ore::analytics Namespace Reference

Classes
class	CollateralAccount
	Collateral Account. More...
class	CollateralExposureHelper
	Collateral Exposure Helper. More...
class	CreditMigrationCalculator
	Credit Migration Calculator. More...
class	CreditMigrationHelper
class	CreditSimulationParameters
	Credit simulation description. More...
class	CVASpreadSensitivityCalculator
	CVA Spread Sensitivity Calculator. More...
class	DynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator base class. More...
class	DirectDynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator using IM stored in netting set cube. More...
class	FlatDynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator using flat extrapolation of t0 IM. More...
class	DimHelper
	Helper for cam model implied VaR calculation. More...
class	RegressionDynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator using polynomial regression. More...
class	DynamicCreditXvaCalculator
	XVA Calculator base with dynamic credit. More...
class	DynamicDeltaVaRCalculator
	Dynamic Delta/Gamma VaR for Initial Margin. More...
class	DynamicSimmCalculator
	Dynamic SIMM. More...
class	ExposureAllocator
	Exposure allocator base class. More...
class	RelativeFairValueNetExposureAllocator
class	RelativeFairValueGrossExposureAllocator
class	RelativeXvaExposureAllocator
class	NoneExposureAllocator
class	ExposureCalculator
	XVA Calculator base class. More...
class	NettedExposureCalculator
	XVA Calculator base class. More...
class	PostProcess
	Exposure Aggregation and XVA Calculation. More...
class	SimmHelper
	Helper for cam model implied SImple SIMM calculation. More...
class	StaticCreditXvaCalculator
	XVA Calculator base with static credit. More...
class	ValueAdjustmentCalculator
	XVA Calculator base class. More...
class	Analytic
class	MarketDataAnalyticImpl
class	MarketDataAnalytic
class	AbstractAnalyticBuilder
	AnalyticBuilder base class. More...
class	AnalyticBuilder
	Template AnalyticBuilder class. More...
class	AnalyticFactory
	AnalyticFactory. More...
class	BaCvaAnalyticImpl
class	BaCvaAnalytic
class	CalibrationAnalyticImpl
class	CalibrationAnalytic
class	CorrelationAnalyticImpl
class	CorrelationAnalytic
class	CrifAnalyticImpl
class	CrifAnalytic
class	IMScheduleAnalyticImpl
class	IMScheduleAnalytic
class	ParConversionAnalyticImpl
class	ParConversionAnalytic
class	ParScenarioAnalyticImpl
class	ParScenarioAnalytic
class	ParStressConversionAnalyticImpl
class	ParStressConversionAnalytic
class	PnlAnalyticImpl
class	PnlAnalytic
class	PnlExplainAnalyticImpl
class	PnlExplainAnalytic
class	PortfolioDetailsAnalyticImpl
class	PortfolioDetailsAnalytic
class	PricingAnalyticImpl
class	PricingAnalytic
class	SaCcrAnalyticImpl
class	SaCcrAnalytic
class	SaCvaAnalyticImpl
class	SaCvaAnalytic
class	ScenarioAnalyticImpl
class	ScenarioAnalytic
class	ScenarioGenerationAnalyticImpl
class	ScenarioGenerationAnalytic
class	SensitivityStressAnalyticImpl
class	SensitivityStressAnalytic
class	SimmAnalyticImpl
class	SimmAnalytic
class	SmrcAnalyticImpl
class	SmrcAnalytic
class	StressTestAnalyticImpl
class	StressTestAnalytic
class	VarAnalyticImpl
class	VarAnalytic
class	ParametricVarAnalyticImpl
class	ParametricVarAnalytic
class	HistoricalSimulationVarAnalyticImpl
class	HistoricalSimulationVarAnalytic
class	XvaAnalyticImpl
class	XvaAnalytic
class	XvaExplainResults
class	XvaExplainAnalyticImpl
class	XvaExplainAnalytic
class	XvaResults
struct	ZeroSensiResults
struct	ParSensiResults
class	XvaSensitivityAnalyticImpl
class	XvaSensitivityAnalytic
class	XvaStressAnalyticImpl
class	XvaStressAnalytic
class	ZeroToParShiftAnalyticImpl
class	ZeroToParShiftAnalytic
class	AnalyticsManager
class	CleanUpThreadLocalSingletons
class	CleanUpThreadGlobalSingletons
class	CleanUpLogSingleton
class	DummyMarketDataLoader
class	InputParameters
	Base class for input data, also exposed via SWIG. More...
class	OutputParameters
	Traditional ORE input via ore.xml and various files, output into files. More...
class	MarketCalibrationReportBase
class	MarketCalibrationReport
class	MarketDataBinaryLoader
class	MarketDataCsvLoaderImpl
class	MarketDataCsvLoader
class	MarketDataInMemoryLoaderImpl
class	MarketDataInMemoryLoader
class	StructuredFixingWarningMessage
	Utility class for Structured Fixing warnings. More...
class	MarketDataLoaderImpl
class	MarketDataLoader
class	OREApp
	Orchestrates the processes covered by ORE, data loading, analytics and reporting. More...
class	OREAppInputParameters
class	Parameters
	Provides the input data and references to input files used in OREApp. More...
class	PortfolioAnalyser
class	ReportWriter
	Write ORE outputs to reports. More...
class	StructuredAnalyticsErrorMessage
class	StructuredAnalyticsWarningMessage
class	ZeroSensitivityLoader
struct	NPVCubeWithMetaData
class	CubeCsvReader
	Read an NPV cube from a human readable text file. More...
class	CubeInterpretation
	Allow for interpretation of how data is stored within cube and AggregationScenarioData. More...
class	CubeWriter
	Write an NPV cube to a human readable text file. More...
class	InMemoryCubeOpt
class	TradeBlock
class	DepthCalculator
class	ConstantDepthCalculator
class	JaggedCube
	JaggedCube stores the cube in memory using a vector of trade specific blocks. More...
class	JointNPVCube
class	JointNPVSensiCube
class	NPVCube
	NPV Cube class stores both future and current NPV values. More...
class	NPVSensiCube
	NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date. More...
class	SensiCube
	SensiCube stores only npvs not equal to the base npvs. More...
class	SensitivityCube
	SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements. More...
class	SparseNpvCube
class	AMCValuationEngine
	AMC Valuation Engine. More...
class	BaCvaCalculator
	Class for calculating Basic Approach CVA capital charge. More...
class	BufferedSensitivityStream
class	CorrelationReport
class	CounterpartyCalculator
	CounterpartyCalculator interface. More...
class	SurvivalProbabilityCalculator
	SurvivalProbabilityCalculator. More...
class	CvaSensitivityCubeStream
struct	CvaSensitivityRecord
class	DecomposedSensitivityStream
	Class that wraps a sensitivity stream and decompose default, equity and commodity risk records given weights. More...
class	DependencyMarket
class	FilteredSensitivityStream
	Class that wraps a sensitivity stream and filters out negligible records. More...
class	HistoricalPnlGenerator
class	PNLCalculator
class	CovarianceCalculator
class	HistoricalSensiPnlCalculator
class	HistoricalSimulationVarCalculator
class	HistoricalSimulationVarReport
	HistoricalSimulation VaR Calculator. More...
class	MarketRiskBacktest
class	BacktestPNLCalculator
class	MarketRiskGroupBase
class	MarketRiskGroupBaseContainer
class	TradeGroupBase
class	TradeGroupBaseContainer
class	MarketRiskGroup
class	MarketRiskGroupContainer
class	TradeGroup
class	TradeGroupContainer
class	MarketRiskReport
class	MPORCalculator
	MPORCalculator. More...
class	MultiStateNPVCalculator
	MultiStateNPVCalculator. More...
class	MultiThreadedValuationEngine
struct	NpvRecord
class	ObservationMode
	The Global Observation setting. More...
class	ParametricVarCalculator
class	ParametricVarReport
	Parametric VaR Calculator. More...
class	ParSensitivityAnalysis
	Par Sensitivity Analysis. More...
class	ParSensitivityConverter
	ParSensitivityConverter class. More...
class	ParSensitivityCubeStream
class	ParSensitivityInstrumentBuilder
class	ParStressTestConverter
class	ParStressScenarioConverter
	Convert all par shifts in a single stress test scenario to zero shifts. More...
struct	PathData
class	PnlExplainReport
class	MarketRiskConfiguration
class	RiskFilter
	Risk Filter. More...
struct	SaCcrAmounts
class	SaccrCalculator
	Compute derivative capital charge according to SA-CCR rules. More...
class	SaccrCrifGenerator
	Class that generates a CRIF report. More...
struct	saCcrDefaults
class	SaccrTradeData
class	CommodityForwardSaccrImpl
class	CommodityDigitalOptionSaccrImpl
class	CommoditySpreadOptionSaccrImpl
class	CommoditySwaptionSaccrImpl
class	CommodityPositionSaccrImpl
class	EquityForwardSaccrImpl
class	EquityPositionSaccrImpl
class	EquityOptionPositionSaccrImpl
class	EquityDigitalOptionSaccrImpl
class	EquityTouchOptionSaccrImpl
class	EquityDoubleTouchOptionSaccrImpl
class	EquityBarrierOptionSaccrImpl
class	EquityDoubleBarrierOptionSaccrImpl
class	FxSaccrImpl
class	CashPositionSaccrImpl
class	FRASaccrImpl
class	CapFloorSaccrImpl
class	BondTRSSaccrImpl
class	BondRepoSaccrImpl
class	ScriptedTradeSaccrImpl
class	VanillaOptionSaccrImpl
class	TotalReturnSwapSaccrImpl
class	SwapSaccrImpl
class	SwaptionSaccrImpl
class	VarianceSwapSaccrImpl
class	AsianOptionSaccrImpl
class	SaCvaSensitivityLoader
struct	SaCvaSensitivityRecord
struct	CvaNettingSetTag
struct	CvaRiskTypeTag
struct	CvaRiskFactorTag
class	SensitivityAggregator
class	SensitivityAnalysis
	Sensitivity Analysis. More...
class	SensitivityCalculator
	SensitivityCalculator. More...
class	SensitivityCubeStream
class	SensitivityInputStream
	Class for streaming SensitivityRecords from csv file. More...
class	SensitivityFileStream
class	SensitivityBufferStream
class	SensitivityInMemoryStream
	Class for streaming SensitivityRecords from csv file. More...
struct	SensitivityRecord
class	SensitivityReportStream
	Class for streaming SensitivityRecords from csv file. More...
class	SensitivityStorageManager
class	CamSensitivityStorageManager
class	SensitivityStream
	Base Class for streaming SensitivityRecords. More...
class	SimmSensitivityStorageManager
class	SimpleDynamicSimm
class	SMRC
	Compute standardize market risk capital charge. More...
struct	SaCvaSummaryKey
class	StandardApproachCvaCalculator
	A class for calculating Standard Approach CVA capital charge. More...
class	ValuationCalculator
	ValuationCalculator interface. More...
class	NPVCalculator
	NPVCalculator. More...
class	CashflowCalculator
	CashflowCalculator. More...
class	NPVCalculatorFXT0
	NPVCalculatorFXT0. More...
class	CashflowReportCalculator
	CashflowReportCalculator. More...
class	ExerciseCalculator
	ExerciseCalculator. More...
class	ValuationEngine
	Valuation Engine. More...
class	VarCalculator
	VaR Calculator. More...
class	VarReport
class	XvaEngineCG
class	ZeroToParCube
	ZeroToParCube class. More...
class	ZeroToParShiftConverter
class	AggregationScenarioData
	Container for storing simulated market data. More...
class	InMemoryAggregationScenarioData
	A concrete in memory implementation of AggregationScenarioData. More...
class	ClonedScenarioGenerator
class	CloneScenarioFactory
	Factory class for cloning scenario objects. More...
class	CrossAssetModelScenarioGenerator
	Scenario Generator using cross asset model paths. More...
class	CSVScenarioGenerator
	Class for generating scenarios from a csv file assumed to be in a format compatible with ScenarioWriter. More...
