Classes
class	DummyMarket

class	CollateralAccount
	Collateral Account. More...

class	CollateralExposureHelper
	Collateral Exposure Helper. More...

class	CreditMigrationCalculator
	Credit Migration Calculator. More...

class	CreditMigrationHelper

class	CreditSimulationParameters
	Credit simulation description. More...

class	CVASpreadSensitivityCalculator
	CVA Spread Sensitivity Calculator. More...

class	DynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator base class. More...

class	FlatDynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator using flat extrapolation of t0 IM. More...

class	RegressionDynamicInitialMarginCalculator
	Dynamic Initial Margin Calculator using polynomial regression. More...

class	DynamicCreditXvaCalculator
	XVA Calculator base with dynamic credit. More...

class	ExposureAllocator
	Exposure allocator base class. More...

class	RelativeFairValueNetExposureAllocator

class	RelativeFairValueGrossExposureAllocator

class	RelativeXvaExposureAllocator

class	NoneExposureAllocator

class	ExposureCalculator
	XVA Calculator base class. More...

class	NettedExposureCalculator
	XVA Calculator base class. More...

class	PostProcess
	Exposure Aggregation and XVA Calculation. More...

class	StaticCreditXvaCalculator
	XVA Calculator base with static credit. More...

class	ValueAdjustmentCalculator
	XVA Calculator base class. More...

class	Analytic

class	MarketDataAnalyticImpl

class	MarketDataAnalytic

class	AbstractAnalyticBuilder
	TradeBuilder base class. More...

class	AnalyticBuilder
	Template AnalyticBuilder class. More...

class	AnalyticFactory
	AnalyticFactory. More...

class	IMScheduleAnalyticImpl

class	IMScheduleAnalytic

class	ParConversionAnalyticImpl

class	ParConversionAnalytic

class	ParStressConversionAnalyticImpl

class	ParStressConversionAnalytic

class	PnlAnalyticImpl

class	PnlAnalytic

class	PnlExplainAnalyticImpl

class	PnlExplainAnalytic

class	PricingAnalyticImpl

class	PricingAnalytic

class	ScenarioAnalyticImpl

class	ScenarioAnalytic

class	ScenarioStatisticsAnalyticImpl

class	ScenarioStatisticsAnalytic

class	SimmAnalyticImpl

class	SimmAnalytic

class	StressTestAnalyticImpl

class	StressTestAnalytic

class	VarAnalyticImpl

class	VarAnalytic

class	ParametricVarAnalyticImpl

class	ParametricVarAnalytic

class	HistoricalSimulationVarAnalyticImpl

class	HistoricalSimulationVarAnalytic

class	XvaAnalyticImpl

class	XvaAnalytic

class	XvaSensitivityAnalyticImpl

class	XvaSensitivityAnalytic

class	XvaStressAnalyticImpl

class	XvaStressAnalytic

class	ZeroToParShiftAnalyticImpl

class	ZeroToParShiftAnalytic

class	AnalyticsManager

class	CleanUpThreadLocalSingletons

class	CleanUpThreadGlobalSingletons

class	CleanUpLogSingleton

class	InputParameters
	Base class for input data, also exposed via SWIG. More...

class	OutputParameters
	Traditional ORE input via ore.xml and various files, output into files. More...

class	MarketCalibrationReportBase

class	MarketCalibrationReport

class	MarketDataCsvLoaderImpl

class	MarketDataCsvLoader

class	MarketDataInMemoryLoaderImpl

class	MarketDataInMemoryLoader

class	StructuredFixingWarningMessage
	Utility class for Structured Fixing warnings. More...

class	MarketDataLoaderImpl

class	MarketDataLoader

class	OREApp
	Orchestrates the processes covered by ORE, data loading, analytics and reporting. More...

class	OREAppInputParameters

class	Parameters
	Provides the input data and references to input files used in OREApp. More...

class	ReportWriter
	Write ORE outputs to reports. More...

