ParStressScenarioConverter Class Reference

Convert all par shifts in a single stress test scenario to zero shifts. More...

#include <orea/engine/parstressscenarioconverter.hpp>

Classes
struct	ParRateScenarioData
struct	ConversionResults

Public Member Functions
	ParStressScenarioConverter (const QuantLib::Date &asof, const std::vector< RiskFactorKey > &sortedParInstrumentRiskFactorKeys, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensiScenarioData, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket, const ore::analytics::ParSensitivityInstrumentBuilder::Instruments &parInstruments, bool useSpreadedTermStructure)
ConversionResults	convertScenario (const StressTestScenarioData::StressTestData &scenario) const
	Convert par shifts in a stress scenario to zero shifts.

Detailed Description

Convert all par shifts in a single stress test scenario to zero shifts.