Reference manual - version orea_version
Public Member Functions | |
| PortfolioAnalyser (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &p, const QuantLib::ext::shared_ptr< ore::data::EngineData > &ed, const std::string &baseCcy, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< ore::data::IborFallbackConfig >(ore::data::IborFallbackConfig::defaultConfig()), bool recordSecuritySpecificCreditCurves=false, const std::string &baseCcyDiscountCurve=std::string()) | |
| Constructor. | |
| bool | hasRiskFactorType (const RiskFactorKey::KeyType &riskFactorType) const |
| Check if the portfolio has risk factors of a given type. | |
| bool | hasMarketObjectType (const ore::data::MarketObject &marketObject) const |
| Check if the portfolio has market objects of a given type. | |
| std::map< ore::analytics::RiskFactorKey::KeyType, std::set< std::string > > | riskFactors () const |
| Return the rrisk factor names per risk factor key type in the portfolio. | |
| std::set< std::string > | riskFactorNames (const RiskFactorKey::KeyType &riskFactorType) const |
| Return the risk factor names of the given risk factor type in the portfolio. | |
| std::set< RiskFactorKey::KeyType > | riskFactorTypes () const |
| Return all of the risk factor types in the portfolio. | |
| std::map< ore::data::MarketObject, std::set< std::string > > | marketObjects (const QuantLib::ext::optional< std::string > config=QuantLib::ext::nullopt) const |
| Return all of the market objects needed by the portfolio. | |
| std::map< std::string, std::map< ore::data::MarketObject, std::set< std::string > > > | allMarketObjects () const |
| std::set< std::string > | swapindices () const |
| Return the names of swap indices needed by the portfolio. | |
| void | riskFactorReport (ore::data::Report &reportOut) const |
| void | marketObjectReport (ore::data::Report &reportOut) const |
| std::set< std::string > | counterparties () |
| Return a set of all counterparties. | |
| QuantLib::Date | maturity () |
| Return portfolio maturity date. | |
| const QuantLib::ext::shared_ptr< ore::data::Portfolio > & | portfolio () const |
| pointer to portfolio | |
| std::map< ore::data::AssetClass, std::set< std::string > > | underlyingIndices () const |
| return underlying indices of portfolio | |
| void | addDependencies () |
| add any missing market dependencies | |
| void riskFactorReport | ( | ore::data::Report & | reportOut | ) | const |
Populate a report with the type and name of each risk factor in the portfolio Report has headers 'RiskFactorType', 'RiskFactorName'
| void marketObjectReport | ( | ore::data::Report & | reportOut | ) | const |
Populate a report with the type and name of each market object in the portfolio Report has headers 'MarketObjectType', 'MarketObjectName'