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

#include <orea/app/inputparameters.hpp>

Inheritance diagram for InputParameters:

Collaboration diagram for InputParameters:

Public Member Functions
	InputParameters ()

virtual	~InputParameters ()

void	setAsOfDate (const std::string &s)

void	setResultsPath (const std::string &s)

void	setBaseCurrency (const std::string &s)

void	setContinueOnError (bool b)

void	setLazyMarketBuilding (bool b)

void	setBuildFailedTrades (bool b)

void	setObservationModel (const std::string &s)

void	setImplyTodaysFixings (bool b)

void	setMarketConfig (const std::string &config, const std::string &context)

void	setRefDataManager (const std::string &xml)

void	setRefDataManagerFromFile (const std::string &fileName)

void	setScriptLibrary (const std::string &xml)

void	setScriptLibraryFromFile (const std::string &fileName)

void	setConventions (const std::string &xml)

void	setConventionsFromFile (const std::string &fileName)

void	setIborFallbackConfig (const std::string &xml)

void	setIborFallbackConfigFromFile (const std::string &fileName)

void	setCurveConfigs (const std::string &xml)

void	setCurveConfigsFromFile (const std::string &fileName)

void	setPricingEngine (const std::string &xml)

void	setPricingEngineFromFile (const std::string &fileName)

void	setTodaysMarketParams (const std::string &xml)

void	setTodaysMarketParamsFromFile (const std::string &fileName)

void	setPortfolio (const std::string &xml)

void	setPortfolioFromFile (const std::string &fileNameString, const std::filesystem::path &inputPath)

void	setMarketConfigs (const std::map< std::string, std::string > &m)

void	setThreads (int i)

void	setEntireMarket (bool b)

void	setAllFixings (bool b)

void	setEomInflationFixings (bool b)

void	setUseMarketDataFixings (bool b)

void	setIborFallbackOverride (bool b)

void	setReportNaString (const std::string &s)

void	setCsvQuoteChar (const char &c)

void	setCsvSeparator (const char &c)

void	setCsvCommentCharacter (const char &c)

void	setDryRun (bool b)

void	setMporDays (Size s)

void	setMporOverlappingPeriods (bool b)

void	setMporDate (const QuantLib::Date &d)

void	setMporCalendar (const std::string &s)

void	setMporForward (bool b)

void	setOutputAdditionalResults (bool b)

void	setAdditionalResultsReportPrecision (std::size_t p)

void	setIncludePastCashflows (bool b)

void	setOutputCurves (bool b)

void	setOutputTodaysMarketCalibration (bool b)

void	setCurvesMarketConfig (const std::string &s)

void	setCurvesGrid (const std::string &s)

void	setXbsParConversion (bool b)

void	setParSensi (bool b)

void	setOptimiseRiskFactors (bool b)

void	setAlignPillars (bool b)

void	setOutputJacobi (bool b)

void	setUseSensiSpreadedTermStructures (bool b)

void	setSensiThreshold (Real r)

void	setSensiRecalibrateModels (bool b)

void	setSensiSimMarketParams (const std::string &xml)

void	setSensiSimMarketParamsFromFile (const std::string &fileName)

void	setSensiScenarioData (const std::string &xml)

void	setSensiScenarioDataFromFile (const std::string &fileName)

void	setSensiPricingEngine (const std::string &xml)

void	setSensiPricingEngineFromFile (const std::string &fileName)

void	setSensiPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setScenarioSimMarketParams (const std::string &xml)

void	setScenarioSimMarketParamsFromFile (const std::string &fileName)

void	setScenarioOutputFile (const std::string &filename)

void	setStressThreshold (Real r)

void	setStressOptimiseRiskFactors (bool optimise)

void	setStressSimMarketParams (const std::string &xml)

void	setStressSimMarketParamsFromFile (const std::string &fileName)

void	setStressScenarioData (const std::string &xml)

void	setStressScenarioDataFromFile (const std::string &fileName)

void	setStressPricingEngine (const std::string &xml)

void	setStressPricingEngineFromFile (const std::string &fileName)

void	setStressPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setStressSensitivityScenarioData (const std::string &xml)

void	setStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setStressLowerBoundCapFloorVolatility (const double value)

void	setStressUpperBoundCapFloorVolatility (const double value)

void	setStressLowerBoundSurvivalProb (const double value)

void	setStressUpperBoundSurvivalProb (const double value)

void	setStressLowerBoundRatesDiscountFactor (const double value)

void	setStressUpperBoundRatesDiscountFactor (const double value)

void	setStressAccurary (const double value)

void	setSalvageCovariance (bool b)

void	setVarQuantiles (const std::string &s)

void	setVarBreakDown (bool b)

void	setPortfolioFilter (const std::string &s)

void	setVarMethod (const std::string &s)

void	setMcVarSamples (Size s)

void	setMcVarSeed (long l)

void	setCovarianceData (ore::data::CSVReader &reader)

void	setCovarianceDataFromFile (const std::string &fileName)

void	setCovarianceDataFromBuffer (const std::string &xml)

void	setSensitivityStreamFromFile (const std::string &fileName)

void	setBenchmarkVarPeriod (const std::string &period)

void	setHistoricalScenarioReader (const std::string &fileName)

void	setSensitivityStreamFromBuffer (const std::string &buffer)

void	setHistVarSimMarketParamsFromFile (const std::string &fileName)

void	setOutputHistoricalScenarios (const bool b)

void	setSalvageCorrelationMatrix (bool b)

void	setAmc (bool b)

void	setAmcCg (bool b)

void	setXvaCgBumpSensis (bool b)

void	setXvaCgSensiScenarioData (const std::string &xml)

void	setXvaCgSensiScenarioDataFromFile (const std::string &fileName)

void	setAmcTradeTypes (const std::string &s)

void	setExposureBaseCurrency (const std::string &s)

void	setExposureObservationModel (const std::string &s)

void	setNettingSetId (const std::string &s)

void	setScenarioGenType (const std::string &s)

void	setStoreFlows (bool b)

void	setStoreCreditStateNPVs (Size states)

void	setStoreSurvivalProbabilities (bool b)

void	setWriteCube (bool b)

void	setWriteScenarios (bool b)

void	setExposureSimMarketParams (const std::string &xml)

void	setExposureSimMarketParamsFromFile (const std::string &fileName)

void	setScenarioGeneratorData (const std::string &xml)

void	setScenarioGeneratorDataFromFile (const std::string &fileName)

void	setCrossAssetModelData (const std::string &xml)

void	setCrossAssetModelDataFromFile (const std::string &fileName)

void	setSimulationPricingEngine (const std::string &xml)

void	setSimulationPricingEngineFromFile (const std::string &fileName)

void	setSimulationPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setAmcPricingEngine (const std::string &xml)

void	setAmcPricingEngineFromFile (const std::string &fileName)

void	setAmcPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setNettingSetManager (const std::string &xml)

void	setNettingSetManagerFromFile (const std::string &fileName)

void	setCollateralBalances (const std::string &xml)

void	setCollateralBalancesFromFile (const std::string &fileName)

void	setXvaBaseCurrency (const std::string &s)

void	setLoadCube (bool b)

void	setCubeFromFile (const std::string &file)

void	setCube (const QuantLib::ext::shared_ptr< NPVCube > &cube)

void	setNettingSetCubeFromFile (const std::string &file)

void	setCptyCubeFromFile (const std::string &file)

void	setMarketCubeFromFile (const std::string &file)

void	setMarketCube (const QuantLib::ext::shared_ptr< AggregationScenarioData > &cube)

void	setFlipViewXVA (bool b)

void	setMporCashFlowMode (const MporCashFlowMode m)

void	setFullInitialCollateralisation (bool b)

void	setExposureProfiles (bool b)

void	setExposureProfilesByTrade (bool b)

void	setPfeQuantile (Real r)

void	setCollateralCalculationType (const std::string &s)

void	setExposureAllocationMethod (const std::string &s)

void	setMarginalAllocationLimit (Real r)

void	setExerciseNextBreak (bool b)

void	setCvaAnalytic (bool b)

void	setDvaAnalytic (bool b)

void	setFvaAnalytic (bool b)

void	setColvaAnalytic (bool b)

void	setCollateralFloorAnalytic (bool b)

void	setDimAnalytic (bool b)

void	setDimModel (const std::string &s)

void	setMvaAnalytic (bool b)

void	setKvaAnalytic (bool b)

void	setDynamicCredit (bool b)

void	setCvaSensi (bool b)

void	setCvaSensiGrid (const std::string &s)

void	setCvaSensiShiftSize (Real r)

void	setDvaName (const std::string &s)

void	setRawCubeOutput (bool b)

void	setNetCubeOutput (bool b)

void	setRawCubeOutputFile (const std::string &s)

void	setNetCubeOutputFile (const std::string &s)

void	setFvaBorrowingCurve (const std::string &s)

void	setFvaLendingCurve (const std::string &s)

void	setFlipViewBorrowingCurvePostfix (const std::string &s)

void	setFlipViewLendingCurvePostfix (const std::string &s)

void	setDeterministicInitialMargin (const std::string &n, TimeSeries< Real > v)

void	setDeterministicInitialMarginFromFile (const std::string &fileName)

void	setDimQuantile (Real r)

void	setDimHorizonCalendarDays (Size s)

void	setDimRegressionOrder (Size s)

void	setDimRegressors (const std::string &s)

void	setDimOutputGridPoints (const std::string &s)

void	setDimOutputNettingSet (const std::string &s)

void	setDimLocalRegressionEvaluations (Size s)

void	setDimLocalRegressionBandwidth (Real r)

void	setKvaCapitalDiscountRate (Real r)

void	setKvaAlpha (Real r)

void	setKvaRegAdjustment (Real r)

void	setKvaCapitalHurdle (Real r)

void	setKvaOurPdFloor (Real r)

void	setKvaTheirPdFloor (Real r)

void	setKvaOurCvaRiskWeight (Real r)

void	setKvaTheirCvaRiskWeight (Real r)

void	setCreditMigrationAnalytic (bool b)

void	setCreditMigrationDistributionGrid (const std::vector< Real > &grid)

void	setCreditMigrationTimeSteps (const std::vector< Size > &ts)

void	setCreditSimulationParameters (const QuantLib::ext::shared_ptr< CreditSimulationParameters > &c)

void	setCreditSimulationParametersFromBuffer (const std::string &xml)

void	setCreditSimulationParametersFromFile (const std::string &fileName)

void	setCreditMigrationOutputFiles (const std::string &s)

void	setCashflowHorizon (const std::string &s)

void	setPortfolioFilterDate (const std::string &s)

void	setXvaStressSimMarketParams (const std::string &xml)

void	setXvaStressSimMarketParamsFromFile (const std::string &f)

void	setXvaStressScenarioData (const std::string &s)

void	setXvaStressScenarioDataFromFile (const std::string &s)

void	setXvaStressSensitivityScenarioData (const std::string &xml)

void	setXvaStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setXvaStressWriteCubes (const bool writeCubes)

void	setXvaSensiSimMarketParams (const std::string &xml)

void	setXvaSensiSimMarketParamsFromFile (const std::string &fileName)

void	setXvaSensiScenarioData (const std::string &xml)

void	setXvaSensiScenarioDataFromFile (const std::string &fileName)

void	setXvaSensiPricingEngine (const std::string &xml)

void	setXvaSensiPricingEngineFromFile (const std::string &fileName)

void	setXvaSensiPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setSimmVersion (const std::string &s)

void	setCrifFromFile (const std::string &fileName, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')

void	setCrifFromBuffer (const std::string &csvBuffer, char eol='\n', char delim=',', char quoteChar='\0', char escapeChar='\\')

void	setSimmNameMapper (const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &p)

void	setSimmNameMapper (const std::string &xml)

void	setSimmNameMapperFromFile (const std::string &fileName)

void	setSimmBucketMapper (const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &p)

void	setSimmBucketMapper (const std::string &xml)

void	setSimmBucketMapperFromFile (const std::string &fileName)

void	setSimmCalibrationData (const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &s)

void	setSimmCalibrationDataFromFile (const std::string &fileName)

void	setSimmCalculationCurrencyCall (const std::string &s)

void	setSimmCalculationCurrencyPost (const std::string &s)

void	setSimmResultCurrency (const std::string &s)

void	setSimmReportingCurrency (const std::string &s)

void	setEnforceIMRegulations (bool b)

void	setWriteSimmIntermediateReports (bool b)

void	setParConversionXbsParConversion (bool b)

void	setParConversionAlignPillars (bool b)

void	setParConversionOutputJacobi (bool b)

void	setParConversionThreshold (Real r)

void	setParConversionSimMarketParams (const std::string &xml)

void	setParConversionSimMarketParamsFromFile (const std::string &fileName)

void	setParConversionScenarioData (const std::string &xml)

void	setParConversionScenarioDataFromFile (const std::string &fileName)

void	setParConversionPricingEngine (const std::string &xml)

void	setParConversionPricingEngineFromFile (const std::string &fileName)

void	setParConversionPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setParConversionInputFile (const std::string &s)

void	setParConversionInputIdColumn (const std::string &s)

void	setParConversionInputRiskFactorColumn (const std::string &s)

void	setParConversionInputDeltaColumn (const std::string &s)

void	setParConversionInputCurrencyColumn (const std::string &s)

void	setParConversionInputBaseNpvColumn (const std::string &s)

void	setParConversionInputShiftSizeColumn (const std::string &s)

void	setScenarioDistributionSteps (const Size s)

void	setScenarioOutputZeroRate (const bool b)

void	setParStressSimMarketParams (const std::string &xml)

void	setParStressSimMarketParamsFromFile (const std::string &fileName)

void	setParStressScenarioData (const std::string &xml)

void	setParStressScenarioDataFromFile (const std::string &fileName)

void	setParStressPricingEngine (const std::string &xml)

void	setParStressPricingEngineFromFile (const std::string &fileName)

void	setParStressPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setParStressSensitivityScenarioData (const std::string &xml)

void	setParStressSensitivityScenarioDataFromFile (const std::string &fileName)

void	setParStressLowerBoundCapFloorVolatility (const double value)

void	setParStressUpperBoundCapFloorVolatility (const double value)

void	setParStressLowerBoundSurvivalProb (const double value)

void	setParStressUpperBoundSurvivalProb (const double value)

void	setParStressLowerBoundRatesDiscountFactor (const double value)

void	setParStressUpperBoundRatesDiscountFactor (const double value)

void	setParStressAccurary (const double value)

void	setZeroToParShiftSimMarketParams (const std::string &xml)

void	setZeroToParShiftSimMarketParamsFromFile (const std::string &fileName)

void	setZeroToParShiftScenarioData (const std::string &xml)

void	setZeroToParShiftScenarioDataFromFile (const std::string &fileName)

void	setZeroToParShiftPricingEngine (const std::string &xml)

void	setZeroToParShiftPricingEngineFromFile (const std::string &fileName)

void	setZeroToParShiftPricingEngine (const QuantLib::ext::shared_ptr< EngineData > &engineData)

void	setZeroToParShiftSensitivityScenarioData (const std::string &xml)

void	setZeroToParShiftSensitivityScenarioDataFromFile (const std::string &fileName)

void	setAnalytics (const std::string &s)

void	insertAnalytic (const std::string &s)

const QuantLib::Date &	asof () const

const boost::filesystem::path &	resultsPath () const

const std::string &	baseCurrency () const

const std::string &	resultCurrency () const

bool	continueOnError () const

bool	lazyMarketBuilding () const

bool	buildFailedTrades () const

const std::string &	observationModel () const

bool	implyTodaysFixings () const

const std::map< std::string, std::string > &	marketConfigs () const

const std::string &	marketConfig (const std::string &context)

const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > &	refDataManager () const

const QuantLib::ext::shared_ptr< ore::data::Conventions > &	conventions () const

const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > &	iborFallbackConfig () const

CurveConfigurationsManager &	curveConfigs ()

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	pricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &	todaysMarketParams () const

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	useCounterpartyOriginalPortfolio () const

QuantLib::Size	maxRetries () const

QuantLib::Size	nThreads () const

bool	entireMarket () const

bool	allFixings () const

bool	eomInflationFixings () const

bool	useMarketDataFixings () const

bool	iborFallbackOverride () const

const std::string &	reportNaString () const

char	csvCommentCharacter () const

char	csvEolChar () const

char	csvQuoteChar () const

char	csvSeparator () const

char	csvEscapeChar () const

bool	dryRun () const

QuantLib::Size	mporDays () const

QuantLib::Date	mporDate ()

const QuantLib::Calendar	mporCalendar ()

bool	mporOverlappingPeriods () const

bool	mporForward () const

bool	outputAdditionalResults () const

std::size_t	additionalResultsReportPrecision () const

bool	includePastCashflows () const

bool	outputCurves () const

bool	outputTodaysMarketCalibration () const

const std::string &	curvesMarketConfig ()

const std::string &	curvesGrid () const

bool	xbsParConversion ()

bool	parSensi () const

bool	optimiseRiskFactors () const

bool	alignPillars () const

bool	outputJacobi () const

bool	useSensiSpreadedTermStructures () const

QuantLib::Real	sensiThreshold () const

bool	sensiRecalibrateModels () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	sensiSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	sensiScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	sensiPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	scenarioSimMarketParams () const

const std::string &	scenarioOutputFile () const

QuantLib::Real	stressThreshold () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	stressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	stressScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	stressPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	stressSensitivityScenarioData () const

bool	stressOptimiseRiskFactors () const

double	stressLowerBoundCapFloorVolatility () const

double	stressUpperBoundCapFloorVolatility () const

double	stressLowerBoundSurvivalProb () const

double	stressUpperBoundSurvivalProb () const

double	stressLowerBoundRatesDiscountFactor () const

double	stressUpperBoundRatesDiscountFactor () const

double	stressAccurary () const

bool	salvageCovariance () const

const std::vector< Real > &	varQuantiles () const

bool	varBreakDown () const

const std::string &	portfolioFilter () const

const std::string &	varMethod () const

Size	mcVarSamples () const

long	mcVarSeed () const

const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > &	covarianceData () const

const QuantLib::ext::shared_ptr< SensitivityStream > &	sensitivityStream () const

std::string	benchmarkVarPeriod () const

QuantLib::ext::shared_ptr< HistoricalScenarioReader >	historicalScenarioReader () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	histVarSimMarketParams () const

bool	outputHistoricalScenarios () const

bool	salvageCorrelationMatrix () const

bool	amc () const

bool	amcCg () const

bool	xvaCgBumpSensis () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaCgSensiScenarioData () const

const std::set< std::string > &	amcTradeTypes () const

const std::string &	exposureBaseCurrency () const

const std::string &	exposureObservationModel () const

const std::string &	nettingSetId () const

const std::string &	scenarioGenType () const

bool	storeFlows () const

Size	storeCreditStateNPVs () const

bool	storeSurvivalProbabilities () const

bool	writeCube () const

bool	writeScenarios () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	exposureSimMarketParams () const

const QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData () const

const QuantLib::ext::shared_ptr< CrossAssetModelData > &	crossAssetModelData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	simulationPricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	amcPricingEngine () const

const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &	nettingSetManager () const

const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &	collateralBalances () const

const Real &	simulationBootstrapTolerance () const

const std::string &	xvaBaseCurrency () const

bool	loadCube ()

const QuantLib::ext::shared_ptr< NPVCube > &	cube () const

const QuantLib::ext::shared_ptr< NPVCube > &	nettingSetCube () const

const QuantLib::ext::shared_ptr< NPVCube > &	cptyCube () const

const QuantLib::ext::shared_ptr< AggregationScenarioData > &	mktCube () const

bool	flipViewXVA () const

MporCashFlowMode	mporCashFlowMode () const

bool	fullInitialCollateralisation () const

bool	exposureProfiles () const

bool	exposureProfilesByTrade () const

Real	pfeQuantile () const

const std::string &	collateralCalculationType () const

const std::string &	exposureAllocationMethod () const

Real	marginalAllocationLimit () const

bool	exerciseNextBreak () const

bool	cvaAnalytic () const

bool	dvaAnalytic () const

bool	fvaAnalytic () const

bool	colvaAnalytic () const

bool	collateralFloorAnalytic () const

bool	dimAnalytic () const

const std::string &	dimModel () const

bool	mvaAnalytic () const

bool	kvaAnalytic () const

bool	dynamicCredit () const

bool	cvaSensi () const

const std::vector< Period > &	cvaSensiGrid () const

Real	cvaSensiShiftSize () const

const std::string &	dvaName () const

bool	rawCubeOutput () const

bool	netCubeOutput () const

const std::string &	rawCubeOutputFile () const

const std::string &	netCubeOutputFile () const

const std::string &	fvaBorrowingCurve () const

const std::string &	fvaLendingCurve () const

const std::string &	flipViewBorrowingCurvePostfix () const

const std::string &	flipViewLendingCurvePostfix () const

TimeSeries< Real >	deterministicInitialMargin (const std::string &n)

Real	dimQuantile () const

Size	dimHorizonCalendarDays () const

Size	dimRegressionOrder () const

const std::vector< std::string > &	dimRegressors () const

const std::vector< Size > &	dimOutputGridPoints () const

const std::string &	dimOutputNettingSet () const

Size	dimLocalRegressionEvaluations () const

Real	dimLocalRegressionBandwidth () const

Real	kvaCapitalDiscountRate () const

Real	kvaAlpha () const

Real	kvaRegAdjustment () const

Real	kvaCapitalHurdle () const

Real	kvaOurPdFloor () const

Real	kvaTheirPdFloor () const

Real	kvaOurCvaRiskWeight () const

Real	kvaTheirCvaRiskWeight () const

bool	creditMigrationAnalytic () const

const std::vector< Real > &	creditMigrationDistributionGrid () const

std::vector< Size >	creditMigrationTimeSteps () const

const QuantLib::ext::shared_ptr< CreditSimulationParameters > &	creditSimulationParameters () const

const std::string &	creditMigrationOutputFiles () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaStressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	xvaStressScenarioData () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaStressSensitivityScenarioData () const

bool	xvaStressWriteCubes () const

const QuantLib::Date &	cashflowHorizon () const

const QuantLib::Date &	portfolioFilterDate () const

const std::string &	simmVersion () const

const ore::analytics::Crif &	crif () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > &	simmNameMapper () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > &	simmBucketMapper () const

const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > &	simmCalibrationData () const

const std::string &	simmCalculationCurrencyCall () const

const std::string &	simmCalculationCurrencyPost () const

const std::string &	simmResultCurrency () const

const std::string &	simmReportingCurrency () const

bool	enforceIMRegulations () const

QuantLib::ext::shared_ptr< SimmConfiguration >	getSimmConfiguration ()

bool	writeSimmIntermediateReports () const

bool	parConversionXbsParConversion () const

bool	parConversionAlignPillars () const

bool	parConversionOutputJacobi () const

QuantLib::Real	parConversionThreshold () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parConversionSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parConversionScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parConversionPricingEngine () const

const std::string &	parConversionInputFile () const

const std::string &	parConversionInputIdColumn () const

const std::string &	parConversionInputRiskFactorColumn () const

const std::string &	parConversionInputDeltaColumn () const

const std::string &	parConversionInputCurrencyColumn () const

const std::string &	parConversionInputBaseNpvColumn () const

const std::string &	parConversionInputShiftSizeColumn () const

const Size &	scenarioDistributionSteps () const

const bool &	scenarioOutputZeroRate () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	parStressSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	parStressScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	parStressPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	parStressSensitivityScenarioData () const

double	parStressLowerBoundCapFloorVolatility () const

double	parStressUpperBoundCapFloorVolatility () const

double	parStressLowerBoundSurvivalProb () const

double	parStressUpperBoundSurvivalProb () const

double	parStressLowerBoundRatesDiscountFactor () const

double	parStressUpperBoundRatesDiscountFactor () const

double	parStressAccurary () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	xvaSensiSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	xvaSensiScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	xvaSensiPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &	zeroToParShiftSimMarketParams () const

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > &	zeroToParShiftScenarioData () const

const QuantLib::ext::shared_ptr< ore::data::EngineData > &	zeroToParShiftPricingEngine () const

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &	zeroToParShiftSensitivityScenarioData () const

const std::set< std::string > &	analytics () const

virtual void	loadParameters ()

virtual void	writeOutParameters ()

