utilities.hpp File Reference

some utility functions More...

#include <ql/tuple.hpp>
#include <ored/portfolio/scriptedtrade.hpp>
#include <ored/scripting/ast.hpp>
#include <ored/scripting/context.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/portfolio/underlying.hpp>
#include <ored/utilities/indexparser.hpp>
#include <qle/time/futureexpirycalculator.hpp>
#include <qle/indexes/fallbackiborindex.hpp>
#include <qle/indexes/fallbackovernightindex.hpp>

Classes
class	IndexInfo

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Functions
std::vector< Date >	coarsenDateGrid (const std::vector< Date > &date, const std::string &rule, const Date &referenceDate=Null< Date >())
std::pair< std::string, ScriptedTradeScriptData >	getScript (const ScriptedTrade &scriptedTrade, const ScriptLibraryData &scriptLibrary, const std::string &purpose, const bool fallBackOnEmptyPurpose)
ASTNodePtr	parseScript (const std::string &code)
std::pair< std::string, Period >	convertIndexToCamCorrelationEntry (const std::string &i)
void	checkDuplicateName (const QuantLib::ext::shared_ptr< Context > context, const std::string &name)
QuantLib::ext::shared_ptr< Context >	makeContext (const Size nPaths, const std::string &gridCoarsening, const std::vector< std::string > &schedulesEligibleForCoarsening, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData, const std::vector< ScriptedTradeEventData > &events, const std::vector< ScriptedTradeValueTypeData > &numbers, const std::vector< ScriptedTradeValueTypeData > &indices, const std::vector< ScriptedTradeValueTypeData > &currencies, const std::vector< ScriptedTradeValueTypeData > &daycounters)
void	addNewSchedulesToContext (QuantLib::ext::shared_ptr< Context > context, const std::vector< ScriptedTradeScriptData::NewScheduleData > &newSchedules)
void	amendContextVariablesSizes (QuantLib::ext::shared_ptr< Context > context, const Size newSize)
std::ostream &	operator<< (std::ostream &o, const IndexInfo &i)
QuantLib::ext::shared_ptr< QuantExt::CommodityIndex >	parseScriptedCommodityIndex (const std::string &indexName, const QuantLib::Date &obsDate=Date())
std::tuple< QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >, std::string, bool >	parseScriptedInflationIndex (const std::string &indexName)
std::string	scriptedIndexName (const QuantLib::ext::shared_ptr< Underlying > &underlying)
Size	getInflationSimulationLag (const QuantLib::ext::shared_ptr< ZeroInflationIndex > &index)
std::map< std::string, std::vector< Real > >	getCalibrationStrikes (const std::vector< ScriptedTradeScriptData::CalibrationData > &calibrationSpec, const QuantLib::ext::shared_ptr< Context > &context)

Detailed Description

some utility functions