InputParameters Class Reference

Base class for input data, also exposed via SWIG. More...

#include <orea/app/inputparameters.hpp>

Inheritance diagram for InputParameters:

Public Member Functions
template<typename T>
bool	loadParameter (T &obj, const std::string &analytic, const std::string &param, const bool mandatory=false, std::function< T(const std::string &)> parser=[](auto const &s) { return s;})
	load and convert an object from a string for the given (analytic, param) pair
template<typename T>
bool	loadParameterXML (QuantLib::ext::shared_ptr< T > &obj, const std::string &analytic, const std::string &param, const bool mandatory=false)
	load the XML object from an XML string for the given (analytic, param) pair
virtual std::string	loadParameterString (const std::string &analytic, const std::string &param, bool mandatory)
	virtual function to load a parameter string for the given (analytic, param) pair
virtual std::string	loadParameterXMLString (const std::string &analytic, const std::string &param, bool mandatory)
	virtual function to load an XML string for the given (analytic, param) pair
void	setParameter (std::string analytic, std::string parameter, std::string val)
void	setResultsPath (boost::filesystem::path resultsPath)
void	setRefDataManager (const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > &refDataManager)
void	setBaselTrafficLight (const QuantLib::ext::shared_ptr< ore::data::BaselTrafficLightData > &baselTrafficLight)
void	setTodaysMarketParams (const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams)
void	setSensitivityScenarioData (const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensiScenarioData)
void	setAsOfDate (const std::string &s)
void	setResultsPath (const std::string &s)
void	setInputPath (const std::string &s)
void	setBaseCurrency (const std::string &s)
void	setContinueOnError (bool b)
void	setAllowModelBuilderFallbacks (bool b)
void	setLazyMarketBuilding (bool b)
void	setBuildFailedTrades (bool b)
void	setObservationModel (const std::string &s)
void	setImplyTodaysFixings (bool b)
void	setEnrichIndexFixings (bool b)
void	setIgnoreFixingLead (Size i)
void	setIgnoreFixingLag (Size i)
void	setIncludeTodaysCashFlows (bool b)
void	setIncludeReferenceDateEvents (bool b)
void	setMarketConfig (const std::string &config, const std::string &context)
void	setRefDataManager (const std::string &xml)
void	setRefDataManagerFromFile (const std::string &fileName)
void	setScriptLibrary (const std::string &xml)
void	setScriptLibraryFromFile (const std::string &fileName)
void	setConventions (const std::string &xml)
void	setConventions (const QuantLib::ext::shared_ptr< Conventions > &convs)
void	setConventionsFromFile (const std::string &fileName)
void	setIborFallbackConfig (const std::string &xml)
void	setIborFallbackConfigFromFile (const std::string &fileName)
void	setBaselTrafficLightConfig (const std::string &xml)
void	setBaselTrafficLightFromFile (const std::string &fileName)
void	setCurveConfigs (const std::string &xml, std::string id=std::string())
void	setCurveConfigs (const QuantLib::ext::shared_ptr< CurveConfigurations > &cc, std::string id=std::string())
void	setCurveConfigsFromFile (const std::string &fileName, std::string id=std::string())
void	setPricingEngine (const std::string &xml)
void	setPricingEngineFromFile (const std::string &fileName)
void	setPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &ed)
void	setTodaysMarketParams (const std::string &xml)
void	setTodaysMarketParamsFromFile (const std::string &fileName)
void	setPortfolio (const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
void	setPortfolio (const std::string &xml)
void	setPortfolioFromFile (const std::string &fileNameString, const std::filesystem::path &inputPath)
void	setMporPortfolio (const std::string &xml)
void	setMporPortfolioFromFile (const std::string &fileNameString, const std::filesystem::path &inputPath)
void	setMarketConfigs (const std::map< std::string, std::string > &m)
void	setThreads (int i)
void	setEntireMarket (bool b)
void	setAllFixings (bool b)
void	setEomInflationFixings (bool b)
void	setUseMarketDataFixings (bool b)
void	setIborFallbackOverride (bool b)
void	setReportNaString (const std::string &s)
void	setCsvQuoteChar (const char &c)
void	setCsvSeparator (const char &c)
void	setCsvCommentCharacter (const char &c)
void	setDryRun (bool b)
void	setMporDays (Size s)
void	setMporOverlappingPeriods (bool b)
void	setMporDate (const QuantLib::Date &d)
void	setMporCalendar (const std::string &s)
void	setMporForward (bool b)
void	setMarketDataLoaderOutput (const std::string &s)
void	setMarketDataLoaderInput (const std::string &s)
void	setOutputAdditionalResults (bool b)
void	setAdditionalResultsReportPrecision (std::size_t p)
void	setIncludePastCashflows (bool b)
void	setOutputCurves (bool b)
void	setOutputTodaysMarketCalibration (bool b)
void	setTodaysMarketCalibrationPrecision (std::size_t p)
void	setCurvesMarketConfig (const std::string &s)
void	setCurvesGrid (const std::string &s)
void	setCalendarAdjustment (const std::string &xml)
void	setCalendarAdjustmentFromFile (const std::string &fileName)
void	setCurrencyConfig (const std::string &xml)
void	setCurrencyConfigFromFile (const std::string &fileName)
void	setXbsParConversion (bool b)
void	setParSensi (bool b)
void	setOptimiseRiskFactors (bool b)
void	setAlignPillars (bool b)
void	setOutputJacobi (bool b)
void	setUseSensiSpreadedTermStructures (bool b)
void	setSensiThreshold (Real r)
void	setSensiRecalibrateModels (bool b)
void	setSensiLaxFxConversion (bool b)
void	setSensiDecomposition (bool b)
void	setSensiSimMarketParams (const std::string &xml)
void	setSensiSimMarketParamsFromFile (const std::string &fileName)
void	setSensiScenarioData (const std::string &xml)
void	setSensiScenarioDataFromFile (const std::string &fileName)
void	setSensiPricingEngine (const std::string &xml)
void	setSensiPricingEngineFromFile (const std::string &fileName)
void	setSensiPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setSensiOutputPrecision (Size p)
