ScenarioShiftCalculator Class Reference

#include <orea/scenario/scenarioshiftcalculator.hpp>

Public Member Functions
	ScenarioShiftCalculator (const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensitivityConfig, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketConfig, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &simMarket=QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket >())
QuantLib::Real	shift (const ore::analytics::RiskFactorKey &key, const ore::analytics::Scenario &s_1, const ore::analytics::Scenario &s_2) const

Detailed Description

Class for calculating the shift multiple between two scenarios for a given risk factor key.

The shift value returned is a value that is consistent with the SensitivityScenarioData and ScenarioSimMarketParameters passed in during construction. In other words, multiplying the result of the shift method with sensitivities generated using the SensitivityScenarioData configuration will give a valid estimate of the P&L move associated with moving from one scenario to another.

Constructor & Destructor Documentation

ScenarioShiftCalculator()

ScenarioShiftCalculator	(	const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensitivityConfig,
		const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	simMarketConfig,
		const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket > &	simMarket = QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarket >()
	)

Constructor

Parameters

sensitivityConfig	sensitivity configuration that will determine the result returned by the shift method
simMarketConfig	simulation market configuration for the scenarios that will be fed to the shift method
simMarket	simulation market that will be used if provided

Member Function Documentation

shift()

QuantLib::Real shift	(	const ore::analytics::RiskFactorKey &	key,
		const ore::analytics::Scenario &	s_1,
		const ore::analytics::Scenario &	s_2
	)		const

Calculate the shift in the risk factor key implied by going from scenario s_1 to scenario s_2.