MarketRiskConfiguration Class Reference

Public Types
enum class	RiskClass {   All , InterestRate , Inflation , Credit ,   Equity , FX , Commodity }
enum class	RiskType { All , DeltaGamma , Vega , BaseCorrelation }

Static Public Member Functions
static std::set< RiskClass >	riskClasses (bool includeAll=false)
	Give back a set containing the RiskClass values optionally excluding 'All'.
static std::set< RiskType >	riskTypes (bool includeAll=false)
	Give back a set containing the RiskType values optionally excluding 'All'.

Member Enumeration Documentation

RiskClass

enum class RiskClass

strong

Risk class types in VaR plus an All type for convenience

Warning

The ordering here matters. It is used in indexing in to correlation matrices for the correlation between risk classes.

Warning

Internal methods rely on the first element being 'All'

RiskType

enum class RiskType

strong

Risk Type types in VaR plus an All type for convenience

Warning

Internal methods rely on the first element being 'All'