class	SensitivityRunner

class	StructuredAnalyticsErrorMessage

class	StructuredAnalyticsWarningMessage

class	XvaRunner

class	ZeroSensitivityLoader

struct	NPVCubeWithMetaData

class	CubeCsvReader
	Read an NPV cube from a human readable text file. More...

class	CubeInterpretation
	Allow for interpretation of how data is stored within cube and AggregationScenarioData. More...

class	CubeWriter
	Write an NPV cube to a human readable text file. More...

class	InMemoryCubeBase
	InMemoryCube stores the cube in memory using nested STL vectors. More...

class	InMemoryCube1
	InMemoryCube of fixed depth 1. More...

class	InMemoryCubeN
	InMemoryCube of variable depth. More...

class	TradeBlock

class	DepthCalculator

class	ConstantDepthCalculator

class	JaggedCube
	JaggedCube stores the cube in memory using a vector of trade specific blocks. More...

class	JointNPVCube

class	JointNPVSensiCube

class	NPVCube
	NPV Cube class stores both future and current NPV values. More...

class	NPVSensiCube
	NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date. More...

class	SensiCube
	SensiCube stores only npvs not equal to the base npvs. More...

class	SensitivityCube
	SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements. More...

class	SparseNpvCube

class	AMCValuationEngine
	AMC Valuation Engine. More...

class	BufferedSensitivityStream

class	CounterpartyCalculator
	CounterpartyCalculator interface. More...

class	SurvivalProbabilityCalculator
	SurvivalProbabilityCalculator. More...

class	DecomposedSensitivityStream
	Class that wraps a sensitivity stream and decompose default, equity and commodity risk records given weights. More...

class	FilteredSensitivityStream
	Class that wraps a sensitivity stream and filters out negligible records. More...

class	HistoricalPnlGenerator

class	PNLCalculator

class	CovarianceCalculator

class	HistoricalSensiPnlCalculator

class	HistoricalSimulationVarCalculator

class	HistoricalSimulationVarReport
	HistoricalSimulation VaR Calculator. More...

class	MarketRiskBacktest

class	BacktestPNLCalculator

class	MarketRiskGroupBase

class	MarketRiskGroupBaseContainer

class	TradeGroupBase

class	TradeGroupBaseContainer

class	MarketRiskGroup

class	MarketRiskGroupContainer

class	TradeGroup

class	TradeGroupContainer

class	MarketRiskReport

class	MPORCalculator
	MPORCalculator. More...

class	MultiStateNPVCalculator
	MultiStateNPVCalculator. More...

class	MultiThreadedValuationEngine

struct	NpvRecord

class	ObservationMode
	The Global Observation setting. More...

class	ParametricVarCalculator

class	ParametricVarReport
	Parametric VaR Calculator. More...

class	ParSensitivityAnalysis
	Par Sensitivity Analysis. More...

class	ParSensitivityConverter
	ParSensitivityConverter class. More...

class	ParSensitivityCubeStream

class	ParSensitivityInstrumentBuilder

class	ParStressTestConverter

class	ParStressScenarioConverter
	Convert all par shifts in a single stress test scenario to zero shifts. More...

class	PnlExplainReport

class	MarketRiskConfiguration

class	RiskFilter
	Risk Filter. More...

class	SensitivityAggregator

class	SensitivityAnalysis
	Sensitivity Analysis. More...

class	SensitivityCubeStream

class	SensitivityInputStream
	Class for streaming SensitivityRecords from csv file. More...

class	SensitivityFileStream

class	SensitivityBufferStream

class	SensitivityInMemoryStream
	Class for streaming SensitivityRecords from csv file. More...

struct	SensitivityRecord

class	SensitivityReportStream
	Class for streaming SensitivityRecords from csv file. More...

class	SensitivityStream
	Base Class for streaming SensitivityRecords. More...

class	StressTest
	Stress Test Analysis. More...

class	ValuationCalculator
	ValuationCalculator interface. More...

class	NPVCalculator
	NPVCalculator. More...

class	CashflowCalculator
	CashflowCalculator. More...