void	setScenarioSimMarketParams (const std::string &xml)
void	setScenarioSimMarketParamsFromFile (const std::string &fileName)
void	setScenarioOutputFile (const std::string &filename)
void	setStressThreshold (Real r)
void	setStressOptimiseRiskFactors (bool optimise)
void	setStressSimMarketParams (const std::string &xml)
void	setStressSimMarketParamsFromFile (const std::string &fileName)
void	setStressScenarioData (const std::string &xml)
void	setStressScenarioDataFromFile (const std::string &fileName)
void	setStressScenarioData (const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &stressScenarioData)
void	setStressPricingEngine (const std::string &xml)
void	setStressPricingEngineFromFile (const std::string &fileName)
void	setStressPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setStressSensitivityScenarioData (const std::string &xml)
void	setStressSensitivityScenarioDataFromFile (const std::string &fileName)
void	setStressLowerBoundCapFloorVolatility (const double value)
void	setStressUpperBoundCapFloorVolatility (const double value)
void	setStressLowerBoundSurvivalProb (const double value)
void	setStressUpperBoundSurvivalProb (const double value)
void	setStressLowerBoundRatesDiscountFactor (const double value)
void	setStressUpperBoundRatesDiscountFactor (const double value)
void	setStressAccurary (const double value)
void	setStressPrecision (const Size value)
void	setStressGenerateCashflows (const bool b)
void	setVarSalvagingAlgorithm (SalvagingAlgorithm::Type vsa)
void	setVarQuantiles (const std::string &s)
void	setVarBreakDown (bool b)
void	setTradePnl (bool b)
void	setIncludeExpectedShortfall (bool b)
void	setPortfolioFilter (const std::string &s)
void	setVarMethod (const std::string &s)
void	setMcVarSamples (Size s)
void	setMcVarSeed (long l)
void	setCovarianceData (ore::data::CSVReader &reader)
void	setCovarianceDataFromFile (const std::string &fileName)
void	setCovarianceDataFromBuffer (const std::string &xml)
void	setSensitivityStreamFromFile (const std::string &fileName)
void	setBenchmarkVarPeriod (const std::string &period)
void	setScenarioReader (const std::string &fileName)
void	setSensitivityStreamFromBuffer (const std::string &buffer)
void	setHistVarSimMarketParams (const std::string &xml)
void	setHistVarSimMarketParamsFromFile (const std::string &fileName)
void	setOutputHistoricalScenarios (const bool b)
void	setCorrelationMethod (const std::string &s)
void	setCorrelationData (ore::data::CSVReader &reader)
void	setCorrelationDataFromFile (const std::string &fileName)
void	setCorrelationDataFromBuffer (const std::string &xml)
void	setExposureIncludeTodaysCashFlows (bool b)
void	setExposureIncludeReferenceDateEvents (bool b)
void	setAmc (bool b)
void	setAmcCg (XvaEngineCG::Mode b)
void	setXvaCgBumpSensis (bool b)
void	setXvaCgDynamicIM (bool b)
void	setXvaCgDynamicIMStepSize (Size s)
void	setXvaCgRegressionOrder (Size r)
void	setXvaCgRegressionVarianceCutoff (double c)
void	setXvaCgRegressionOrderDynamicIm (Size r)
void	setXvaCgRegressionVarianceCutoffDynamicIm (double c)
void	setXvaCgTradeLevelBreakdown (bool b)
void	setXvaCgRegressionReportTimeStepsDynamicIM (const std::vector< Size > &s)
void	setXvaCgUseRedBlocks (bool b)
void	setXvaCgUseExternalComputeDevice (bool b)
void	setXvaCgExternalDeviceCompatibilityMode (bool b)
void	setXvaCgUseDoublePrecisionForExternalCalculation (bool b)
void	setXvaCgExternalComputeDevice (string s)
void	setXvaCgUsePythonIntegration (bool b)
void	setXvaCgUsePythonIntegrationDynamicIm (bool b)
void	setXvaCgSensiScenarioData (const std::string &xml)
void	setXvaCgSensiScenarioDataFromFile (const std::string &fileName)
void	setAmcTradeTypes (const std::string &s)
void	setAmcPathDataInput (const std::string &s)
void	setAmcPathDataOutput (const std::string &s)
void	setAmcIndividualTrainingInput (bool b)
void	setAmcIndividualTrainingOutput (bool b)
void	setExposureBaseCurrency (const std::string &s)
void	setExposureObservationModel (const std::string &s)
void	setNettingSetId (const std::string &s)
void	setScenarioGenType (const std::string &s)
void	setStoreFlows (bool b)
void	setStoreExerciseValues (bool b)
void	setStoreSensis (bool b)
void	setAllowPartialScenarios (bool b)
void	setStoreCreditStateNPVs (Size states)
void	setStoreSurvivalProbabilities (bool b)
void	setWriteCube (bool b)
void	setWriteScenarios (bool b)
void	setExposureSimMarketParams (const std::string &xml)
void	setExposureSimMarketParamsFromFile (const std::string &fileName)
void	setScenarioGeneratorData (const std::string &xml)
void	setScenarioGeneratorDataFromFile (const std::string &fileName)
void	setCrossAssetModelData (const std::string &xml)
void	setCrossAssetModelDataFromFile (const std::string &fileName)
void	setSimulationPricingEngine (const std::string &xml)
void	setSimulationPricingEngineFromFile (const std::string &fileName)
void	setSimulationPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setAmcPricingEngine (const std::string &xml)
void	setAmcPricingEngineFromFile (const std::string &fileName)
void	setAmcPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setAmcCgPricingEngine (const std::string &xml)
void	setAmcCgPricingEngineFromFile (const std::string &fileName)
void	setAmcCgPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setNettingSetManager (const std::string &xml)
void	setNettingSetManagerFromFile (const std::string &fileName)
void	setCollateralBalances (const std::string &xml)
void	setCollateralBalancesFromFile (const std::string &fileName)
void	setReportBufferSize (Size s)
void	setCounterpartyManager (const std::string &xml)
void	setCounterpartyManagerFromFile (const std::string &fileName)
void	setXvaUseDoublePrecisionCubes (const bool b)
void	setXvaBaseCurrency (const std::string &s)
void	setLoadCube (bool b)
void	setCubeFromFile (const std::string &file)
void	setCube (const QuantLib::ext::shared_ptr< NPVCube > &cube)
void	setNettingSetCubeFromFile (const std::string &file)
