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Public Attributes | List of all members
ParSensitivityInstrumentBuilder::Instruments Struct Reference

Public Attributes

std::map< ore::analytics::RiskFactorKey, QuantLib::ext::shared_ptr< QuantLib::Instrument > > parHelpers_
 par helpers (all except cap/floors)
 
std::map< ore::analytics::RiskFactorKey, QuantLib::ext::shared_ptr< QuantLib::CapFloor > > parCaps_
 par helpers: IR cap / floors
 
std::map< ore::analytics::RiskFactorKey, QuantLib::Handle< QuantLib::YieldTermStructure > > parCapsYts_
 
std::map< ore::analytics::RiskFactorKey, QuantLib::Handle< QuantLib::OptionletVolatilityStructure > > parCapsVts_
 
std::map< ore::analytics::RiskFactorKey, QuantLib::Handle< QuantLib::YieldTermStructure > > parYoYCapsYts_
 par helpers: YoY cap / floors
 
std::map< ore::analytics::RiskFactorKey, QuantLib::Handle< QuantLib::YoYInflationIndex > > parYoYCapsIndex_
 
std::map< ore::analytics::RiskFactorKey, QuantLib::ext::shared_ptr< QuantLib::YoYInflationCapFloor > > parYoYCaps_
 
std::map< ore::analytics::RiskFactorKey, QuantLib::Handle< QuantExt::YoYOptionletVolatilitySurface > > parYoYCapsVts_
 
std::map< std::string, std::vector< QuantLib::Period > > yieldCurvePillars_
 par QuantLib::Instrument pillars
 
std::map< std::string, std::vector< QuantLib::Period > > capFloorPillars_
 
std::map< std::string, std::vector< QuantLib::Period > > cdsPillars_
 
std::map< std::string, std::vector< QuantLib::Period > > equityForecastCurvePillars_
 
std::map< std::string, std::vector< QuantLib::Period > > zeroInflationPillars_
 
std::map< std::string, std::vector< QuantLib::Period > > yoyInflationPillars_
 
std::map< std::string, std::vector< QuantLib::Period > > yoyCapFloorPillars_
 
std::map< ore::analytics::RiskFactorKey, std::set< ore::analytics::RiskFactorKey > > parHelperDependencies_
 list of (raw) risk factors on which a par helper depends
 
std::set< std::string > removeTodaysFixingIndices_