class | StressScenarioGenerator |
Stress Scenario Generator. More... | |
class | CrifLoader |
struct | CrifRecord |
struct | TradeIdTag |
struct | PortfolioTag |
struct | ProductClassTag |
struct | RiskTypeTag |
struct | BucketTag |
struct | BucketQualifierTag |
struct | QualifierTag |
struct | NoProductClassQualifierTag |
struct | OnlyRiskTypeTag |
class | SimmBasicNameMapper |
class | SimmBucketMapper |
class | BucketMapping |
class | SimmBucketMapperBase |
class | SimmCalculator |
A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios. More... | |
class | SimmConcentration |
class | SimmConcentrationBase |
class | SimmConcentration_ISDA_V1_3 |
class | SimmConcentration_ISDA_V1_3_38 |
Class giving the SIMM concentration thresholds for v1.3.38. More... | |
class | SimmConcentration_ISDA_V2_0 |
class | SimmConcentration_ISDA_V2_1 |
class | SimmConcentration_ISDA_V2_2 |
class | SimmConcentration_ISDA_V2_3 |
class | SimmConcentration_ISDA_V2_3_8 |
class | SimmConcentration_ISDA_V2_5 |
class | SimmConcentration_ISDA_V2_5A |
class | SimmConcentration_ISDA_V2_6 |
class | SimmConfiguration |
Abstract base class defining the interface for a SIMM configuration. More... | |
class | SimmConfigurationBase |
class | SimmConfiguration_ISDA_V1_0 |
class | SimmConfiguration_ISDA_V1_3 |
class | SimmConfiguration_ISDA_V1_3_38 |
Class giving the SIMM configuration for v1.3.38. More... | |
class | SimmConfiguration_ISDA_V2_0 |
class | SimmConfiguration_ISDA_V2_1 |
class | SimmConfiguration_ISDA_V2_2 |
class | SimmConfiguration_ISDA_V2_3 |
class | SimmConfiguration_ISDA_V2_3_8 |
class | SimmConfiguration_ISDA_V2_5 |
class | SimmConfiguration_ISDA_V2_5A |
class | SimmConfiguration_ISDA_V2_6 |
class | SimmNameMapper |
class | SimmResults |
class | FixingManager |
Pseudo Fixings Manager. More... | |
class | SimMarket |
Simulation Market. More... | |
Typedefs | |
typedef std::map< QuantLib::Date, std::set< std::string > > | QuoteMap |
typedef std::map< std::string, std::set< QuantLib::Date > > | FixingMap |
using | SinglePrecisionInMemoryCube = InMemoryCube1< float > |
InMemoryCube of depth 1 with single precision floating point numbers. | |
using | DoublePrecisionInMemoryCube = InMemoryCube1< double > |
InMemoryCube of depth 1 with double precision floating point numbers. | |
using | SinglePrecisionInMemoryCubeN = InMemoryCubeN< float > |
InMemoryCube of depth N with single precision floating point numbers. | |
using | DoublePrecisionInMemoryCubeN = InMemoryCubeN< double > |
InMemoryCube of depth N with double precision floating point numbers. | |
using | SinglePrecisionJaggedCube = JaggedCube< float > |
Jagged cube with single precision floating point numbers. | |
using | DoublePrecisionJaggedCube = JaggedCube< double > |
Jagged cube with double precision floating point numbers. | |
using | SinglePrecisionSensiCube = SensiCube< float > |
Sensi cube with single precision floating point numbers. | |
using | DoublePrecisionSensiCube = SensiCube< double > |
Sensi cube with double precision floating point numbers. | |
using | SinglePrecisionSparseNpvCube = SparseNpvCube< float > |
using | RealPrecisionSparseNpvCube = SparseNpvCube< Real > |
typedef std::pair< RiskFactorKey, RiskFactorKey > | CrossPair |
typedef boost::multi_index_container< CrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique< boost::multi_index::identity< CrifRecord > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< TradeIdTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::tradeId > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< PortfolioTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< OnlyRiskTypeTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< ProductClassTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< RiskTypeTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass >, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< QualifierTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass >, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType >, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::qualifier > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< NoProductClassQualifierTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType >, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::qualifier > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< BucketQualifierTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass >, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType >, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::bucket >, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::qualifier > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< BucketTag >, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member< CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails >, boost::multi_index::member< CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass >, boost::multi_index::member< CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType >, boost::multi_index::member< CrifRecord, std::string, &CrifRecord::bucket > > > > > | SimmNetSensitivities |
Enumerations | |
enum class | AggregationScenarioDataType : unsigned int { IndexFixing = 0 , FXSpot = 1 , Numeraire = 2 , CreditState = 3 , SurvivalWeight = 4 , RecoveryRate = 5 , Generic = 6 } |
enum class | SimmVersion { V1_0 , V1_1 , V1_2 , V1_3 , V1_3_38 , V2_0 , V2_1 , V2_2 , V2_3 , V2_3_8 , V2_5 , V2_5A , V2_6 } |
Ordered SIMM versions. | |
Functions | |
CollateralExposureHelper::CalculationType | parseCollateralCalculationType (const string &s) |
Convert text representation to CollateralExposureHelper::CalculationType. | |
CreditMigrationHelper::CreditMode | parseCreditMode (const std::string &s) |
CreditMigrationHelper::LoanExposureMode | parseLoanExposureMode (const std::string &s) |
CreditMigrationHelper::Evaluation | parseEvaluation (const std::string &s) |
bool | lessThan (const Array &a, const Array &b) |
ExposureAllocator::AllocationMethod | parseAllocationMethod (const string &s) |
Convert text representation to ExposureAllocator::AllocationMethod. | |
std::ostream & | operator<< (std::ostream &out, ExposureAllocator::AllocationMethod m) |
Convert ExposureAllocator::AllocationMethod to text representation. | |
boost::shared_ptr< AnalyticsManager > | parseAnalytics (const std::string &s, const boost::shared_ptr< InputParameters > &inputs, const boost::shared_ptr< MarketDataLoader > &marketDataLoader) |
boost::shared_ptr< NPVCube > | loadCube (const std::string &filename, const bool doublePrecision=false) |
void | saveCube (const std::string &filename, const NPVCube &cube, const bool doublePrecision=false) |
boost::shared_ptr< AggregationScenarioData > | loadAggregationScenarioData (const std::string &filename) |
void | saveAggregationScenarioData (const std::string &filename, const AggregationScenarioData &cube) |
std::ostream & | operator<< (std::ostream &out, const SensitivityCube::crossPair &cp) |
std::ostream & | operator<< (std::ostream &out, const NpvRecord &nr) |
Enable writing of a NpvRecord. | |
ParametricVarCalculator::ParametricVarParams::Method | parseParametricVarMethod (const std::string &method) |
std::ostream & | operator<< (std::ostream &out, const ParametricVarCalculator::ParametricVarParams::Method &method) |
void | writeParConversionMatrix (const ore::analytics::ParSensitivityAnalysis::ParContainer &parSensitivities, ore::data::Report &reportOut) |
Write par instrument sensitivity report. | |
Real | getShiftSize (const RiskFactorKey &key, const SensitivityScenarioData &sensiParams, const boost::shared_ptr< ScenarioSimMarket > &simMarket, const std::string &marketConfiguration="") |
boost::shared_ptr< ore::analytics::ScenarioSimMarket > | buildScenarioSimMarketForSensitivityAnalysis (const boost::shared_ptr< ore::data::Market > &market, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< SensitivityScenarioData > &sensitivityData, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const boost::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const boost::shared_ptr< ScenarioFactory > &scenFactory, const std::string &marketConfiguration, bool continueOnError, bool overrideTenors, IborFallbackConfig &iborFallback) |
std::ostream & | operator<< (std::ostream &out, const SensitivityRecord &sr) |
Enable writing of a SensitivityRecord. | |
std::ostream & | operator<< (std::ostream &out, const AggregationScenarioDataType &t) |
std::ostream & | operator<< (std::ostream &out, const ReturnConfiguration::ReturnType t) |
bool | operator< (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
bool | operator== (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
bool | operator> (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
bool | operator<= (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
bool | operator>= (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