void	setCptyCubeFromFile (const std::string &file)
void	setMarketCubeFromFile (const std::string &file)
void	setMarketCube (const QuantLib::ext::shared_ptr< AggregationScenarioData > &cube)
void	setFlipViewXVA (bool b)
void	setMporCashFlowMode (const MporCashFlowMode m)
void	setFullInitialCollateralisation (bool b)
void	setExposureProfiles (bool b)
void	setExposureProfilesByTrade (bool b)
void	setExposureProfilesUseCloseOutValues (bool b)
void	setPfeQuantile (Real r)
void	setCollateralCalculationType (const std::string &s)
void	setExposureAllocationMethod (const std::string &s)
void	setMarginalAllocationLimit (Real r)
void	setExerciseNextBreak (bool b)
void	setCvaAnalytic (bool b)
void	setDvaAnalytic (bool b)
void	setFvaAnalytic (bool b)
void	setColvaAnalytic (bool b)
void	setCollateralFloorAnalytic (bool b)
void	setDimAnalytic (bool b)
void	setDimModel (const std::string &s)
void	setMvaAnalytic (bool b)
void	setKvaAnalytic (bool b)
void	setDynamicCredit (bool b)
void	setCvaSensi (bool b)
void	setCvaSensiGrid (const std::string &s)
void	setCvaSensiShiftSize (Real r)
void	setDvaName (const std::string &s)
void	setRawCubeOutput (bool b)
void	setNetCubeOutput (bool b)
void	setTimeAveragedNettedExposureOutput (bool b)
void	setRawCubeOutputFile (const std::string &s)
void	setNetCubeOutputFile (const std::string &s)
void	setTimeAveragedNettedExposureOutputFile (const std::string &s)
void	setFvaBorrowingCurve (const std::string &s)
void	setFvaLendingCurve (const std::string &s)
void	setFlipViewBorrowingCurvePostfix (const std::string &s)
void	setFlipViewLendingCurvePostfix (const std::string &s)
void	setDeterministicInitialMargin (const std::string &n, TimeSeries< Real > v)
void	setDeterministicInitialMarginFromFile (const std::string &fileName)
void	setDimQuantile (Real r)
void	setDimHorizonCalendarDays (Size s)
void	setDimRegressionOrder (Size s)
void	setDimRegressors (const std::string &s)
void	setDimOutputGridPoints (const std::string &s)
void	setDimDistributionCoveredStdDevs (Real r)
void	setDimDistributionGridSize (Size n)
void	setDimOutputNettingSet (const std::string &s)
void	setDimLocalRegressionEvaluations (Size s)
void	setDimLocalRegressionBandwidth (Real r)
void	setKvaCapitalDiscountRate (Real r)
void	setKvaAlpha (Real r)
void	setKvaRegAdjustment (Real r)
void	setKvaCapitalHurdle (Real r)
void	setKvaOurPdFloor (Real r)
void	setKvaTheirPdFloor (Real r)
void	setKvaOurCvaRiskWeight (Real r)
void	setKvaTheirCvaRiskWeight (Real r)
void	setfirstMporCollateralAdjustment (const bool constantInitialVm)
void	setCreditMigrationAnalytic (bool b)
void	setCreditMigrationDistributionGrid (const std::vector< Real > &grid)
void	setCreditMigrationTimeSteps (const std::vector< Size > &ts)
void	setCreditSimulationParameters (const QuantLib::ext::shared_ptr< CreditSimulationParameters > &c)
void	setCreditSimulationParametersFromBuffer (const std::string &xml)
void	setCreditSimulationParametersFromFile (const std::string &fileName)
void	setCreditMigrationOutputFiles (const std::string &s)
void	setCashflowHorizon (const std::string &s)
void	setPortfolioFilterDate (const std::string &s)
void	setXvaStressSimMarketParams (const std::string &xml)
void	setXvaStressSimMarketParamsFromFile (const std::string &f)
void	setXvaStressScenarioData (const std::string &s)
void	setXvaStressScenarioDataFromFile (const std::string &s)
void	setXvaStressSensitivityScenarioData (const std::string &xml)
void	setXvaStressSensitivityScenarioDataFromFile (const std::string &fileName)
void	setXvaStressWriteCubes (const bool writeCubes)
void	setSensitivityStressSimMarketParams (const std::string &xml)
void	setSensitivityStressSimMarketParamsFromFile (const std::string &f)
void	setSensitivityStressScenarioData (const std::string &s)
void	setSensitivityStressScenarioDataFromFile (const std::string &s)
void	setSensitivityStressSensitivityScenarioData (const std::string &xml)
void	setSensitivityStressSensitivityScenarioDataFromFile (const std::string &fileName)
void	setSensitivityStressCalculateBaseScenario (const bool calcBaseScenario)
void	setXvaSensiSimMarketParams (const std::string &xml)
void	setXvaSensiSimMarketParamsFromFile (const std::string &fileName)
void	setXvaSensiScenarioData (const std::string &xml)
void	setXvaSensiScenarioDataFromFile (const std::string &fileName)
void	setXvaSensiPricingEngine (const std::string &xml)
void	setXvaSensiPricingEngineFromFile (const std::string &fileName)
void	setXvaSensiPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setXvaSensiParSensi (const bool parSensi)
void	setXvaSensiOutputJacobi (const bool outputJacobi)
void	setXvaSensiThreshold (const Real threshold)
void	setXvaSensiOutputPrecision (Size p)
void	setSaCvaNetSensitivitiesFromFile (const std::string &fileName)
void	setCvaSensitivitiesFromFile (const std::string &fileName)
void	setXvaExplainSimMarketParams (const std::string &xml)
void	setXvaExplainSimMarketParamsFromFile (const std::string &f)
void	setXvaExplainSensitivityScenarioData (const std::string &xml)
void	setXvaExplainSensitivityScenarioDataFromFile (const std::string &fileName)
void	setXvaExplainShiftThreshold (const double threshold)
void	setSimmVersion (const std::string &s)
void	setCrif (const QuantLib::ext::shared_ptr< ore::analytics::Crif > &crif)
void	setCrifFromFile (const std::string &fileName, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')
void	setCrifFromBuffer (const std::string &csvBuffer, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')
void	setSimmNameMapper (const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &p)
void	setSimmNameMapper (const std::string &xml)
void	setSimmNameMapperFromFile (const std::string &fileName)
void	setSimmBucketMapper (const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &p)
void	setSimmBucketMapper (const std::string &xml)
void	setSimmBucketMapperFromFile (const std::string &fileName)
void	setSimmCalibrationData (const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &s)
void	setSimmCalibrationDataFromFile (const std::string &fileName)