Protected Attributes
std::set< std::string >	analytics_

QuantLib::Date	asof_

boost::filesystem::path	resultsPath_

std::string	baseCurrency_

std::string	resultCurrency_

bool	continueOnError_ = true

bool	lazyMarketBuilding_ = true

bool	buildFailedTrades_ = true

std::string	observationModel_ = "None"

bool	implyTodaysFixings_ = false

std::map< std::string, std::string >	marketConfigs_

QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager >	refDataManager_

QuantLib::ext::shared_ptr< ore::data::Conventions >	conventions_

QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig >	iborFallbackConfig_

CurveConfigurationsManager	curveConfigs_

QuantLib::ext::shared_ptr< ore::data::EngineData >	pricingEngine_

QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_

QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_

QuantLib::ext::shared_ptr< ore::data::Portfolio >	useCounterpartyOriginalPortfolio_

QuantLib::Size	maxRetries_ = 7

QuantLib::Size	nThreads_ = 1

bool	entireMarket_ = false

bool	allFixings_ = false

bool	eomInflationFixings_ = true

bool	useMarketDataFixings_ = true

bool	iborFallbackOverride_ = false

bool	csvCommentCharacter_ = true

char	csvEolChar_ = '\n'

char	csvSeparator_ = ','

char	csvQuoteChar_ = '\0'

char	csvEscapeChar_ = '\\'

std::string	reportNaString_ = "#N/A"

bool	dryRun_ = false

QuantLib::Date	mporDate_

QuantLib::Size	mporDays_ = 10

bool	mporOverlappingPeriods_ = true

QuantLib::Calendar	mporCalendar_

bool	mporForward_ = true

bool	outputAdditionalResults_ = false

std::size_t	additionalResultsReportPrecision_ = 6

bool	outputCurves_ = false

std::string	curvesMarketConfig_ = Market::defaultConfiguration

std::string	curvesGrid_ = "240,1M"

bool	outputTodaysMarketCalibration_ = true

bool	includePastCashflows_ = false

QuantLib::Date	cashflowHorizon_

QuantLib::Date	portfolioFilterDate_

bool	xbsParConversion_ = false

bool	parSensi_ = false

bool	optimiseRiskFactors_ = false

bool	outputJacobi_ = false

bool	alignPillars_ = false

bool	useSensiSpreadedTermStructures_ = true

QuantLib::Real	sensiThreshold_ = 1e-6

bool	sensiRecalibrateModels_ = true

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	sensiSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	sensiScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	sensiPricingEngine_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	scenarioSimMarketParams_

std::string	scenarioOutputFile_

QuantLib::Real	stressThreshold_ = 0.0

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	stressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	stressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	stressSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	stressPricingEngine_

bool	stressOptimiseRiskFactors_ = false

double	stressLowerBoundCapFloorVolatility_

double	stressUpperBoundCapFloorVolatility_

double	stressLowerBoundSurvivalProb_

double	stressUpperBoundSurvivalProb_

double	stressLowerBoundRatesDiscountFactor_

double	stressUpperBoundRatesDiscountFactor_

double	stressAccurary_

bool	salvageCovariance_ = false

std::vector< Real >	varQuantiles_

bool	varBreakDown_ = false

std::string	portfolioFilter_

std::string	varMethod_ = "DeltaGammaNormal"

Size	mcVarSamples_ = 1000000

long	mcVarSeed_ = 42

std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real >	covarianceData_

QuantLib::ext::shared_ptr< SensitivityStream >	sensitivityStream_

std::string	benchmarkVarPeriod_

QuantLib::ext::shared_ptr< HistoricalScenarioReader >	historicalScenarioReader_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	histVarSimMarketParams_

std::string	baseScenarioLoc_

bool	outputHistoricalScenarios_ = false

bool	salvageCorrelationMatrix_ = false

bool	amc_ = false

bool	amcCg_ = false

bool	xvaCgBumpSensis_ = false

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaCgSensiScenarioData_

std::set< std::string >	amcTradeTypes_

std::string	exposureBaseCurrency_ = ""

std::string	exposureObservationModel_ = "Disable"

std::string	nettingSetId_ = ""

std::string	scenarioGenType_ = ""

bool	storeFlows_ = false

Size	storeCreditStateNPVs_ = 0

bool	storeSurvivalProbabilities_ = false

bool	writeCube_ = false

bool	writeScenarios_ = false

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	exposureSimMarketParams_

QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_

QuantLib::ext::shared_ptr< CrossAssetModelData >	crossAssetModelData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	simulationPricingEngine_

QuantLib::ext::shared_ptr< ore::data::EngineData >	amcPricingEngine_

QuantLib::ext::shared_ptr< ore::data::NettingSetManager >	nettingSetManager_

QuantLib::ext::shared_ptr< ore::data::CollateralBalances >	collateralBalances_

bool	exposureProfiles_ = true

bool	exposureProfilesByTrade_ = true

Real	pfeQuantile_ = 0.95

bool	fullInitialCollateralisation_ = false

std::string	collateralCalculationType_ = "NoLag"

std::string	exposureAllocationMethod_ = "None"

Real	marginalAllocationLimit_ = 1.0

QuantLib::ext::shared_ptr< NPVCube >	cube_

QuantLib::ext::shared_ptr< NPVCube >	nettingSetCube_

QuantLib::ext::shared_ptr< NPVCube >	cptyCube_

QuantLib::ext::shared_ptr< AggregationScenarioData >	mktCube_

Real	simulationBootstrapTolerance_ = 0.0001

std::string	xvaBaseCurrency_ = ""

bool	loadCube_ = false

bool	flipViewXVA_ = false

MporCashFlowMode	mporCashFlowMode_ = MporCashFlowMode::Unspecified

bool	exerciseNextBreak_ = false

bool	cvaAnalytic_ = true

bool	dvaAnalytic_ = false

bool	fvaAnalytic_ = false

bool	colvaAnalytic_ = false

bool	collateralFloorAnalytic_ = false

bool	dimAnalytic_ = false

std::string	dimModel_ = "Regression"

bool	mvaAnalytic_ = false

bool	kvaAnalytic_ = false

bool	dynamicCredit_ = false

bool	cvaSensi_ = false

std::vector< Period >	cvaSensiGrid_

Real	cvaSensiShiftSize_ = 0.0001

std::string	dvaName_ = ""

bool	rawCubeOutput_ = false

bool	netCubeOutput_ = false

std::string	rawCubeOutputFile_ = ""

std::string	netCubeOutputFile_ = ""

std::string	fvaBorrowingCurve_ = ""

std::string	fvaLendingCurve_ = ""

std::string	flipViewBorrowingCurvePostfix_ = "_BORROW"

std::string	flipViewLendingCurvePostfix_ = "_LEND"

std::map< std::string, TimeSeries< Real > >	deterministicInitialMargin_

Real	dimQuantile_ = 0.99

Size	dimHorizonCalendarDays_ = 14

Size	dimRegressionOrder_ = 0

vector< string >	dimRegressors_

vector< Size >	dimOutputGridPoints_

string	dimOutputNettingSet_

Size	dimLocalRegressionEvaluations_ = 0

Real	dimLocalRegressionBandwidth_ = 0.25

Real	kvaCapitalDiscountRate_ = 0.10

Real	kvaAlpha_ = 1.4

Real	kvaRegAdjustment_ = 12.5

Real	kvaCapitalHurdle_ = 0.012

Real	kvaOurPdFloor_ = 0.03

Real	kvaTheirPdFloor_ = 0.03

Real	kvaOurCvaRiskWeight_ = 0.05

Real	kvaTheirCvaRiskWeight_ = 0.05

bool	creditMigrationAnalytic_ = false

std::vector< Real >	creditMigrationDistributionGrid_

std::vector< Size >	creditMigrationTimeSteps_

QuantLib::ext::shared_ptr< CreditSimulationParameters >	creditSimulationParameters_

std::string	creditMigrationOutputFiles_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaStressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	xvaStressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaStressSensitivityScenarioData_

bool	xvaStressWriteCubes_ = false

std::string	simmVersion_

ore::analytics::Crif	crif_

QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper >	simmNameMapper_

QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper >	simmBucketMapper_

QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData >	simmCalibrationData_

std::string	simmCalculationCurrencyCall_ = ""

std::string	simmCalculationCurrencyPost_ = ""

std::string	simmResultCurrency_ = ""

std::string	simmReportingCurrency_ = ""

bool	enforceIMRegulations_ = false

bool	useSimmParameters_ = true

bool	writeSimmIntermediateReports_ = true

bool	parConversionXbsParConversion_ = false

bool	parConversionOutputJacobi_ = false

bool	parConversionAlignPillars_ = false

QuantLib::Real	parConversionThreshold_ = 1e-6

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parConversionSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parConversionScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	parConversionPricingEngine_

std::string	parConversionInputFile_

std::string	parConversionInputIdColumn_ = "TradeId"

std::string	parConversionInputRiskFactorColumn_ = "Factor_1"

std::string	parConversionInputDeltaColumn_ = "Delta"

std::string	parConversionInputCurrencyColumn_ = "Currency"

std::string	parConversionInputBaseNpvColumn_ = "Base NPV"

std::string	parConversionInputShiftSizeColumn_ = "ShiftSize_1"

Size	scenarioDistributionSteps_ = 20

bool	scenarioOutputZeroRate_ = false

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	parStressSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	parStressScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	parStressSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	parStressPricingEngine_

double	parStressLowerBoundCapFloorVolatility_

double	parStressUpperBoundCapFloorVolatility_

double	parStressLowerBoundSurvivalProb_

double	parStressUpperBoundSurvivalProb_

double	parStressLowerBoundRatesDiscountFactor_

double	parStressUpperBoundRatesDiscountFactor_

double	parStressAccurary_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	zeroToParShiftSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData >	zeroToParShiftScenarioData_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	zeroToParShiftSensitivityScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	zeroToParShiftPricingEngine_

QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	xvaSensiSimMarketParams_

QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData >	xvaSensiScenarioData_

QuantLib::ext::shared_ptr< ore::data::EngineData >	xvaSensiPricingEngine_

Detailed Description

Base class for input data, also exposed via SWIG.

Definition at line 64 of file inputparameters.hpp.

Constructor & Destructor Documentation

◆ InputParameters()

InputParameters ( )

Definition at line 47 of file inputparameters.cpp.

                                 {
    iborFallbackConfig_ = QuantLib::ext::make_shared<IborFallbackConfig>(IborFallbackConfig::defaultConfig());
    simmBucketMapper_ = QuantLib::ext::make_shared<SimmBucketMapperBase>();
    loadParameters();
}

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◆ ~InputParameters()

virtual ~InputParameters ( )

virtual

Definition at line 67 of file inputparameters.hpp.

67{}

Member Function Documentation

◆ setAsOfDate()

void setAsOfDate ( const std::string & s )

Definition at line 53 of file inputparameters.cpp.

                                                    {
    asof_ = parseDate(s);
    Settings::instance().evaluationDate() = asof_;
}

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◆ setResultsPath()

void setResultsPath ( const std::string & s )

Definition at line 74 of file inputparameters.hpp.

74{ resultsPath_ = s; }

ore::analytics::InputParameters::resultsPath_

boost::filesystem::path resultsPath_

Definition: inputparameters.hpp:784

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◆ setBaseCurrency()

void setBaseCurrency ( const std::string & s )

Definition at line 75 of file inputparameters.hpp.

75{ baseCurrency_ = s; }

ore::analytics::InputParameters::baseCurrency_

std::string baseCurrency_

Definition: inputparameters.hpp:785

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◆ setContinueOnError()

void setContinueOnError ( bool b )

Definition at line 76 of file inputparameters.hpp.

76{ continueOnError_ = b; }

ore::analytics::InputParameters::continueOnError_

bool continueOnError_

Definition: inputparameters.hpp:787

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◆ setLazyMarketBuilding()

void setLazyMarketBuilding ( bool b )

Definition at line 77 of file inputparameters.hpp.

77{ lazyMarketBuilding_ = b; }

ore::analytics::InputParameters::lazyMarketBuilding_

bool lazyMarketBuilding_

Definition: inputparameters.hpp:788

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◆ setBuildFailedTrades()

void setBuildFailedTrades ( bool b )

Definition at line 78 of file inputparameters.hpp.

78{ buildFailedTrades_ = b; }

ore::analytics::InputParameters::buildFailedTrades_

bool buildFailedTrades_

Definition: inputparameters.hpp:789

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◆ setObservationModel()

void setObservationModel ( const std::string & s )

Definition at line 79 of file inputparameters.hpp.

79{ observationModel_ = s; }

ore::analytics::InputParameters::observationModel_

std::string observationModel_

Definition: inputparameters.hpp:790

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◆ setImplyTodaysFixings()

void setImplyTodaysFixings ( bool b )

Definition at line 80 of file inputparameters.hpp.

80{ implyTodaysFixings_ = b; }

ore::analytics::InputParameters::implyTodaysFixings_

bool implyTodaysFixings_

Definition: inputparameters.hpp:791

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◆ setMarketConfig()

void setMarketConfig	(	const std::string &	config,
		const std::string &	context
	)

Definition at line 58 of file inputparameters.cpp.

                                                                                       {
    auto it = marketConfigs_.find(context);
    QL_REQUIRE(it == marketConfigs_.end(),
               "market config " << it->second << " already set for context " << it->first);
    marketConfigs_[context] = config;
}

◆ setRefDataManager()

void setRefDataManager ( const std::string & xml )

Definition at line 65 of file inputparameters.cpp.

                                                            {
    refDataManager_ = QuantLib::ext::make_shared<BasicReferenceDataManager>();
    refDataManager_->fromXMLString(xml);
}

◆ setRefDataManagerFromFile()

void setRefDataManagerFromFile ( const std::string & fileName )

Definition at line 70 of file inputparameters.cpp.

                                                                         {
    refDataManager_ = QuantLib::ext::make_shared<BasicReferenceDataManager>(fileName);
}

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◆ setScriptLibrary()

void setScriptLibrary ( const std::string & xml )

Definition at line 74 of file inputparameters.cpp.

                                                           {
    ScriptLibraryData data;
    data.fromXMLString(xml);
    ScriptLibraryStorage::instance().set(std::move(data));
}

◆ setScriptLibraryFromFile()

void setScriptLibraryFromFile ( const std::string & fileName )

Definition at line 80 of file inputparameters.cpp.

                                                                        {
    ScriptLibraryData data;
    data.fromFile(fileName);
    ScriptLibraryStorage::instance().set(std::move(data));
}

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◆ setConventions()

void setConventions ( const std::string & xml )

Definition at line 86 of file inputparameters.cpp.

                                                         {
    conventions_ = QuantLib::ext::make_shared<Conventions>();
    conventions_->fromXMLString(xml);
}

◆ setConventionsFromFile()

void setConventionsFromFile ( const std::string & fileName )

Definition at line 91 of file inputparameters.cpp.

                                                                      {
    conventions_ = QuantLib::ext::make_shared<Conventions>();
    conventions_->fromFile(fileName);
}

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◆ setIborFallbackConfig()

void setIborFallbackConfig ( const std::string & xml )

Definition at line 108 of file inputparameters.cpp.

                                                                {
    iborFallbackConfig_= QuantLib::ext::make_shared<IborFallbackConfig>();
    iborFallbackConfig_->fromXMLString(xml);
}

◆ setIborFallbackConfigFromFile()

void setIborFallbackConfigFromFile ( const std::string & fileName )

Definition at line 113 of file inputparameters.cpp.

                                                                             {
    iborFallbackConfig_= QuantLib::ext::make_shared<IborFallbackConfig>();
    iborFallbackConfig_->fromFile(fileName);
}

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◆ setCurveConfigs()

void setCurveConfigs ( const std::string & xml )

Definition at line 96 of file inputparameters.cpp.

                                                          {
    auto curveConfig = QuantLib::ext::make_shared<CurveConfigurations>();
    curveConfig->fromXMLString(xml);
    curveConfigs_.add(curveConfig);
}

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◆ setCurveConfigsFromFile()

void setCurveConfigsFromFile ( const std::string & fileName )

Definition at line 102 of file inputparameters.cpp.

                                                                       {
    auto curveConfig = QuantLib::ext::make_shared<CurveConfigurations>();
    curveConfig->fromFile(fileName);
    curveConfigs_.add(curveConfig);
}

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◆ setPricingEngine()

void setPricingEngine ( const std::string & xml )

Definition at line 118 of file inputparameters.cpp.

                                                           {
    pricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    pricingEngine_->fromXMLString(xml);
}

◆ setPricingEngineFromFile()

void setPricingEngineFromFile ( const std::string & fileName )

Definition at line 123 of file inputparameters.cpp.

                                                                        {
    pricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    pricingEngine_->fromFile(fileName);
}

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◆ setTodaysMarketParams()

void setTodaysMarketParams ( const std::string & xml )

Definition at line 128 of file inputparameters.cpp.

                                                                {
    todaysMarketParams_ = QuantLib::ext::make_shared<TodaysMarketParameters>();
    todaysMarketParams_->fromXMLString(xml);
}

◆ setTodaysMarketParamsFromFile()

void setTodaysMarketParamsFromFile ( const std::string & fileName )

Definition at line 133 of file inputparameters.cpp.

                                                                             {
    todaysMarketParams_ = QuantLib::ext::make_shared<TodaysMarketParameters>();
    todaysMarketParams_->fromFile(fileName);
}

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◆ setPortfolio()

void setPortfolio ( const std::string & xml )

Definition at line 138 of file inputparameters.cpp.

                                                       {
    portfolio_ = QuantLib::ext::make_shared<Portfolio>(buildFailedTrades_);
    portfolio_->fromXMLString(xml);
}

◆ setPortfolioFromFile()

void setPortfolioFromFile	(	const std::string &	fileNameString,
		const std::filesystem::path &	inputPath
	)

Definition at line 143 of file inputparameters.cpp.

                                                                                                              {
    vector<string> files = getFileNames(fileNameString, inputPath);
    portfolio_ = QuantLib::ext::make_shared<Portfolio>(buildFailedTrades_);
    for (auto file : files) {
        LOG("Loading portfolio from file: " << file);
        portfolio_->fromFile(file);
    }
}

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◆ setMarketConfigs()

void setMarketConfigs ( const std::map< std::string, std::string > & m )

Definition at line 152 of file inputparameters.cpp.

                                                                            {
    marketConfigs_ = m;
}

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◆ setThreads()

void setThreads ( int i )

Definition at line 99 of file inputparameters.hpp.

99{ nThreads_ = i; }

ore::analytics::InputParameters::nThreads_

QuantLib::Size nThreads_

Definition: inputparameters.hpp:801

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◆ setEntireMarket()

void setEntireMarket ( bool b )

Definition at line 100 of file inputparameters.hpp.

100{ entireMarket_ = b; }

ore::analytics::InputParameters::entireMarket_

bool entireMarket_

Definition: inputparameters.hpp:803

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◆ setAllFixings()

void setAllFixings ( bool b )

Definition at line 101 of file inputparameters.hpp.

101{ allFixings_ = b; }

ore::analytics::InputParameters::allFixings_

bool allFixings_

Definition: inputparameters.hpp:804

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◆ setEomInflationFixings()

void setEomInflationFixings ( bool b )

Definition at line 102 of file inputparameters.hpp.

102{ eomInflationFixings_ = b; }

ore::analytics::InputParameters::eomInflationFixings_

bool eomInflationFixings_

Definition: inputparameters.hpp:805

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◆ setUseMarketDataFixings()

void setUseMarketDataFixings ( bool b )

Definition at line 103 of file inputparameters.hpp.

103{ useMarketDataFixings_ = b; }

ore::analytics::InputParameters::useMarketDataFixings_

bool useMarketDataFixings_

Definition: inputparameters.hpp:806

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◆ setIborFallbackOverride()

void setIborFallbackOverride ( bool b )

Definition at line 104 of file inputparameters.hpp.

104{ iborFallbackOverride_ = b; }

ore::analytics::InputParameters::iborFallbackOverride_

bool iborFallbackOverride_

Definition: inputparameters.hpp:807

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◆ setReportNaString()

void setReportNaString ( const std::string & s )

Definition at line 105 of file inputparameters.hpp.

105{ reportNaString_ = s; }

ore::analytics::InputParameters::reportNaString_

std::string reportNaString_

Definition: inputparameters.hpp:813

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◆ setCsvQuoteChar()

void setCsvQuoteChar ( const char & c )

Definition at line 106 of file inputparameters.hpp.

106{ csvQuoteChar_ = c; }

ore::analytics::InputParameters::csvQuoteChar_

char csvQuoteChar_

Definition: inputparameters.hpp:811

◆ setCsvSeparator()

void setCsvSeparator ( const char & c )

Definition at line 107 of file inputparameters.hpp.

107{ csvSeparator_ = c; }

ore::analytics::InputParameters::csvSeparator_

char csvSeparator_

Definition: inputparameters.hpp:810

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◆ setCsvCommentCharacter()

void setCsvCommentCharacter ( const char & c )

Definition at line 108 of file inputparameters.hpp.

108{ csvCommentCharacter_ = c; }

ore::analytics::InputParameters::csvCommentCharacter_

bool csvCommentCharacter_

Definition: inputparameters.hpp:808

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◆ setDryRun()

void setDryRun ( bool b )

Definition at line 109 of file inputparameters.hpp.

109{ dryRun_ = b; }

ore::analytics::InputParameters::dryRun_

bool dryRun_

Definition: inputparameters.hpp:814

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◆ setMporDays()

void setMporDays ( Size s )

Definition at line 110 of file inputparameters.hpp.

110{ mporDays_ = s; }

ore::analytics::InputParameters::mporDays_

QuantLib::Size mporDays_

Definition: inputparameters.hpp:816

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◆ setMporOverlappingPeriods()

void setMporOverlappingPeriods ( bool b )

Definition at line 111 of file inputparameters.hpp.

111{ mporOverlappingPeriods_ = b; }

ore::analytics::InputParameters::mporOverlappingPeriods_

bool mporOverlappingPeriods_

Definition: inputparameters.hpp:817

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◆ setMporDate()

void setMporDate ( const QuantLib::Date & d )

Definition at line 112 of file inputparameters.hpp.

112{ mporDate_ = d; }

ore::analytics::InputParameters::mporDate_

QuantLib::Date mporDate_

Definition: inputparameters.hpp:815

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◆ setMporCalendar()

void setMporCalendar ( const std::string & s )

Definition at line 156 of file inputparameters.cpp.

                                                        {
    mporCalendar_ = parseCalendar(s);
}

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◆ setMporForward()

void setMporForward ( bool b )

Definition at line 114 of file inputparameters.hpp.

114{ mporForward_ = b; }

ore::analytics::InputParameters::mporForward_

bool mporForward_

Definition: inputparameters.hpp:819

◆ setOutputAdditionalResults()

void setOutputAdditionalResults ( bool b )

Definition at line 117 of file inputparameters.hpp.

117{ outputAdditionalResults_ = b; }

ore::analytics::InputParameters::outputAdditionalResults_

bool outputAdditionalResults_

Definition: inputparameters.hpp:824

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◆ setAdditionalResultsReportPrecision()

void setAdditionalResultsReportPrecision ( std::size_t p )

Definition at line 118 of file inputparameters.hpp.

118{ additionalResultsReportPrecision_ = p; }

ore::analytics::InputParameters::additionalResultsReportPrecision_

std::size_t additionalResultsReportPrecision_

Definition: inputparameters.hpp:825

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◆ setIncludePastCashflows()

void setIncludePastCashflows ( bool b )

Definition at line 120 of file inputparameters.hpp.

120{ includePastCashflows_ = b; }

ore::analytics::InputParameters::includePastCashflows_

bool includePastCashflows_

Definition: inputparameters.hpp:834

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◆ setOutputCurves()

void setOutputCurves ( bool b )

Definition at line 123 of file inputparameters.hpp.

123{ outputCurves_ = b; }

ore::analytics::InputParameters::outputCurves_

bool outputCurves_

Definition: inputparameters.hpp:826

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◆ setOutputTodaysMarketCalibration()

void setOutputTodaysMarketCalibration ( bool b )

Definition at line 124 of file inputparameters.hpp.

124{ outputTodaysMarketCalibration_ = b; }

ore::analytics::InputParameters::outputTodaysMarketCalibration_

bool outputTodaysMarketCalibration_

Definition: inputparameters.hpp:829

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◆ setCurvesMarketConfig()

void setCurvesMarketConfig ( const std::string & s )

Definition at line 125 of file inputparameters.hpp.

125{ curvesMarketConfig_ = s; }

ore::analytics::InputParameters::curvesMarketConfig_

std::string curvesMarketConfig_

Definition: inputparameters.hpp:827

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◆ setCurvesGrid()

void setCurvesGrid ( const std::string & s )

Definition at line 126 of file inputparameters.hpp.