bool | operator!= (const RiskFactorKey &lhs, const RiskFactorKey &rhs) |
std::ostream & | operator<< (std::ostream &out, const RiskFactorKey::KeyType &type) |
std::ostream & | operator<< (std::ostream &out, const RiskFactorKey &key) |
RiskFactorKey::KeyType | parseRiskFactorKeyType (const string &str) |
RiskFactorKey | parseRiskFactorKey (const string &str) |
ScenarioGeneratorData::MporCashFlowMode | parseMporCashFlowMode (const string &s) |
Convert text representation to CollateralExposureHelper::CalculationType. | |
RiskFactorKey::KeyType | yieldCurveRiskFactor (const ore::data::YieldCurveType y) |
Map a yield curve type to a risk factor key type. | |
ShiftScenarioGenerator::ShiftType | parseShiftType (const std::string &s) |
std::ostream & | operator<< (std::ostream &out, const ShiftScenarioGenerator::ShiftType &shiftType) |
std::ostream & | operator<< (std::ostream &out, const ShiftScenarioGenerator::ScenarioDescription &scenarioDescription) |
std::pair< RiskFactorKey, std::string > | deconstructFactor (const std::string &factor) |
std::string | reconstructFactor (const RiskFactorKey &key, const std::string &desc) |
Reconstruct the string description from a risk factor key and its index description desc . | |
boost::shared_ptr< RiskFactorKey > | parseRiskFactorKey (const std::string &str, std::vector< std::string > &addTokens) |
risk factor key parser that takes into account additional tokens occurring in sensitivity risk factor keys | |
bool | operator< (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs) |
bool | operator== (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs) |
std::ostream & | operator<< (std::ostream &out, const CrifRecord &cr) |
Enable writing of a CrifRecord. | |
bool | operator< (const SimmBucketMapper::FailedMapping &a, const SimmBucketMapper::FailedMapping &b) |
bool | operator< (const BucketMapping &a, const BucketMapping &b) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::SimmSide &side) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::RiskClass &rc) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::RiskType &rt) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::MarginType &mt) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::ProductClass &pc) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::IMModel &model) |
std::ostream & | operator<< (std::ostream &out, const SimmConfiguration::Regulation ®ulation) |
SimmConfiguration::SimmSide | parseSimmSide (const std::string &side) |
SimmConfiguration::RiskClass | parseSimmRiskClass (const std::string &rc) |
SimmConfiguration::RiskType | parseSimmRiskType (const std::string &rt) |
SimmConfiguration::MarginType | parseSimmMarginType (const std::string &mt) |
SimmConfiguration::ProductClass | parseSimmProductClass (const std::string &pc) |
SimmConfiguration::IMModel | parseIMModel (const std::string &pc) |
SimmConfiguration::Regulation | parseRegulation (const std::string ®ulation) |
std::string | combineRegulations (const std::string &, const std::string &) |
std::set< std::string > | parseRegulationString (const std::string ®sString, const std::set< std::string > &valueIfEmpty={"Unspecified"}) |
Reads a string containing regulations applicable for a given CRIF record. | |
std::string | sortRegulationString (const std::string ®sString) |
std::string | removeRegulations (const std::string ®sString, const std::vector< std::string > ®sToRemove) |
Removes a given vector of regulations from a string of regulations and returns a string with the regulations removed. | |
std::string | filterRegulations (const std::string ®sString, const std::vector< std::string > ®sToFilter) |
SimmConfiguration::Regulation | getWinningRegulation (const std::vector< std::string > &winningRegulations) |
From a vector of regulations, determine the winning regulation based on order of priority. | |
std::ostream & | operator<< (std::ostream &out, const SimmResults::Key &resultsKey) |
Enable writing of Key. | |
std::vector< std::string > | loadFactorList (const std::string &inputFileName, const char delim='\n') |
std::vector< std::vector< double > > | loadScenarios (const std::string &inputFileName, const char delim='\n') |
QuantLib::Matrix | loadCovarianceMatrix (const std::string &inputFileName, const char delim='\n') |
SimmVersion | parseSimmVersion (const std::string &version) |