void	setSimmCalculationCurrencyCall (const std::string &s)
void	setSimmCalculationCurrencyPost (const std::string &s)
void	setSimmResultCurrency (const std::string &s)
void	setSimmReportingCurrency (const std::string &s)
void	setEnforceIMRegulations (bool b)
void	setRemoveInvalidCrifRecords (bool b)
void	setWriteSimmIntermediateReports (bool b)
void	setParConversionXbsParConversion (bool b)
void	setParConversionAlignPillars (bool b)
void	setParConversionOutputJacobi (bool b)
void	setParConversionThreshold (Real r)
void	setParConversionSimMarketParams (const std::string &xml)
void	setParConversionSimMarketParamsFromFile (const std::string &fileName)
void	setParConversionScenarioData (const std::string &xml)
void	setParConversionScenarioDataFromFile (const std::string &fileName)
void	setParConversionPricingEngine (const std::string &xml)
void	setParConversionPricingEngineFromFile (const std::string &fileName)
void	setParConversionPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setParConversionInputFile (const std::string &s)
void	setParConversionInputIdColumn (const std::string &s)
void	setParConversionInputRiskFactorColumn (const std::string &s)
void	setParConversionInputDeltaColumn (const std::string &s)
void	setParConversionInputCurrencyColumn (const std::string &s)
void	setParConversionInputBaseNpvColumn (const std::string &s)
void	setParConversionInputShiftSizeColumn (const std::string &s)
void	setParStressSimMarketParams (const std::string &xml)
void	setParStressSimMarketParamsFromFile (const std::string &fileName)
void	setParStressScenarioData (const std::string &xml)
void	setParStressScenarioDataFromFile (const std::string &fileName)
void	setParStressPricingEngine (const std::string &xml)
void	setParStressPricingEngineFromFile (const std::string &fileName)
void	setParStressPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setParStressSensitivityScenarioData (const std::string &xml)
void	setParStressSensitivityScenarioDataFromFile (const std::string &fileName)
void	setParStressLowerBoundCapFloorVolatility (const double value)
void	setParStressUpperBoundCapFloorVolatility (const double value)
void	setParStressLowerBoundSurvivalProb (const double value)
void	setParStressUpperBoundSurvivalProb (const double value)
void	setParStressLowerBoundRatesDiscountFactor (const double value)
void	setParStressUpperBoundRatesDiscountFactor (const double value)
void	setParStressAccurary (const double value)
void	setZeroToParShiftSimMarketParams (const std::string &xml)
void	setZeroToParShiftSimMarketParamsFromFile (const std::string &fileName)
void	setZeroToParShiftScenarioData (const std::string &xml)
void	setZeroToParShiftScenarioDataFromFile (const std::string &fileName)
void	setZeroToParShiftPricingEngine (const std::string &xml)
void	setZeroToParShiftPricingEngineFromFile (const std::string &fileName)
void	setZeroToParShiftPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)
void	setZeroToParShiftSensitivityScenarioData (const std::string &xml)
void	setZeroToParShiftSensitivityScenarioDataFromFile (const std::string &fileName)
void	setAnalytics (const std::string &s)
void	insertAnalytic (const std::string &s)
void	removeAnalytic (const std::string &s)
void	setPnlDateAdjustedRiskFactors (const std::string &s)
void	setRiskFactorLevel (bool b)
const QuantLib::Date &	asof () const
const boost::filesystem::path &	resultsPath () const
const std::string &	baseCurrency () const
const std::string &	resultCurrency () const
bool	continueOnError () const
bool	allowModelBuilderFallbacks () const
bool	lazyMarketBuilding () const
bool	buildFailedTrades () const
const std::string &	observationModel () const
bool	implyTodaysFixings () const
bool	enrichIndexFixings () const
Size	ignoreFixingLead () const
Size	ignoreFixingLag () const
const std::map< std::string, std::string > &	marketConfigs () const
const std::string &	marketConfig (const std::string &context)
const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > &	refDataManager () const
const QuantLib::ext::shared_ptr< ore::data::Conventions > &	conventions () const
const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &	iborFallbackConfig () const
const QuantLib::ext::shared_ptr< ore::data::BaselTrafficLightData > &	baselTrafficLightConfig () const
CurveConfigurationsManager &	curveConfigs ()
const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &	curveConfig (const std::string &s=std::string()) const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	pricingEngine () const
const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	useCounterpartyOriginalPortfolio () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	mporPortfolio () const
const QuantLib::ext::shared_ptr< ore::data::CurrencyConfig > &	currencyConfigs ()
const QuantLib::ext::shared_ptr< ore::data::CalendarAdjustmentConfig > &	calendarAdjustmentConfigs ()
QuantLib::Size	maxRetries () const
QuantLib::Size	nThreads () const
bool	entireMarket () const
bool	allFixings () const
bool	eomInflationFixings () const
bool	useMarketDataFixings () const
bool	iborFallbackOverride () const
const std::string &	reportNaString () const
char	csvCommentCharacter () const
char	csvEolChar () const
char	csvQuoteChar () const
char	csvSeparator () const
char	csvEscapeChar () const
bool	dryRun () const
QuantLib::Size	mporDays () const
QuantLib::Date	mporDate ()
const QuantLib::Calendar	mporCalendar ()
bool	mporOverlappingPeriods () const
bool	mporForward () const
const std::string &	marketDataLoaderOutput ()
const std::string &	marketDataLoaderInput ()
bool	deriveCounterpartyDefaultCurves () const
const std::string &	additionalMarketDataInput () const
bool	outputAdditionalResults () const
std::size_t	additionalResultsReportPrecision () const
bool	includePastCashflows () const
bool	outputCurves () const
bool	outputTodaysMarketCalibration () const
std::size_t	todaysMarketCalibrationPrecision () const
const std::string &	curvesMarketConfig ()
const std::string &	curvesGrid () const