class	CvaRiskFactorKey
	Data types stored in the scenario class. More...
class	CvaScenario
class	CvaShiftedScenario
class	CvaScenarioLoader
class	DeltaScenario
	Delta Scenario class. More...
class	DeltaScenarioFactory
	Factory class for cloning scenario objects. More...
class	HistoricalScenarioGenerator
	Historical Scenario Generator. More...
class	HistoricalScenarioGeneratorRandom
	Historical scenario generator generating random scenarios, for testing purposes. More...
class	HistoricalScenarioGeneratorTransform
	Historical scenario generator transform. More...
class	HistoricalScenarioGeneratorWithFilteredDates
class	ReturnConfiguration
	Return type for historical scenario generation (absolute, relative, log). More...
class	LgmScenarioGenerator
	Scenario Generator using LGM model paths. More...
class	ScenarioFactory
	Scenario factory base class. More...
class	ScenarioCSVReader
	Class for reading scenarios from a csv file. More...
class	ScenarioFileReader
class	ScenarioBufferReader
class	RiskFactorTypeScenarioFilter
	Filter that will only allow specified RiskFactorKey::KeyTypes. More...
class	RiskFactorScenarioFilter
	Filter that will only allow specified keys. More...
class	CompositeScenarioFilter
	Filter for combining the above. More...
class	ScenarioGenerator
	Scenario generator base class. More...
class	ScenarioPathGenerator
	Scenario generator that generates an entire path. More...
class	StaticScenarioGenerator
class	ScenarioLoaderPathGenerator
class	ScenarioGeneratorBuilder
	Build a ScenarioGenerator. More...
class	ScenarioGeneratorData
	Scenario Generator description. More...
class	ScenarioGeneratorTransform
class	ScenarioLoader
class	SimpleScenarioLoader
	Class for loading historical scenarios. More...
class	HistoricalScenarioLoader
	Class for loading historical scenarios. More...
class	ScenarioReader
	Base Class for reading scenarios. More...
class	ScenarioShiftCalculator
class	ScenarioFilter
	A scenario filter can exclude certain key from updating the scenario. More...
class	ScenarioSimMarket
	Simulation Market updated with discrete scenarios. More...
class	ScenarioSimMarketParameters
	ScenarioSimMarket description. More...
class	ScenarioWriter
	Class for writing scenarios to file. More...
class	SensitivityScenarioData
	Description of sensitivity shift scenarios. More...
class	SensitivityScenarioGenerator
	Sensitivity Scenario Generator. More...
class	ShiftScenarioGenerator
	Shift Scenario Generator. More...
class	ShiftScenarioLoaderGenerator
class	SimpleScenario
class	SimpleScenarioFactory
	Factory class for building simple scenario objects. More...
class	StressTestScenarioData
	Description of sensitivity shift scenarios. More...
class	StressScenarioGenerator
	Stress Scenario Generator. More...
class	ZeroToParScenarioGenerator
	Zero To Par Scenario Generator. More...
class	SlimCrifRecord
struct	QualifierTag
struct	BucketTag
struct	QualifierBucketTag
struct	RiskTypeTag
struct	crifRecordIsSimmParameter
class	Crif
class	CrifConfiguration
class	CrifGenerator
	Class that generates a CRIF report. More...
class	CrifLoader
class	StringStreamCrifLoader
class	CsvFileCrifLoader
class	CsvBufferCrifLoader
class	CrifMarket
struct	CrifRecord
class	VolatilityDataCrif
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
class	IMScheduleCalculator
struct	IMScheduleResult
class	IMScheduleResults
class	SimmBasicNameMapper
class	SimmBucketMapper
class	BucketMapping
class	SimmBucketMapperBase
class	SimmCalculator
	A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios. More...
class	SimmCalibration
class	SimmCalibrationData
class	SimmConcentration
class	SimmConcentrationBase
class	SimmConcentrationCalibration
	Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration. More...
class	SimmConcentration_ISDA_V1_3
class	SimmConcentration_ISDA_V1_3_38
	Class giving the SIMM concentration thresholds for v1.3.38. More...
class	SimmConcentration_ISDA_V2_0
class	SimmConcentration_ISDA_V2_1
class	SimmConcentration_ISDA_V2_2
class	SimmConcentration_ISDA_V2_3
class	SimmConcentration_ISDA_V2_3_8
class	SimmConcentration_ISDA_V2_5
class	SimmConcentration_ISDA_V2_5A
class	SimmConcentration_ISDA_V2_6
class	SimmConcentration_ISDA_V2_6_5
class	SimmConcentration_ISDA_V2_7_2412
class	SimmConcentration_ISDA_V2_8_2506
class	SimmConfiguration
	Abstract base class defining the interface for a SIMM configuration. More...
class	SimmConfigurationBase
class	SimmConfigurationCalibration
class	SimmConfiguration_ISDA_V1_0
class	SimmConfiguration_ISDA_V1_3
class	SimmConfiguration_ISDA_V1_3_38
	Class giving the SIMM configuration for v1.3.38. More...
class	SimmConfiguration_ISDA_V2_0
class	SimmConfiguration_ISDA_V2_1
class	SimmConfiguration_ISDA_V2_2
class	SimmConfiguration_ISDA_V2_3
class	SimmConfiguration_ISDA_V2_3_8
class	SimmConfiguration_ISDA_V2_5
class	SimmConfiguration_ISDA_V2_5A
class	SimmConfiguration_ISDA_V2_6
class	SimmConfiguration_ISDA_V2_6_5
class	SimmConfiguration_ISDA_V2_7_2412
class	SimmConfiguration_ISDA_V2_8_2506
class	SimmNameMapper
class	SimmResults
class	SimmTradeData
class	FixingManager
	Pseudo Fixings Manager. More...
class	SimMarket
	Simulation Market. More...
class	map
	STL class. More...
class	string
	STL class. More...
class	vector
	STL class. More...
class	set
	STL class. More...
class	XMLSerializable
class	pair
	STL class. More...
class	Market