class	NPVCalculatorFXT0
	NPVCalculatorFXT0. More...

class	ValuationEngine
	Valuation Engine. More...

class	VarCalculator
	VaR Calculator. More...

class	VarReport

class	XvaEngineCG

class	ZeroToParCube
	ZeroToParCube class. More...

class	ZeroToParShiftConverter

class	AggregationScenarioData
	Container for storing simulated market data. More...

class	InMemoryAggregationScenarioData
	A concrete in memory implementation of AggregationScenarioData. More...

class	ClonedScenarioGenerator

class	CloneScenarioFactory
	Factory class for cloning scenario objects. More...

class	CrossAssetModelScenarioGenerator
	Scenario Generator using cross asset model paths. More...

class	CSVScenarioGenerator
	Class for generating scenarios from a csv file assumed to be in a format compatible with ScenarioWriter. More...

class	DeltaScenario
	Delta Scenario class. More...

class	DeltaScenarioFactory
	Factory class for cloning scenario objects. More...

class	HistoricalScenarioFileReader
	Class for reading historical scenarios from a csv file. More...

class	ReturnConfiguration
	Return type for historical scenario generation (absolute, relative, log) More...

class	HistoricalScenarioGenerator
	Historical Scenario Generator. More...

class	HistoricalScenarioGeneratorRandom
	Historical scenario generator generating random scenarios, for testing purposes. More...

class	HistoricalScenarioGeneratorTransform
	Historical scenario generator transform. More...

class	HistoricalScenarioGeneratorWithFilteredDates

class	HistoricalScenarioLoader
	Class for loading historical scenarios. More...

class	HistoricalScenarioReader
	Base Class for reading historical scenarios. More...

class	LgmScenarioGenerator
	Scenario Generator using LGM model paths. More...

class	RiskFactorKey
	Data types stored in the scenario class. More...

class	Scenario
	Scenario Base Class. More...

class	ScenarioFactory
	Scenario factory base class. More...

class	RiskFactorTypeScenarioFilter
	Filter that will only allow specified RiskFactorKey::KeyTypes. More...

class	RiskFactorScenarioFilter
	Filter that will only allow specified keys. More...

class	CompositeScenarioFilter
	Filter for combining the above. More...

class	ScenarioGenerator
	Scenario generator base class. More...

class	ScenarioPathGenerator
	Scenario generator that generates an entire path. More...

class	StaticScenarioGenerator

class	ScenarioGeneratorBuilder
	Build a ScenarioGenerator. More...

class	ScenarioGeneratorData
	Scenario Generator description. More...

class	ScenarioGeneratorTransform

class	ScenarioShiftCalculator

class	ScenarioFilter
	A scenario filter can exclude certain key from updating the scenario. More...

class	ScenarioSimMarket
	Simulation Market updated with discrete scenarios. More...

class	ScenarioSimMarketParameters
	ScenarioSimMarket description. More...

class	ScenarioWriter
	Class for writing scenarios to file. More...

class	SensitivityScenarioData
	Description of sensitivity shift scenarios. More...

class	SensitivityScenarioGenerator
	Sensitivity Scenario Generator. More...

class	ShiftScenarioGenerator
	Shift Scenario Generator. More...

class	SimpleScenario

class	SimpleScenarioFactory
	Factory class for building simple scenario objects. More...

class	StressTestScenarioData
	Description of sensitivity shift scenarios. More...

class	StressScenarioGenerator
	Stress Scenario Generator. More...

struct	crifRecordIsSimmParameter

class	Crif

class	CrifConfiguration

class	CrifLoader

class	StringStreamCrifLoader

class	CsvFileCrifLoader

class	CsvBufferCrifLoader

struct	CrifRecord

class	IMScheduleCalculator

struct	IMScheduleResult

class	IMScheduleResults

class	SimmBasicNameMapper

class	SimmBucketMapper

class	BucketMapping

class	SimmBucketMapperBase

class	SimmCalculator
	A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios. More...