126{ curvesGrid_ = s; }

ore::analytics::InputParameters::curvesGrid_

std::string curvesGrid_

Definition: inputparameters.hpp:828

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◆ setXbsParConversion()

void setXbsParConversion ( bool b )

Definition at line 129 of file inputparameters.hpp.

129{ xbsParConversion_ = b; }

ore::analytics::InputParameters::xbsParConversion_

bool xbsParConversion_

Definition: inputparameters.hpp:841

◆ setParSensi()

void setParSensi ( bool b )

Definition at line 130 of file inputparameters.hpp.

130{ parSensi_ = b; }

ore::analytics::InputParameters::parSensi_

bool parSensi_

Definition: inputparameters.hpp:842

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◆ setOptimiseRiskFactors()

void setOptimiseRiskFactors ( bool b )

Definition at line 131 of file inputparameters.hpp.

131{ optimiseRiskFactors_ = b; }

ore::analytics::InputParameters::optimiseRiskFactors_

bool optimiseRiskFactors_

Definition: inputparameters.hpp:843

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◆ setAlignPillars()

void setAlignPillars ( bool b )

Definition at line 132 of file inputparameters.hpp.

132{ alignPillars_ = b; }

ore::analytics::InputParameters::alignPillars_

bool alignPillars_

Definition: inputparameters.hpp:845

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◆ setOutputJacobi()

void setOutputJacobi ( bool b )

Definition at line 133 of file inputparameters.hpp.

133{ outputJacobi_ = b; }

ore::analytics::InputParameters::outputJacobi_

bool outputJacobi_

Definition: inputparameters.hpp:844

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◆ setUseSensiSpreadedTermStructures()

void setUseSensiSpreadedTermStructures ( bool b )

Definition at line 134 of file inputparameters.hpp.

134{ useSensiSpreadedTermStructures_ = b; }

ore::analytics::InputParameters::useSensiSpreadedTermStructures_

bool useSensiSpreadedTermStructures_

Definition: inputparameters.hpp:846

◆ setSensiThreshold()

void setSensiThreshold ( Real r )

Definition at line 135 of file inputparameters.hpp.

135{ sensiThreshold_ = r; }

ore::analytics::InputParameters::sensiThreshold_

QuantLib::Real sensiThreshold_

Definition: inputparameters.hpp:847

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◆ setSensiRecalibrateModels()

void setSensiRecalibrateModels ( bool b )

Definition at line 136 of file inputparameters.hpp.

136{ sensiRecalibrateModels_ = b; }

ore::analytics::InputParameters::sensiRecalibrateModels_

bool sensiRecalibrateModels_

Definition: inputparameters.hpp:848

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◆ setSensiSimMarketParams()

void setSensiSimMarketParams ( const std::string & xml )

Definition at line 160 of file inputparameters.cpp.

                                                                  {
    sensiSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    sensiSimMarketParams_->fromXMLString(xml);
}

◆ setSensiSimMarketParamsFromFile()

void setSensiSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 165 of file inputparameters.cpp.

                                                                               {
    sensiSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    sensiSimMarketParams_->fromFile(fileName);
}

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◆ setSensiScenarioData()

void setSensiScenarioData ( const std::string & xml )

Definition at line 170 of file inputparameters.cpp.

                                                               {
    sensiScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    sensiScenarioData_->fromXMLString(xml);
}

◆ setSensiScenarioDataFromFile()

void setSensiScenarioDataFromFile ( const std::string & fileName )

Definition at line 175 of file inputparameters.cpp.

                                                                            {
    sensiScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    sensiScenarioData_->fromFile(fileName);
}

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◆ setSensiPricingEngine() [1/2]

void setSensiPricingEngine ( const std::string & xml )

Definition at line 180 of file inputparameters.cpp.

                                                                {
    sensiPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    sensiPricingEngine_->fromXMLString(xml);
}

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◆ setSensiPricingEngineFromFile()

void setSensiPricingEngineFromFile ( const std::string & fileName )

Definition at line 200 of file inputparameters.cpp.

                                                                             {
    sensiPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    sensiPricingEngine_->fromFile(fileName);
}

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◆ setSensiPricingEngine() [2/2]

void setSensiPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 143 of file inputparameters.hpp.

                                                                                    {
        sensiPricingEngine_ = engineData;
    }

◆ setScenarioSimMarketParams()

void setScenarioSimMarketParams ( const std::string & xml )

Definition at line 185 of file inputparameters.cpp.

                                                                     {
    scenarioSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    scenarioSimMarketParams_->fromXMLString(xml);
}

◆ setScenarioSimMarketParamsFromFile()

void setScenarioSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 190 of file inputparameters.cpp.

                                                                                  {
    scenarioSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    scenarioSimMarketParams_->fromFile(fileName);
}

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◆ setScenarioOutputFile()

void setScenarioOutputFile ( const std::string & filename )

Definition at line 150 of file inputparameters.hpp.

150{ scenarioOutputFile_ = filename; }

ore::analytics::InputParameters::scenarioOutputFile_

std::string scenarioOutputFile_

Definition: inputparameters.hpp:858

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◆ setStressThreshold()

void setStressThreshold ( Real r )

Definition at line 153 of file inputparameters.hpp.

153{ stressThreshold_ = r; }

ore::analytics::InputParameters::stressThreshold_

QuantLib::Real stressThreshold_

Definition: inputparameters.hpp:863

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◆ setStressOptimiseRiskFactors()

void setStressOptimiseRiskFactors ( bool optimise )

Definition at line 154 of file inputparameters.hpp.

154{ stressOptimiseRiskFactors_ = optimise; }

ore::analytics::InputParameters::stressOptimiseRiskFactors_

bool stressOptimiseRiskFactors_

Definition: inputparameters.hpp:868

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◆ setStressSimMarketParams()

void setStressSimMarketParams ( const std::string & xml )

Definition at line 205 of file inputparameters.cpp.

                                                                   {
    stressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    stressSimMarketParams_->fromXMLString(xml);
}

◆ setStressSimMarketParamsFromFile()

void setStressSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 210 of file inputparameters.cpp.

                                                                                {
    stressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    stressSimMarketParams_->fromFile(fileName);
}

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◆ setStressScenarioData()

void setStressScenarioData ( const std::string & xml )

Definition at line 215 of file inputparameters.cpp.

                                                                {
    stressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    stressScenarioData_->fromXMLString(xml);
}

◆ setStressScenarioDataFromFile()

void setStressScenarioDataFromFile ( const std::string & fileName )

Definition at line 220 of file inputparameters.cpp.

                                                                             {
    stressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    stressScenarioData_->fromFile(fileName);
}

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◆ setStressPricingEngine() [1/2]

void setStressPricingEngine ( const std::string & xml )

Definition at line 235 of file inputparameters.cpp.

                                                                 {
    stressPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    stressPricingEngine_->fromXMLString(xml);
}

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◆ setStressPricingEngineFromFile()

void setStressPricingEngineFromFile ( const std::string & fileName )

Definition at line 240 of file inputparameters.cpp.

                                                                              {
    stressPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    stressPricingEngine_->fromFile(fileName);
}

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◆ setStressPricingEngine() [2/2]

void setStressPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 161 of file inputparameters.hpp.

                                                                                     {
        stressPricingEngine_ = engineData;
    }

◆ setStressSensitivityScenarioData()

void setStressSensitivityScenarioData ( const std::string & xml )

Definition at line 225 of file inputparameters.cpp.

                                                                           {
    stressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    stressSensitivityScenarioData_->fromXMLString(xml);
}

◆ setStressSensitivityScenarioDataFromFile()

void setStressSensitivityScenarioDataFromFile ( const std::string & fileName )

Definition at line 230 of file inputparameters.cpp.

                                                                                        {
    stressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    stressSensitivityScenarioData_->fromFile(fileName);
}

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◆ setStressLowerBoundCapFloorVolatility()

void setStressLowerBoundCapFloorVolatility ( const double value )

Definition at line 166 of file inputparameters.hpp.

166{ stressLowerBoundCapFloorVolatility_ = value; }

ore::analytics::InputParameters::stressLowerBoundCapFloorVolatility_

double stressLowerBoundCapFloorVolatility_

Definition: inputparameters.hpp:869

value

SafeStack< ValueType > value

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◆ setStressUpperBoundCapFloorVolatility()

void setStressUpperBoundCapFloorVolatility ( const double value )

Definition at line 167 of file inputparameters.hpp.

167{ stressUpperBoundCapFloorVolatility_ = value; }

ore::analytics::InputParameters::stressUpperBoundCapFloorVolatility_

double stressUpperBoundCapFloorVolatility_

Definition: inputparameters.hpp:870

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◆ setStressLowerBoundSurvivalProb()

void setStressLowerBoundSurvivalProb ( const double value )

Definition at line 168 of file inputparameters.hpp.

168{ stressLowerBoundSurvivalProb_ = value; }

ore::analytics::InputParameters::stressLowerBoundSurvivalProb_

double stressLowerBoundSurvivalProb_

Definition: inputparameters.hpp:871

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◆ setStressUpperBoundSurvivalProb()

void setStressUpperBoundSurvivalProb ( const double value )

Definition at line 169 of file inputparameters.hpp.

169{ stressUpperBoundSurvivalProb_ = value; }

ore::analytics::InputParameters::stressUpperBoundSurvivalProb_

double stressUpperBoundSurvivalProb_

Definition: inputparameters.hpp:872

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◆ setStressLowerBoundRatesDiscountFactor()

void setStressLowerBoundRatesDiscountFactor ( const double value )

Definition at line 170 of file inputparameters.hpp.

170{ stressLowerBoundRatesDiscountFactor_ = value; }

ore::analytics::InputParameters::stressLowerBoundRatesDiscountFactor_

double stressLowerBoundRatesDiscountFactor_

Definition: inputparameters.hpp:873

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◆ setStressUpperBoundRatesDiscountFactor()

void setStressUpperBoundRatesDiscountFactor ( const double value )

Definition at line 171 of file inputparameters.hpp.

171{ stressUpperBoundRatesDiscountFactor_ = value; }

ore::analytics::InputParameters::stressUpperBoundRatesDiscountFactor_

double stressUpperBoundRatesDiscountFactor_

Definition: inputparameters.hpp:874

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◆ setStressAccurary()

void setStressAccurary ( const double value )

Definition at line 172 of file inputparameters.hpp.

172{ stressAccurary_ = value; };

ore::analytics::InputParameters::stressAccurary_

double stressAccurary_

Definition: inputparameters.hpp:875

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◆ setSalvageCovariance()

void setSalvageCovariance ( bool b )

Definition at line 174 of file inputparameters.hpp.

174{ salvageCovariance_ = b; }

ore::analytics::InputParameters::salvageCovariance_

bool salvageCovariance_

Definition: inputparameters.hpp:880

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◆ setVarQuantiles()

void setVarQuantiles ( const std::string & s )

Definition at line 407 of file inputparameters.cpp.

                                                        {
    // parse to vector<Real>
    varQuantiles_ = parseListOfValues<Real>(s, &parseReal);
}

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◆ setVarBreakDown()

void setVarBreakDown ( bool b )

Definition at line 176 of file inputparameters.hpp.

176{ varBreakDown_ = b; }

ore::analytics::InputParameters::varBreakDown_

bool varBreakDown_

Definition: inputparameters.hpp:882

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◆ setPortfolioFilter()

void setPortfolioFilter ( const std::string & s )

Definition at line 177 of file inputparameters.hpp.

177{ portfolioFilter_ = s; }

ore::analytics::InputParameters::portfolioFilter_

std::string portfolioFilter_

Definition: inputparameters.hpp:883

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◆ setVarMethod()

void setVarMethod ( const std::string & s )

Definition at line 178 of file inputparameters.hpp.

178{ varMethod_ = s; }

ore::analytics::InputParameters::varMethod_

std::string varMethod_

Definition: inputparameters.hpp:885

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◆ setMcVarSamples()

void setMcVarSamples ( Size s )

Definition at line 179 of file inputparameters.hpp.

179{ mcVarSamples_ = s; }

ore::analytics::InputParameters::mcVarSamples_

Size mcVarSamples_

Definition: inputparameters.hpp:886

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◆ setMcVarSeed()

void setMcVarSeed ( long l )

Definition at line 180 of file inputparameters.hpp.

180{ mcVarSeed_ = l; }

ore::analytics::InputParameters::mcVarSeed_

long mcVarSeed_

Definition: inputparameters.hpp:887

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◆ setCovarianceData()

void setCovarianceData ( ore::data::CSVReader & reader )

Definition at line 423 of file inputparameters.cpp.

                                                                {
    std::vector<std::string> dummy;
    while (reader.next()) { 
        covarianceData_[std::make_pair(*parseRiskFactorKey(reader.get(0), dummy),
                                       *parseRiskFactorKey(reader.get(1), dummy))] =
            ore::data::parseReal(reader.get(2));
    }
    LOG("Read " << covarianceData_.size() << " valid covariance data lines");
}

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◆ setCovarianceDataFromFile()

void setCovarianceDataFromFile ( const std::string & fileName )

Definition at line 412 of file inputparameters.cpp.

                                                                         {
    ore::data::CSVFileReader reader(fileName, false);
    std::vector<std::string> dummy;
    while (reader.next()) {
        covarianceData_[std::make_pair(*parseRiskFactorKey(reader.get(0), dummy),
                                       *parseRiskFactorKey(reader.get(1), dummy))] =
            ore::data::parseReal(reader.get(2));
    }
    LOG("Read " << covarianceData_.size() << " valid covariance data lines from " << fileName);
}

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◆ setCovarianceDataFromBuffer()

void setCovarianceDataFromBuffer ( const std::string & xml )

Definition at line 433 of file inputparameters.cpp.

                                                                      {
    ore::data::CSVBufferReader reader(xml, false);
    setCovarianceData(reader);
}

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◆ setSensitivityStreamFromFile()

void setSensitivityStreamFromFile ( const std::string & fileName )

Definition at line 438 of file inputparameters.cpp.

                                                                            {
    sensitivityStream_ = QuantLib::ext::make_shared<SensitivityFileStream>(fileName);
}

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◆ setBenchmarkVarPeriod()

void setBenchmarkVarPeriod ( const std::string & period )

Definition at line 446 of file inputparameters.cpp.

                                                                   { 
    benchmarkVarPeriod_ = period;
}

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◆ setHistoricalScenarioReader()

void setHistoricalScenarioReader ( const std::string & fileName )

Definition at line 450 of file inputparameters.cpp.

                                                                           {
    boost::filesystem::path baseScenarioPath(fileName);
    QL_REQUIRE(exists(baseScenarioPath), "The provided base scenario file, " << baseScenarioPath << ", does not exist");
    QL_REQUIRE(is_regular_file(baseScenarioPath),
               "The provided base scenario file, " << baseScenarioPath << ", is not a file");
    historicalScenarioReader_ = QuantLib::ext::make_shared<HistoricalScenarioFileReader>(
        fileName, QuantLib::ext::make_shared<SimpleScenarioFactory>(false));
}

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◆ setSensitivityStreamFromBuffer()

void setSensitivityStreamFromBuffer ( const std::string & buffer )

Definition at line 442 of file inputparameters.cpp.

                                                                            {
    sensitivityStream_ = QuantLib::ext::make_shared<SensitivityBufferStream>(buffer);
}

◆ setHistVarSimMarketParamsFromFile()

void setHistVarSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 195 of file inputparameters.cpp.

                                                                                 {
    histVarSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    histVarSimMarketParams_->fromFile(fileName);
}

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◆ setOutputHistoricalScenarios()

void setOutputHistoricalScenarios ( const bool b )

Definition at line 189 of file inputparameters.hpp.

189{ outputHistoricalScenarios_ = b; }

ore::analytics::InputParameters::outputHistoricalScenarios_

bool outputHistoricalScenarios_

Definition: inputparameters.hpp:894

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◆ setSalvageCorrelationMatrix()

void setSalvageCorrelationMatrix ( bool b )

Definition at line 192 of file inputparameters.hpp.

192{ salvageCorrelationMatrix_ = b; }

ore::analytics::InputParameters::salvageCorrelationMatrix_

bool salvageCorrelationMatrix_

Definition: inputparameters.hpp:899

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◆ setAmc()

void setAmc ( bool b )

Definition at line 193 of file inputparameters.hpp.

193{ amc_ = b; }

ore::analytics::InputParameters::amc_

bool amc_

Definition: inputparameters.hpp:900

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◆ setAmcCg()

void setAmcCg ( bool b )

Definition at line 194 of file inputparameters.hpp.

194{ amcCg_ = b; }

ore::analytics::InputParameters::amcCg_

bool amcCg_

Definition: inputparameters.hpp:901

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◆ setXvaCgBumpSensis()

void setXvaCgBumpSensis ( bool b )

Definition at line 195 of file inputparameters.hpp.

195{ xvaCgBumpSensis_ = b; }

ore::analytics::InputParameters::xvaCgBumpSensis_

bool xvaCgBumpSensis_

Definition: inputparameters.hpp:902

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◆ setXvaCgSensiScenarioData()

void setXvaCgSensiScenarioData ( const std::string & xml )

Definition at line 290 of file inputparameters.cpp.

                                                                    {
    xvaCgSensiScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    xvaCgSensiScenarioData_->fromXMLString(xml);
}

◆ setXvaCgSensiScenarioDataFromFile()

void setXvaCgSensiScenarioDataFromFile ( const std::string & fileName )

Definition at line 295 of file inputparameters.cpp.

                                                                                 {
    xvaCgSensiScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    xvaCgSensiScenarioData_->fromFile(fileName);
}

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◆ setAmcTradeTypes()

void setAmcTradeTypes ( const std::string & s )

Definition at line 459 of file inputparameters.cpp.

                                                         {
    // parse to set<string>
    auto v = parseListOfValues(s);
    amcTradeTypes_ = std::set<std::string>(v.begin(), v.end());
}

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◆ setExposureBaseCurrency()

void setExposureBaseCurrency ( const std::string & s )

Definition at line 199 of file inputparameters.hpp.

199{ exposureBaseCurrency_ = s; }

ore::analytics::InputParameters::exposureBaseCurrency_

std::string exposureBaseCurrency_

Definition: inputparameters.hpp:905

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◆ setExposureObservationModel()

void setExposureObservationModel ( const std::string & s )

Definition at line 200 of file inputparameters.hpp.

200{ exposureObservationModel_ = s; }

ore::analytics::InputParameters::exposureObservationModel_

std::string exposureObservationModel_

Definition: inputparameters.hpp:906

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◆ setNettingSetId()

void setNettingSetId ( const std::string & s )

Definition at line 201 of file inputparameters.hpp.

201{ nettingSetId_ = s; }

ore::analytics::InputParameters::nettingSetId_

std::string nettingSetId_

Definition: inputparameters.hpp:907

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◆ setScenarioGenType()

void setScenarioGenType ( const std::string & s )

Definition at line 202 of file inputparameters.hpp.

202{ scenarioGenType_ = s; }

ore::analytics::InputParameters::scenarioGenType_

std::string scenarioGenType_

Definition: inputparameters.hpp:908

◆ setStoreFlows()

void setStoreFlows ( bool b )

Definition at line 203 of file inputparameters.hpp.

203{ storeFlows_ = b; }

ore::analytics::InputParameters::storeFlows_

bool storeFlows_

Definition: inputparameters.hpp:909

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◆ setStoreCreditStateNPVs()

void setStoreCreditStateNPVs ( Size states )

Definition at line 204 of file inputparameters.hpp.

204{ storeCreditStateNPVs_ = states; }

ore::analytics::InputParameters::storeCreditStateNPVs_

Size storeCreditStateNPVs_

Definition: inputparameters.hpp:910

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◆ setStoreSurvivalProbabilities()

void setStoreSurvivalProbabilities ( bool b )

Definition at line 205 of file inputparameters.hpp.

205{ storeSurvivalProbabilities_ = b; }

ore::analytics::InputParameters::storeSurvivalProbabilities_

bool storeSurvivalProbabilities_

Definition: inputparameters.hpp:911

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◆ setWriteCube()

void setWriteCube ( bool b )

Definition at line 206 of file inputparameters.hpp.

206{ writeCube_ = b; }

ore::analytics::InputParameters::writeCube_

bool writeCube_

Definition: inputparameters.hpp:912

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◆ setWriteScenarios()

void setWriteScenarios ( bool b )

Definition at line 207 of file inputparameters.hpp.

207{ writeScenarios_ = b; }

ore::analytics::InputParameters::writeScenarios_

bool writeScenarios_

Definition: inputparameters.hpp:913

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◆ setExposureSimMarketParams()

void setExposureSimMarketParams ( const std::string & xml )

Definition at line 245 of file inputparameters.cpp.

                                                                     {
    exposureSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    exposureSimMarketParams_->fromXMLString(xml);
}

◆ setExposureSimMarketParamsFromFile()

void setExposureSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 250 of file inputparameters.cpp.

                                                                                  {
    exposureSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    exposureSimMarketParams_->fromFile(fileName);
}

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◆ setScenarioGeneratorData()

void setScenarioGeneratorData ( const std::string & xml )

Definition at line 255 of file inputparameters.cpp.

                                                                   {
    scenarioGeneratorData_ = QuantLib::ext::make_shared<ScenarioGeneratorData>();
    scenarioGeneratorData_->fromXMLString(xml);
}

◆ setScenarioGeneratorDataFromFile()

void setScenarioGeneratorDataFromFile ( const std::string & fileName )

Definition at line 260 of file inputparameters.cpp.

                                                                                {
    scenarioGeneratorData_ = QuantLib::ext::make_shared<ScenarioGeneratorData>();
    scenarioGeneratorData_->fromFile(fileName);
}

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◆ setCrossAssetModelData()

void setCrossAssetModelData ( const std::string & xml )

Definition at line 265 of file inputparameters.cpp.

                                                                 {
    crossAssetModelData_ = QuantLib::ext::make_shared<CrossAssetModelData>();
    crossAssetModelData_->fromXMLString(xml);
}

◆ setCrossAssetModelDataFromFile()

void setCrossAssetModelDataFromFile ( const std::string & fileName )

Definition at line 270 of file inputparameters.cpp.

                                                                              {
    crossAssetModelData_ = QuantLib::ext::make_shared<CrossAssetModelData>();
    crossAssetModelData_->fromFile(fileName);
}

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◆ setSimulationPricingEngine() [1/2]

void setSimulationPricingEngine ( const std::string & xml )

Definition at line 275 of file inputparameters.cpp.

                                                                     {
    simulationPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    simulationPricingEngine_->fromXMLString(xml);
}

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◆ setSimulationPricingEngineFromFile()

void setSimulationPricingEngineFromFile ( const std::string & fileName )

Definition at line 280 of file inputparameters.cpp.

                                                                                  {
    simulationPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    simulationPricingEngine_->fromFile(fileName);
}

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◆ setSimulationPricingEngine() [2/2]

void setSimulationPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 216 of file inputparameters.hpp.

                                                                                         {
        simulationPricingEngine_ = engineData;
    }

◆ setAmcPricingEngine() [1/2]

void setAmcPricingEngine ( const std::string & xml )

Definition at line 285 of file inputparameters.cpp.

                                                              {
    amcPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    amcPricingEngine_->fromXMLString(xml);
}

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◆ setAmcPricingEngineFromFile()

void setAmcPricingEngineFromFile ( const std::string & fileName )

Definition at line 355 of file inputparameters.cpp.

                                                                           {
    amcPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    amcPricingEngine_->fromFile(fileName);
}

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◆ setAmcPricingEngine() [2/2]

void setAmcPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 221 of file inputparameters.hpp.

                                                                                  {
        amcPricingEngine_ = engineData;
    }

◆ setNettingSetManager()

void setNettingSetManager ( const std::string & xml )

Definition at line 360 of file inputparameters.cpp.

                                                               {
    nettingSetManager_ = QuantLib::ext::make_shared<NettingSetManager>();
    nettingSetManager_->fromXMLString(xml);
}

◆ setNettingSetManagerFromFile()

void setNettingSetManagerFromFile ( const std::string & fileName )

Definition at line 365 of file inputparameters.cpp.

                                                                            {
    nettingSetManager_ = QuantLib::ext::make_shared<NettingSetManager>();
    nettingSetManager_->fromFile(fileName);
}

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◆ setCollateralBalances()

void setCollateralBalances ( const std::string & xml )

Definition at line 370 of file inputparameters.cpp.

