portfoliomodifier.hpp File Reference

Modify a portfolio before a SIMM calculation. More...

#include <set>
#include <orea/simm/crifrecord.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/envelope.hpp>
#include <ored/portfolio/portfolio.hpp>

Namespaces
namespace	ore
namespace	ore::analytics

Functions
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={})

Detailed Description

Modify a portfolio before a SIMM calculation.