Typedefs
typedef std::map< QuantLib::Date, std::set< std::string > >	QuoteMap
typedef std::map< std::string, RequiredFixings::FixingDates >	FixingMap
template<typename T>
using	InMemoryCubeBase = InMemoryCubeOpt<T>
template<typename T>
using	InMemoryCubeN = InMemoryCubeOpt<T>
template<typename T>
using	InMemoryCube1 = InMemoryCubeOpt<T>
using	SinglePrecisionInMemoryCube = InMemoryCubeOpt<float>
using	SinglePrecisionInMemoryCubeN = InMemoryCubeOpt<float>
using	DoublePrecisionInMemoryCube = InMemoryCubeOpt<double>
using	DoublePrecisionInMemoryCubeN = InMemoryCubeOpt<double>
using	SinglePrecisionJaggedCube = JaggedCube<float>
	Jagged cube with single precision floating point numbers.
using	DoublePrecisionJaggedCube = JaggedCube<double>
	Jagged cube with double precision floating point numbers.
using	DoublePrecisionSensiCube = SensiCube
using	SinglePrecisionSparseNpvCube = SparseNpvCube<float>
using	RealPrecisionSparseNpvCube = SparseNpvCube<Real>
using	TradePnLStore = std::vector<std::vector<QuantLib::Real>>
typedef std::pair< RiskFactorKey, RiskFactorKey >	CrossPair
typedef boost::multi_index_container< SaCvaSensitivityRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique< boost::multi_index::identity< SaCvaSensitivityRecord > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< CvaNettingSetTag >, boost::multi_index::composite_key< SaCvaSensitivityRecord, boost::multi_index::member< SaCvaSensitivityRecord, std::string, &SaCvaSensitivityRecord::nettingSetId > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< CvaRiskTypeTag >, boost::multi_index::composite_key< SaCvaSensitivityRecord, boost::multi_index::member< SaCvaSensitivityRecord, std::string, &SaCvaSensitivityRecord::nettingSetId >, boost::multi_index::member< SaCvaSensitivityRecord, CvaRiskFactorKey::KeyType, &SaCvaSensitivityRecord::riskType >, boost::multi_index::member< SaCvaSensitivityRecord, CvaRiskFactorKey::MarginType, &SaCvaSensitivityRecord::marginType > > >, boost::multi_index::ordered_unique< boost::multi_index::tag< CvaRiskFactorTag >, boost::multi_index::composite_key< SaCvaSensitivityRecord, boost::multi_index::member< SaCvaSensitivityRecord, std::string, &SaCvaSensitivityRecord::nettingSetId >, boost::multi_index::member< SaCvaSensitivityRecord, CvaRiskFactorKey::KeyType, &SaCvaSensitivityRecord::riskType >, boost::multi_index::member< SaCvaSensitivityRecord, std::string, &SaCvaSensitivityRecord::bucket >, boost::multi_index::member< SaCvaSensitivityRecord, CvaRiskFactorKey::MarginType, &SaCvaSensitivityRecord::marginType >, boost::multi_index::member< SaCvaSensitivityRecord, std::string, &SaCvaSensitivityRecord::riskFactor >, boost::multi_index::member< SaCvaSensitivityRecord, CvaType, &SaCvaSensitivityRecord::cvaType > > > > >	SaCvaNetSensitivities
typedef std::map< QuantLib::Currency, QuantLib::Matrix, QuantExt::CurrencyComparator >	result_type_matrix
typedef std::map< QuantLib::Currency, std::vector< QuantLib::Real >, QuantExt::CurrencyComparator >	result_type_vector
typedef std::map< QuantLib::Currency, QuantLib::Real, QuantExt::CurrencyComparator >	result_type_scalar
using	RiskFactorKey = QuantExt::RiskFactorKey
using	Scenario = QuantExt::Scenario
using	ShiftScheme = QuantExt::ShiftScheme
using	ShiftType = QuantExt::ShiftType
typedef boost::multi_index_container< SlimCrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique< boost::multi_index::identity< SlimCrifRecord > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< QualifierTag >, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::nettingSetDetails >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::ProductClass &, &SlimCrifRecord::productClass >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::RiskType &, &SlimCrifRecord::riskType >, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::qualifier > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< BucketTag >, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::nettingSetDetails >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::ProductClass &, &SlimCrifRecord::productClass >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::RiskType &, &SlimCrifRecord::riskType >, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::bucket > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< QualifierBucketTag >, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::nettingSetDetails >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::ProductClass &, &SlimCrifRecord::productClass >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::RiskType &, &SlimCrifRecord::riskType >, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::qualifier >, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::bucket > > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag< RiskTypeTag >, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun< SlimCrifRecord, const int &, &SlimCrifRecord::nettingSetDetails >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::ProductClass &, &SlimCrifRecord::productClass >, boost::multi_index::const_mem_fun< SlimCrifRecord, const CrifRecord::RiskType &, &SlimCrifRecord::riskType > > > > >	SlimCrifRecordContainer
typedef boost::multi_index_container< CrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique< boost::multi_index::identity< CrifRecord > > > >	CrifRecordContainer
using	RiskFactorKey