                                                                {
    collateralBalances_ = QuantLib::ext::make_shared<CollateralBalances>();
    collateralBalances_->fromXMLString(xml);
}

◆ setCollateralBalancesFromFile()

void setCollateralBalancesFromFile ( const std::string & fileName )

Definition at line 375 of file inputparameters.cpp.

                                                                             {
    collateralBalances_ = QuantLib::ext::make_shared<CollateralBalances>();
    collateralBalances_->fromFile(fileName);
}

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◆ setXvaBaseCurrency()

void setXvaBaseCurrency ( const std::string & s )

Definition at line 232 of file inputparameters.hpp.

232{ xvaBaseCurrency_ = s; }

ore::analytics::InputParameters::xvaBaseCurrency_

std::string xvaBaseCurrency_

Definition: inputparameters.hpp:936

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◆ setLoadCube()

void setLoadCube ( bool b )

Definition at line 233 of file inputparameters.hpp.

233{ loadCube_ = b; }

ore::analytics::InputParameters::loadCube_

bool loadCube_

Definition: inputparameters.hpp:937

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◆ setCubeFromFile()

void setCubeFromFile ( const std::string & file )

Definition at line 380 of file inputparameters.cpp.

                                                           {
    auto r = ore::analytics::loadCube(file);
    cube_ = r.cube;
    if(r.scenarioGeneratorData)
        scenarioGeneratorData_ = r.scenarioGeneratorData;
    if(r.storeFlows)
        storeFlows_ = *r.storeFlows;
    if(r.storeCreditStateNPVs)
        storeCreditStateNPVs_ = *r.storeCreditStateNPVs;
}

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◆ setCube()

void setCube ( const QuantLib::ext::shared_ptr< NPVCube > & cube )

Definition at line 391 of file inputparameters.cpp.

                                                                {
    cube_ = cube;
}

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◆ setNettingSetCubeFromFile()

void setNettingSetCubeFromFile ( const std::string & file )

Definition at line 395 of file inputparameters.cpp.

                                                                     {
    nettingSetCube_ = ore::analytics::loadCube(file).cube;
}

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◆ setCptyCubeFromFile()

void setCptyCubeFromFile ( const std::string & file )

Definition at line 399 of file inputparameters.cpp.

                                                               {
    cptyCube_ = ore::analytics::loadCube(file).cube;
}

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◆ setMarketCubeFromFile()

void setMarketCubeFromFile ( const std::string & file )

Definition at line 403 of file inputparameters.cpp.

403{ mktCube_ = loadAggregationScenarioData(file); }

ore::analytics::InputParameters::mktCube_

QuantLib::ext::shared_ptr< AggregationScenarioData > mktCube_

Definition: inputparameters.hpp:930

ore::analytics::loadAggregationScenarioData

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

Definition: cube_io.cpp:234

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◆ setMarketCube()

void setMarketCube ( const QuantLib::ext::shared_ptr< AggregationScenarioData > & cube )

Definition at line 405 of file inputparameters.cpp.

405{ mktCube_ = cube; }

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◆ setFlipViewXVA()

void setFlipViewXVA ( bool b )

Definition at line 245 of file inputparameters.hpp.

245{ flipViewXVA_ = b; }

ore::analytics::InputParameters::flipViewXVA_

bool flipViewXVA_

Definition: inputparameters.hpp:938

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◆ setMporCashFlowMode()

void setMporCashFlowMode ( const MporCashFlowMode m )

Definition at line 246 of file inputparameters.hpp.

246{ mporCashFlowMode_ = m; }

ore::analytics::InputParameters::mporCashFlowMode_

MporCashFlowMode mporCashFlowMode_

Definition: inputparameters.hpp:939

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◆ setFullInitialCollateralisation()

void setFullInitialCollateralisation ( bool b )

Definition at line 247 of file inputparameters.hpp.

247{ fullInitialCollateralisation_ = b; }

ore::analytics::InputParameters::fullInitialCollateralisation_

bool fullInitialCollateralisation_

Definition: inputparameters.hpp:924

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◆ setExposureProfiles()

void setExposureProfiles ( bool b )

Definition at line 248 of file inputparameters.hpp.

248{ exposureProfiles_ = b; }

ore::analytics::InputParameters::exposureProfiles_

bool exposureProfiles_

Definition: inputparameters.hpp:921

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◆ setExposureProfilesByTrade()

void setExposureProfilesByTrade ( bool b )

Definition at line 249 of file inputparameters.hpp.

249{ exposureProfilesByTrade_ = b; }

ore::analytics::InputParameters::exposureProfilesByTrade_

bool exposureProfilesByTrade_

Definition: inputparameters.hpp:922

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◆ setPfeQuantile()

void setPfeQuantile ( Real r )

Definition at line 250 of file inputparameters.hpp.

250{ pfeQuantile_ = r; }

ore::analytics::InputParameters::pfeQuantile_

Real pfeQuantile_

Definition: inputparameters.hpp:923

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◆ setCollateralCalculationType()

void setCollateralCalculationType ( const std::string & s )

Definition at line 251 of file inputparameters.hpp.

251{ collateralCalculationType_ = s; }

ore::analytics::InputParameters::collateralCalculationType_

std::string collateralCalculationType_

Definition: inputparameters.hpp:925

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◆ setExposureAllocationMethod()

void setExposureAllocationMethod ( const std::string & s )

Definition at line 252 of file inputparameters.hpp.

252{ exposureAllocationMethod_ = s; }

ore::analytics::InputParameters::exposureAllocationMethod_

std::string exposureAllocationMethod_

Definition: inputparameters.hpp:926

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◆ setMarginalAllocationLimit()

void setMarginalAllocationLimit ( Real r )

Definition at line 253 of file inputparameters.hpp.

253{ marginalAllocationLimit_ = r; }

ore::analytics::InputParameters::marginalAllocationLimit_

Real marginalAllocationLimit_

Definition: inputparameters.hpp:927

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◆ setExerciseNextBreak()

void setExerciseNextBreak ( bool b )

Definition at line 254 of file inputparameters.hpp.

254{ exerciseNextBreak_ = b; }

ore::analytics::InputParameters::exerciseNextBreak_

bool exerciseNextBreak_

Definition: inputparameters.hpp:940

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◆ setCvaAnalytic()

void setCvaAnalytic ( bool b )

Definition at line 255 of file inputparameters.hpp.

255{ cvaAnalytic_ = b; }

ore::analytics::InputParameters::cvaAnalytic_

bool cvaAnalytic_

Definition: inputparameters.hpp:941

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◆ setDvaAnalytic()

void setDvaAnalytic ( bool b )

Definition at line 256 of file inputparameters.hpp.

256{ dvaAnalytic_ = b; }

ore::analytics::InputParameters::dvaAnalytic_

bool dvaAnalytic_

Definition: inputparameters.hpp:942

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◆ setFvaAnalytic()

void setFvaAnalytic ( bool b )

Definition at line 257 of file inputparameters.hpp.

257{ fvaAnalytic_ = b; }

ore::analytics::InputParameters::fvaAnalytic_

bool fvaAnalytic_

Definition: inputparameters.hpp:943

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◆ setColvaAnalytic()

void setColvaAnalytic ( bool b )

Definition at line 258 of file inputparameters.hpp.

258{ colvaAnalytic_ = b; }

ore::analytics::InputParameters::colvaAnalytic_

bool colvaAnalytic_

Definition: inputparameters.hpp:944

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◆ setCollateralFloorAnalytic()

void setCollateralFloorAnalytic ( bool b )

Definition at line 259 of file inputparameters.hpp.

259{ collateralFloorAnalytic_ = b; }

ore::analytics::InputParameters::collateralFloorAnalytic_

bool collateralFloorAnalytic_

Definition: inputparameters.hpp:945

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◆ setDimAnalytic()

void setDimAnalytic ( bool b )

Definition at line 260 of file inputparameters.hpp.

260{ dimAnalytic_ = b; }

ore::analytics::InputParameters::dimAnalytic_

bool dimAnalytic_

Definition: inputparameters.hpp:946

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◆ setDimModel()

void setDimModel ( const std::string & s )

Definition at line 261 of file inputparameters.hpp.

261{ dimModel_ = s; }

ore::analytics::InputParameters::dimModel_

std::string dimModel_

Definition: inputparameters.hpp:947

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◆ setMvaAnalytic()

void setMvaAnalytic ( bool b )

Definition at line 262 of file inputparameters.hpp.

262{ mvaAnalytic_ = b; }

ore::analytics::InputParameters::mvaAnalytic_

bool mvaAnalytic_

Definition: inputparameters.hpp:948

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◆ setKvaAnalytic()

void setKvaAnalytic ( bool b )

Definition at line 263 of file inputparameters.hpp.

263{ kvaAnalytic_ = b; }

ore::analytics::InputParameters::kvaAnalytic_

bool kvaAnalytic_

Definition: inputparameters.hpp:949

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◆ setDynamicCredit()

void setDynamicCredit ( bool b )

Definition at line 264 of file inputparameters.hpp.

264{ dynamicCredit_ = b; }

ore::analytics::InputParameters::dynamicCredit_

bool dynamicCredit_

Definition: inputparameters.hpp:950

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◆ setCvaSensi()

void setCvaSensi ( bool b )

Definition at line 265 of file inputparameters.hpp.

265{ cvaSensi_ = b; }

ore::analytics::InputParameters::cvaSensi_

bool cvaSensi_

Definition: inputparameters.hpp:951

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◆ setCvaSensiGrid()

void setCvaSensiGrid ( const std::string & s )

Definition at line 465 of file inputparameters.cpp.

                                                        {
    // parse to vector<Period>
    cvaSensiGrid_ = parseListOfValues<Period>(s, &parsePeriod);
}

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◆ setCvaSensiShiftSize()

void setCvaSensiShiftSize ( Real r )

Definition at line 267 of file inputparameters.hpp.

267{ cvaSensiShiftSize_ = r; }

ore::analytics::InputParameters::cvaSensiShiftSize_

Real cvaSensiShiftSize_

Definition: inputparameters.hpp:953

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◆ setDvaName()

void setDvaName ( const std::string & s )

Definition at line 268 of file inputparameters.hpp.

268{ dvaName_ = s; }

ore::analytics::InputParameters::dvaName_

std::string dvaName_

Definition: inputparameters.hpp:954

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◆ setRawCubeOutput()

void setRawCubeOutput ( bool b )

Definition at line 269 of file inputparameters.hpp.

269{ rawCubeOutput_ = b; }

ore::analytics::InputParameters::rawCubeOutput_

bool rawCubeOutput_

Definition: inputparameters.hpp:955

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◆ setNetCubeOutput()

void setNetCubeOutput ( bool b )

Definition at line 270 of file inputparameters.hpp.

270{ netCubeOutput_ = b; }

ore::analytics::InputParameters::netCubeOutput_

bool netCubeOutput_

Definition: inputparameters.hpp:956

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◆ setRawCubeOutputFile()

void setRawCubeOutputFile ( const std::string & s )

Definition at line 272 of file inputparameters.hpp.

272{ rawCubeOutputFile_ = s; }

ore::analytics::InputParameters::rawCubeOutputFile_

std::string rawCubeOutputFile_

Definition: inputparameters.hpp:957

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◆ setNetCubeOutputFile()

void setNetCubeOutputFile ( const std::string & s )

Definition at line 273 of file inputparameters.hpp.

273{ netCubeOutputFile_ = s; }

ore::analytics::InputParameters::netCubeOutputFile_

std::string netCubeOutputFile_

Definition: inputparameters.hpp:958

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◆ setFvaBorrowingCurve()

void setFvaBorrowingCurve ( const std::string & s )

Definition at line 275 of file inputparameters.hpp.

275{ fvaBorrowingCurve_ = s; }

ore::analytics::InputParameters::fvaBorrowingCurve_

std::string fvaBorrowingCurve_

Definition: inputparameters.hpp:960

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◆ setFvaLendingCurve()

void setFvaLendingCurve ( const std::string & s )

Definition at line 276 of file inputparameters.hpp.

276{ fvaLendingCurve_ = s; }

ore::analytics::InputParameters::fvaLendingCurve_

std::string fvaLendingCurve_

Definition: inputparameters.hpp:961

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◆ setFlipViewBorrowingCurvePostfix()

void setFlipViewBorrowingCurvePostfix ( const std::string & s )

Definition at line 277 of file inputparameters.hpp.

277{ flipViewBorrowingCurvePostfix_ = s; }

ore::analytics::InputParameters::flipViewBorrowingCurvePostfix_

std::string flipViewBorrowingCurvePostfix_

Definition: inputparameters.hpp:962

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◆ setFlipViewLendingCurvePostfix()

void setFlipViewLendingCurvePostfix ( const std::string & s )

Definition at line 278 of file inputparameters.hpp.

278{ flipViewLendingCurvePostfix_ = s; }

ore::analytics::InputParameters::flipViewLendingCurvePostfix_

std::string flipViewLendingCurvePostfix_

Definition: inputparameters.hpp:963

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◆ setDeterministicInitialMargin()

void setDeterministicInitialMargin	(	const std::string &	n,
		TimeSeries< Real >	v
	)

Definition at line 280 of file inputparameters.hpp.

280{ deterministicInitialMargin_[n] = v; }

ore::analytics::InputParameters::deterministicInitialMargin_

std::map< std::string, TimeSeries< Real > > deterministicInitialMargin_

Definition: inputparameters.hpp:965

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◆ setDeterministicInitialMarginFromFile()

void setDeterministicInitialMarginFromFile ( const std::string & fileName )

Definition at line 470 of file inputparameters.cpp.

                                                                                     {
    // Minimum requirement: The file has a header line and contains at least
    // columns "Date", "NettingSet" and "InitialMargin".
    // We don't assume that data is sorted by netting set or date.
    ore::data::CSVFileReader reader(fileName, true);
    std::map<std::string, std::map<Date, Real>> data;
    while (reader.next()) {
        Date date = parseDate(reader.get("Date"));
        std::string nettingSet = reader.get("NettingSet");
        Real initialMargin = parseReal(reader.get("InitialMargin"));        
        // LOG("IM Evolution NettingSet " << nettingSet << ": "
        //     << io::iso_date(date) << " " << initialMargin);
        if (data.find(nettingSet) == data.end())
            data[nettingSet] = std::map<Date,Real>();
        std::map<Date,Real>& evolution = data[nettingSet];
        evolution[date] = initialMargin;
    }
    for (auto d : data) {
        std::string n = d.first;
        LOG("Loading IM evolution for netting set " << n << ", size " << d.second.size());
        vector<Real> im;
        vector<Date> date;
        for (auto row : d.second) {
            im.push_back(row.second);
            date.push_back(row.first);
        }
        TimeSeries<Real> ts(date.begin(), date.end(), im.begin());
        // for (auto d : ts.dates())
        //     LOG("TimeSeries " << io::iso_date(d) << " " << ts[d]);
        setDeterministicInitialMargin(n, ts);
        WLOG("External IM evolution for NettingSet " << n << " loaded");
    }
}

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◆ setDimQuantile()

void setDimQuantile ( Real r )

Definition at line 283 of file inputparameters.hpp.

283{ dimQuantile_ = r; }

ore::analytics::InputParameters::dimQuantile_

Real dimQuantile_

Definition: inputparameters.hpp:967

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◆ setDimHorizonCalendarDays()

void setDimHorizonCalendarDays ( Size s )

Definition at line 284 of file inputparameters.hpp.

284{ dimHorizonCalendarDays_ = s; }

ore::analytics::InputParameters::dimHorizonCalendarDays_

Size dimHorizonCalendarDays_

Definition: inputparameters.hpp:968

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◆ setDimRegressionOrder()

void setDimRegressionOrder ( Size s )

Definition at line 285 of file inputparameters.hpp.

285{ dimRegressionOrder_ = s; }

ore::analytics::InputParameters::dimRegressionOrder_

Size dimRegressionOrder_

Definition: inputparameters.hpp:969

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◆ setDimRegressors()

void setDimRegressors ( const std::string & s )

Definition at line 504 of file inputparameters.cpp.

                                                         {
    // parse to vector<string>
    dimRegressors_ = parseListOfValues(s);
}

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◆ setDimOutputGridPoints()

void setDimOutputGridPoints ( const std::string & s )

Definition at line 509 of file inputparameters.cpp.

                                                               {
    // parse to vector<Size>
    dimOutputGridPoints_ = parseListOfValues<Size>(s, &parseInteger);
}

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◆ setDimOutputNettingSet()

void setDimOutputNettingSet ( const std::string & s )

Definition at line 288 of file inputparameters.hpp.

288{ dimOutputNettingSet_ = s; }

ore::analytics::InputParameters::dimOutputNettingSet_

string dimOutputNettingSet_

Definition: inputparameters.hpp:972

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◆ setDimLocalRegressionEvaluations()

void setDimLocalRegressionEvaluations ( Size s )

Definition at line 289 of file inputparameters.hpp.

289{ dimLocalRegressionEvaluations_ = s; }

ore::analytics::InputParameters::dimLocalRegressionEvaluations_

Size dimLocalRegressionEvaluations_

Definition: inputparameters.hpp:973

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◆ setDimLocalRegressionBandwidth()

void setDimLocalRegressionBandwidth ( Real r )

Definition at line 290 of file inputparameters.hpp.

290{ dimLocalRegressionBandwidth_ = r; }

ore::analytics::InputParameters::dimLocalRegressionBandwidth_

Real dimLocalRegressionBandwidth_

Definition: inputparameters.hpp:974

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◆ setKvaCapitalDiscountRate()

void setKvaCapitalDiscountRate ( Real r )

Definition at line 292 of file inputparameters.hpp.

292{ kvaCapitalDiscountRate_ = r; }

ore::analytics::InputParameters::kvaCapitalDiscountRate_

Real kvaCapitalDiscountRate_

Definition: inputparameters.hpp:976

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◆ setKvaAlpha()

void setKvaAlpha ( Real r )

Definition at line 293 of file inputparameters.hpp.

293{ kvaAlpha_ = r; }

ore::analytics::InputParameters::kvaAlpha_

Real kvaAlpha_

Definition: inputparameters.hpp:977

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◆ setKvaRegAdjustment()

void setKvaRegAdjustment ( Real r )

Definition at line 294 of file inputparameters.hpp.

294{ kvaRegAdjustment_ = r; }

ore::analytics::InputParameters::kvaRegAdjustment_

Real kvaRegAdjustment_

Definition: inputparameters.hpp:978

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◆ setKvaCapitalHurdle()

void setKvaCapitalHurdle ( Real r )

Definition at line 295 of file inputparameters.hpp.

295{ kvaCapitalHurdle_ = r; }

ore::analytics::InputParameters::kvaCapitalHurdle_

Real kvaCapitalHurdle_

Definition: inputparameters.hpp:979

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◆ setKvaOurPdFloor()

void setKvaOurPdFloor ( Real r )

Definition at line 296 of file inputparameters.hpp.

296{ kvaOurPdFloor_ = r; }

ore::analytics::InputParameters::kvaOurPdFloor_

Real kvaOurPdFloor_

Definition: inputparameters.hpp:980

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◆ setKvaTheirPdFloor()

void setKvaTheirPdFloor ( Real r )

Definition at line 297 of file inputparameters.hpp.

297{ kvaTheirPdFloor_ = r; }

ore::analytics::InputParameters::kvaTheirPdFloor_

Real kvaTheirPdFloor_

Definition: inputparameters.hpp:981

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◆ setKvaOurCvaRiskWeight()

void setKvaOurCvaRiskWeight ( Real r )

Definition at line 298 of file inputparameters.hpp.

298{ kvaOurCvaRiskWeight_ = r; }

ore::analytics::InputParameters::kvaOurCvaRiskWeight_

Real kvaOurCvaRiskWeight_

Definition: inputparameters.hpp:982

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◆ setKvaTheirCvaRiskWeight()

void setKvaTheirCvaRiskWeight ( Real r )

Definition at line 299 of file inputparameters.hpp.

299{ kvaTheirCvaRiskWeight_ = r; }

ore::analytics::InputParameters::kvaTheirCvaRiskWeight_

Real kvaTheirCvaRiskWeight_

Definition: inputparameters.hpp:983

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◆ setCreditMigrationAnalytic()

void setCreditMigrationAnalytic ( bool b )

Definition at line 301 of file inputparameters.hpp.

301{ creditMigrationAnalytic_ = b; }

ore::analytics::InputParameters::creditMigrationAnalytic_

bool creditMigrationAnalytic_

Definition: inputparameters.hpp:985

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◆ setCreditMigrationDistributionGrid()

void setCreditMigrationDistributionGrid ( const std::vector< Real > & grid )

Definition at line 302 of file inputparameters.hpp.

302{ creditMigrationDistributionGrid_ = grid; }

ore::analytics::InputParameters::creditMigrationDistributionGrid_

std::vector< Real > creditMigrationDistributionGrid_

Definition: inputparameters.hpp:986

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◆ setCreditMigrationTimeSteps()

void setCreditMigrationTimeSteps ( const std::vector< Size > & ts )

Definition at line 303 of file inputparameters.hpp.

303{ creditMigrationTimeSteps_ = ts; }

ore::analytics::InputParameters::creditMigrationTimeSteps_

std::vector< Size > creditMigrationTimeSteps_

Definition: inputparameters.hpp:987

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◆ setCreditSimulationParameters()

void setCreditSimulationParameters ( const QuantLib::ext::shared_ptr< CreditSimulationParameters > & c )

Definition at line 304 of file inputparameters.hpp.

                                                                                                   {
        creditSimulationParameters_ = c;
    }

◆ setCreditSimulationParametersFromBuffer()

void setCreditSimulationParametersFromBuffer ( const std::string & xml )

Definition at line 529 of file inputparameters.cpp.

                                                                                  {
    creditSimulationParameters_ = QuantLib::ext::make_shared<CreditSimulationParameters>();
    creditSimulationParameters_->fromXMLString(xml);
} 

◆ setCreditSimulationParametersFromFile()

void setCreditSimulationParametersFromFile ( const std::string & fileName )

Definition at line 524 of file inputparameters.cpp.

                                                                                     {
    creditSimulationParameters_ = QuantLib::ext::make_shared<CreditSimulationParameters>();
    creditSimulationParameters_->fromFile(fileName);
}

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◆ setCreditMigrationOutputFiles()

void setCreditMigrationOutputFiles ( const std::string & s )

Definition at line 309 of file inputparameters.hpp.

309{ creditMigrationOutputFiles_ = s; }

ore::analytics::InputParameters::creditMigrationOutputFiles_

std::string creditMigrationOutputFiles_

Definition: inputparameters.hpp:989

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◆ setCashflowHorizon()

void setCashflowHorizon ( const std::string & s )

Definition at line 514 of file inputparameters.cpp.

                                                           {
    // parse to Date
    cashflowHorizon_ = parseDate(s);
}

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◆ setPortfolioFilterDate()

void setPortfolioFilterDate ( const std::string & s )

Definition at line 519 of file inputparameters.cpp.

                                                               {
    // parse to Date
    portfolioFilterDate_ = parseDate(s);
}

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◆ setXvaStressSimMarketParams()

void setXvaStressSimMarketParams ( const std::string & xml )

Definition at line 300 of file inputparameters.cpp.

                                                                      {
    xvaStressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    xvaStressSimMarketParams_->fromXMLString(xml);
}

◆ setXvaStressSimMarketParamsFromFile()

void setXvaStressSimMarketParamsFromFile ( const std::string & f )

Definition at line 305 of file inputparameters.cpp.

                                                                                   {
    xvaStressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    xvaStressSimMarketParams_->fromFile(fileName);
}

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◆ setXvaStressScenarioData()

void setXvaStressScenarioData ( const std::string & s )

Definition at line 310 of file inputparameters.cpp.

                                                                   {
    xvaStressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    xvaStressScenarioData_->fromXMLString(xml);
}

◆ setXvaStressScenarioDataFromFile()

void setXvaStressScenarioDataFromFile ( const std::string & s )

Definition at line 315 of file inputparameters.cpp.

                                                                                {
    xvaStressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    xvaStressScenarioData_->fromFile(fileName);
}

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◆ setXvaStressSensitivityScenarioData()

void setXvaStressSensitivityScenarioData ( const std::string & xml )

Definition at line 320 of file inputparameters.cpp.

                                                                              {
    xvaStressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    xvaStressSensitivityScenarioData_->fromXMLString(xml);
}

◆ setXvaStressSensitivityScenarioDataFromFile()

void setXvaStressSensitivityScenarioDataFromFile ( const std::string & fileName )

Definition at line 325 of file inputparameters.cpp.

