stresstest.hpp File Reference

perform a stress testing analysis for a given portfolio. More...

#include <orea/cube/npvcube.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/stressscenariodata.hpp>
#include <orea/scenario/stressscenariogenerator.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/report/report.hpp>
#include <ored/report/inmemoryreport.hpp>
#include <map>
#include <set>
#include <tuple>

Namespaces
namespace	ore
namespace	ore::analytics

Functions
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)

Detailed Description

perform a stress testing analysis for a given portfolio.