bool	xbsParConversion ()
bool	parSensi () const
bool	optimiseRiskFactors () const
bool	alignPillars () const
bool	outputJacobi () const
bool	useSensiSpreadedTermStructures () const
QuantLib::Real	sensiThreshold () const
bool	sensiRecalibrateModels () const
bool	sensiLaxFxConversion () const
bool	sensiDecomposition () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	sensiSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensiScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	sensiPricingEngine () const
QuantLib::Size	sensiOutputPrecision () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	scenarioSimMarketParams () const
const std::string &	scenarioOutputFile () const
QuantLib::Real	stressThreshold () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	stressSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	stressScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	stressPricingEngine () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	stressSensitivityScenarioData () const
bool	stressOptimiseRiskFactors () const
double	stressLowerBoundCapFloorVolatility () const
double	stressUpperBoundCapFloorVolatility () const
double	stressLowerBoundSurvivalProb () const
double	stressUpperBoundSurvivalProb () const
double	stressLowerBoundRatesDiscountFactor () const
double	stressUpperBoundRatesDiscountFactor () const
double	stressAccurary () const
Size	stressPrecision () const
bool	stressGenerateCashflows () const
SalvagingAlgorithm::Type	getVarSalvagingAlgorithm () const
const std::vector< Real > &	varQuantiles () const
bool	varBreakDown () const
bool	tradePnl () const
bool	includeExpectedShortfall () const
const std::string &	portfolioFilter () const
const std::string &	varMethod () const
Size	mcVarSamples () const
long	mcVarSeed () const
const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > &	covarianceData () const
const QuantLib::ext::shared_ptr< SensitivityStream > &	sensitivityStream () const
std::string	benchmarkVarPeriod () const
QuantLib::ext::shared_ptr< ScenarioReader >	scenarioReader () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	histVarSimMarketParams () const
bool	outputHistoricalScenarios () const
const std::string &	correlationMethod () const
const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > &	correlationData () const
optional< bool >	exposureIncludeTodaysCashFlows () const
bool	exposureIncludeReferenceDateEvents () const
bool	amc () const
XvaEngineCG::Mode	amcCg () const
bool	xvaCgBumpSensis () const
bool	xvaCgDynamicIM () const
Size	xvaCgDynamicIMStepSize () const
Size	xvaCgRegressionOrder () const
double	xvaCgRegressionVarianceCutoff () const
Size	xvaCgRegressionOrderDynamicIm () const
double	xvaCgRegressionVarianceCutoffDynamicIm () const
bool	xvaCgTradeLevelBreakdown () const
const std::vector< Size > &	xvaCgRegressionReportTimeStepsDynamicIM () const
bool	xvaCgUseRedBlocks () const
bool	xvaCgUseExternalComputeDevice () const
bool	xvaCgExternalDeviceCompatibilityMode () const
bool	xvaCgUseDoublePrecisionForExternalCalculation () const
const std::string &	xvaCgExternalComputeDevice () const
bool	xvaCgUsePythonIntegration () const
bool	xvaCgUsePythonIntegrationDynamicIm () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaCgSensiScenarioData () const
const std::set< std::string > &	amcTradeTypes () const
const std::string &	amcPathDataInput () const
const std::string	amcPathDataOutput () const
bool	amcIndividualTrainingInput () const
bool	amcIndividualTrainingOutput () const
const std::string &	exposureBaseCurrency () const
const std::string &	exposureObservationModel () const
const std::string &	nettingSetId () const
const std::string &	scenarioGenType () const
bool	storeFlows () const
bool	storeExerciseValues () const
bool	storeSensis () const
bool	allowPartialScenarios () const
const vector< Real > &	curveSensiGrid () const
const vector< Real > &	vegaSensiGrid () const
Size	storeCreditStateNPVs () const
bool	storeSurvivalProbabilities () const
bool	writeCube () const
bool	writeScenarios () const
bool	generateCorrelations () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	exposureSimMarketParams () const
const QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData () const
const QuantLib::ext::shared_ptr< CrossAssetModelData > &	crossAssetModelData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	simulationPricingEngine () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	amcPricingEngine () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	amcCgPricingEngine () const
const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &	nettingSetManager () const
const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &	counterpartyManager () const
const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &	collateralBalances () const
const Real &	simulationBootstrapTolerance () const
const QuantLib::Size &	maxScenario () const
QuantLib::Size	reportBufferSize () const
bool	xvaUseDoublePrecisionCubes () const
const std::string &	xvaBaseCurrency () const
bool	loadCube ()
const QuantLib::ext::shared_ptr< NPVCube > &	cube () const
const QuantLib::ext::shared_ptr< NPVCube > &	nettingSetCube () const
const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube () const
const QuantLib::ext::shared_ptr< AggregationScenarioData > &	mktCube () const
bool	flipViewXVA () const
MporCashFlowMode	mporCashFlowMode () const
bool	fullInitialCollateralisation () const
bool	exposureProfiles () const
bool	exposureProfilesByTrade () const
bool	exposureProfilesUseCloseOutValues () const
Real	pfeQuantile () const
const std::string &	collateralCalculationType () const
const std::string &	exposureAllocationMethod () const
Real	marginalAllocationLimit () const
bool	exerciseNextBreak () const
bool	cvaAnalytic () const
bool	dvaAnalytic () const
bool	fvaAnalytic () const
bool	colvaAnalytic () const
bool	collateralFloorAnalytic () const
bool	dimAnalytic () const
const std::string &	dimModel () const
bool	mvaAnalytic () const
