ParStressTestConverter Class Reference

Public Member Functions
	ParStressTestConverter (const QuantLib::Date &asof, QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensiScenarioData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::Market > &todaysMarket, const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &iborFallbackConfig)
QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	convertStressScenarioData (const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< ore::data::Report > &parRateScenarioReport=nullptr) const
std::pair< QuantLib::ext::shared_ptr< ScenarioSimMarket >, QuantLib::ext::shared_ptr< ParSensitivityAnalysis > >	computeParSensitivity (const std::set< RiskFactorKey::KeyType > &typesDisabled) const

Member Function Documentation

convertStressScenarioData()

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > convertStressScenarioData	(	const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	scenarioData,
		const QuantLib::ext::shared_ptr< ore::data::Report > &	parRateScenarioReport = nullptr ) const

Convert all par shifts to zero shifts for all scenarios defined in the stresstest, if a report is given output the base and scenario base rates

computeParSensitivity()

std::pair< QuantLib::ext::shared_ptr< ScenarioSimMarket >, QuantLib::ext::shared_ptr< ParSensitivityAnalysis > > computeParSensitivity

(

const std::set< RiskFactorKey::KeyType > &

typesDisabled

)

const

Creates a SimMarket, aligns the pillars and strikes of sim and sensitivity scenario market, computes par sensitivites