Enumerations
enum class	CvaType { CvaAggregate , CvaHedge }
enum class	AggregationScenarioDataType : unsigned int {   IndexFixing = 0 , FXSpot = 1 , Numeraire = 2 , CreditState = 3 ,   SurvivalWeight = 4 , RecoveryRate = 5 , Generic = 6 }
enum	IMScheduleLabel {   Credit2 , Credit5 , Credit100 , Commodity ,   Equity , FX , Rates2 , Rates5 ,   Rates100 , Other }
enum class	SimmVersion {   V1_0 , V1_1 , V1_2 , V1_3 ,   V1_3_38 , V2_0 , V2_1 , V2_2 ,   V2_3 , V2_3_8 , V2_5 , V2_5A ,   V2_6 , V2_6_5 , V2_7_2412 , V2_8_2506 }
	Ordered SIMM versions.

Functions
CollateralExposureHelper::CalculationType	parseCollateralCalculationType (const string &s)
	Convert text representation to CollateralExposureHelper::CalculationType.
CreditMigrationHelper::CreditMode	parseCreditMode (const std::string &s)
CreditMigrationHelper::LoanExposureMode	parseLoanExposureMode (const std::string &s)
CreditMigrationHelper::Evaluation	parseEvaluation (const std::string &s)
bool	lessThan (const Array &a, const Array &b)
ExposureAllocator::AllocationMethod	parseAllocationMethod (const string &s)
	Convert text representation to ExposureAllocator::AllocationMethod.
std::ostream &	operator<< (std::ostream &out, ExposureAllocator::AllocationMethod m)
	Convert ExposureAllocator::AllocationMethod to text representation.
QuantLib::ext::shared_ptr< ore::data::Loader >	implyBondSpreads (const Date &asof, const QuantLib::ext::shared_ptr< InputParameters > &params, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const std::string &excludeRegex)
std::pair< QuantLib::ext::shared_ptr< ore::analytics::SensitivityStream >, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	computeSensitivities (QuantLib::ext::shared_ptr< ore::analytics::SensitivityAnalysis > &sensiAnalysis, const QuantLib::ext::shared_ptr< InputParameters > &plusInputs, ore::analytics::Analytic *analytic, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const bool writeReports)
ScenarioGenerationAnalyticImpl::Type	parseScenarioGenerationType (const std::string &s)
std::ostream &	operator<< (std::ostream &out, ScenarioGenerationAnalyticImpl::Type t)
bool	operator< (const XvaExplainResults::XvaReportKey &lhs, const XvaExplainResults::XvaReportKey &rhs)
std::ostream &	operator<< (std::ostream &os, const XvaResults::Adjustment adjustment)
	Write FrtbCorrelationScenario to stream.
QuantLib::ext::shared_ptr< AnalyticsManager >	parseAnalytics (const std::string &s, const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< MarketDataLoader > &marketDataLoader)
QuantLib::ext::shared_ptr< ore::data::InMemoryReport >	getReport (const ore::analytics::Analytic::analytic_reports &reports, const std::string &analytic, const std::string &report)
	get a report from analytic report collection or if not present an empty report
void	initBuilders (const bool registerOREAnalytics=true)
std::vector< std::string >	getFileNames (const std::string &fileString, const std::filesystem::path &path)
void	scaleUpPortfolio (QuantLib::ext::shared_ptr< ore::data::Portfolio > &p)
NPVCubeWithMetaData	loadCube (const std::string &filename)
void	saveCube (const std::string &filename, const NPVCubeWithMetaData &cube)
QuantLib::ext::shared_ptr< AggregationScenarioData >	loadAggregationScenarioData (const std::string &filename)
void	saveAggregationScenarioData (const std::string &filename, const AggregationScenarioData &cube)
std::ostream &	operator<< (std::ostream &out, const SensitivityCube::crossPair &cp)
void	decomposeCreditIndex (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade, const QuantLib::ext::shared_ptr< ore::data::Market > &market, std::map< std::string, QuantLib::Real > &sensitivityDecompositionWeights, bool &decompose)
std::ostream &	operator<< (std::ostream &out, const CvaSensitivityRecord &sr)
	Enable writing of a SensitivityRecord.
std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)
std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)
std::ostream &	operator<< (std::ostream &out, const NpvRecord &nr)
	Enable writing of a NpvRecord.
ParametricVarCalculator::ParametricVarParams::Method	parseParametricVarMethod (const std::string &method)
std::ostream &	operator<< (std::ostream &out, const ParametricVarCalculator::ParametricVarParams::Method &method)
void	writeParConversionMatrix (const ore::analytics::ParSensitivityAnalysis::ParContainer &parSensitivities, ore::data::Report &reportOut)
	Write par instrument sensitivity report.
Real	impliedQuote (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &i)
	Computes the implied quote.
bool	riskFactorKeysAreSimilar (const ore::analytics::RiskFactorKey &x, const ore::analytics::RiskFactorKey &y)
	true if key type and name are equal, do not care about the index though
double	impliedVolatility (const RiskFactorKey &key, const ParSensitivityInstrumentBuilder::Instruments &instruments)
std::set< RiskFactorKey::KeyType >	disabledParRates (bool irCurveParRates, bool irCapFloorParRates, bool creditParRates)
std::ostream &	operator<< (std::ostream &out, const MarketRiskConfiguration::RiskClass &rc)
std::ostream &	operator<< (std::ostream &out, const MarketRiskConfiguration::RiskType &rt)
MarketRiskConfiguration::RiskClass	parseVarRiskClass (const std::string &rc)
MarketRiskConfiguration::RiskType	parseVarRiskType (const std::string &rt)
std::ostream &	operator<< (std::ostream &os, SaccrTradeData::AssetClass ac)
std::ostream &	operator<< (std::ostream &os, SaccrTradeData::CommodityHedgingSet hs)
CvaRiskFactorKey	mapRiskFactorKeyToCvaRiskFactorKey (string s)
std::ostream &	operator<< (std::ostream &out, const SaCvaSensitivityRecord &sr)
	Enable writing of a CvaSensitivityRecord.
std::ostream &	operator<< (std::ostream &out, const CvaType &mt)
CvaType	parseCvaType (const std::string &mt)