                                                                                           {
    xvaStressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    xvaStressSensitivityScenarioData_->fromFile(fileName);
}

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◆ setXvaStressWriteCubes()

void setXvaStressWriteCubes ( const bool writeCubes )

Definition at line 321 of file inputparameters.hpp.

321{ xvaStressWriteCubes_ = writeCubes; }

ore::analytics::InputParameters::xvaStressWriteCubes_

bool xvaStressWriteCubes_

Definition: inputparameters.hpp:993

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◆ setXvaSensiSimMarketParams()

void setXvaSensiSimMarketParams ( const std::string & xml )

Definition at line 330 of file inputparameters.cpp.

                                                                     {
    xvaSensiSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    xvaSensiSimMarketParams_->fromXMLString(xml);
}

◆ setXvaSensiSimMarketParamsFromFile()

void setXvaSensiSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 334 of file inputparameters.cpp.

                                                                                  {
    xvaSensiSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    xvaSensiSimMarketParams_->fromFile(fileName);
}

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◆ setXvaSensiScenarioData()

void setXvaSensiScenarioData ( const std::string & xml )

Definition at line 338 of file inputparameters.cpp.

                                                                  {
    xvaSensiScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    xvaSensiScenarioData_->fromXMLString(xml);
}

◆ setXvaSensiScenarioDataFromFile()

void setXvaSensiScenarioDataFromFile ( const std::string & fileName )

Definition at line 342 of file inputparameters.cpp.

                                                                               {
    xvaSensiScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    xvaSensiScenarioData_->fromFile(fileName);
}

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◆ setXvaSensiPricingEngine() [1/2]

void setXvaSensiPricingEngine ( const std::string & xml )

Definition at line 346 of file inputparameters.cpp.

                                                                   {
    xvaSensiPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    xvaSensiPricingEngine_->fromXMLString(xml);
}

◆ setXvaSensiPricingEngineFromFile()

void setXvaSensiPricingEngineFromFile ( const std::string & fileName )

Definition at line 350 of file inputparameters.cpp.

                                                                                {
    xvaSensiPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    xvaSensiPricingEngine_->fromFile(fileName);
}

◆ setXvaSensiPricingEngine() [2/2]

void setXvaSensiPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 330 of file inputparameters.hpp.

                                                                                       {
        sensiPricingEngine_ = engineData;
    }

◆ setSimmVersion()

void setSimmVersion ( const std::string & s )

Definition at line 335 of file inputparameters.hpp.

335{ simmVersion_ = s; }

ore::analytics::InputParameters::simmVersion_

std::string simmVersion_

Definition: inputparameters.hpp:997

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◆ setCrifFromFile()

void setCrifFromFile	(	const std::string &	fileName,
		char	eol = `'\n'`,
		char	delim = `','`,
		char	quoteChar = `'\0'`,
		char	escapeChar = `'\\'`
	)

Definition at line 534 of file inputparameters.cpp.

                                                                                                                      {
    bool updateMappings = true;
    bool aggregateTrades = false;
    auto crifLoader = CsvFileCrifLoader(fileName, getSimmConfiguration(), CrifRecord::additionalHeaders, updateMappings,
                                        aggregateTrades, eol, delim, quoteChar, escapeChar, reportNaString());
    crif_ = crifLoader.loadCrif();
}

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◆ setCrifFromBuffer()

void setCrifFromBuffer	(	const std::string &	csvBuffer,
		char	eol = `'\n'`,
		char	delim = `','`,
		char	quoteChar = `'\0'`,
		char	escapeChar = `'\\'`
	)

Definition at line 542 of file inputparameters.cpp.

                                                                                                                         {
    bool updateMappings = true;
    bool aggregateTrades = false;
    auto crifLoader =
        CsvBufferCrifLoader(csvBuffer, getSimmConfiguration(), CrifRecord::additionalHeaders, updateMappings,
                            aggregateTrades, eol, delim, quoteChar, escapeChar, reportNaString());
    crif_ = crifLoader.loadCrif();
}

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◆ setSimmNameMapper() [1/2]

void setSimmNameMapper ( const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > & p )

Definition at line 341 of file inputparameters.hpp.

341{ simmNameMapper_ = p; }

ore::analytics::InputParameters::simmNameMapper_

QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > simmNameMapper_

Definition: inputparameters.hpp:999

◆ setSimmNameMapper() [2/2]

void setSimmNameMapper ( const std::string & xml )

Definition at line 551 of file inputparameters.cpp.

                                                            {
    simmNameMapper_ = QuantLib::ext::make_shared<SimmBasicNameMapper>();
    simmNameMapper_->fromXMLString(xml);    
}

◆ setSimmNameMapperFromFile()

void setSimmNameMapperFromFile ( const std::string & fileName )

Definition at line 556 of file inputparameters.cpp.

                                                                         {
    simmNameMapper_ = QuantLib::ext::make_shared<SimmBasicNameMapper>();
    simmNameMapper_->fromFile(fileName);    
}

◆ setSimmBucketMapper() [1/2]

void setSimmBucketMapper ( const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > & p )

Definition at line 344 of file inputparameters.hpp.

344{ simmBucketMapper_ = p; }

◆ setSimmBucketMapper() [2/2]

void setSimmBucketMapper ( const std::string & xml )

Definition at line 561 of file inputparameters.cpp.

                                                              {
    QL_REQUIRE(simmVersion_ != "", "SIMM version not set");
    QL_REQUIRE(simmBucketMapper_ != nullptr, "SIMMbucket mapper not set");
    //QuantLib::ext::shared_ptr<SimmBucketMapperBase> sbm = QuantLib::ext::dynamic_pointer_cast<SimmBucketMapperBase>();
    QuantLib::ext::shared_ptr<SimmBucketMapperBase> sbm = QuantLib::ext::dynamic_pointer_cast<SimmBucketMapperBase>(simmBucketMapper_);
    sbm->fromXMLString(xml);
}

◆ setSimmBucketMapperFromFile()

void setSimmBucketMapperFromFile ( const std::string & fileName )

Definition at line 569 of file inputparameters.cpp.

                                                                           {
    QL_REQUIRE(simmVersion_ != "", "SIMM version not set");
    QL_REQUIRE(simmBucketMapper_ != nullptr, "SIMMbucket mapper not set");
    QuantLib::ext::shared_ptr<SimmBucketMapperBase> sbm = QuantLib::ext::dynamic_pointer_cast<SimmBucketMapperBase>(simmBucketMapper_);
    sbm->fromFile(fileName);    
}

◆ setSimmCalibrationData()

void setSimmCalibrationData ( const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > & s )

Definition at line 347 of file inputparameters.hpp.

                                                                                                 {
        simmCalibrationData_ = s;
    }

◆ setSimmCalibrationDataFromFile()

void setSimmCalibrationDataFromFile ( const std::string & fileName )

Definition at line 576 of file inputparameters.cpp.

                                                                              {
    simmCalibrationData_ = QuantLib::ext::make_shared<SimmCalibrationData>();
    simmCalibrationData_->fromFile(fileName);
}

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◆ setSimmCalculationCurrencyCall()

void setSimmCalculationCurrencyCall ( const std::string & s )

Definition at line 351 of file inputparameters.hpp.

351{ simmCalculationCurrencyCall_ = s; }

ore::analytics::InputParameters::simmCalculationCurrencyCall_

std::string simmCalculationCurrencyCall_

Definition: inputparameters.hpp:1002

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◆ setSimmCalculationCurrencyPost()

void setSimmCalculationCurrencyPost ( const std::string & s )

Definition at line 352 of file inputparameters.hpp.

352{ simmCalculationCurrencyPost_ = s; }

ore::analytics::InputParameters::simmCalculationCurrencyPost_

std::string simmCalculationCurrencyPost_

Definition: inputparameters.hpp:1003

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◆ setSimmResultCurrency()

void setSimmResultCurrency ( const std::string & s )

Definition at line 353 of file inputparameters.hpp.

353{ simmResultCurrency_ = s; }

ore::analytics::InputParameters::simmResultCurrency_

std::string simmResultCurrency_

Definition: inputparameters.hpp:1004

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◆ setSimmReportingCurrency()

void setSimmReportingCurrency ( const std::string & s )

Definition at line 354 of file inputparameters.hpp.

354{ simmReportingCurrency_ = s; }

ore::analytics::InputParameters::simmReportingCurrency_

std::string simmReportingCurrency_

Definition: inputparameters.hpp:1005

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◆ setEnforceIMRegulations()

void setEnforceIMRegulations ( bool b )

Definition at line 355 of file inputparameters.hpp.

355{ enforceIMRegulations_= b; }

ore::analytics::InputParameters::enforceIMRegulations_

bool enforceIMRegulations_

Definition: inputparameters.hpp:1006

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◆ setWriteSimmIntermediateReports()

void setWriteSimmIntermediateReports ( bool b )

Definition at line 356 of file inputparameters.hpp.

356{ writeSimmIntermediateReports_ = b; }

ore::analytics::InputParameters::writeSimmIntermediateReports_

bool writeSimmIntermediateReports_

Definition: inputparameters.hpp:1008

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◆ setParConversionXbsParConversion()

void setParConversionXbsParConversion ( bool b )

Definition at line 359 of file inputparameters.hpp.

359{ parConversionXbsParConversion_ = b; }

ore::analytics::InputParameters::parConversionXbsParConversion_

bool parConversionXbsParConversion_

Definition: inputparameters.hpp:1013

◆ setParConversionAlignPillars()

void setParConversionAlignPillars ( bool b )

Definition at line 360 of file inputparameters.hpp.

360{ parConversionAlignPillars_ = b; }

ore::analytics::InputParameters::parConversionAlignPillars_

bool parConversionAlignPillars_

Definition: inputparameters.hpp:1015

◆ setParConversionOutputJacobi()

void setParConversionOutputJacobi ( bool b )

Definition at line 361 of file inputparameters.hpp.

361{ parConversionOutputJacobi_ = b; }

ore::analytics::InputParameters::parConversionOutputJacobi_

bool parConversionOutputJacobi_

Definition: inputparameters.hpp:1014

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◆ setParConversionThreshold()

void setParConversionThreshold ( Real r )

Definition at line 362 of file inputparameters.hpp.

362{ parConversionThreshold_ = r; }

ore::analytics::InputParameters::parConversionThreshold_

QuantLib::Real parConversionThreshold_

Definition: inputparameters.hpp:1016

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◆ setParConversionSimMarketParams()

void setParConversionSimMarketParams ( const std::string & xml )

Definition at line 683 of file inputparameters.cpp.

                                                                          {
    parConversionSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    parConversionSimMarketParams_->fromXMLString(xml);
}

◆ setParConversionSimMarketParamsFromFile()

void setParConversionSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 688 of file inputparameters.cpp.

                                                                                       {
    parConversionSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    parConversionSimMarketParams_->fromFile(fileName);
}

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◆ setParConversionScenarioData()

void setParConversionScenarioData ( const std::string & xml )

Definition at line 693 of file inputparameters.cpp.

                                                                       {
    parConversionScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    parConversionScenarioData_->fromXMLString(xml);
}

◆ setParConversionScenarioDataFromFile()

void setParConversionScenarioDataFromFile ( const std::string & fileName )

Definition at line 698 of file inputparameters.cpp.

                                                                                    {
    parConversionScenarioData_ = QuantLib::ext::make_shared<SensitivityScenarioData>();
    parConversionScenarioData_->fromFile(fileName);
}

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◆ setParConversionPricingEngine() [1/2]

void setParConversionPricingEngine ( const std::string & xml )

Definition at line 702 of file inputparameters.cpp.

                                                                        {
    parConversionPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    parConversionPricingEngine_->fromXMLString(xml);
}

◆ setParConversionPricingEngineFromFile()

void setParConversionPricingEngineFromFile ( const std::string & fileName )

Definition at line 707 of file inputparameters.cpp.

                                                                                     {
    parConversionPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    parConversionPricingEngine_->fromFile(fileName);
}

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◆ setParConversionPricingEngine() [2/2]

void setParConversionPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 369 of file inputparameters.hpp.

                                                                                            {
        parConversionPricingEngine_ = engineData;
    }

◆ setParConversionInputFile()

void setParConversionInputFile ( const std::string & s )

Definition at line 372 of file inputparameters.hpp.

372{ parConversionInputFile_ = s; }

ore::analytics::InputParameters::parConversionInputFile_

std::string parConversionInputFile_

Definition: inputparameters.hpp:1020

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◆ setParConversionInputIdColumn()

void setParConversionInputIdColumn ( const std::string & s )

Definition at line 373 of file inputparameters.hpp.

373{ parConversionInputIdColumn_ = s; }

ore::analytics::InputParameters::parConversionInputIdColumn_

std::string parConversionInputIdColumn_

Definition: inputparameters.hpp:1021

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◆ setParConversionInputRiskFactorColumn()

void setParConversionInputRiskFactorColumn ( const std::string & s )

Definition at line 374 of file inputparameters.hpp.

374{ parConversionInputRiskFactorColumn_ = s; }

ore::analytics::InputParameters::parConversionInputRiskFactorColumn_

std::string parConversionInputRiskFactorColumn_

Definition: inputparameters.hpp:1022

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◆ setParConversionInputDeltaColumn()

void setParConversionInputDeltaColumn ( const std::string & s )

Definition at line 375 of file inputparameters.hpp.

375{ parConversionInputDeltaColumn_ = s; }

ore::analytics::InputParameters::parConversionInputDeltaColumn_

std::string parConversionInputDeltaColumn_

Definition: inputparameters.hpp:1023

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◆ setParConversionInputCurrencyColumn()

void setParConversionInputCurrencyColumn ( const std::string & s )

Definition at line 376 of file inputparameters.hpp.

376{ parConversionInputCurrencyColumn_ = s; }

ore::analytics::InputParameters::parConversionInputCurrencyColumn_

std::string parConversionInputCurrencyColumn_

Definition: inputparameters.hpp:1024

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◆ setParConversionInputBaseNpvColumn()

void setParConversionInputBaseNpvColumn ( const std::string & s )

Definition at line 377 of file inputparameters.hpp.

377{ parConversionInputBaseNpvColumn_ = s; }

ore::analytics::InputParameters::parConversionInputBaseNpvColumn_

std::string parConversionInputBaseNpvColumn_

Definition: inputparameters.hpp:1025

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◆ setParConversionInputShiftSizeColumn()

void setParConversionInputShiftSizeColumn ( const std::string & s )

Definition at line 378 of file inputparameters.hpp.

378{ parConversionInputShiftSizeColumn_ = s; }

ore::analytics::InputParameters::parConversionInputShiftSizeColumn_

std::string parConversionInputShiftSizeColumn_

Definition: inputparameters.hpp:1026

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◆ setScenarioDistributionSteps()

void setScenarioDistributionSteps ( const Size s )

Definition at line 381 of file inputparameters.hpp.

381{ scenarioDistributionSteps_ = s; }

ore::analytics::InputParameters::scenarioDistributionSteps_

Size scenarioDistributionSteps_

Definition: inputparameters.hpp:1031

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◆ setScenarioOutputZeroRate()

void setScenarioOutputZeroRate ( const bool b )

Definition at line 382 of file inputparameters.hpp.

382{ scenarioOutputZeroRate_ = b; }

ore::analytics::InputParameters::scenarioOutputZeroRate_

bool scenarioOutputZeroRate_

Definition: inputparameters.hpp:1032

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◆ setParStressSimMarketParams()

void setParStressSimMarketParams ( const std::string & xml )

Definition at line 712 of file inputparameters.cpp.

                                                                      {
    parStressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    parStressSimMarketParams_->fromXMLString(xml);
}

◆ setParStressSimMarketParamsFromFile()

void setParStressSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 717 of file inputparameters.cpp.

                                                                                   {
    parStressSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    parStressSimMarketParams_->fromFile(fileName);
}

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◆ setParStressScenarioData()

void setParStressScenarioData ( const std::string & xml )

Definition at line 722 of file inputparameters.cpp.

                                                                   {
    parStressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    parStressScenarioData_->fromXMLString(xml);
}

◆ setParStressScenarioDataFromFile()

void setParStressScenarioDataFromFile ( const std::string & fileName )

Definition at line 727 of file inputparameters.cpp.

                                                                                {
    parStressScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    parStressScenarioData_->fromFile(fileName);
}

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◆ setParStressPricingEngine() [1/2]

void setParStressPricingEngine ( const std::string & xml )

Definition at line 742 of file inputparameters.cpp.

                                                                    {
    parStressPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    parStressPricingEngine_->fromXMLString(xml);
}

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◆ setParStressPricingEngineFromFile()

void setParStressPricingEngineFromFile ( const std::string & fileName )

Definition at line 747 of file inputparameters.cpp.

                                                                                 {
    parStressPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    parStressPricingEngine_->fromFile(fileName);
}

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◆ setParStressPricingEngine() [2/2]

void setParStressPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 390 of file inputparameters.hpp.

                                                                                        {
        parStressPricingEngine_ = engineData;
    }

◆ setParStressSensitivityScenarioData()

void setParStressSensitivityScenarioData ( const std::string & xml )

Definition at line 732 of file inputparameters.cpp.

                                                                              {
    parStressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    parStressSensitivityScenarioData_->fromXMLString(xml);
}

◆ setParStressSensitivityScenarioDataFromFile()

void setParStressSensitivityScenarioDataFromFile ( const std::string & fileName )

Definition at line 737 of file inputparameters.cpp.

                                                                                           {
    parStressSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    parStressSensitivityScenarioData_->fromFile(fileName);
}

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◆ setParStressLowerBoundCapFloorVolatility()

void setParStressLowerBoundCapFloorVolatility ( const double value )

Definition at line 395 of file inputparameters.hpp.

395{ parStressLowerBoundCapFloorVolatility_ = value; }

ore::analytics::InputParameters::parStressLowerBoundCapFloorVolatility_

double parStressLowerBoundCapFloorVolatility_

Definition: inputparameters.hpp:1041

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◆ setParStressUpperBoundCapFloorVolatility()

void setParStressUpperBoundCapFloorVolatility ( const double value )

Definition at line 396 of file inputparameters.hpp.

396{ parStressUpperBoundCapFloorVolatility_ = value; }

ore::analytics::InputParameters::parStressUpperBoundCapFloorVolatility_

double parStressUpperBoundCapFloorVolatility_

Definition: inputparameters.hpp:1042

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◆ setParStressLowerBoundSurvivalProb()

void setParStressLowerBoundSurvivalProb ( const double value )

Definition at line 397 of file inputparameters.hpp.

397{ parStressLowerBoundSurvivalProb_ = value; }

ore::analytics::InputParameters::parStressLowerBoundSurvivalProb_

double parStressLowerBoundSurvivalProb_

Definition: inputparameters.hpp:1043

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◆ setParStressUpperBoundSurvivalProb()

void setParStressUpperBoundSurvivalProb ( const double value )

Definition at line 398 of file inputparameters.hpp.

398{ parStressUpperBoundSurvivalProb_ = value; }

ore::analytics::InputParameters::parStressUpperBoundSurvivalProb_

double parStressUpperBoundSurvivalProb_

Definition: inputparameters.hpp:1044

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◆ setParStressLowerBoundRatesDiscountFactor()

void setParStressLowerBoundRatesDiscountFactor ( const double value )

Definition at line 399 of file inputparameters.hpp.

399{ parStressLowerBoundRatesDiscountFactor_ = value; }

ore::analytics::InputParameters::parStressLowerBoundRatesDiscountFactor_

double parStressLowerBoundRatesDiscountFactor_

Definition: inputparameters.hpp:1045

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◆ setParStressUpperBoundRatesDiscountFactor()

void setParStressUpperBoundRatesDiscountFactor ( const double value )

Definition at line 400 of file inputparameters.hpp.

400{ parStressUpperBoundRatesDiscountFactor_ = value; }

ore::analytics::InputParameters::parStressUpperBoundRatesDiscountFactor_

double parStressUpperBoundRatesDiscountFactor_

Definition: inputparameters.hpp:1046

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◆ setParStressAccurary()

void setParStressAccurary ( const double value )

Definition at line 401 of file inputparameters.hpp.

401{ parStressAccurary_ = value; };

ore::analytics::InputParameters::parStressAccurary_

double parStressAccurary_

Definition: inputparameters.hpp:1047

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◆ setZeroToParShiftSimMarketParams()

void setZeroToParShiftSimMarketParams ( const std::string & xml )

Definition at line 752 of file inputparameters.cpp.

                                                                           {
    zeroToParShiftSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    zeroToParShiftSimMarketParams_->fromXMLString(xml);
}

◆ setZeroToParShiftSimMarketParamsFromFile()

void setZeroToParShiftSimMarketParamsFromFile ( const std::string & fileName )

Definition at line 757 of file inputparameters.cpp.

                                                                                        {
    zeroToParShiftSimMarketParams_ = QuantLib::ext::make_shared<ScenarioSimMarketParameters>();
    zeroToParShiftSimMarketParams_->fromFile(fileName);
}

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◆ setZeroToParShiftScenarioData()

void setZeroToParShiftScenarioData ( const std::string & xml )

Definition at line 762 of file inputparameters.cpp.

                                                                        {
    zeroToParShiftScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    zeroToParShiftScenarioData_->fromXMLString(xml);
}

◆ setZeroToParShiftScenarioDataFromFile()

void setZeroToParShiftScenarioDataFromFile ( const std::string & fileName )

Definition at line 767 of file inputparameters.cpp.

                                                                                     {
    zeroToParShiftScenarioData_ = QuantLib::ext::make_shared<StressTestScenarioData>();
    zeroToParShiftScenarioData_->fromFile(fileName);
}

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◆ setZeroToParShiftPricingEngine() [1/2]

void setZeroToParShiftPricingEngine ( const std::string & xml )

Definition at line 782 of file inputparameters.cpp.

                                                                         {
    zeroToParShiftPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    zeroToParShiftPricingEngine_->fromXMLString(xml);
}

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◆ setZeroToParShiftPricingEngineFromFile()

void setZeroToParShiftPricingEngineFromFile ( const std::string & fileName )

Definition at line 787 of file inputparameters.cpp.

                                                                                      {
    zeroToParShiftPricingEngine_ = QuantLib::ext::make_shared<EngineData>();
    zeroToParShiftPricingEngine_->fromFile(fileName);
}

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◆ setZeroToParShiftPricingEngine() [2/2]

void setZeroToParShiftPricingEngine ( const QuantLib::ext::shared_ptr< EngineData > & engineData )

Definition at line 410 of file inputparameters.hpp.

                                                                                             {
        zeroToParShiftPricingEngine_ = engineData;
    }

◆ setZeroToParShiftSensitivityScenarioData()

void setZeroToParShiftSensitivityScenarioData ( const std::string & xml )

Definition at line 772 of file inputparameters.cpp.

                                                                                   {
    zeroToParShiftSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    zeroToParShiftSensitivityScenarioData_->fromXMLString(xml);
}

◆ setZeroToParShiftSensitivityScenarioDataFromFile()

void setZeroToParShiftSensitivityScenarioDataFromFile ( const std::string & fileName )

Definition at line 777 of file inputparameters.cpp.

                                                                                                {
    zeroToParShiftSensitivityScenarioData_ = boost::make_shared<SensitivityScenarioData>();
    zeroToParShiftSensitivityScenarioData_->fromFile(fileName);
}

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◆ setAnalytics()

void setAnalytics ( const std::string & s )

Definition at line 581 of file inputparameters.cpp.

                                                     {
    // parse to set<string>
    auto v = parseListOfValues(s);
    analytics_ = std::set<std::string>(v.begin(), v.end());
}

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◆ insertAnalytic()

void insertAnalytic ( const std::string & s )

Definition at line 587 of file inputparameters.cpp.

                                                       {
    analytics_.insert(s);
}

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◆ asof()

const QuantLib::Date & asof ( ) const

Definition at line 425 of file inputparameters.hpp.

425{ return asof_; }

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◆ resultsPath()

const boost::filesystem::path & resultsPath ( ) const

Definition at line 426 of file inputparameters.hpp.

426{ return resultsPath_; }

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◆ baseCurrency()

const std::string & baseCurrency ( ) const

Definition at line 427 of file inputparameters.hpp.

427{ return baseCurrency_; }

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◆ resultCurrency()

const std::string & resultCurrency ( ) const

Definition at line 428 of file inputparameters.hpp.

428{ return resultCurrency_; }

ore::analytics::InputParameters::resultCurrency_

std::string resultCurrency_

Definition: inputparameters.hpp:786

◆ continueOnError()

bool continueOnError ( ) const

Definition at line 429 of file inputparameters.hpp.

