scenarioutilities.hpp File Reference

Scenario utility functions. More...

#include <orea/scenario/scenario.hpp>
#include <set>

Namespaces
	ore
	ore::analytics

Functions
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)

Detailed Description

Scenario utility functions.