Real	getShiftSize (const RiskFactorKey &key, const SensitivityScenarioData &sensiParams, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const std::string &marketConfiguration="")
std::ostream &	operator<< (std::ostream &out, const SensitivityRecord &sr)
	Enable writing of a SensitivityRecord.
void	copyRandomVariable (const QuantExt::RandomVariable &from, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > to)
void	runStressTest (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< StressTestScenarioData > &stressData, const QuantLib::ext::shared_ptr< ore::data::Report > &report, const QuantLib::ext::shared_ptr< ore::data::Report > &cfReport=nullptr, const double threshold=0.0, const Size precision=2, const bool includePastCashflows=false, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory=nullptr, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), bool continueOnError=false, const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &scenarioReport=nullptr)
	Stress Test Analysis.
void	runStressTest (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ScenarioReader > &scenarioReader, const QuantLib::ext::shared_ptr< ore::data::Report > &report, const QuantLib::ext::shared_ptr< ore::data::Report > &cfReport=nullptr, const double threshold=0.0, const Size precision=2, const bool includePastCashflows=false, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), bool continueOnError=false, const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &scenarioReport=nullptr)
void	runStressTest (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const Date &asof, const QuantLib::ext::shared_ptr< ScenarioSimMarket > simMarket, const string &marketConfiguration, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const string &baseCcy, const QuantLib::ext::shared_ptr< ShiftScenarioGenerator > &scenarioGenerator, const QuantLib::ext::shared_ptr< ore::data::Report > &report, const QuantLib::ext::shared_ptr< ore::data::Report > &cfReport=nullptr, const double threshold=0.0, const Size precision=2, const bool includePastCashflows=false, const ore::data::CurveConfigurations &curveConfigs=ore::data::CurveConfigurations(), const ore::data::TodaysMarketParameters &todaysMarketParams=ore::data::TodaysMarketParameters(), const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), bool continueOnError=false, const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &scenarioReport=nullptr)
XvaEngineCG::Mode	parseXvaEngineCgMode (const std::string &s)
std::ostream &	operator<< (std::ostream &os, XvaEngineCG::Mode m)
std::ostream &	operator<< (std::ostream &out, const AggregationScenarioDataType &t)
bool	operator< (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
bool	operator== (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
bool	operator> (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
bool	operator<= (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
bool	operator>= (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
bool	operator!= (const CvaRiskFactorKey &lhs, const CvaRiskFactorKey &rhs)
std::ostream &	operator<< (std::ostream &out, const CvaRiskFactorKey::KeyType &type)
std::ostream &	operator<< (std::ostream &out, const CvaRiskFactorKey::MarginType &type)
std::ostream &	operator<< (std::ostream &out, const CvaRiskFactorKey &key)
CvaRiskFactorKey::KeyType	parseCvaRiskFactorKeyType (const std::string &str)
CvaRiskFactorKey::MarginType	parseCvaRiskFactorMarginType (const std::string &str)
CvaRiskFactorKey	parseCvaRiskFactorKey (const std::string &str)
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< ScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const TimePeriod &period, Calendar calendar, Size mporDays, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam, const QuantLib::ext::shared_ptr< ReturnConfiguration > &returnConfiguration, const bool overlapping=true)
QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< ScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const std::set< QuantLib::Date > &dates, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam, const QuantLib::ext::shared_ptr< ReturnConfiguration > &returnConfiguration)
std::ostream &	operator<< (std::ostream &out, const ReturnConfiguration::ReturnType t)
RiskFactorKey::KeyType	yieldCurveRiskFactor (const ore::data::YieldCurveType y)
	Map a yield curve type to a risk factor key type.
QuantLib::Real	getDifferenceScenario (const RiskFactorKey::KeyType keyType, const QuantLib::Real v1, const QuantLib::Real v2)
QuantLib::ext::shared_ptr< Scenario >	getDifferenceScenario (const QuantLib::ext::shared_ptr< Scenario > &s1, const QuantLib::ext::shared_ptr< Scenario > &s2, const QuantLib::Date &targetScenarioAsOf=QuantLib::Date(), const QuantLib::Real targetScenarioNumeraire=0.0, const bool allowAdditionalKeysInS2=false)
QuantLib::Real	addDifferenceToScenario (const RiskFactorKey::KeyType keyType, const QuantLib::Real v, const QuantLib::Real d)
QuantLib::ext::shared_ptr< Scenario >	addDifferenceToScenario (const QuantLib::ext::shared_ptr< Scenario > &s, const QuantLib::ext::shared_ptr< Scenario > &d, const QuantLib::Date &targetScenarioAsOf=QuantLib::Date(), const QuantLib::Real targetScenarioNumeraire=0.0)
QuantLib::ext::shared_ptr< Scenario >	recastScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< QuantLib::Real > > > &oldCoordinates, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< QuantLib::Real > > > &newCoordinates)
QuantLib::ext::shared_ptr< Scenario >	recastScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< QuantLib::Real > > > &oldCoordinates, const std::set< std::tuple< RiskFactorKey::KeyType, std::string, std::vector< std::vector< QuantLib::Real > > > > &newCoordinates)
QuantLib::Real	sanitizeScenarioValue (const RiskFactorKey::KeyType keyType, const bool isPar, const QuantLib::Real rawValue)