429{ return continueOnError_; }

◆ lazyMarketBuilding()

bool lazyMarketBuilding ( ) const

Definition at line 430 of file inputparameters.hpp.

430{ return lazyMarketBuilding_; }

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◆ buildFailedTrades()

bool buildFailedTrades ( ) const

Definition at line 431 of file inputparameters.hpp.

431{ return buildFailedTrades_; }

◆ observationModel()

const std::string & observationModel ( ) const

Definition at line 432 of file inputparameters.hpp.

432{ return observationModel_; }

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◆ implyTodaysFixings()

bool implyTodaysFixings ( ) const

Definition at line 433 of file inputparameters.hpp.

433{ return implyTodaysFixings_; }

◆ marketConfigs()

const std::map< std::string, std::string > & marketConfigs ( ) const

Definition at line 434 of file inputparameters.hpp.

434{ return marketConfigs_; }

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◆ marketConfig()

const std::string & marketConfig ( const std::string & context )

Definition at line 1065 of file inputparameters.hpp.

                                                                              {
    auto it = marketConfigs_.find(context);
    return (it != marketConfigs_.end() ? it->second : Market::defaultConfiguration);
}

◆ refDataManager()

const QuantLib::ext::shared_ptr< ore::data::BasicReferenceDataManager > & refDataManager ( ) const

Definition at line 436 of file inputparameters.hpp.

436{ return refDataManager_; }

◆ conventions()

const QuantLib::ext::shared_ptr< ore::data::Conventions > & conventions ( ) const

Definition at line 437 of file inputparameters.hpp.

437{ return conventions_; }

◆ iborFallbackConfig()

const QuantLib::ext::shared_ptr< ore::data::IborFallbackConfig > & iborFallbackConfig ( ) const

Definition at line 438 of file inputparameters.hpp.

438{ return iborFallbackConfig_; }

◆ curveConfigs()

CurveConfigurationsManager & curveConfigs ( )

Definition at line 439 of file inputparameters.hpp.

439{ return curveConfigs_; }

◆ pricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & pricingEngine ( ) const

Definition at line 440 of file inputparameters.hpp.

440{ return pricingEngine_; }

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◆ todaysMarketParams()

const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > & todaysMarketParams ( ) const

Definition at line 441 of file inputparameters.hpp.

441{ return todaysMarketParams_; }

◆ portfolio()

const QuantLib::ext::shared_ptr< ore::data::Portfolio > & portfolio ( ) const

Definition at line 442 of file inputparameters.hpp.

442{ return portfolio_; }

◆ useCounterpartyOriginalPortfolio()

const QuantLib::ext::shared_ptr< ore::data::Portfolio > & useCounterpartyOriginalPortfolio ( ) const

Definition at line 443 of file inputparameters.hpp.

                                                                                            {
        return useCounterpartyOriginalPortfolio_;
    }

◆ maxRetries()

QuantLib::Size maxRetries ( ) const

Definition at line 447 of file inputparameters.hpp.

447{ return maxRetries_; }

ore::analytics::InputParameters::maxRetries_

QuantLib::Size maxRetries_

Definition: inputparameters.hpp:800

◆ nThreads()

QuantLib::Size nThreads ( ) const

Definition at line 448 of file inputparameters.hpp.

448{ return nThreads_; }

◆ entireMarket()

bool entireMarket ( ) const

Definition at line 449 of file inputparameters.hpp.

449{ return entireMarket_; }

◆ allFixings()

bool allFixings ( ) const

Definition at line 450 of file inputparameters.hpp.

450{ return allFixings_; }

◆ eomInflationFixings()

bool eomInflationFixings ( ) const

Definition at line 451 of file inputparameters.hpp.

451{ return eomInflationFixings_; }

◆ useMarketDataFixings()

bool useMarketDataFixings ( ) const

Definition at line 452 of file inputparameters.hpp.

452{ return useMarketDataFixings_; }

◆ iborFallbackOverride()

bool iborFallbackOverride ( ) const

Definition at line 453 of file inputparameters.hpp.

453{ return iborFallbackOverride_; }

◆ reportNaString()

const std::string & reportNaString ( ) const

Definition at line 454 of file inputparameters.hpp.

454{ return reportNaString_; }

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◆ csvCommentCharacter()

char csvCommentCharacter ( ) const

Definition at line 455 of file inputparameters.hpp.

455{ return csvCommentCharacter_; }

◆ csvEolChar()

char csvEolChar ( ) const

Definition at line 456 of file inputparameters.hpp.

456{ return csvEolChar_; }

ore::analytics::InputParameters::csvEolChar_

char csvEolChar_

Definition: inputparameters.hpp:809

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◆ csvQuoteChar()

char csvQuoteChar ( ) const

Definition at line 457 of file inputparameters.hpp.

457{ return csvQuoteChar_; }

◆ csvSeparator()

char csvSeparator ( ) const

Definition at line 458 of file inputparameters.hpp.

458{ return csvSeparator_; }

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◆ csvEscapeChar()

char csvEscapeChar ( ) const

Definition at line 459 of file inputparameters.hpp.

459{ return csvEscapeChar_; }

ore::analytics::InputParameters::csvEscapeChar_

char csvEscapeChar_

Definition: inputparameters.hpp:812

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◆ dryRun()

bool dryRun ( ) const

Definition at line 460 of file inputparameters.hpp.

460{ return dryRun_; }

◆ mporDays()

QuantLib::Size mporDays ( ) const

Definition at line 461 of file inputparameters.hpp.

461{ return mporDays_; }

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◆ mporDate()

Date mporDate ( )

Definition at line 792 of file inputparameters.cpp.

                               {
    if (mporDate_ == Date()) {
        QL_REQUIRE(asof() != Date(), "Asof date is required for mpor date");
        QL_REQUIRE(!mporCalendar().empty(), "MporCalendar or BaseCurrency is required for mpor date");
        QL_REQUIRE(mporDays() != Null<Size>(), "mporDays is required for mpor date");
 
        int effectiveMporDays = mporForward()
            ? static_cast<int>(mporDays())
                               : -static_cast<int>(mporDays());
 
        mporDate_ = mporCalendar().advance(asof(), effectiveMporDays, QuantExt::Days);
    }
    return mporDate_;
}

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◆ mporCalendar()

const QuantLib::Calendar mporCalendar ( )

Definition at line 463 of file inputparameters.hpp.

                                          {
        if (mporCalendar_.empty()) {
            QL_REQUIRE(!baseCurrency_.empty(), "mpor calendar or baseCurrency must be provided";);
            return parseCalendar(baseCurrency_);
        } else
            return mporCalendar_;
    }

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◆ mporOverlappingPeriods()

bool mporOverlappingPeriods ( ) const

Definition at line 470 of file inputparameters.hpp.

470{ return mporOverlappingPeriods_; }

◆ mporForward()

bool mporForward ( ) const

Definition at line 471 of file inputparameters.hpp.

471{ return mporForward_; }

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◆ outputAdditionalResults()

bool outputAdditionalResults ( ) const

Definition at line 476 of file inputparameters.hpp.

476{ return outputAdditionalResults_; };

◆ additionalResultsReportPrecision()

std::size_t additionalResultsReportPrecision ( ) const

Definition at line 477 of file inputparameters.hpp.

477{ return additionalResultsReportPrecision_; }

◆ includePastCashflows()

bool includePastCashflows ( ) const

Definition at line 482 of file inputparameters.hpp.

482{ return includePastCashflows_; }

◆ outputCurves()

bool outputCurves ( ) const

Definition at line 487 of file inputparameters.hpp.

487{ return outputCurves_; };

◆ outputTodaysMarketCalibration()

bool outputTodaysMarketCalibration ( ) const

Definition at line 488 of file inputparameters.hpp.

488{ return outputTodaysMarketCalibration_; };

◆ curvesMarketConfig()

const std::string & curvesMarketConfig ( )

Definition at line 489 of file inputparameters.hpp.

489{ return curvesMarketConfig_; }

◆ curvesGrid()

const std::string & curvesGrid ( ) const

Definition at line 490 of file inputparameters.hpp.

490{ return curvesGrid_; }

◆ xbsParConversion()

bool xbsParConversion ( )

Definition at line 495 of file inputparameters.hpp.

495{ return xbsParConversion_; }

◆ parSensi()

bool parSensi ( ) const

Definition at line 496 of file inputparameters.hpp.

496{ return parSensi_; };

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◆ optimiseRiskFactors()

bool optimiseRiskFactors ( ) const

Definition at line 497 of file inputparameters.hpp.

497{ return optimiseRiskFactors_; }

◆ alignPillars()

bool alignPillars ( ) const

Definition at line 498 of file inputparameters.hpp.

498{ return alignPillars_; };

◆ outputJacobi()

bool outputJacobi ( ) const

Definition at line 499 of file inputparameters.hpp.

499{ return outputJacobi_; };

◆ useSensiSpreadedTermStructures()

bool useSensiSpreadedTermStructures ( ) const

Definition at line 500 of file inputparameters.hpp.

500{ return useSensiSpreadedTermStructures_; }

◆ sensiThreshold()

QuantLib::Real sensiThreshold ( ) const

Definition at line 501 of file inputparameters.hpp.

501{ return sensiThreshold_; }

◆ sensiRecalibrateModels()

bool sensiRecalibrateModels ( ) const

Definition at line 502 of file inputparameters.hpp.

502{ return sensiRecalibrateModels_; }

◆ sensiSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & sensiSimMarketParams ( ) const

Definition at line 503 of file inputparameters.hpp.

503{ return sensiSimMarketParams_; }

◆ sensiScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & sensiScenarioData ( ) const

Definition at line 504 of file inputparameters.hpp.

504{ return sensiScenarioData_; }

◆ sensiPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & sensiPricingEngine ( ) const

Definition at line 505 of file inputparameters.hpp.

505{ return sensiPricingEngine_; }

◆ scenarioSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & scenarioSimMarketParams ( ) const

Definition at line 511 of file inputparameters.hpp.

511{ return scenarioSimMarketParams_; }

◆ scenarioOutputFile()

const std::string & scenarioOutputFile ( ) const

Definition at line 512 of file inputparameters.hpp.

512{ return scenarioOutputFile_; }

◆ stressThreshold()

QuantLib::Real stressThreshold ( ) const

Definition at line 517 of file inputparameters.hpp.

517{ return stressThreshold_; }

◆ stressSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & stressSimMarketParams ( ) const

Definition at line 518 of file inputparameters.hpp.

518{ return stressSimMarketParams_; }

◆ stressScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > & stressScenarioData ( ) const

Definition at line 519 of file inputparameters.hpp.

519{ return stressScenarioData_; }

◆ stressPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & stressPricingEngine ( ) const

Definition at line 520 of file inputparameters.hpp.

520{ return stressPricingEngine_; }

◆ stressSensitivityScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & stressSensitivityScenarioData ( ) const

Definition at line 521 of file inputparameters.hpp.

                                                                                                            {
        return stressSensitivityScenarioData_;
    }

◆ stressOptimiseRiskFactors()

bool stressOptimiseRiskFactors ( ) const

Definition at line 524 of file inputparameters.hpp.

524{ return stressOptimiseRiskFactors_; }

◆ stressLowerBoundCapFloorVolatility()

double stressLowerBoundCapFloorVolatility ( ) const

Definition at line 525 of file inputparameters.hpp.

                                                      {
        return stressLowerBoundCapFloorVolatility_;
    }

◆ stressUpperBoundCapFloorVolatility()

double stressUpperBoundCapFloorVolatility ( ) const

Definition at line 528 of file inputparameters.hpp.

                                                      {
        return stressUpperBoundCapFloorVolatility_;
    }

◆ stressLowerBoundSurvivalProb()

double stressLowerBoundSurvivalProb ( ) const

Definition at line 531 of file inputparameters.hpp.

531{ return stressLowerBoundSurvivalProb_; }

◆ stressUpperBoundSurvivalProb()

double stressUpperBoundSurvivalProb ( ) const

Definition at line 532 of file inputparameters.hpp.

532{ return stressUpperBoundSurvivalProb_; }

◆ stressLowerBoundRatesDiscountFactor()

double stressLowerBoundRatesDiscountFactor ( ) const

Definition at line 533 of file inputparameters.hpp.

                                                       {
        return stressLowerBoundRatesDiscountFactor_;
    }

◆ stressUpperBoundRatesDiscountFactor()

double stressUpperBoundRatesDiscountFactor ( ) const

Definition at line 536 of file inputparameters.hpp.

                                                       {
        return stressUpperBoundRatesDiscountFactor_;
    }

◆ stressAccurary()

double stressAccurary ( ) const

Definition at line 539 of file inputparameters.hpp.

539{ return stressAccurary_; };

◆ salvageCovariance()

bool salvageCovariance ( ) const

Definition at line 543 of file inputparameters.hpp.

543{ return salvageCovariance_; }

◆ varQuantiles()

const std::vector< Real > & varQuantiles ( ) const

Definition at line 544 of file inputparameters.hpp.

544{ return varQuantiles_; }

◆ varBreakDown()

bool varBreakDown ( ) const

Definition at line 545 of file inputparameters.hpp.

545{ return varBreakDown_; }

◆ portfolioFilter()

const std::string & portfolioFilter ( ) const

Definition at line 546 of file inputparameters.hpp.

546{ return portfolioFilter_; }

◆ varMethod()

const std::string & varMethod ( ) const

Definition at line 547 of file inputparameters.hpp.

547{ return varMethod_; }

◆ mcVarSamples()

Size mcVarSamples ( ) const

Definition at line 548 of file inputparameters.hpp.

548{ return mcVarSamples_; }

◆ mcVarSeed()

long mcVarSeed ( ) const

Definition at line 549 of file inputparameters.hpp.

549{ return mcVarSeed_; }

◆ covarianceData()

const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > & covarianceData ( ) const

Definition at line 550 of file inputparameters.hpp.

550{ return covarianceData_; }

◆ sensitivityStream()

const QuantLib::ext::shared_ptr< SensitivityStream > & sensitivityStream ( ) const

Definition at line 551 of file inputparameters.hpp.

551{ return sensitivityStream_; }

◆ benchmarkVarPeriod()

std::string benchmarkVarPeriod ( ) const

Definition at line 552 of file inputparameters.hpp.

552{ return benchmarkVarPeriod_; }

◆ historicalScenarioReader()

QuantLib::ext::shared_ptr< HistoricalScenarioReader > historicalScenarioReader ( ) const

Definition at line 553 of file inputparameters.hpp.

553{ return historicalScenarioReader_;};

◆ histVarSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & histVarSimMarketParams ( ) const

Definition at line 554 of file inputparameters.hpp.

554{ return histVarSimMarketParams_; }

◆ outputHistoricalScenarios()

bool outputHistoricalScenarios ( ) const

Definition at line 555 of file inputparameters.hpp.

555{ return outputHistoricalScenarios_; }

◆ salvageCorrelationMatrix()

bool salvageCorrelationMatrix ( ) const

Definition at line 560 of file inputparameters.hpp.

560{ return salvageCorrelationMatrix_; }

◆ amc()

bool amc ( ) const

Definition at line 561 of file inputparameters.hpp.

561{ return amc_; }

◆ amcCg()

bool amcCg ( ) const

Definition at line 562 of file inputparameters.hpp.

562{ return amcCg_; }

◆ xvaCgBumpSensis()

bool xvaCgBumpSensis ( ) const

Definition at line 563 of file inputparameters.hpp.

563{ return xvaCgBumpSensis_; }

◆ xvaCgSensiScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & xvaCgSensiScenarioData ( ) const

Definition at line 564 of file inputparameters.hpp.

564{ return xvaCgSensiScenarioData_; }

◆ amcTradeTypes()

const std::set< std::string > & amcTradeTypes ( ) const

Definition at line 565 of file inputparameters.hpp.

565{ return amcTradeTypes_; }

◆ exposureBaseCurrency()

const std::string & exposureBaseCurrency ( ) const

Definition at line 566 of file inputparameters.hpp.

566{ return exposureBaseCurrency_; }

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◆ exposureObservationModel()

const std::string & exposureObservationModel ( ) const

Definition at line 567 of file inputparameters.hpp.

567{ return exposureObservationModel_; }

◆ nettingSetId()

const std::string & nettingSetId ( ) const

Definition at line 568 of file inputparameters.hpp.

568{ return nettingSetId_; }

◆ scenarioGenType()

const std::string & scenarioGenType ( ) const

Definition at line 569 of file inputparameters.hpp.

569{ return scenarioGenType_; }

◆ storeFlows()

bool storeFlows ( ) const

Definition at line 570 of file inputparameters.hpp.

570{ return storeFlows_; }

◆ storeCreditStateNPVs()

Size storeCreditStateNPVs ( ) const

Definition at line 571 of file inputparameters.hpp.

571{ return storeCreditStateNPVs_; }

◆ storeSurvivalProbabilities()

bool storeSurvivalProbabilities ( ) const

Definition at line 572 of file inputparameters.hpp.

572{ return storeSurvivalProbabilities_; }

◆ writeCube()

bool writeCube ( ) const

Definition at line 573 of file inputparameters.hpp.

573{ return writeCube_; }

◆ writeScenarios()

bool writeScenarios ( ) const

Definition at line 574 of file inputparameters.hpp.

574{ return writeScenarios_; }

◆ exposureSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & exposureSimMarketParams ( ) const

Definition at line 575 of file inputparameters.hpp.

575{ return exposureSimMarketParams_; }

◆ scenarioGeneratorData()

const QuantLib::ext::shared_ptr< ScenarioGeneratorData > scenarioGeneratorData ( ) const

Definition at line 576 of file inputparameters.hpp.

576{ return scenarioGeneratorData_; }

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◆ crossAssetModelData()

const QuantLib::ext::shared_ptr< CrossAssetModelData > & crossAssetModelData ( ) const

Definition at line 577 of file inputparameters.hpp.

577{ return crossAssetModelData_; }

◆ simulationPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & simulationPricingEngine ( ) const

Definition at line 578 of file inputparameters.hpp.

578{ return simulationPricingEngine_; }

◆ amcPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & amcPricingEngine ( ) const

Definition at line 579 of file inputparameters.hpp.

579{ return amcPricingEngine_; }

◆ nettingSetManager()

const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > & nettingSetManager ( ) const

Definition at line 580 of file inputparameters.hpp.

580{ return nettingSetManager_; }

◆ collateralBalances()

const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > & collateralBalances ( ) const

Definition at line 582 of file inputparameters.hpp.

582{ return collateralBalances_; }

◆ simulationBootstrapTolerance()

const Real & simulationBootstrapTolerance ( ) const

Definition at line 583 of file inputparameters.hpp.

583{ return simulationBootstrapTolerance_; }

ore::analytics::InputParameters::simulationBootstrapTolerance_

Real simulationBootstrapTolerance_

Definition: inputparameters.hpp:931

◆ xvaBaseCurrency()

const std::string & xvaBaseCurrency ( ) const

Definition at line 588 of file inputparameters.hpp.

588{ return xvaBaseCurrency_; }

◆ loadCube()

bool loadCube ( )

Definition at line 589 of file inputparameters.hpp.

589{ return loadCube_; }

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◆ cube()

const QuantLib::ext::shared_ptr< NPVCube > & cube ( ) const

Definition at line 590 of file inputparameters.hpp.

590{ return cube_; }

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◆ nettingSetCube()

const QuantLib::ext::shared_ptr< NPVCube > & nettingSetCube ( ) const

Definition at line 591 of file inputparameters.hpp.

591{ return nettingSetCube_; }

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◆ cptyCube()

const QuantLib::ext::shared_ptr< NPVCube > & cptyCube ( ) const

Definition at line 592 of file inputparameters.hpp.

592{ return cptyCube_; }

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◆ mktCube()

const QuantLib::ext::shared_ptr< AggregationScenarioData > & mktCube ( ) const

Definition at line 593 of file inputparameters.hpp.

593{ return mktCube_; }

◆ flipViewXVA()

bool flipViewXVA ( ) const

Definition at line 594 of file inputparameters.hpp.

594{ return flipViewXVA_; }

◆ mporCashFlowMode()

MporCashFlowMode mporCashFlowMode ( ) const

Definition at line 595 of file inputparameters.hpp.

595{ return mporCashFlowMode_; }

◆ fullInitialCollateralisation()

bool fullInitialCollateralisation ( ) const

Definition at line 596 of file inputparameters.hpp.

596{ return fullInitialCollateralisation_; }

◆ exposureProfiles()

bool exposureProfiles ( ) const

Definition at line 597 of file inputparameters.hpp.

597{ return exposureProfiles_; }

◆ exposureProfilesByTrade()

bool exposureProfilesByTrade ( ) const

Definition at line 598 of file inputparameters.hpp.

598{ return exposureProfilesByTrade_; }

◆ pfeQuantile()

Real pfeQuantile ( ) const

Definition at line 599 of file inputparameters.hpp.

599{ return pfeQuantile_; }

◆ collateralCalculationType()

const std::string & collateralCalculationType ( ) const

Definition at line 600 of file inputparameters.hpp.

600{ return collateralCalculationType_; }

◆ exposureAllocationMethod()

const std::string & exposureAllocationMethod ( ) const

Definition at line 601 of file inputparameters.hpp.

601{ return exposureAllocationMethod_; }

◆ marginalAllocationLimit()

Real marginalAllocationLimit ( ) const

Definition at line 602 of file inputparameters.hpp.

602{ return marginalAllocationLimit_; }

◆ exerciseNextBreak()

bool exerciseNextBreak ( ) const

Definition at line 603 of file inputparameters.hpp.

603{ return exerciseNextBreak_; }

◆ cvaAnalytic()

bool cvaAnalytic ( ) const

Definition at line 604 of file inputparameters.hpp.

604{ return cvaAnalytic_; }

◆ dvaAnalytic()

bool dvaAnalytic ( ) const

Definition at line 605 of file inputparameters.hpp.

605{ return dvaAnalytic_; }

◆ fvaAnalytic()

bool fvaAnalytic ( ) const

Definition at line 606 of file inputparameters.hpp.

606{ return fvaAnalytic_; }

◆ colvaAnalytic()

bool colvaAnalytic ( ) const

Definition at line 607 of file inputparameters.hpp.

607{ return colvaAnalytic_; }

◆ collateralFloorAnalytic()

bool collateralFloorAnalytic ( ) const

Definition at line 608 of file inputparameters.hpp.

608{ return collateralFloorAnalytic_; }

◆ dimAnalytic()

bool dimAnalytic ( ) const

Definition at line 609 of file inputparameters.hpp.

609{ return dimAnalytic_; }

◆ dimModel()

const std::string & dimModel ( ) const

Definition at line 610 of file inputparameters.hpp.

610{ return dimModel_; }

◆ mvaAnalytic()

bool mvaAnalytic ( ) const

Definition at line 611 of file inputparameters.hpp.

611{ return mvaAnalytic_; }

◆ kvaAnalytic()

bool kvaAnalytic ( ) const

Definition at line 612 of file inputparameters.hpp.

612{ return kvaAnalytic_; }

◆ dynamicCredit()

bool dynamicCredit ( ) const

Definition at line 613 of file inputparameters.hpp.

613{ return dynamicCredit_; }

◆ cvaSensi()

bool cvaSensi ( ) const

Definition at line 614 of file inputparameters.hpp.

614{ return cvaSensi_; }

◆ cvaSensiGrid()

const std::vector< Period > & cvaSensiGrid ( ) const

Definition at line 615 of file inputparameters.hpp.

615{ return cvaSensiGrid_; }

◆ cvaSensiShiftSize()

Real cvaSensiShiftSize ( ) const

Definition at line 616 of file inputparameters.hpp.

616{ return cvaSensiShiftSize_; }

◆ dvaName()

const std::string & dvaName ( ) const

Definition at line 617 of file inputparameters.hpp.

617{ return dvaName_; }

◆ rawCubeOutput()

bool rawCubeOutput ( ) const

Definition at line 618 of file inputparameters.hpp.

618{ return rawCubeOutput_; }

◆ netCubeOutput()

bool netCubeOutput ( ) const

Definition at line 619 of file inputparameters.hpp.

619{ return netCubeOutput_; }

◆ rawCubeOutputFile()

const std::string & rawCubeOutputFile ( ) const

Definition at line 620 of file inputparameters.hpp.

620{ return rawCubeOutputFile_; }

◆ netCubeOutputFile()

const std::string & netCubeOutputFile ( ) const

Definition at line 621 of file inputparameters.hpp.

621{ return netCubeOutputFile_; }

◆ fvaBorrowingCurve()

const std::string & fvaBorrowingCurve ( ) const

Definition at line 623 of file inputparameters.hpp.