bool	kvaAnalytic () const
bool	dynamicCredit () const
bool	cvaSensi () const
const std::vector< Period > &	cvaSensiGrid () const
Real	cvaSensiShiftSize () const
const std::string &	dvaName () const
bool	rawCubeOutput () const
bool	netCubeOutput () const
bool	timeAveragedNettedExposureOutput () const
const std::string &	rawCubeOutputFile () const
const std::string &	netCubeOutputFile () const
const std::string &	timeAveragedNettedExposureOutputFile () const
const std::string &	fvaBorrowingCurve () const
const std::string &	fvaLendingCurve () const
const std::string &	flipViewBorrowingCurvePostfix () const
const std::string &	flipViewLendingCurvePostfix () const
TimeSeries< Real >	deterministicInitialMargin (const std::string &n)
Real	dimQuantile () const
Size	dimHorizonCalendarDays () const
Size	dimRegressionOrder () const
const std::vector< std::string > &	dimRegressors () const
const std::vector< Size > &	dimOutputGridPoints () const
Real	dimDistributionCoveredStdDevs () const
Size	dimDistributionGridSize () const
const std::string &	dimOutputNettingSet () const
Size	dimLocalRegressionEvaluations () const
Real	dimLocalRegressionBandwidth () const
Real	kvaCapitalDiscountRate () const
Real	kvaAlpha () const
Real	kvaRegAdjustment () const
Real	kvaCapitalHurdle () const
Real	kvaOurPdFloor () const
Real	kvaTheirPdFloor () const
Real	kvaOurCvaRiskWeight () const
Real	kvaTheirCvaRiskWeight () const
bool	creditMigrationAnalytic () const
const std::vector< Real > &	creditMigrationDistributionGrid () const
std::vector< Size >	creditMigrationTimeSteps () const
const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters () const
const std::string &	creditMigrationOutputFiles () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaStressSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	xvaStressScenarioData () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaStressSensitivityScenarioData () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	sensitivityStressSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	sensitivityStressScenarioData () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensitivityStressSensitivityScenarioData () const
bool	sensitivityStressCalcBaseScenario () const
bool	xvaStressWriteCubes () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaExplainSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaExplainSensitivityScenarioData () const
double	xvaExplainShiftThreshold () const
bool	firstMporCollateralAdjustment () const
const QuantLib::Date &	cashflowHorizon () const
const QuantLib::Date &	portfolioFilterDate () const
const std::string &	simmVersion () const
const QuantLib::ext::shared_ptr< ore::analytics::Crif > &	crif () const
const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &	simmNameMapper () const
const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &	simmBucketMapper () const
const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &	simmCalibrationData () const
const std::string &	simmCalculationCurrencyCall () const
const std::string &	simmCalculationCurrencyPost () const
const std::string &	simmResultCurrency () const
const std::string &	simmReportingCurrency () const
bool	enforceIMRegulations () const
bool	removeInvalidCrifRecords () const
QuantLib::ext::shared_ptr< SimmConfiguration >	getSimmConfiguration ()
bool	writeSimmIntermediateReports () const
bool	parConversionXbsParConversion () const
bool	parConversionAlignPillars () const
bool	parConversionOutputJacobi () const
QuantLib::Real	parConversionThreshold () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parConversionSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parConversionScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parConversionPricingEngine () const
const std::string &	parConversionInputFile () const
const std::string &	parConversionInputIdColumn () const
const std::string &	parConversionInputRiskFactorColumn () const
const std::string &	parConversionInputDeltaColumn () const
const std::string &	parConversionInputCurrencyColumn () const
const std::string &	parConversionInputBaseNpvColumn () const
const std::string &	parConversionInputShiftSizeColumn () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parStressSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	parStressScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parStressPricingEngine () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parStressSensitivityScenarioData () const
double	parStressLowerBoundCapFloorVolatility () const
double	parStressUpperBoundCapFloorVolatility () const
double	parStressLowerBoundSurvivalProb () const
double	parStressUpperBoundSurvivalProb () const
double	parStressLowerBoundRatesDiscountFactor () const
double	parStressUpperBoundRatesDiscountFactor () const
double	parStressAccurary () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaSensiSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaSensiScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	xvaSensiPricingEngine () const
bool	xvaSensiParSensi () const
bool	xvaSensiOutputJacobi () const
Real	xvaSensiThreshold () const
QuantLib::Size	xvaSensiOutputPrecision () const
const SaCvaNetSensitivities &	saCvaNetSensitivities () const
const vector< CvaSensitivityRecord > &	cvaSensitivities () const
bool	useUnhedgedCvaSensis () const
const std::vector< std::string > &	cvaPerfectHedges () const
const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	zeroToParShiftSimMarketParams () const
const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	zeroToParShiftScenarioData () const
const QuantLib::ext::shared_ptr< ore::data::EngineData > &	zeroToParShiftPricingEngine () const
const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	zeroToParShiftSensitivityScenarioData () const
vector< RiskFactorKey::KeyType >	pnlDateAdjustedRiskFactors () const
bool	riskFactorLevel () const
const std::set< std::string > &	analytics () const
virtual void	loadParameters ()
virtual void	writeOutParameters ()

