Reference manual - version orea_version
Par Sensitivity Analysis. More...
#include <orea/engine/parsensitivityanalysis.hpp>
Public Types | |
| typedef std::map< std::pair< ore::analytics::RiskFactorKey, ore::analytics::RiskFactorKey >, Real > | ParContainer |
Public Member Functions | |
| ParSensitivityAnalysis (const QuantLib::Date &asof, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, const ore::analytics::SensitivityScenarioData &sensitivityData, const string &marketConfiguration=Market::defaultConfiguration, const bool continueOnError=false, const std::set< ore::analytics::RiskFactorKey::KeyType > &typesDisabled={}) | |
| Constructor. | |
| void | computeParInstrumentSensitivities (const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket) |
| Compute par instrument sensitivities. | |
| const ParContainer & | parSensitivities () const |
| Return computed par sensitivities. Empty if they have not been computed yet. | |
| void | alignPillars () |
| align pillars in scenario simulation market parameters with those of the par instruments | |
| const std::set< ore::analytics::RiskFactorKey > & | relevantRiskFactors () const |
| get / set the relevant scenarios (if empty, these are ignored) | |
| std::set< ore::analytics::RiskFactorKey > & | relevantRiskFactors () |
| std::map< ore::analytics::RiskFactorKey, std::pair< QuantLib::Real, QuantLib::Real > > | shiftSizes () const |
| Return the zero rate and par rate absolute shift size for each risk factor key. | |
| void | disable (const std::set< ore::analytics::RiskFactorKey::KeyType > &types) |
| const std::set< ore::analytics::RiskFactorKey::KeyType > & | typesDisabled () const |
| Return the set of key types disabled for this instance of ParSensitivityAnalysis. | |
| const ParSensitivityInstrumentBuilder::Instruments & | parInstruments () const |
| void | writeParRatesReport (ore::data::Report &report) |
Static Public Member Functions | |
| static bool | isParType (ore::analytics::RiskFactorKey::KeyType type) |
| Returns true if risk factor type is applicable for par conversion. | |
Static Public Attributes | |
| static constexpr QuantLib::Real | regularisationThreshold = 0.01 |
| Threshold for small diagonal elements in par conversion matrix regularisation. | |
Par Sensitivity Analysis.
This class adds par sensitivity conversion to the base class functionality
| void disable | ( | const std::set< ore::analytics::RiskFactorKey::KeyType > & | types | ) |
Disable par conversion for the given set of risk factor key types. May be called multiple times in order to add key types that should not be considered for par conversion.