parstressscenarioconverter.hpp File Reference

Convert all par shifts in a single stress test scenario to a zero shifts. More...

#include <orea/engine/parsensitivityanalysis.hpp>
#include <orea/scenario/scenario.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/stressscenariodata.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/configuration/iborfallbackconfig.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/marketdata/todaysmarketparameters.hpp>

Classes
class	ParStressScenarioConverter
	Convert all par shifts in a single stress test scenario to zero shifts. More...
struct	ParStressScenarioConverter::ParRateScenarioData
struct	ParStressScenarioConverter::ConversionResults

Namespaces
namespace	ore
namespace	ore::analytics

Functions
std::set< RiskFactorKey::KeyType >	disabledParRates (bool irCurveParRates, bool irCapFloorParRates, bool creditParRates)

Detailed Description

Convert all par shifts in a single stress test scenario to a zero shifts.