Data types stored in the scenario class. More...

#include <orea/scenario/cvascenario.hpp>

Public Types
enum class	KeyType { None , InterestRate , ForeignExchange , CreditCounterparty , CreditReference , Equity , Commodity }
	Risk Factor types.
enum class	MarginType { None , Delta , Vega }
	Margin Types.
typedef std::pair< CvaRiskFactorKey::KeyType, CvaRiskFactorKey::MarginType >	CvaScenarioType

Public Member Functions
	CvaRiskFactorKey ()
	Constructor.
	CvaRiskFactorKey (const KeyType &iKeytype, const MarginType &iMargintype, const std::string &iName, const QuantLib::Period &iPeriod=QuantLib::Period())
	Constructor.

Public Attributes
KeyType	keytype
	Key type.
MarginType	margintype
	Key name.
std::string	name
QuantLib::ext::shared_ptr< QuantLib::Index >	index
	Index.
QuantLib::Period	period

Friends
class	boost::serialization::access

Detailed Description

Data types stored in the scenario class.

Member Data Documentation

MarginType margintype

Key name.

For ForeignExchange this is a pair ("EURUSD") for Discount or swaption it's just a currency ("EUR") and for an index it's the index name