QuantLib::ext::shared_ptr< Scenario >	absoluteToSpreadedScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario, const QuantLib::ext::shared_ptr< Scenario > &base, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData)
std::vector< Period >	getShiftedTenors (const std::vector< Period > &tenors, const QuantLib::Date &asof, const QuantLib::Date &mpor)
std::set< std::string >	getShiftSpecKeys (const SensitivityScenarioData &d)
std::ostream &	operator<< (std::ostream &out, const ShiftScenarioGenerator::ScenarioDescription &scenarioDescription)
bool	operator< (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs)
bool	operator== (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs)
std::ostream &	operator<< (std::ostream &out, const SlimCrifRecord &cr)
	Enable writing of a CrifRecord.
std::ostream &	operator<< (std::ostream &out, const CrifRecord &cr)
	Enable writing of a CrifRecord.
std::ostream &	operator<< (std::ostream &out, const CrifRecord::RiskType &rt)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::ProductClass &pc)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::IMModel &model)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::CapitalModel &capitalModel)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::Regulation &regulation)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::SaccrRegulation &saccrRegulation)
std::ostream &	operator<< (std::ostream &out, const std::set< CrifRecord::Regulation > &regulation)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::CurvatureScenario &scenario)
std::ostream &	operator<< (std::ostream &out, const CrifRecord::RecordType &recordType)
CrifRecord::RiskType	parseRiskType (const std::string &rt)
CrifRecord::ProductClass	parseProductClass (const std::string &pc)
CrifRecord::CurvatureScenario	parseFrtbCurvatureScenario (const std::string &scenario)
CrifRecord::IMModel	parseIMModel (const std::string &pc)
CrifRecord::Regulation	parseRegulation (const std::string &regulation)
std::string	combineRegulations (const std::string &, const std::string &)
std::set< CrifRecord::Regulation >	parseRegulationString (const std::string &regsString, const std::set< CrifRecord::Regulation > &valueIfEmpty={})
	Reads a string containing regulations applicable for a given CRIF record.
std::set< CrifRecord::Regulation >	removeRegulations (const std::set< CrifRecord::Regulation > &regs, const std::set< CrifRecord::Regulation > &regsToRemove)
	Removes a given vector of regulations from a string of regulations and returns a string with the regulations removed.
std::set< CrifRecord::Regulation >	filterRegulations (const std::set< CrifRecord::Regulation > &regs, const std::set< CrifRecord::Regulation > &regsToFilter)
CrifRecord::Regulation	getWinningRegulation (const std::set< CrifRecord::Regulation > &winningRegulations)
	From a vector of regulations, determine the winning regulation based on order of priority.
std::string	regulationsToString (const std::set< CrifRecord::Regulation > &regs)
std::ostream &	operator<< (std::ostream &os, const VolatilityDataCrif::Key &key)
	Write key to os.
std::pair< std::set< std::string >, std::set< std::string > >	applySimmExemptions (ore::data::Portfolio &portfolio, const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &engineFactory, const std::set< ore::analytics::CrifRecord::Regulation > &simmExemptionOverrides={})
bool	operator< (const SimmBucketMapper::FailedMapping &a, const SimmBucketMapper::FailedMapping &b)
bool	operator< (const BucketMapping &a, const BucketMapping &b)
std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::SimmSide &side)
std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::RiskClass &rc)
std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::MarginType &mt)
SimmConfiguration::SimmSide	parseSimmSide (const std::string &side)
SimmConfiguration::RiskClass	parseSimmRiskClass (const std::string &rc)
SimmConfiguration::MarginType	parseSimmMarginType (const std::string &mt)
std::ostream &	operator<< (std::ostream &out, const SimmResults::Key &resultsKey)
	Enable writing of Key.
CrifRecord::ProductClass	scheduleProductClassFromOreTrade (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade)
std::vector< std::string >	loadFactorList (const std::string &inputFileName, const char delim='\n')
std::vector< std::vector< double > >	loadScenarios (const std::string &inputFileName, const char delim='\n')
QuantLib::Matrix	loadCovarianceMatrix (const std::string &inputFileName, const char delim='\n')
SimmVersion	parseSimmVersion (const std::string &version)
QuantLib::ext::shared_ptr< SimmConfiguration >	buildSimmConfiguration (const std::string &simmVersion, const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const QuantLib::ext::shared_ptr< SimmCalibrationData > &simmCalibrationData=nullptr, const QuantExt::Size &mporDays=10)
std::string	escapeCommaSeparatedList (const std::string &str, const char &csvQuoteChar)
bool	isSimmNonStandardCurrency (const std::string &ccy)
	true if ccy is not a simm standard ccy
bool	isUnidadeCurrency (const std::string &ccy)
	true if ccy is a simm non-standard "unidade" ccy
bool	isIsin (const string &s)
std::string	simmStandardCurrency (const std::string &ccy)
	return simm standard ccy corresponding to ccy (or ccy itself if this is a standard ccy)
void	convertToSimmStandardCurrency (double &npv, std::string &ccy, const QuantLib::ext::shared_ptr< ore::data::Market > market)
	update given npv and ccy to standard ccy using market's fx rate
void	convertToSimmStandardCurrency (std::string &ccy)
	update given ccy to standard ccy
bool	convertToSimmStandardCurrencyPair (std::string &ccy)
	update given ccy pair to standard ccys, returns true if resulting pair contains different ccys
CrifRecord::ProductClass	simmProductClassFromOreTrade (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade)