class	SimmCalibration

class	SimmCalibrationData

class	SimmConcentration

class	SimmConcentrationBase

class	SimmConcentrationCalibration
	Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration. More...

class	SimmConcentration_ISDA_V1_3

class	SimmConcentration_ISDA_V1_3_38
	Class giving the SIMM concentration thresholds for v1.3.38. More...

class	SimmConcentration_ISDA_V2_0

class	SimmConcentration_ISDA_V2_1

class	SimmConcentration_ISDA_V2_2

class	SimmConcentration_ISDA_V2_3

class	SimmConcentration_ISDA_V2_3_8

class	SimmConcentration_ISDA_V2_5

class	SimmConcentration_ISDA_V2_5A

class	SimmConcentration_ISDA_V2_6

class	SimmConfiguration
	Abstract base class defining the interface for a SIMM configuration. More...

class	SimmConfigurationBase

class	SimmConfigurationCalibration

class	SimmConfiguration_ISDA_V1_0

class	SimmConfiguration_ISDA_V1_3

class	SimmConfiguration_ISDA_V1_3_38
	Class giving the SIMM configuration for v1.3.38. More...

class	SimmConfiguration_ISDA_V2_0

class	SimmConfiguration_ISDA_V2_1

class	SimmConfiguration_ISDA_V2_2

class	SimmConfiguration_ISDA_V2_3

class	SimmConfiguration_ISDA_V2_3_8

class	SimmConfiguration_ISDA_V2_5

class	SimmConfiguration_ISDA_V2_5A

class	SimmConfiguration_ISDA_V2_6

class	SimmNameMapper

class	SimmResults

class	FixingManager
	Pseudo Fixings Manager. More...

class	SimMarket
	Simulation Market. More...

Typedefs
typedef std::map< QuantLib::Date, std::set< std::string > >	QuoteMap

typedef std::map< std::string, RequiredFixings::FixingDates >	FixingMap

using	SinglePrecisionInMemoryCube = InMemoryCube1< float >
	InMemoryCube of depth 1 with single precision floating point numbers.

using	DoublePrecisionInMemoryCube = InMemoryCube1< double >
	InMemoryCube of depth 1 with double precision floating point numbers.

using	SinglePrecisionInMemoryCubeN = InMemoryCubeN< float >
	InMemoryCube of depth N with single precision floating point numbers.

using	DoublePrecisionInMemoryCubeN = InMemoryCubeN< double >
	InMemoryCube of depth N with double precision floating point numbers.

using	SinglePrecisionJaggedCube = JaggedCube< float >
	Jagged cube with single precision floating point numbers.

using	DoublePrecisionJaggedCube = JaggedCube< double >
	Jagged cube with double precision floating point numbers.

using	SinglePrecisionSensiCube = SensiCube< float >
	Sensi cube with single precision floating point numbers.

using	DoublePrecisionSensiCube = SensiCube< double >
	Sensi cube with double precision floating point numbers.

using	SinglePrecisionSparseNpvCube = SparseNpvCube< float >

using	RealPrecisionSparseNpvCube = SparseNpvCube< Real >

using	TradePnLStore = std::vector< std::vector< QuantLib::Real > >

typedef std::pair< RiskFactorKey, RiskFactorKey >	CrossPair

Enumerations
enum class	AggregationScenarioDataType : unsigned int { IndexFixing = 0 , FXSpot = 1 , Numeraire = 2 , CreditState = 3 , SurvivalWeight = 4 , RecoveryRate = 5 , Generic = 6 }

enum class	ShiftScheme { Forward , Backward , Central }

enum class	ShiftType { Absolute , Relative }

enum	IMScheduleLabel { Credit2 , Credit5 , Credit100 , Commodity , Equity , FX , Rates2 , Rates5 , Rates100 , Other }

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 }
	Ordered SIMM versions.

Functions
CollateralExposureHelper::CalculationType	parseCollateralCalculationType (const string &s)
	Convert text representation to CollateralExposureHelper::CalculationType.