boost::shared_ptr< SimmConfiguration > | buildSimmConfiguration (const std::string &simmVersion, const boost::shared_ptr< SimmBucketMapper > &simmBucketMapper, const QuantExt::Size &mporDays=10) |
std::string | escapeCommaSeparatedList (const std::string &str, const char &csvQuoteChar) |
Analytics namespace
typedef boost::multi_index_container< CrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique<boost::multi_index::identity<CrifRecord> >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<TradeIdTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::tradeId> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<PortfolioTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<OnlyRiskTypeTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<ProductClassTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<RiskTypeTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass>, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<QualifierTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass>, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::qualifier> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<NoProductClassQualifierTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::qualifier> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<BucketQualifierTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass>, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::bucket>, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::qualifier> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<BucketTag>, boost::multi_index::composite_key< CrifRecord, boost::multi_index::member<CrifRecord, NettingSetDetails, &CrifRecord::nettingSetDetails>, boost::multi_index::member<CrifRecord, SimmConfiguration::ProductClass, &CrifRecord::productClass>, boost::multi_index::member<CrifRecord, SimmConfiguration::RiskType, &CrifRecord::riskType>, boost::multi_index::member<CrifRecord, std::string, &CrifRecord::bucket> > > > > SimmNetSensitivities |
A structure that we can use to aggregate CrifRecords across trades in a portfolio to provide the net sensitivities that we need to perform a downstream SIMM calculation.
Real ore::analytics::getShiftSize | ( | const RiskFactorKey & | key, |
const SensitivityScenarioData & | sensiParams, | ||
const boost::shared_ptr< ScenarioSimMarket > & | simMarket, | ||
const std::string & | marketConfiguration = "" |
||
) |
Returns the absolute shift size corresponding to a particular risk factor key
given sensitivity parameters sensiParams
and a simulation market simMarket
boost::shared_ptr<ore::analytics::ScenarioSimMarket> ore::analytics::buildScenarioSimMarketForSensitivityAnalysis | ( | const boost::shared_ptr< ore::data::Market > & | market, |
const boost::shared_ptr< ScenarioSimMarketParameters > & | simMarketData, | ||
const boost::shared_ptr< SensitivityScenarioData > & | sensitivityData, | ||
const boost::shared_ptr< ore::data::CurveConfigurations > & | curveConfigs, | ||
const boost::shared_ptr< ore::data::TodaysMarketParameters > & | todaysMarketParams, | ||
const boost::shared_ptr< ScenarioFactory > & | scenFactory, | ||
const std::string & | marketConfiguration, | ||
bool | continueOnError, | ||
bool | overrideTenors, | ||
IborFallbackConfig & | iborFallback | ||
) |
Build a scenario sim market for sensi analysis
std::pair<RiskFactorKey, std::string> ore::analytics::deconstructFactor | ( | const std::string & | factor | ) |
Retrieve the RiskFactorKey and index description from the result of ScenarioDescription::factor1() or ScenarioDescription::factor2()
std::string ore::analytics::sortRegulationString | ( | const std::string & | regsString | ) |
Cleans a string defining regulations so that different permutations of the same set will be seen as the same string, e.g. "APRA,SEC,ESA" and "SEC,ESA,APRA" should be equivalent.
std::string ore::analytics::filterRegulations | ( | const std::string & | regsString, |
const std::vector< std::string > & | regsToFilter | ||
) |
Filters a string of regulations on a given vector of regulations and returns a string containing only those filtered regulations
std::string ore::analytics::escapeCommaSeparatedList | ( | const std::string & | str, |
const char & | csvQuoteChar | ||
) |
If the input str is a comma seperated list the method quotation marks " if the csvQuoteChar is '\0' Example: commaSeparatedListToJsonArrayString("item1,item2", '') -> "item1, item2" commaSeparatedListToJsonArrayString("item", '') -> "item"