Detailed Description

Analytics namespace

Typedef Documentation

SlimCrifRecordContainer

typedef boost::multi_index_container<SlimCrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique<boost::multi_index::identity<SlimCrifRecord> >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<QualifierTag>, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::nettingSetDetails>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::ProductClass&, &SlimCrifRecord::productClass>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::RiskType&, &SlimCrifRecord::riskType>, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::qualifier> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<BucketTag>, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::nettingSetDetails>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::ProductClass&, &SlimCrifRecord::productClass>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::RiskType&, &SlimCrifRecord::riskType>, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::bucket> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<QualifierBucketTag>, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::nettingSetDetails>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::ProductClass&, &SlimCrifRecord::productClass>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::RiskType&, &SlimCrifRecord::riskType>, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::qualifier>, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::bucket> > >, boost::multi_index::ordered_non_unique< boost::multi_index::tag<RiskTypeTag>, boost::multi_index::composite_key< SlimCrifRecord, boost::multi_index::const_mem_fun<SlimCrifRecord, const int&, &SlimCrifRecord::nettingSetDetails>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::ProductClass&, &SlimCrifRecord::productClass>, boost::multi_index::const_mem_fun<SlimCrifRecord, const CrifRecord::RiskType&, &SlimCrifRecord::riskType> > > >> SlimCrifRecordContainer

A structure that we can use to aggregate CrifRecords across trades in a portfolio to provide the net sensitivities that we need to perform a downstream SIMM calculation.

CrifRecordContainer

typedef boost::multi_index_container<CrifRecord, boost::multi_index::indexed_by< boost::multi_index::ordered_unique<boost::multi_index::identity<CrifRecord> > >> CrifRecordContainer

A structure that we can use to aggregate CrifRecords across trades in a portfolio to provide the net sensitivities that we need to perform a downstream SIMM calculation.

Function Documentation

getShiftSize()

Real getShiftSize	(	const RiskFactorKey &	key,
		const SensitivityScenarioData &	sensiParams,
		const QuantLib::ext::shared_ptr< ScenarioSimMarket > &	simMarket,
		const std::string &	marketConfiguration = "" )

Returns the absolute shift size corresponding to a particular risk factor key given sensitivity parameters sensiParams and a simulation market simMarket

runStressTest()

void runStressTest	(	const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio,
		const QuantLib::ext::shared_ptr< ore::data::Market > &	market,
		const string &	marketConfiguration,
		const QuantLib::ext::shared_ptr< ore::data::EngineData > &	engineData,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	simMarketData,
		const QuantLib::ext::shared_ptr< StressTestScenarioData > &	stressData,
		const QuantLib::ext::shared_ptr< ore::data::Report > &	report,
		const QuantLib::ext::shared_ptr< ore::data::Report > &	cfReport = nullptr,
		const double	threshold = 0.0,
		const Size	precision = 2,
		const bool	includePastCashflows = false,
		const ore::data::CurveConfigurations &	curveConfigs = ore::data::CurveConfigurations(),
		const ore::data::TodaysMarketParameters &	todaysMarketParams = ore::data::TodaysMarketParameters(),
		const QuantLib::ext::shared_ptr< ScenarioFactory > &	scenarioFactory = nullptr,
		const QuantLib::ext::shared_ptr< ReferenceDataManager > &	referenceData = nullptr,
		const QuantLib::ext::shared_ptr< IborFallbackConfig > &	iborFallbackConfig = QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()),
		bool	continueOnError = false,
		const QuantLib::ext::shared_ptr< ore::data::InMemoryReport > &	scenarioReport = nullptr )

Stress Test Analysis.

This function wraps functionality to perform a stress testing analysis for a given portfolio. It comprises

• building the "simulation" market to which sensitivity scenarios are applied
• building the portfolio linked to this simulation market
• generating sensitivity scenarios
• running the scenario "engine" to apply these and compute the NPV (CF) impacts of all required shifts
• write results to reports

removeRegulations()

std::set< CrifRecord::Regulation > removeRegulations	(	const std::set< CrifRecord::Regulation > &	regs,
		const std::set< CrifRecord::Regulation > &	regsToRemove )

Removes a given vector of regulations from a string of regulations and returns a string with the regulations removed.

Cleans a string defining regulations so that different permutations of the same set will be seen as the same string, e.g. "APRA,SEC,ESA" and "SEC,ESA,APRA" should be equivalent.

filterRegulations()

std::set< CrifRecord::Regulation > filterRegulations	(	const std::set< CrifRecord::Regulation > &	regs,
		const std::set< CrifRecord::Regulation > &	regsToFilter )

Filters a string of regulations on a given vector of regulations and returns a string containing only those filtered regulations

applySimmExemptions()

std::pair< std::set< std::string >, std::set< std::string > > applySimmExemptions	(	ore::data::Portfolio &	portfolio,
		const QuantLib::ext::shared_ptr< ore::data::EngineFactory > &	engineFactory,
		const std::set< ore::analytics::CrifRecord::Regulation > &	simmExemptionOverrides = {} )

Modify the portfolio by applying the various SIMM exemptions outlined in the document SIMM Cross-Currency Swap Treatment, February 27, 2017< > Returns a pair of sets (s1,s2), where s1 contains the trade ids that were removed and s2 conatins the trade ids that were modified.

escapeCommaSeparatedList()

std::string escapeCommaSeparatedList	(	const std::string &	str,
		const char &	csvQuoteChar )

If the input str is a comma seperated list the method quotation marks " if the csvQuoteChar is '\0' Example: commaSeparatedListToJsonArrayString("item1,item2", '') -> "item1, item2" commaSeparatedListToJsonArrayString("item", '') -> "item"