623{ return fvaBorrowingCurve_; }

◆ fvaLendingCurve()

const std::string & fvaLendingCurve ( ) const

Definition at line 624 of file inputparameters.hpp.

624{ return fvaLendingCurve_; }

◆ flipViewBorrowingCurvePostfix()

const std::string & flipViewBorrowingCurvePostfix ( ) const

Definition at line 625 of file inputparameters.hpp.

625{ return flipViewBorrowingCurvePostfix_; }

◆ flipViewLendingCurvePostfix()

const std::string & flipViewLendingCurvePostfix ( ) const

Definition at line 626 of file inputparameters.hpp.

626{ return flipViewLendingCurvePostfix_; }

◆ deterministicInitialMargin()

TimeSeries< Real > deterministicInitialMargin ( const std::string & n )

Definition at line 628 of file inputparameters.hpp.

                                                                    {
        if (deterministicInitialMargin_.find(n) != deterministicInitialMargin_.end())
            return deterministicInitialMargin_.at(n);
        else
            return TimeSeries<Real>();
    }

◆ dimQuantile()

Real dimQuantile ( ) const

Definition at line 635 of file inputparameters.hpp.

635{ return dimQuantile_; }

◆ dimHorizonCalendarDays()

Size dimHorizonCalendarDays ( ) const

Definition at line 636 of file inputparameters.hpp.

636{ return dimHorizonCalendarDays_; }

◆ dimRegressionOrder()

Size dimRegressionOrder ( ) const

Definition at line 637 of file inputparameters.hpp.

637{ return dimRegressionOrder_; }

◆ dimRegressors()

const std::vector< std::string > & dimRegressors ( ) const

Definition at line 638 of file inputparameters.hpp.

638{ return dimRegressors_; }

◆ dimOutputGridPoints()

const std::vector< Size > & dimOutputGridPoints ( ) const

Definition at line 639 of file inputparameters.hpp.

639{ return dimOutputGridPoints_; }

◆ dimOutputNettingSet()

const std::string & dimOutputNettingSet ( ) const

Definition at line 640 of file inputparameters.hpp.

640{ return dimOutputNettingSet_; }

◆ dimLocalRegressionEvaluations()

Size dimLocalRegressionEvaluations ( ) const

Definition at line 641 of file inputparameters.hpp.

641{ return dimLocalRegressionEvaluations_; }

◆ dimLocalRegressionBandwidth()

Real dimLocalRegressionBandwidth ( ) const

Definition at line 642 of file inputparameters.hpp.

642{ return dimLocalRegressionBandwidth_; }

◆ kvaCapitalDiscountRate()

Real kvaCapitalDiscountRate ( ) const

Definition at line 644 of file inputparameters.hpp.

644{ return kvaCapitalDiscountRate_; }

◆ kvaAlpha()

Real kvaAlpha ( ) const

Definition at line 645 of file inputparameters.hpp.

645{ return kvaAlpha_; }

◆ kvaRegAdjustment()

Real kvaRegAdjustment ( ) const

Definition at line 646 of file inputparameters.hpp.

646{ return kvaRegAdjustment_; }

◆ kvaCapitalHurdle()

Real kvaCapitalHurdle ( ) const

Definition at line 647 of file inputparameters.hpp.

647{ return kvaCapitalHurdle_; }

◆ kvaOurPdFloor()

Real kvaOurPdFloor ( ) const

Definition at line 648 of file inputparameters.hpp.

648{ return kvaOurPdFloor_; }

◆ kvaTheirPdFloor()

Real kvaTheirPdFloor ( ) const

Definition at line 649 of file inputparameters.hpp.

649{ return kvaTheirPdFloor_; }

◆ kvaOurCvaRiskWeight()

Real kvaOurCvaRiskWeight ( ) const

Definition at line 650 of file inputparameters.hpp.

650{ return kvaOurCvaRiskWeight_; }

◆ kvaTheirCvaRiskWeight()

Real kvaTheirCvaRiskWeight ( ) const

Definition at line 651 of file inputparameters.hpp.

651{ return kvaTheirCvaRiskWeight_; }

◆ creditMigrationAnalytic()

bool creditMigrationAnalytic ( ) const

Definition at line 653 of file inputparameters.hpp.

653{ return creditMigrationAnalytic_; }

◆ creditMigrationDistributionGrid()

const std::vector< Real > & creditMigrationDistributionGrid ( ) const

Definition at line 654 of file inputparameters.hpp.

654{ return creditMigrationDistributionGrid_; }

◆ creditMigrationTimeSteps()

std::vector< Size > creditMigrationTimeSteps ( ) const

Definition at line 655 of file inputparameters.hpp.

655{ return creditMigrationTimeSteps_; }

◆ creditSimulationParameters()

const QuantLib::ext::shared_ptr< CreditSimulationParameters > & creditSimulationParameters ( ) const

Definition at line 656 of file inputparameters.hpp.

656{ return creditSimulationParameters_; }

◆ creditMigrationOutputFiles()

const std::string & creditMigrationOutputFiles ( ) const

Definition at line 657 of file inputparameters.hpp.

657{ return creditMigrationOutputFiles_; }

◆ xvaStressSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & xvaStressSimMarketParams ( ) const

Definition at line 658 of file inputparameters.hpp.

658{ return xvaStressSimMarketParams_; }

◆ xvaStressScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > & xvaStressScenarioData ( ) const

Definition at line 659 of file inputparameters.hpp.

659{ return xvaStressScenarioData_; }

◆ xvaStressSensitivityScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & xvaStressSensitivityScenarioData ( ) const

Definition at line 660 of file inputparameters.hpp.

                                                                                                               {
        return xvaStressSensitivityScenarioData_;
    }

◆ xvaStressWriteCubes()

bool xvaStressWriteCubes ( ) const

Definition at line 663 of file inputparameters.hpp.

663{ return xvaStressWriteCubes_; }

◆ cashflowHorizon()

const QuantLib::Date & cashflowHorizon ( ) const

Definition at line 668 of file inputparameters.hpp.

668{ return cashflowHorizon_; };

◆ portfolioFilterDate()

const QuantLib::Date & portfolioFilterDate ( ) const

Definition at line 669 of file inputparameters.hpp.

669{ return portfolioFilterDate_; }

◆ simmVersion()

const std::string & simmVersion ( ) const

Definition at line 674 of file inputparameters.hpp.

674{ return simmVersion_; }

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◆ crif()

const ore::analytics::Crif & crif ( ) const

Definition at line 675 of file inputparameters.hpp.

675{ return crif_; }

◆ simmNameMapper()

const QuantLib::ext::shared_ptr< ore::analytics::SimmBasicNameMapper > & simmNameMapper ( ) const

Definition at line 676 of file inputparameters.hpp.

676{ return simmNameMapper_; }

◆ simmBucketMapper()

const QuantLib::ext::shared_ptr< ore::analytics::SimmBucketMapper > & simmBucketMapper ( ) const

Definition at line 677 of file inputparameters.hpp.

677{ return simmBucketMapper_; }

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◆ simmCalibrationData()

const QuantLib::ext::shared_ptr< ore::analytics::SimmCalibrationData > & simmCalibrationData ( ) const

Definition at line 678 of file inputparameters.hpp.

678{ return simmCalibrationData_; }

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◆ simmCalculationCurrencyCall()

const std::string & simmCalculationCurrencyCall ( ) const

Definition at line 679 of file inputparameters.hpp.

679{ return simmCalculationCurrencyCall_; }

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◆ simmCalculationCurrencyPost()

const std::string & simmCalculationCurrencyPost ( ) const

Definition at line 680 of file inputparameters.hpp.

680{ return simmCalculationCurrencyPost_; }

◆ simmResultCurrency()

const std::string & simmResultCurrency ( ) const

Definition at line 681 of file inputparameters.hpp.

681{ return simmResultCurrency_; }

◆ simmReportingCurrency()

const std::string & simmReportingCurrency ( ) const

Definition at line 682 of file inputparameters.hpp.

682{ return simmReportingCurrency_; }

◆ enforceIMRegulations()

bool enforceIMRegulations ( ) const

Definition at line 683 of file inputparameters.hpp.

683{ return enforceIMRegulations_; }

◆ getSimmConfiguration()

QuantLib::ext::shared_ptr< SimmConfiguration > getSimmConfiguration ( )

Definition at line 807 of file inputparameters.cpp.

                                                                               {
    QL_REQUIRE(simmBucketMapper() != nullptr,
               "Internal error, load simm bucket mapper before retrieving simmconfiguration");
    return buildSimmConfiguration(simmVersion(), simmBucketMapper(), simmCalibrationData(), mporDays());
}

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◆ writeSimmIntermediateReports()

bool writeSimmIntermediateReports ( ) const

Definition at line 685 of file inputparameters.hpp.

685{ return writeSimmIntermediateReports_; }

◆ parConversionXbsParConversion()

bool parConversionXbsParConversion ( ) const

Definition at line 690 of file inputparameters.hpp.

690{ return parConversionXbsParConversion_; }

◆ parConversionAlignPillars()

bool parConversionAlignPillars ( ) const

Definition at line 691 of file inputparameters.hpp.

691{ return parConversionAlignPillars_; };

◆ parConversionOutputJacobi()

bool parConversionOutputJacobi ( ) const

Definition at line 692 of file inputparameters.hpp.

692{ return parConversionOutputJacobi_; };

◆ parConversionThreshold()

QuantLib::Real parConversionThreshold ( ) const

Definition at line 693 of file inputparameters.hpp.

693{ return parConversionThreshold_; }

◆ parConversionSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & parConversionSimMarketParams ( ) const

Definition at line 694 of file inputparameters.hpp.

                                                                                                               {
        return parConversionSimMarketParams_;
    }

◆ parConversionScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & parConversionScenarioData ( ) const

Definition at line 697 of file inputparameters.hpp.

                                                                                                        {
        return parConversionScenarioData_;
    }

◆ parConversionPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & parConversionPricingEngine ( ) const

Definition at line 700 of file inputparameters.hpp.

700{ return parConversionPricingEngine_; }

◆ parConversionInputFile()

const std::string & parConversionInputFile ( ) const

Definition at line 701 of file inputparameters.hpp.

701{ return parConversionInputFile_; }

◆ parConversionInputIdColumn()

const std::string & parConversionInputIdColumn ( ) const

Definition at line 703 of file inputparameters.hpp.

703{ return parConversionInputIdColumn_; }

◆ parConversionInputRiskFactorColumn()

const std::string & parConversionInputRiskFactorColumn ( ) const

Definition at line 704 of file inputparameters.hpp.

704{ return parConversionInputRiskFactorColumn_; }

◆ parConversionInputDeltaColumn()

const std::string & parConversionInputDeltaColumn ( ) const

Definition at line 705 of file inputparameters.hpp.

705{ return parConversionInputDeltaColumn_; }

◆ parConversionInputCurrencyColumn()

const std::string & parConversionInputCurrencyColumn ( ) const

Definition at line 706 of file inputparameters.hpp.

706{ return parConversionInputCurrencyColumn_; }

◆ parConversionInputBaseNpvColumn()

const std::string & parConversionInputBaseNpvColumn ( ) const

Definition at line 707 of file inputparameters.hpp.

707{ return parConversionInputBaseNpvColumn_; }

◆ parConversionInputShiftSizeColumn()

const std::string & parConversionInputShiftSizeColumn ( ) const

Definition at line 708 of file inputparameters.hpp.

708{ return parConversionInputShiftSizeColumn_; }

◆ scenarioDistributionSteps()

const Size & scenarioDistributionSteps ( ) const

Definition at line 711 of file inputparameters.hpp.

711{ return scenarioDistributionSteps_; }

◆ scenarioOutputZeroRate()

const bool & scenarioOutputZeroRate ( ) const

Definition at line 712 of file inputparameters.hpp.

712{ return scenarioOutputZeroRate_; }

◆ parStressSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & parStressSimMarketParams ( ) const

Definition at line 715 of file inputparameters.hpp.

                                                                                                           {
        return parStressSimMarketParams_;
    }

◆ parStressScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > & parStressScenarioData ( ) const

Definition at line 718 of file inputparameters.hpp.

                                                                                                   {
        return parStressScenarioData_;
    }

◆ parStressPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & parStressPricingEngine ( ) const

Definition at line 721 of file inputparameters.hpp.

                                                                                   {
        return parStressPricingEngine_;
    }

◆ parStressSensitivityScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & parStressSensitivityScenarioData ( ) const

Definition at line 724 of file inputparameters.hpp.

                                                                                                               {
        return parStressSensitivityScenarioData_;
    }

◆ parStressLowerBoundCapFloorVolatility()

double parStressLowerBoundCapFloorVolatility ( ) const

Definition at line 728 of file inputparameters.hpp.

728{ return parStressLowerBoundCapFloorVolatility_; }

◆ parStressUpperBoundCapFloorVolatility()

double parStressUpperBoundCapFloorVolatility ( ) const

Definition at line 729 of file inputparameters.hpp.

729{ return parStressUpperBoundCapFloorVolatility_; }

◆ parStressLowerBoundSurvivalProb()

double parStressLowerBoundSurvivalProb ( ) const

Definition at line 730 of file inputparameters.hpp.

730{ return parStressLowerBoundSurvivalProb_; }

◆ parStressUpperBoundSurvivalProb()

double parStressUpperBoundSurvivalProb ( ) const

Definition at line 731 of file inputparameters.hpp.

731{ return parStressUpperBoundSurvivalProb_; }

◆ parStressLowerBoundRatesDiscountFactor()

double parStressLowerBoundRatesDiscountFactor ( ) const

Definition at line 732 of file inputparameters.hpp.

732{ return parStressLowerBoundRatesDiscountFactor_; }

◆ parStressUpperBoundRatesDiscountFactor()

double parStressUpperBoundRatesDiscountFactor ( ) const

Definition at line 733 of file inputparameters.hpp.

733{ return parStressUpperBoundRatesDiscountFactor_; }

◆ parStressAccurary()

double parStressAccurary ( ) const

Definition at line 734 of file inputparameters.hpp.

734{ return parStressAccurary_; };

◆ xvaSensiSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & xvaSensiSimMarketParams ( ) const

Definition at line 740 of file inputparameters.hpp.

                                                                                                          {
        return xvaSensiSimMarketParams_;
    }

◆ xvaSensiScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & xvaSensiScenarioData ( ) const

Definition at line 743 of file inputparameters.hpp.

                                                                                                   {
        return xvaSensiScenarioData_;
    }

◆ xvaSensiPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & xvaSensiPricingEngine ( ) const

Definition at line 746 of file inputparameters.hpp.

746{ return xvaSensiPricingEngine_; }

◆ zeroToParShiftSimMarketParams()

const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > & zeroToParShiftSimMarketParams ( ) const

Definition at line 751 of file inputparameters.hpp.

751{ return zeroToParShiftSimMarketParams_; }

◆ zeroToParShiftScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::StressTestScenarioData > & zeroToParShiftScenarioData ( ) const

Definition at line 752 of file inputparameters.hpp.

752{ return zeroToParShiftScenarioData_; }

◆ zeroToParShiftPricingEngine()

const QuantLib::ext::shared_ptr< ore::data::EngineData > & zeroToParShiftPricingEngine ( ) const

Definition at line 753 of file inputparameters.hpp.

753{ return zeroToParShiftPricingEngine_; }

◆ zeroToParShiftSensitivityScenarioData()

const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > & zeroToParShiftSensitivityScenarioData ( ) const

Definition at line 754 of file inputparameters.hpp.

                                                                                                                    {
        return zeroToParShiftSensitivityScenarioData_;
    }

◆ analytics()

const std::set< std::string > & analytics ( ) const

Definition at line 761 of file inputparameters.hpp.

761{ return analytics_; }

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◆ loadParameters()

virtual void loadParameters ( )

virtual

Reimplemented in OREAppInputParameters.

Definition at line 763 of file inputparameters.hpp.

763{}

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◆ writeOutParameters()

virtual void writeOutParameters ( )

virtual

Reimplemented in OREAppInputParameters.

Definition at line 764 of file inputparameters.hpp.

764{}

Member Data Documentation

◆ analytics_

std::set<std::string> analytics_

protected

Definition at line 778 of file inputparameters.hpp.

◆ asof_

QuantLib::Date asof_

protected

Definition at line 783 of file inputparameters.hpp.

◆ resultsPath_

boost::filesystem::path resultsPath_

protected

Definition at line 784 of file inputparameters.hpp.

◆ baseCurrency_

std::string baseCurrency_

protected

Definition at line 785 of file inputparameters.hpp.

◆ resultCurrency_

std::string resultCurrency_

protected

Definition at line 786 of file inputparameters.hpp.

◆ continueOnError_

bool continueOnError_ = true

protected

Definition at line 787 of file inputparameters.hpp.

◆ lazyMarketBuilding_

bool lazyMarketBuilding_ = true

protected

Definition at line 788 of file inputparameters.hpp.

◆ buildFailedTrades_

bool buildFailedTrades_ = true

protected

Definition at line 789 of file inputparameters.hpp.

◆ observationModel_

std::string observationModel_ = "None"

protected

Definition at line 790 of file inputparameters.hpp.

◆ implyTodaysFixings_

bool implyTodaysFixings_ = false

protected

Definition at line 791 of file inputparameters.hpp.

◆ marketConfigs_

std::map<std::string, std::string> marketConfigs_

protected

Definition at line 792 of file inputparameters.hpp.

◆ refDataManager_

QuantLib::ext::shared_ptr<ore::data::BasicReferenceDataManager> refDataManager_

protected

Definition at line 793 of file inputparameters.hpp.

◆ conventions_

QuantLib::ext::shared_ptr<ore::data::Conventions> conventions_

protected

Definition at line 794 of file inputparameters.hpp.

◆ iborFallbackConfig_

QuantLib::ext::shared_ptr<ore::data::IborFallbackConfig> iborFallbackConfig_

protected

Definition at line 795 of file inputparameters.hpp.

◆ curveConfigs_

CurveConfigurationsManager curveConfigs_

protected

Definition at line 796 of file inputparameters.hpp.

◆ pricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> pricingEngine_

protected

Definition at line 797 of file inputparameters.hpp.

◆ todaysMarketParams_

QuantLib::ext::shared_ptr<ore::data::TodaysMarketParameters> todaysMarketParams_

protected

Definition at line 798 of file inputparameters.hpp.

◆ portfolio_

QuantLib::ext::shared_ptr<ore::data::Portfolio> portfolio_

protected

Definition at line 799 of file inputparameters.hpp.

◆ useCounterpartyOriginalPortfolio_

QuantLib::ext::shared_ptr<ore::data::Portfolio> useCounterpartyOriginalPortfolio_

protected

Definition at line 799 of file inputparameters.hpp.

◆ maxRetries_

QuantLib::Size maxRetries_ = 7

protected

Definition at line 800 of file inputparameters.hpp.

◆ nThreads_

QuantLib::Size nThreads_ = 1

protected

Definition at line 801 of file inputparameters.hpp.

◆ entireMarket_

bool entireMarket_ = false

protected

Definition at line 803 of file inputparameters.hpp.

◆ allFixings_

bool allFixings_ = false

protected

Definition at line 804 of file inputparameters.hpp.

◆ eomInflationFixings_

bool eomInflationFixings_ = true

protected

Definition at line 805 of file inputparameters.hpp.

◆ useMarketDataFixings_

bool useMarketDataFixings_ = true

protected

Definition at line 806 of file inputparameters.hpp.

◆ iborFallbackOverride_

bool iborFallbackOverride_ = false

protected

Definition at line 807 of file inputparameters.hpp.

◆ csvCommentCharacter_

bool csvCommentCharacter_ = true

protected

Definition at line 808 of file inputparameters.hpp.

◆ csvEolChar_

char csvEolChar_ = '\n'

protected

Definition at line 809 of file inputparameters.hpp.

◆ csvSeparator_

char csvSeparator_ = ','

protected

Definition at line 810 of file inputparameters.hpp.

◆ csvQuoteChar_

char csvQuoteChar_ = '\0'

protected

Definition at line 811 of file inputparameters.hpp.

◆ csvEscapeChar_

char csvEscapeChar_ = '\\'

protected

Definition at line 812 of file inputparameters.hpp.

◆ reportNaString_

std::string reportNaString_ = "#N/A"

protected

Definition at line 813 of file inputparameters.hpp.

◆ dryRun_

bool dryRun_ = false

protected

Definition at line 814 of file inputparameters.hpp.

◆ mporDate_

QuantLib::Date mporDate_

protected

Definition at line 815 of file inputparameters.hpp.

◆ mporDays_

QuantLib::Size mporDays_ = 10

protected

Definition at line 816 of file inputparameters.hpp.

◆ mporOverlappingPeriods_

bool mporOverlappingPeriods_ = true

protected

Definition at line 817 of file inputparameters.hpp.

◆ mporCalendar_

QuantLib::Calendar mporCalendar_

protected

Definition at line 818 of file inputparameters.hpp.

◆ mporForward_

bool mporForward_ = true

protected

Definition at line 819 of file inputparameters.hpp.

◆ outputAdditionalResults_

bool outputAdditionalResults_ = false

protected

Definition at line 824 of file inputparameters.hpp.

◆ additionalResultsReportPrecision_

std::size_t additionalResultsReportPrecision_ = 6

protected

Definition at line 825 of file inputparameters.hpp.

◆ outputCurves_

bool outputCurves_ = false

protected

Definition at line 826 of file inputparameters.hpp.

◆ curvesMarketConfig_

std::string curvesMarketConfig_ = Market::defaultConfiguration

protected

Definition at line 827 of file inputparameters.hpp.

◆ curvesGrid_

std::string curvesGrid_ = "240,1M"

protected

Definition at line 828 of file inputparameters.hpp.

◆ outputTodaysMarketCalibration_

bool outputTodaysMarketCalibration_ = true

protected

Definition at line 829 of file inputparameters.hpp.

◆ includePastCashflows_

bool includePastCashflows_ = false

protected

Definition at line 834 of file inputparameters.hpp.

◆ cashflowHorizon_

QuantLib::Date cashflowHorizon_

protected

Definition at line 835 of file inputparameters.hpp.

◆ portfolioFilterDate_

QuantLib::Date portfolioFilterDate_

protected

Definition at line 836 of file inputparameters.hpp.

◆ xbsParConversion_

bool xbsParConversion_ = false

protected

Definition at line 841 of file inputparameters.hpp.

◆ parSensi_

bool parSensi_ = false

protected

Definition at line 842 of file inputparameters.hpp.

◆ optimiseRiskFactors_

bool optimiseRiskFactors_ = false

protected

Definition at line 843 of file inputparameters.hpp.

◆ outputJacobi_

bool outputJacobi_ = false

protected

Definition at line 844 of file inputparameters.hpp.

◆ alignPillars_

bool alignPillars_ = false

protected

Definition at line 845 of file inputparameters.hpp.

◆ useSensiSpreadedTermStructures_

bool useSensiSpreadedTermStructures_ = true

protected

Definition at line 846 of file inputparameters.hpp.

◆ sensiThreshold_

QuantLib::Real sensiThreshold_ = 1e-6

protected

Definition at line 847 of file inputparameters.hpp.

◆ sensiRecalibrateModels_

bool sensiRecalibrateModels_ = true

protected

Definition at line 848 of file inputparameters.hpp.

◆ sensiSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> sensiSimMarketParams_

protected

Definition at line 849 of file inputparameters.hpp.

◆ sensiScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> sensiScenarioData_

protected

Definition at line 850 of file inputparameters.hpp.

◆ sensiPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> sensiPricingEngine_

protected

Definition at line 851 of file inputparameters.hpp.

◆ scenarioSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> scenarioSimMarketParams_

protected

Definition at line 857 of file inputparameters.hpp.

◆ scenarioOutputFile_

std::string scenarioOutputFile_

protected

Definition at line 858 of file inputparameters.hpp.

◆ stressThreshold_

QuantLib::Real stressThreshold_ = 0.0

protected

Definition at line 863 of file inputparameters.hpp.

◆ stressSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> stressSimMarketParams_

protected

Definition at line 864 of file inputparameters.hpp.

◆ stressScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::StressTestScenarioData> stressScenarioData_

protected

Definition at line 865 of file inputparameters.hpp.

◆ stressSensitivityScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> stressSensitivityScenarioData_

protected

Definition at line 866 of file inputparameters.hpp.

◆ stressPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> stressPricingEngine_

protected

Definition at line 867 of file inputparameters.hpp.

