SensitivityRecord Struct Reference

#include <orea/engine/sensitivityrecord.hpp>

Public Member Functions
	SensitivityRecord ()
	SensitivityRecord (const std::string &tradeId, bool isPar, const RiskFactorKey &key_1, const std::string &desc_1, QuantLib::Real shift_1, const RiskFactorKey &key_2, const std::string &desc_2, QuantLib::Real shift_2, const std::string &currency, QuantLib::Real baseNpv, QuantLib::Real delta, QuantLib::Real gamma)
	Full ctor to allow braced initialisation.
bool	operator== (const SensitivityRecord &sr) const
bool	operator!= (const SensitivityRecord &sr) const
bool	operator< (const SensitivityRecord &sr) const
	operator bool () const
bool	isCrossGamma () const
	True if a SensitivityRecord is a cross gamma, otherwise false.

Public Attributes
std::string	tradeId
bool	isPar
RiskFactorKey	key_1
std::string	desc_1
QuantLib::Real	shift_1
RiskFactorKey	key_2
std::string	desc_2
QuantLib::Real	shift_2
std::string	currency
std::string	tradeCurrency
QuantLib::Real	baseNpv
QuantLib::Real	delta
QuantLib::Real	gamma

Detailed Description

A container for holding sensitivity records.

1. isPar is true for a par sensitivity, false for a zero sensitivity
2. the currency member is the currency of the baseNpv, delta and gamma
3. key_2 and desc_2 are empty except for cross gamma sensitivities
4. for cross gamma, the sensitivity is in the gamma member

Constructor & Destructor Documentation

SensitivityRecord()

SensitivityRecord

(

)

Default ctor to prevent uninitialised variables Could use in class initialisation and avoid ctor but may be confusing

Member Function Documentation

operator==()

bool operator==

(

const SensitivityRecord &

sr

)

const

Comparison operators for SensitivityRecord

operator bool()

operator bool ( ) const

explicit

This method will be used to denote the end of a stream of SensitivityRecord objects.