CreditMigrationHelper::CreditMode	parseCreditMode (const std::string &s)

CreditMigrationHelper::LoanExposureMode	parseLoanExposureMode (const std::string &s)

CreditMigrationHelper::Evaluation	parseEvaluation (const std::string &s)

bool	lessThan (const Array &a, const Array &b)

ExposureAllocator::AllocationMethod	parseAllocationMethod (const string &s)
	Convert text representation to ExposureAllocator::AllocationMethod.

std::ostream &	operator<< (std::ostream &out, ExposureAllocator::AllocationMethod m)
	Convert ExposureAllocator::AllocationMethod to text representation.

QuantLib::ext::shared_ptr< ore::data::Loader >	implyBondSpreads (const Date &asof, const QuantLib::ext::shared_ptr< InputParameters > &params, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const std::string &excludeRegex)

QuantLib::ext::shared_ptr< AnalyticsManager >	parseAnalytics (const std::string &s, const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< MarketDataLoader > &marketDataLoader)

void	initBuilders (const bool registerOREAnalytics=true)

std::vector< std::string >	getFileNames (const std::string &fileString, const std::filesystem::path &path)

NPVCubeWithMetaData	loadCube (const std::string &filename, const bool doublePrecision=false)

void	saveCube (const std::string &filename, const NPVCubeWithMetaData &cube, const bool doublePrecision=false)

QuantLib::ext::shared_ptr< AggregationScenarioData >	loadAggregationScenarioData (const std::string &filename)

void	saveAggregationScenarioData (const std::string &filename, const AggregationScenarioData &cube)

std::ostream &	operator<< (std::ostream &out, const SensitivityCube::crossPair &cp)

std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)

std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

std::ostream &	operator<< (std::ostream &out, const NpvRecord &nr)
	Enable writing of a NpvRecord.

ParametricVarCalculator::ParametricVarParams::Method	parseParametricVarMethod (const std::string &method)

std::ostream &	operator<< (std::ostream &out, const ParametricVarCalculator::ParametricVarParams::Method &method)

void	writeParConversionMatrix (const ore::analytics::ParSensitivityAnalysis::ParContainer &parSensitivities, ore::data::Report &reportOut)
	Write par instrument sensitivity report.

Real	impliedQuote (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &i)
	Computes the implied quote.

bool	riskFactorKeysAreSimilar (const ore::analytics::RiskFactorKey &x, const ore::analytics::RiskFactorKey &y)
	true if key type and name are equal, do not care about the index though

double	impliedVolatility (const QuantLib::CapFloor &cap, double targetValue, const QuantLib::Handle< QuantLib::YieldTermStructure > &d, double guess, QuantLib::VolatilityType type, double displacement)

double	impliedVolatility (const QuantLib::YoYInflationCapFloor &cap, double targetValue, const QuantLib::Handle< QuantLib::YieldTermStructure > &d, double guess, QuantLib::VolatilityType type, double displacement, const QuantLib::Handle< QuantLib::YoYInflationIndex > &index={})

double	impliedVolatility (const RiskFactorKey &key, const ParSensitivityInstrumentBuilder::Instruments &instruments)

std::set< RiskFactorKey::KeyType >	disabledParRates (bool irCurveParRates, bool irCapFloorParRates, bool creditParRates)

std::ostream &	operator<< (std::ostream &out, const MarketRiskConfiguration::RiskClass &rc)

std::ostream &	operator<< (std::ostream &out, const MarketRiskConfiguration::RiskType &rt)

MarketRiskConfiguration::RiskClass	parseVarRiskClass (const std::string &rc)

MarketRiskConfiguration::RiskType	parseVarRiskType (const std::string &rt)

Real	getShiftSize (const RiskFactorKey &key, const SensitivityScenarioData &sensiParams, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const std::string &marketConfiguration="")

std::ostream &	operator<< (std::ostream &out, const SensitivityRecord &sr)
	Enable writing of a SensitivityRecord.

std::ostream &	operator<< (std::ostream &out, const AggregationScenarioDataType &t)

std::ostream &	operator<< (std::ostream &out, const ReturnConfiguration::ReturnType t)

QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const TimePeriod &period, Calendar calendar, Size mporDays, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam, const bool overlapping=true)

QuantLib::ext::shared_ptr< HistoricalScenarioGenerator >	buildHistoricalScenarioGenerator (const QuantLib::ext::shared_ptr< HistoricalScenarioReader > &hsr, const QuantLib::ext::shared_ptr< ore::data::AdjustmentFactors > &adjFactors, const std::set< QuantLib::Date > &dates, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simParams, const QuantLib::ext::shared_ptr< TodaysMarketParameters > &marketParam)

std::size_t	hash_value (const RiskFactorKey &k)

bool	operator< (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

bool	operator== (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

bool	operator> (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

bool	operator<= (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

bool	operator>= (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

bool	operator!= (const RiskFactorKey &lhs, const RiskFactorKey &rhs)

std::ostream &	operator<< (std::ostream &out, const RiskFactorKey::KeyType &type)

std::ostream &	operator<< (std::ostream &out, const RiskFactorKey &key)

RiskFactorKey::KeyType	parseRiskFactorKeyType (const string &str)

RiskFactorKey	parseRiskFactorKey (const string &str)

ShiftScheme	parseShiftScheme (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const ShiftScheme &shiftScheme)

ShiftType	parseShiftType (const std::string &s)

std::ostream &	operator<< (std::ostream &out, const ShiftType &shiftType)

RiskFactorKey::KeyType	yieldCurveRiskFactor (const ore::data::YieldCurveType y)
	Map a yield curve type to a risk factor key type.

Real	getDifferenceScenario (const RiskFactorKey::KeyType keyType, const Real v1, const Real v2)

QuantLib::ext::shared_ptr< Scenario >	getDifferenceScenario (const QuantLib::ext::shared_ptr< Scenario > &s1, const QuantLib::ext::shared_ptr< Scenario > &s2, const Date &targetScenarioAsOf=Date(), const Real targetScenarioNumeraire=0.0)

Real	addDifferenceToScenario (const RiskFactorKey::KeyType keyType, const Real v, const Real d)

QuantLib::ext::shared_ptr< Scenario >	addDifferenceToScenario (const QuantLib::ext::shared_ptr< Scenario > &s, const QuantLib::ext::shared_ptr< Scenario > &d, const Date &targetScenarioAsOf=Date(), const Real targetScenarioNumeraire=0.0)

QuantLib::ext::shared_ptr< Scenario >	recastScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real >>> &oldCoordinates, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real >>> &newCoordinates)

QuantLib::ext::shared_ptr< Scenario >	recastScenario (const QuantLib::ext::shared_ptr< Scenario > &scenario, const std::map< std::pair< RiskFactorKey::KeyType, std::string >, std::vector< std::vector< Real >>> &oldCoordinates, const std::set< std::tuple< RiskFactorKey::KeyType, std::string, std::vector< std::vector< Real >>>> &newCoordinates)

std::set< std::string >	getShiftSpecKeys (const SensitivityScenarioData &d)

std::ostream &	operator<< (std::ostream &out, const ShiftScenarioGenerator::ScenarioDescription &scenarioDescription)

std::pair< RiskFactorKey, std::string >	deconstructFactor (const std::string &factor)

std::string	reconstructFactor (const RiskFactorKey &key, const std::string &desc)
	Reconstruct the string description from a risk factor `key` and its index description `desc`.