Protected Attributes
std::set< std::string >	analytics_
QuantLib::Date	asof_
boost::filesystem::path	resultsPath_
std::filesystem::path	inputPath_
std::string	baseCurrency_ = "USD"
std::string	resultCurrency_
bool	continueOnError_ = true
bool	allowModelBuilderFallbacks_ = true
bool	lazyMarketBuilding_ = true
bool	buildFailedTrades_ = true
std::string	observationModel_ = "None"
bool	implyTodaysFixings_ = false
bool	enrichIndexFixings_ = false
Size	ignoreFixingLead_ = 0
Size	ignoreFixingLag_ = 0
optional< bool >	includeTodaysCashFlows_
bool	includeReferenceDateEvents_ = false
Parameters	parameters_
std::map< std::string, std::string >	marketConfigs_
QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager >	refDataManager_
QuantLib::ext::shared_ptr< ore::data::BaselTrafficLightData >	baselTrafficLightConfig_
QuantLib::ext::shared_ptr< ore::data::Conventions >	conventions_
QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig >	iborFallbackConfig_
CurveConfigurationsManager	curveConfigs_
QuantLib::ext::shared_ptr< ore::data::CalendarAdjustmentConfig >	calendarAdjustment_
QuantLib::ext::shared_ptr< ore::data::CurrencyConfig >	currencyConfig_
QuantLib::ext::shared_ptr< ore::data::EngineData >	pricingEngine_
QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	useCounterpartyOriginalPortfolio_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	mporPortfolio_
QuantLib::Size	maxRetries_ = 7
QuantLib::Size	nThreads_ = 1
bool	entireMarket_ = false
bool	allFixings_ = false
bool	eomInflationFixings_ = true
bool	useMarketDataFixings_ = true
bool	iborFallbackOverride_ = false
char	csvCommentCharacter_ = '#'
char	csvEolChar_ = '\n'
char	csvSeparator_ = ','
char	csvQuoteChar_ = '\0'
char	csvEscapeChar_ = '\\'
std::string	reportNaString_ = "#N/A"
bool	dryRun_ = false
QuantLib::Date	mporDate_
QuantLib::Size	mporDays_ = 10
bool	mporOverlappingPeriods_ = true
QuantLib::Calendar	mporCalendar_
bool	mporForward_ = true
std::string	marketDataLoaderOutput_
std::string	marketDataLoaderInput_
bool	deriveCounterpartyDefaultCurves_ = false
std::string	additionalMarketDataInput_
bool	outputAdditionalResults_ = false
std::size_t	additionalResultsReportPrecision_ = 6
bool	outputCurves_ = false
std::string	curvesMarketConfig_ = Market::defaultConfiguration
std::string	curvesGrid_ = "240,1M"
bool	outputTodaysMarketCalibration_ = true
std::size_t	todaysMarketCalibrationPrecision_ = 8
bool	includePastCashflows_ = false
QuantLib::Date	cashflowHorizon_
QuantLib::Date	portfolioFilterDate_
bool	xbsParConversion_ = false
bool	parSensi_ = false
bool	optimiseRiskFactors_ = false
bool	outputJacobi_ = false
bool	alignPillars_ = false
bool	useSensiSpreadedTermStructures_ = true
QuantLib::Real	sensiThreshold_ = 1e-6
bool	sensiRecalibrateModels_ = true
bool	sensiLaxFxConversion_ = false
bool	sensiDecomposition_ = false
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	sensiSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	sensiScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	sensiPricingEngine_
QuantLib::Size	sensiOutputPrecision_ = 2
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	scenarioSimMarketParams_
std::string	scenarioOutputFile_
QuantLib::Real	stressThreshold_ = 0.0
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	stressSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	stressScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	stressSensitivityScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	stressPricingEngine_
bool	stressOptimiseRiskFactors_ = false
double	stressLowerBoundCapFloorVolatility_
double	stressUpperBoundCapFloorVolatility_
double	stressLowerBoundSurvivalProb_
double	stressUpperBoundSurvivalProb_
double	stressLowerBoundRatesDiscountFactor_
double	stressUpperBoundRatesDiscountFactor_
double	stressAccurary_
Size	stressPrecision_ = 2
bool	stressGenerateCashflows_ = false
SalvagingAlgorithm::Type	varSalvagingAlgorithm_ = SalvagingAlgorithm::None
std::vector< Real >	varQuantiles_
bool	varBreakDown_ = false
bool	tradePnL_ = false
bool	includeExpectedShortfall_ = false
std::string	portfolioFilter_
std::string	varMethod_ = "DeltaGammaNormal"
Size	mcVarSamples_ = 1000000
long	mcVarSeed_ = 42
std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real >	covarianceData_
QuantLib::ext::shared_ptr< SensitivityStream >	sensitivityStream_
std::string	benchmarkVarPeriod_
QuantLib::ext::shared_ptr< ScenarioReader >	scenarioReader_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	histVarSimMarketParams_
std::string	baseScenarioLoc_
bool	outputHistoricalScenarios_ = false
std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real >	correlationData_
std::string	correlationMethod_ = "Pearson"
bool	amc_ = false
XvaEngineCG::Mode	amcCg_ = XvaEngineCG::Mode::Disabled
bool	xvaCgDynamicIM_ = false
Size	xvaCgDynamicIMStepSize_ = 1
Size	xvaCgRegressionOrder_ = 4
double	xvaCgRegressionVarianceCutoff_ = Null<Real>()
Size	xvaCgRegressionOrderDynamicIm_ = 4
double	xvaCgRegressionVarianceCutoffDynamicIm_ = Null<Real>()
bool	xvaCgTradeLevelBreakdown_ = true
std::vector< Size >	xvaCgRegressionReportTimeStepsDynamicIM_
bool	xvaCgUseRedBlocks_ = true
bool	xvaCgBumpSensis_ = false
bool	xvaCgUseExternalComputeDevice_ = false
bool	xvaCgExternalDeviceCompatibilityMode_ = false
bool	xvaCgUseDoublePrecisionForExternalCalculation_ = false
string	xvaCgExternalComputeDevice_
bool	xvaCgUsePythonIntegration_ = false
bool	xvaCgUsePythonIntegrationDynamicIm_ = false
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaCgSensiScenarioData_
std::set< std::string >	amcTradeTypes_
std::string	amcPathDataInput_
std::string	amcPathDataOutput_
bool	amcIndividualTrainingInput_ = false
bool	amcIndividualTrainingOutput_ = false
std::string	exposureBaseCurrency_ = ""
std::string	exposureObservationModel_ = "Disable"
std::string	nettingSetId_ = ""
std::string	scenarioGenType_ = ""
bool	storeFlows_ = false
bool	storeExerciseValues_ = false
bool	storeSensis_ = false
bool	allowPartialScenarios_ = false
vector< Real >	curveSensiGrid_
vector< Real >	vegaSensiGrid_
Size	storeCreditStateNPVs_ = 0
bool	storeSurvivalProbabilities_ = false
bool	writeCube_ = false
bool	writeScenarios_ = false
bool	generateCorrelations_ = false
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	exposureSimMarketParams_
QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_
QuantLib::ext::shared_ptr< CrossAssetModelData >	crossAssetModelData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	simulationPricingEngine_
QuantLib::ext::shared_ptr< ore::data::EngineData >	amcPricingEngine_
QuantLib::ext::shared_ptr< ore::data::EngineData >	amcCgPricingEngine_
QuantLib::ext::shared_ptr< ore::data::NettingSetManager >	nettingSetManager_
QuantLib::ext::shared_ptr< ore::data::CollateralBalances >	collateralBalances_
bool	exposureProfiles_ = true
bool	exposureProfilesByTrade_ = true
bool	exposureProfilesUseCloseOutValues_ = false
Real	pfeQuantile_ = 0.95
bool	fullInitialCollateralisation_ = false
std::string	collateralCalculationType_ = "NoLag"
