utilities.hpp File Reference

supporting utilities More...

#include <ored/portfolio/trade.hpp>
#include <orea/simm/crifrecord.hpp>
#include <orea/simm/simmcalibration.hpp>
#include <orea/simm/simmbucketmapper.hpp>
#include <orea/simm/simmconfiguration.hpp>
#include <ql/math/matrix.hpp>
#include <string>
#include <vector>

Namespaces
namespace	ore
namespace	ore::analytics

Enumerations
enum class	SimmVersion {   V1_0 , V1_1 , V1_2 , V1_3 ,   V1_3_38 , V2_0 , V2_1 , V2_2 ,   V2_3 , V2_3_8 , V2_5 , V2_5A ,   V2_6 , V2_6_5 , V2_7_2412 , V2_8_2506 }
	Ordered SIMM versions.

Functions
CrifRecord::ProductClass	scheduleProductClassFromOreTrade (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade)
std::vector< std::string >	loadFactorList (const std::string &inputFileName, const char delim='\n')
std::vector< std::vector< double > >	loadScenarios (const std::string &inputFileName, const char delim='\n')
QuantLib::Matrix	loadCovarianceMatrix (const std::string &inputFileName, const char delim='\n')
SimmVersion	parseSimmVersion (const std::string &version)
QuantLib::ext::shared_ptr< SimmConfiguration >	buildSimmConfiguration (const std::string &simmVersion, const QuantLib::ext::shared_ptr< SimmBucketMapper > &simmBucketMapper, const QuantLib::ext::shared_ptr< SimmCalibrationData > &simmCalibrationData=nullptr, const QuantExt::Size &mporDays=10)
std::string	escapeCommaSeparatedList (const std::string &str, const char &csvQuoteChar)
bool	isSimmNonStandardCurrency (const std::string &ccy)
	true if ccy is not a simm standard ccy
bool	isUnidadeCurrency (const std::string &ccy)
	true if ccy is a simm non-standard "unidade" ccy
bool	isIsin (const string &s)
std::string	simmStandardCurrency (const std::string &ccy)
	return simm standard ccy corresponding to ccy (or ccy itself if this is a standard ccy)
void	convertToSimmStandardCurrency (double &npv, std::string &ccy, const QuantLib::ext::shared_ptr< ore::data::Market > market)
	update given npv and ccy to standard ccy using market's fx rate
void	convertToSimmStandardCurrency (std::string &ccy)
	update given ccy to standard ccy
bool	convertToSimmStandardCurrencyPair (std::string &ccy)
	update given ccy pair to standard ccys, returns true if resulting pair contains different ccys
CrifRecord::ProductClass	simmProductClassFromOreTrade (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade)

Detailed Description

supporting utilities