CrifConfiguration Class Reference

Inheritance diagram for CrifConfiguration:

Public Member Functions
virtual const std::string &	name () const =0
	Returns the SIMM configuration name.
virtual const std::string &	version () const =0
	Returns the SIMM configuration version.
virtual std::string	bucket (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0
virtual bool	hasBucketMapping (const ore::analytics::CrifRecord::RiskType &rt, const std::string &qualifier) const =0
virtual const QuantLib::ext::shared_ptr< SimmBucketMapper > &	bucketMapper () const =0
	Returns the SIMM bucket mapper used by the configuration.
virtual std::string	label2 (const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &irIndex) const
virtual std::string	label2 (const QuantLib::Period &p) const

Member Function Documentation

bucket()

virtual std::string bucket ( const ore::analytics::CrifRecord::RiskType &  rt, const std::string &  qualifier  ) const

pure virtual

Return the CRIF bucket name for the given risk type rt and qualifier

Warning:

Throws an error if there are no buckets for the risk type rt

Implemented in SimmConfigurationBase.

label2() [1/2]

virtual std::string label2 ( const QuantLib::ext::shared_ptr< QuantLib::InterestRateIndex > &  irIndex ) const

virtual

Return the CRIF Label2 value for the given interest rate index irIndex. For interest rate indices, this is the CRIF sub curve name e.g. 'Libor1m', 'Libor3m' etc.

Reimplemented in SimmConfiguration_ISDA_V2_6, SimmConfiguration_ISDA_V2_5A, SimmConfiguration_ISDA_V2_5, SimmConfiguration_ISDA_V2_3_8, SimmConfiguration_ISDA_V2_3, SimmConfiguration_ISDA_V2_2, SimmConfiguration_ISDA_V2_1, SimmConfiguration_ISDA_V2_0, SimmConfiguration_ISDA_V1_3_38, and SimmConfigurationCalibration.

label2() [2/2]

virtual std::string label2 ( const QuantLib::Period &  p ) const

virtual

Return the CRIF Label2 value for the given Libor tenor p. This is the CRIF sub curve name, e.g. 'Libor1m', 'Libor3m' etc.