scenarioutilities.hpp File Reference

Scenario utility functions. More...

#include <orea/scenario/scenario.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <set>

Namespaces
namespace	ore
namespace	ore::analytics

Functions
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)

Detailed Description

Scenario utility functions.