std::string	exposureAllocationMethod_ = "None"
QuantLib::Size	maxScenario_ = QuantLib::Null<QuantLib::Size>()
Real	marginalAllocationLimit_ = 1.0
QuantLib::ext::shared_ptr< NPVCube >	cube_
QuantLib::ext::shared_ptr< NPVCube >	nettingSetCube_
QuantLib::ext::shared_ptr< NPVCube >	cptyCube_
QuantLib::ext::shared_ptr< AggregationScenarioData >	mktCube_
Real	simulationBootstrapTolerance_ = 0.0001
Size	reportBufferSize_ = 0
optional< bool >	exposureIncludeTodaysCashFlows_
bool	exposureIncludeReferenceDateEvents_ = false
bool	xvaUseDoublePrecisionCubes_ = false
std::string	xvaBaseCurrency_ = ""
bool	loadCube_ = false
bool	flipViewXVA_ = false
MporCashFlowMode	mporCashFlowMode_ = MporCashFlowMode::Unspecified
bool	exerciseNextBreak_ = false
bool	cvaAnalytic_ = true
bool	dvaAnalytic_ = false
bool	fvaAnalytic_ = false
bool	colvaAnalytic_ = false
bool	collateralFloorAnalytic_ = false
bool	dimAnalytic_ = false
std::string	dimModel_ = "Regression"
bool	mvaAnalytic_ = false
bool	kvaAnalytic_ = false
bool	dynamicCredit_ = false
bool	cvaSensi_ = false
std::vector< Period >	cvaSensiGrid_
Real	cvaSensiShiftSize_ = 0.0001
std::string	dvaName_ = ""
bool	rawCubeOutput_ = false
bool	netCubeOutput_ = false
bool	timeAveragedNettedExposureOutput_ = false
std::string	rawCubeOutputFile_ = ""
std::string	netCubeOutputFile_ = ""
std::string	timeAveragedNettedExposureOutputFile_ = ""
std::string	fvaBorrowingCurve_ = ""
std::string	fvaLendingCurve_ = ""
std::string	flipViewBorrowingCurvePostfix_ = "_BORROW"
std::string	flipViewLendingCurvePostfix_ = "_LEND"
std::map< std::string, TimeSeries< Real > >	deterministicInitialMargin_
Real	dimQuantile_ = 0.99
Size	dimHorizonCalendarDays_ = 14
Size	dimRegressionOrder_ = 0
vector< string >	dimRegressors_
vector< Size >	dimOutputGridPoints_
Real	dimDistributionCoveredStdDevs_ = 5.0
Size	dimDistributionGridSize_ = 50
string	dimOutputNettingSet_
Size	dimLocalRegressionEvaluations_ = 0
Real	dimLocalRegressionBandwidth_ = 0.25
Real	kvaCapitalDiscountRate_ = 0.10
Real	kvaAlpha_ = 1.4
Real	kvaRegAdjustment_ = 12.5
Real	kvaCapitalHurdle_ = 0.012
Real	kvaOurPdFloor_ = 0.03
Real	kvaTheirPdFloor_ = 0.03
Real	kvaOurCvaRiskWeight_ = 0.05
Real	kvaTheirCvaRiskWeight_ = 0.05
bool	creditMigrationAnalytic_ = false
std::vector< Real >	creditMigrationDistributionGrid_
std::vector< Size >	creditMigrationTimeSteps_
QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_
std::string	creditMigrationOutputFiles_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaStressSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	xvaStressScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaStressSensitivityScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	sensitivityStressSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	sensitivityStressScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	sensitivityStressSensitivityScenarioData_
bool	sensitivityStressCalcBaseScenario_ = false
bool	xvaStressWriteCubes_ = false
bool	firstMporCollateralAdjustment_ = false
std::string	simmVersion_
QuantLib::ext::shared_ptr< ore::analytics::Crif >	crif_
QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper >	simmNameMapper_
QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper >	simmBucketMapper_
QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData >	simmCalibrationData_
std::string	simmCalculationCurrencyCall_ = ""
std::string	simmCalculationCurrencyPost_ = ""
std::string	simmResultCurrency_ = ""
std::string	simmReportingCurrency_ = ""
bool	enforceIMRegulations_ = false
bool	removeInvalidCrifRecords_ = true
bool	useSimmParameters_ = true
bool	writeSimmIntermediateReports_ = true
bool	loadCrifAdditionalFields_ = true
bool	parConversionXbsParConversion_ = false
bool	parConversionOutputJacobi_ = false
bool	parConversionAlignPillars_ = false
QuantLib::Real	parConversionThreshold_ = 1e-6
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parConversionSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parConversionScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	parConversionPricingEngine_
std::string	parConversionInputFile_
std::string	parConversionInputIdColumn_ = "TradeId"
std::string	parConversionInputRiskFactorColumn_ = "Factor_1"
std::string	parConversionInputDeltaColumn_ = "Delta"
std::string	parConversionInputCurrencyColumn_ = "Currency"
std::string	parConversionInputBaseNpvColumn_ = "Base NPV"
std::string	parConversionInputShiftSizeColumn_ = "ShiftSize_1"
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parStressSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	parStressScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parStressSensitivityScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	parStressPricingEngine_
double	parStressLowerBoundCapFloorVolatility_
double	parStressUpperBoundCapFloorVolatility_
double	parStressLowerBoundSurvivalProb_
double	parStressUpperBoundSurvivalProb_
double	parStressLowerBoundRatesDiscountFactor_
double	parStressUpperBoundRatesDiscountFactor_
double	parStressAccurary_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	zeroToParShiftSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	zeroToParShiftScenarioData_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	zeroToParShiftSensitivityScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	zeroToParShiftPricingEngine_
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaSensiSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaSensiScenarioData_
QuantLib::ext::shared_ptr< ore::data::EngineData >	xvaSensiPricingEngine_
bool	xvaSensiParSensi_ = true
bool	xvaSensiOutputJacobi_ = false
QuantLib::Real	xvaSensiThreshold_ = 1e-6
QuantLib::Size	xvaSensiOutputPrecision_ = 4
SaCvaNetSensitivities	saCvaNetSensitivities_
vector< CvaSensitivityRecord >	cvaSensitivities_
QuantLib::ext::shared_ptr< ore::data::CounterpartyManager >	counterpartyManager_
bool	useUnhedgedCvaSensis_ = true
std::vector< std::string >	cvaPerfectHedges_ = {"ForeignExchange|Delta", "ForeignExchange|Vega"}
QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaExplainSimMarketParams_
QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaExplainSensitivityScenarioData_
double	xvaExplainShiftThreshold_ = 0
vector< RiskFactorKey::KeyType >	pnlDateAdjustedRiskFactors_
bool	riskFactorLevel_ = false

Detailed Description

Base class for input data, also exposed via SWIG.

Member Function Documentation

loadParameterString()

virtual std::string loadParameterString ( const std::string & analytic, const std::string & param, bool mandatory )

virtual

virtual function to load a parameter string for the given (analytic, param) pair

Reimplemented in OREAppInputParameters.

loadParameterXMLString()

virtual std::string loadParameterXMLString ( const std::string & analytic, const std::string & param, bool mandatory )

virtual

virtual function to load an XML string for the given (analytic, param) pair

Reimplemented in OREAppInputParameters.

writeOutParameters()

virtual void writeOutParameters ( )

virtual

Reimplemented in OREAppInputParameters.