QuantLib::ext::shared_ptr< RiskFactorKey >	parseRiskFactorKey (const std::string &str, std::vector< std::string > &addTokens)
	risk factor key parser that takes into account additional tokens occurring in sensitivity risk factor keys

bool	operator< (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs)

bool	operator== (const ShiftScenarioGenerator::ScenarioDescription &lhs, const ShiftScenarioGenerator::ScenarioDescription &rhs)

std::ostream &	operator<< (std::ostream &out, const CrifRecord &cr)
	Enable writing of a CrifRecord.

std::ostream &	operator<< (std::ostream &out, const CrifRecord::RiskType &rt)

std::ostream &	operator<< (std::ostream &out, const CrifRecord::ProductClass &pc)

std::ostream &	operator<< (std::ostream &out, const CrifRecord::CurvatureScenario &scenario)

CrifRecord::RiskType	parseRiskType (const std::string &rt)

CrifRecord::ProductClass	parseProductClass (const std::string &pc)

CrifRecord::CurvatureScenario	parseFrtbCurvatureScenario (const std::string &scenario)

bool	operator< (const SimmBucketMapper::FailedMapping &a, const SimmBucketMapper::FailedMapping &b)

bool	operator< (const BucketMapping &a, const BucketMapping &b)

std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::SimmSide &side)

std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::RiskClass &rc)

std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::MarginType &mt)

std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::IMModel &model)

std::ostream &	operator<< (std::ostream &out, const SimmConfiguration::Regulation &regulation)

SimmConfiguration::SimmSide	parseSimmSide (const std::string &side)

SimmConfiguration::RiskClass	parseSimmRiskClass (const std::string &rc)

SimmConfiguration::MarginType	parseSimmMarginType (const std::string &mt)

SimmConfiguration::IMModel	parseIMModel (const std::string &pc)

SimmConfiguration::Regulation	parseRegulation (const std::string &regulation)

std::string	combineRegulations (const std::string &, const std::string &)

std::set< std::string >	parseRegulationString (const std::string &regsString, const std::set< std::string > &valueIfEmpty={"Unspecified"})
	Reads a string containing regulations applicable for a given CRIF record.

std::string	sortRegulationString (const std::string &regsString)

std::string	removeRegulations (const std::string &regsString, const std::vector< std::string > &regsToRemove)
	Removes a given vector of regulations from a string of regulations and returns a string with the regulations removed.

std::string	filterRegulations (const std::string &regsString, const std::vector< std::string > &regsToFilter)

SimmConfiguration::Regulation	getWinningRegulation (const std::vector< std::string > &winningRegulations)
	From a vector of regulations, determine the winning regulation based on order of priority.

std::ostream &	operator<< (std::ostream &out, const SimmResults::Key &resultsKey)
	Enable writing of Key.

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)

Detailed Description

Analytics namespace

Function Documentation

◆ getShiftSize()

Real ore::analytics::getShiftSize	(	const RiskFactorKey &	key,
		const SensitivityScenarioData &	sensiParams,
		const QuantLib::ext::shared_ptr< ScenarioSimMarket > &	simMarket,
		const std::string &	marketConfiguration = `""`
	)

Returns the absolute shift size corresponding to a particular risk factor key given sensitivity parameters sensiParams and a simulation market simMarket

◆ deconstructFactor()

std::pair<RiskFactorKey, std::string> ore::analytics::deconstructFactor ( const std::string & factor )

Retrieve the RiskFactorKey and index description from the result of ScenarioDescription::factor1() or ScenarioDescription::factor2()

◆ sortRegulationString()

std::string ore::analytics::sortRegulationString ( const std::string & regsString )

Cleans a string defining regulations so that different permutations of the same set will be seen as the same string, e.g. "APRA,SEC,ESA" and "SEC,ESA,APRA" should be equivalent.

◆ filterRegulations()

std::string ore::analytics::filterRegulations	(	const std::string &	regsString,
		const std::vector< std::string > &	regsToFilter
	)

Filters a string of regulations on a given vector of regulations and returns a string containing only those filtered regulations

◆ escapeCommaSeparatedList()

std::string ore::analytics::escapeCommaSeparatedList	(	const std::string &	str,
		const char &	csvQuoteChar
	)

If the input str is a comma seperated list the method quotation marks " if the csvQuoteChar is '\0' Example: commaSeparatedListToJsonArrayString("item1,item2", '') -> "item1, item2" commaSeparatedListToJsonArrayString("item", '') -> "item"

Classes

Typedefs

Enumerations