crifrecordgenerator.hpp File Reference

Class that generates a CRIF records from sensitivity records. More...

#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <orea/simm/crifrecord.hpp>
#include <orea/simm/simmnamemapper.hpp>
#include <orea/simm/crifmarket.hpp>
#include <orea/simm/simmtradedata.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/portfolio/additionalfieldgetter.hpp>
#include <ored/report/report.hpp>
#include <ql/types.hpp>
#include <string>
#include <tuple>

Classes
class	VolatilityDataCrif
struct	VolatilityDataCrif::Key
	Key used to store data. More...
struct	CrifRecordData
class	CrifRecordGenerator
	Base Class to convert a sensitivity record to CRIF record, having to implementation for SIMM and FRTB records. More...
class	SimmRecordGenerator

Namespaces
namespace	ore
namespace	ore::analytics

Typedefs
using	RiskFactorKey

Functions
std::ostream &	operator<< (std::ostream &os, const VolatilityDataCrif::Key &key)
	Write key to os.

Detailed Description

Class that generates a CRIF records from sensitivity records.