VolatilityDataCrif Class Reference

#include <orea/simm/crifrecordgenerator.hpp>

Classes
struct	Key
	Key used to store data. More...

Public Member Functions
	VolatilityDataCrif (const QuantLib::ext::shared_ptr< CrifMarket > &crifMarket)
double	vegaTimesVol (ore::analytics::RiskFactorKey::KeyType rfType, const std::string &rfName, double sensitivity, const std::string &expiryTenor, const std::string &underlyingTerm)
QuantLib::Volatility	getVolatility (ore::analytics::RiskFactorKey::KeyType rfType, const std::string &rfName, const std::string &expiryTenor, const std::string &underlyingTerm="")
ore::analytics::SensitivityScenarioData::SensitivityScenarioData::ShiftData	getShiftData (ore::analytics::RiskFactorKey::KeyType rfType, const std::string &rfName)
void	reset ()
	Clear the cached values.

Detailed Description

Class used to ease retrieval of volatility data and shift size data during CRIF generation.

Member Function Documentation

getVolatility()

QuantLib::Volatility getVolatility	(	ore::analytics::RiskFactorKey::KeyType	rfType,
		const std::string &	rfName,
		const std::string &	expiryTenor,
		const std::string &	underlyingTerm = "" )

If we have a absolute shift it computes delta * atmvol(T_E, T_U) / shiftSize, for relative shifts it returns delta / shiftSize