◆ stressOptimiseRiskFactors_

bool stressOptimiseRiskFactors_ = false

protected

Definition at line 868 of file inputparameters.hpp.

◆ stressLowerBoundCapFloorVolatility_

double stressLowerBoundCapFloorVolatility_

protected

Definition at line 869 of file inputparameters.hpp.

◆ stressUpperBoundCapFloorVolatility_

double stressUpperBoundCapFloorVolatility_

protected

Definition at line 870 of file inputparameters.hpp.

◆ stressLowerBoundSurvivalProb_

double stressLowerBoundSurvivalProb_

protected

Definition at line 871 of file inputparameters.hpp.

◆ stressUpperBoundSurvivalProb_

double stressUpperBoundSurvivalProb_

protected

Definition at line 872 of file inputparameters.hpp.

◆ stressLowerBoundRatesDiscountFactor_

double stressLowerBoundRatesDiscountFactor_

protected

Definition at line 873 of file inputparameters.hpp.

◆ stressUpperBoundRatesDiscountFactor_

double stressUpperBoundRatesDiscountFactor_

protected

Definition at line 874 of file inputparameters.hpp.

◆ stressAccurary_

double stressAccurary_

protected

Definition at line 875 of file inputparameters.hpp.

◆ salvageCovariance_

bool salvageCovariance_ = false

protected

Definition at line 880 of file inputparameters.hpp.

◆ varQuantiles_

std::vector<Real> varQuantiles_

protected

Definition at line 881 of file inputparameters.hpp.

◆ varBreakDown_

bool varBreakDown_ = false

protected

Definition at line 882 of file inputparameters.hpp.

◆ portfolioFilter_

std::string portfolioFilter_

protected

Definition at line 883 of file inputparameters.hpp.

◆ varMethod_

std::string varMethod_ = "DeltaGammaNormal"

protected

Definition at line 885 of file inputparameters.hpp.

◆ mcVarSamples_

Size mcVarSamples_ = 1000000

protected

Definition at line 886 of file inputparameters.hpp.

◆ mcVarSeed_

long mcVarSeed_ = 42

protected

Definition at line 887 of file inputparameters.hpp.

◆ covarianceData_

std::map<std::pair<RiskFactorKey, RiskFactorKey>, Real> covarianceData_

protected

Definition at line 888 of file inputparameters.hpp.

◆ sensitivityStream_

QuantLib::ext::shared_ptr<SensitivityStream> sensitivityStream_

protected

Definition at line 889 of file inputparameters.hpp.

◆ benchmarkVarPeriod_

std::string benchmarkVarPeriod_

protected

Definition at line 890 of file inputparameters.hpp.

◆ historicalScenarioReader_

QuantLib::ext::shared_ptr<HistoricalScenarioReader> historicalScenarioReader_

protected

Definition at line 891 of file inputparameters.hpp.

◆ histVarSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> histVarSimMarketParams_

protected

Definition at line 892 of file inputparameters.hpp.

◆ baseScenarioLoc_

std::string baseScenarioLoc_

protected

Definition at line 893 of file inputparameters.hpp.

◆ outputHistoricalScenarios_

bool outputHistoricalScenarios_ = false

protected

Definition at line 894 of file inputparameters.hpp.

◆ salvageCorrelationMatrix_

bool salvageCorrelationMatrix_ = false

protected

Definition at line 899 of file inputparameters.hpp.

◆ amc_

bool amc_ = false

protected

Definition at line 900 of file inputparameters.hpp.

◆ amcCg_

bool amcCg_ = false

protected

Definition at line 901 of file inputparameters.hpp.

◆ xvaCgBumpSensis_

bool xvaCgBumpSensis_ = false

protected

Definition at line 902 of file inputparameters.hpp.

◆ xvaCgSensiScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> xvaCgSensiScenarioData_

protected

Definition at line 903 of file inputparameters.hpp.

◆ amcTradeTypes_

std::set<std::string> amcTradeTypes_

protected

Definition at line 904 of file inputparameters.hpp.

◆ exposureBaseCurrency_

std::string exposureBaseCurrency_ = ""

protected

Definition at line 905 of file inputparameters.hpp.

◆ exposureObservationModel_

std::string exposureObservationModel_ = "Disable"

protected

Definition at line 906 of file inputparameters.hpp.

◆ nettingSetId_

std::string nettingSetId_ = ""

protected

Definition at line 907 of file inputparameters.hpp.

◆ scenarioGenType_

std::string scenarioGenType_ = ""

protected

Definition at line 908 of file inputparameters.hpp.

◆ storeFlows_

bool storeFlows_ = false

protected

Definition at line 909 of file inputparameters.hpp.

◆ storeCreditStateNPVs_

Size storeCreditStateNPVs_ = 0

protected

Definition at line 910 of file inputparameters.hpp.

◆ storeSurvivalProbabilities_

bool storeSurvivalProbabilities_ = false

protected

Definition at line 911 of file inputparameters.hpp.

◆ writeCube_

bool writeCube_ = false

protected

Definition at line 912 of file inputparameters.hpp.

◆ writeScenarios_

bool writeScenarios_ = false

protected

Definition at line 913 of file inputparameters.hpp.

◆ exposureSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> exposureSimMarketParams_

protected

Definition at line 914 of file inputparameters.hpp.

◆ scenarioGeneratorData_

QuantLib::ext::shared_ptr<ScenarioGeneratorData> scenarioGeneratorData_

protected

Definition at line 915 of file inputparameters.hpp.

◆ crossAssetModelData_

QuantLib::ext::shared_ptr<CrossAssetModelData> crossAssetModelData_

protected

Definition at line 916 of file inputparameters.hpp.

◆ simulationPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> simulationPricingEngine_

protected

Definition at line 917 of file inputparameters.hpp.

◆ amcPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> amcPricingEngine_

protected

Definition at line 918 of file inputparameters.hpp.

◆ nettingSetManager_

QuantLib::ext::shared_ptr<ore::data::NettingSetManager> nettingSetManager_

protected

Definition at line 919 of file inputparameters.hpp.

◆ collateralBalances_

QuantLib::ext::shared_ptr<ore::data::CollateralBalances> collateralBalances_

protected

Definition at line 920 of file inputparameters.hpp.

◆ exposureProfiles_

bool exposureProfiles_ = true

protected

Definition at line 921 of file inputparameters.hpp.

◆ exposureProfilesByTrade_

bool exposureProfilesByTrade_ = true

protected

Definition at line 922 of file inputparameters.hpp.

◆ pfeQuantile_

Real pfeQuantile_ = 0.95

protected

Definition at line 923 of file inputparameters.hpp.

◆ fullInitialCollateralisation_

bool fullInitialCollateralisation_ = false

protected

Definition at line 924 of file inputparameters.hpp.

◆ collateralCalculationType_

std::string collateralCalculationType_ = "NoLag"

protected

Definition at line 925 of file inputparameters.hpp.

◆ exposureAllocationMethod_

std::string exposureAllocationMethod_ = "None"

protected

Definition at line 926 of file inputparameters.hpp.

◆ marginalAllocationLimit_

Real marginalAllocationLimit_ = 1.0

protected

Definition at line 927 of file inputparameters.hpp.

◆ cube_

QuantLib::ext::shared_ptr<NPVCube> cube_

protected

Definition at line 929 of file inputparameters.hpp.

◆ nettingSetCube_

QuantLib::ext::shared_ptr<NPVCube> nettingSetCube_

protected

Definition at line 929 of file inputparameters.hpp.

◆ cptyCube_

QuantLib::ext::shared_ptr<NPVCube> cptyCube_

protected

Definition at line 929 of file inputparameters.hpp.

◆ mktCube_

QuantLib::ext::shared_ptr<AggregationScenarioData> mktCube_

protected

Definition at line 930 of file inputparameters.hpp.

◆ simulationBootstrapTolerance_

Real simulationBootstrapTolerance_ = 0.0001

protected

Definition at line 931 of file inputparameters.hpp.

◆ xvaBaseCurrency_

std::string xvaBaseCurrency_ = ""

protected

Definition at line 936 of file inputparameters.hpp.

◆ loadCube_

bool loadCube_ = false

protected

Definition at line 937 of file inputparameters.hpp.

◆ flipViewXVA_

bool flipViewXVA_ = false

protected

Definition at line 938 of file inputparameters.hpp.

◆ mporCashFlowMode_

MporCashFlowMode mporCashFlowMode_ = MporCashFlowMode::Unspecified

protected

Definition at line 939 of file inputparameters.hpp.

◆ exerciseNextBreak_

bool exerciseNextBreak_ = false

protected

Definition at line 940 of file inputparameters.hpp.

◆ cvaAnalytic_

bool cvaAnalytic_ = true

protected

Definition at line 941 of file inputparameters.hpp.

◆ dvaAnalytic_

bool dvaAnalytic_ = false

protected

Definition at line 942 of file inputparameters.hpp.

◆ fvaAnalytic_

bool fvaAnalytic_ = false

protected

Definition at line 943 of file inputparameters.hpp.

◆ colvaAnalytic_

bool colvaAnalytic_ = false

protected

Definition at line 944 of file inputparameters.hpp.

◆ collateralFloorAnalytic_

bool collateralFloorAnalytic_ = false

protected

Definition at line 945 of file inputparameters.hpp.

◆ dimAnalytic_

bool dimAnalytic_ = false

protected

Definition at line 946 of file inputparameters.hpp.

◆ dimModel_

std::string dimModel_ = "Regression"

protected

Definition at line 947 of file inputparameters.hpp.

◆ mvaAnalytic_

bool mvaAnalytic_ = false

protected

Definition at line 948 of file inputparameters.hpp.

◆ kvaAnalytic_

bool kvaAnalytic_ = false

protected

Definition at line 949 of file inputparameters.hpp.

◆ dynamicCredit_

bool dynamicCredit_ = false

protected

Definition at line 950 of file inputparameters.hpp.

◆ cvaSensi_

bool cvaSensi_ = false

protected

Definition at line 951 of file inputparameters.hpp.

◆ cvaSensiGrid_

std::vector<Period> cvaSensiGrid_

protected

Definition at line 952 of file inputparameters.hpp.

◆ cvaSensiShiftSize_

Real cvaSensiShiftSize_ = 0.0001

protected

Definition at line 953 of file inputparameters.hpp.

◆ dvaName_

std::string dvaName_ = ""

protected

Definition at line 954 of file inputparameters.hpp.

◆ rawCubeOutput_

bool rawCubeOutput_ = false

protected

Definition at line 955 of file inputparameters.hpp.

◆ netCubeOutput_

bool netCubeOutput_ = false

protected

Definition at line 956 of file inputparameters.hpp.

◆ rawCubeOutputFile_

std::string rawCubeOutputFile_ = ""

protected

Definition at line 957 of file inputparameters.hpp.

◆ netCubeOutputFile_

std::string netCubeOutputFile_ = ""

protected

Definition at line 958 of file inputparameters.hpp.

◆ fvaBorrowingCurve_

std::string fvaBorrowingCurve_ = ""

protected

Definition at line 960 of file inputparameters.hpp.

◆ fvaLendingCurve_

std::string fvaLendingCurve_ = ""

protected

Definition at line 961 of file inputparameters.hpp.

◆ flipViewBorrowingCurvePostfix_

std::string flipViewBorrowingCurvePostfix_ = "_BORROW"

protected

Definition at line 962 of file inputparameters.hpp.

◆ flipViewLendingCurvePostfix_

std::string flipViewLendingCurvePostfix_ = "_LEND"

protected

Definition at line 963 of file inputparameters.hpp.

◆ deterministicInitialMargin_

std::map<std::string,TimeSeries<Real> > deterministicInitialMargin_

protected

Definition at line 965 of file inputparameters.hpp.

◆ dimQuantile_

Real dimQuantile_ = 0.99

protected

Definition at line 967 of file inputparameters.hpp.

◆ dimHorizonCalendarDays_

Size dimHorizonCalendarDays_ = 14

protected

Definition at line 968 of file inputparameters.hpp.

◆ dimRegressionOrder_

Size dimRegressionOrder_ = 0

protected

Definition at line 969 of file inputparameters.hpp.

◆ dimRegressors_

vector<string> dimRegressors_

protected

Definition at line 970 of file inputparameters.hpp.

◆ dimOutputGridPoints_

vector<Size> dimOutputGridPoints_

protected

Definition at line 971 of file inputparameters.hpp.

◆ dimOutputNettingSet_

string dimOutputNettingSet_

protected

Definition at line 972 of file inputparameters.hpp.

◆ dimLocalRegressionEvaluations_

Size dimLocalRegressionEvaluations_ = 0

protected

Definition at line 973 of file inputparameters.hpp.

◆ dimLocalRegressionBandwidth_

Real dimLocalRegressionBandwidth_ = 0.25

protected

Definition at line 974 of file inputparameters.hpp.

◆ kvaCapitalDiscountRate_

Real kvaCapitalDiscountRate_ = 0.10

protected

Definition at line 976 of file inputparameters.hpp.

◆ kvaAlpha_

Real kvaAlpha_ = 1.4

protected

Definition at line 977 of file inputparameters.hpp.

◆ kvaRegAdjustment_

Real kvaRegAdjustment_ = 12.5

protected

Definition at line 978 of file inputparameters.hpp.

◆ kvaCapitalHurdle_

Real kvaCapitalHurdle_ = 0.012

protected

Definition at line 979 of file inputparameters.hpp.

◆ kvaOurPdFloor_

Real kvaOurPdFloor_ = 0.03

protected

Definition at line 980 of file inputparameters.hpp.

◆ kvaTheirPdFloor_

Real kvaTheirPdFloor_ = 0.03

protected

Definition at line 981 of file inputparameters.hpp.

◆ kvaOurCvaRiskWeight_

Real kvaOurCvaRiskWeight_ = 0.05

protected

Definition at line 982 of file inputparameters.hpp.

◆ kvaTheirCvaRiskWeight_

Real kvaTheirCvaRiskWeight_ = 0.05

protected

Definition at line 983 of file inputparameters.hpp.

◆ creditMigrationAnalytic_

bool creditMigrationAnalytic_ = false

protected

Definition at line 985 of file inputparameters.hpp.

◆ creditMigrationDistributionGrid_

std::vector<Real> creditMigrationDistributionGrid_

protected

Definition at line 986 of file inputparameters.hpp.

◆ creditMigrationTimeSteps_

std::vector<Size> creditMigrationTimeSteps_

protected

Definition at line 987 of file inputparameters.hpp.

◆ creditSimulationParameters_

QuantLib::ext::shared_ptr<CreditSimulationParameters> creditSimulationParameters_

protected

Definition at line 988 of file inputparameters.hpp.

◆ creditMigrationOutputFiles_

std::string creditMigrationOutputFiles_

protected

Definition at line 989 of file inputparameters.hpp.

◆ xvaStressSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> xvaStressSimMarketParams_

protected

Definition at line 990 of file inputparameters.hpp.

◆ xvaStressScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::StressTestScenarioData> xvaStressScenarioData_

protected

Definition at line 991 of file inputparameters.hpp.

◆ xvaStressSensitivityScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> xvaStressSensitivityScenarioData_

protected

Definition at line 992 of file inputparameters.hpp.

◆ xvaStressWriteCubes_

bool xvaStressWriteCubes_ = false

protected

Definition at line 993 of file inputparameters.hpp.

◆ simmVersion_

std::string simmVersion_

protected

Definition at line 997 of file inputparameters.hpp.

◆ crif_

ore::analytics::Crif crif_

protected

Definition at line 998 of file inputparameters.hpp.

◆ simmNameMapper_

QuantLib::ext::shared_ptr<ore::analytics::SimmBasicNameMapper> simmNameMapper_

protected

Definition at line 999 of file inputparameters.hpp.

◆ simmBucketMapper_

QuantLib::ext::shared_ptr<ore::analytics::SimmBucketMapper> simmBucketMapper_

protected

Definition at line 1000 of file inputparameters.hpp.

◆ simmCalibrationData_

QuantLib::ext::shared_ptr<ore::analytics::SimmCalibrationData> simmCalibrationData_

protected

Definition at line 1001 of file inputparameters.hpp.

◆ simmCalculationCurrencyCall_

std::string simmCalculationCurrencyCall_ = ""

protected

Definition at line 1002 of file inputparameters.hpp.

◆ simmCalculationCurrencyPost_

std::string simmCalculationCurrencyPost_ = ""

protected

Definition at line 1003 of file inputparameters.hpp.

◆ simmResultCurrency_

std::string simmResultCurrency_ = ""

protected

Definition at line 1004 of file inputparameters.hpp.

◆ simmReportingCurrency_

std::string simmReportingCurrency_ = ""

protected

Definition at line 1005 of file inputparameters.hpp.

◆ enforceIMRegulations_

bool enforceIMRegulations_ = false

protected

Definition at line 1006 of file inputparameters.hpp.

◆ useSimmParameters_

bool useSimmParameters_ = true

protected

Definition at line 1007 of file inputparameters.hpp.

◆ writeSimmIntermediateReports_

bool writeSimmIntermediateReports_ = true

protected

Definition at line 1008 of file inputparameters.hpp.

◆ parConversionXbsParConversion_

bool parConversionXbsParConversion_ = false

protected

Definition at line 1013 of file inputparameters.hpp.

◆ parConversionOutputJacobi_

bool parConversionOutputJacobi_ = false

protected

Definition at line 1014 of file inputparameters.hpp.

◆ parConversionAlignPillars_

bool parConversionAlignPillars_ = false

protected

Definition at line 1015 of file inputparameters.hpp.

◆ parConversionThreshold_

QuantLib::Real parConversionThreshold_ = 1e-6

protected

Definition at line 1016 of file inputparameters.hpp.

◆ parConversionSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> parConversionSimMarketParams_

protected

Definition at line 1017 of file inputparameters.hpp.

◆ parConversionScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> parConversionScenarioData_

protected

Definition at line 1018 of file inputparameters.hpp.

◆ parConversionPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> parConversionPricingEngine_

protected

Definition at line 1019 of file inputparameters.hpp.

◆ parConversionInputFile_

std::string parConversionInputFile_

protected

Definition at line 1020 of file inputparameters.hpp.

◆ parConversionInputIdColumn_

std::string parConversionInputIdColumn_ = "TradeId"

protected

Definition at line 1021 of file inputparameters.hpp.

◆ parConversionInputRiskFactorColumn_

std::string parConversionInputRiskFactorColumn_ = "Factor_1"

protected

Definition at line 1022 of file inputparameters.hpp.

◆ parConversionInputDeltaColumn_

std::string parConversionInputDeltaColumn_ = "Delta"

protected

Definition at line 1023 of file inputparameters.hpp.

◆ parConversionInputCurrencyColumn_

std::string parConversionInputCurrencyColumn_ = "Currency"

protected

Definition at line 1024 of file inputparameters.hpp.

◆ parConversionInputBaseNpvColumn_

std::string parConversionInputBaseNpvColumn_ = "Base NPV"

protected

Definition at line 1025 of file inputparameters.hpp.

◆ parConversionInputShiftSizeColumn_

std::string parConversionInputShiftSizeColumn_ = "ShiftSize_1"

protected

Definition at line 1026 of file inputparameters.hpp.

◆ scenarioDistributionSteps_

Size scenarioDistributionSteps_ = 20

protected

Definition at line 1031 of file inputparameters.hpp.

◆ scenarioOutputZeroRate_

bool scenarioOutputZeroRate_ = false

protected

Definition at line 1032 of file inputparameters.hpp.

◆ parStressSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> parStressSimMarketParams_

protected

Definition at line 1037 of file inputparameters.hpp.

◆ parStressScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::StressTestScenarioData> parStressScenarioData_

protected

Definition at line 1038 of file inputparameters.hpp.

◆ parStressSensitivityScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> parStressSensitivityScenarioData_

protected

Definition at line 1039 of file inputparameters.hpp.

◆ parStressPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> parStressPricingEngine_

protected

Definition at line 1040 of file inputparameters.hpp.

◆ parStressLowerBoundCapFloorVolatility_

double parStressLowerBoundCapFloorVolatility_

protected

Definition at line 1041 of file inputparameters.hpp.

◆ parStressUpperBoundCapFloorVolatility_

double parStressUpperBoundCapFloorVolatility_

protected

Definition at line 1042 of file inputparameters.hpp.

◆ parStressLowerBoundSurvivalProb_

double parStressLowerBoundSurvivalProb_

protected

Definition at line 1043 of file inputparameters.hpp.

◆ parStressUpperBoundSurvivalProb_

double parStressUpperBoundSurvivalProb_

protected

Definition at line 1044 of file inputparameters.hpp.

◆ parStressLowerBoundRatesDiscountFactor_

double parStressLowerBoundRatesDiscountFactor_

protected

Definition at line 1045 of file inputparameters.hpp.

◆ parStressUpperBoundRatesDiscountFactor_

double parStressUpperBoundRatesDiscountFactor_

protected

Definition at line 1046 of file inputparameters.hpp.

◆ parStressAccurary_

double parStressAccurary_

protected

Definition at line 1047 of file inputparameters.hpp.

◆ zeroToParShiftSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> zeroToParShiftSimMarketParams_

protected

Definition at line 1052 of file inputparameters.hpp.

◆ zeroToParShiftScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::StressTestScenarioData> zeroToParShiftScenarioData_

protected

Definition at line 1053 of file inputparameters.hpp.

◆ zeroToParShiftSensitivityScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> zeroToParShiftSensitivityScenarioData_

protected

Definition at line 1054 of file inputparameters.hpp.

◆ zeroToParShiftPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> zeroToParShiftPricingEngine_

protected

Definition at line 1055 of file inputparameters.hpp.

◆ xvaSensiSimMarketParams_

QuantLib::ext::shared_ptr<ore::analytics::ScenarioSimMarketParameters> xvaSensiSimMarketParams_

protected

Definition at line 1060 of file inputparameters.hpp.

◆ xvaSensiScenarioData_

QuantLib::ext::shared_ptr<ore::analytics::SensitivityScenarioData> xvaSensiScenarioData_

protected

Definition at line 1061 of file inputparameters.hpp.

◆ xvaSensiPricingEngine_

QuantLib::ext::shared_ptr<ore::data::EngineData> xvaSensiPricingEngine_

protected

Definition at line 1062 of file inputparameters.hpp.

Public Member Functions

Protected Attributes

Detailed Description

Constructor & Destructor Documentation

◆ InputParameters()

◆ ~InputParameters()

Member Function Documentation

◆ setAsOfDate()

◆ setResultsPath()

◆ setBaseCurrency()

◆ setContinueOnError()

◆ setLazyMarketBuilding()

◆ setBuildFailedTrades()

◆ setObservationModel()

◆ setImplyTodaysFixings()

◆ setMarketConfig()

◆ setRefDataManager()

◆ setRefDataManagerFromFile()

◆ setScriptLibrary()

◆ setScriptLibraryFromFile()

◆ setConventions()

◆ setConventionsFromFile()

◆ setIborFallbackConfig()

◆ setIborFallbackConfigFromFile()

◆ setCurveConfigs()

◆ setCurveConfigsFromFile()

◆ setPricingEngine()

◆ setPricingEngineFromFile()

◆ setTodaysMarketParams()

◆ setTodaysMarketParamsFromFile()

◆ setPortfolio()

◆ setPortfolioFromFile()

◆ setMarketConfigs()

◆ setThreads()

◆ setEntireMarket()

◆ setAllFixings()

◆ setEomInflationFixings()

◆ setUseMarketDataFixings()

◆ setIborFallbackOverride()

◆ setReportNaString()

◆ setCsvQuoteChar()

◆ setCsvSeparator()

◆ setCsvCommentCharacter()

◆ setDryRun()

◆ setMporDays()

◆ setMporOverlappingPeriods()

◆ setMporDate()

◆ setMporCalendar()

◆ setMporForward()

◆ setOutputAdditionalResults()

◆ setAdditionalResultsReportPrecision()

◆ setIncludePastCashflows()

◆ setOutputCurves()

◆ setOutputTodaysMarketCalibration()

◆ setCurvesMarketConfig()

◆ setCurvesGrid()

◆ setXbsParConversion()

◆ setParSensi()

◆ setOptimiseRiskFactors()

◆ setAlignPillars()

◆ setOutputJacobi()

◆ setUseSensiSpreadedTermStructures()

◆ setSensiThreshold()

◆ setSensiRecalibrateModels()

◆ setSensiSimMarketParams()

◆ setSensiSimMarketParamsFromFile()

◆ setSensiScenarioData()

◆ setSensiScenarioDataFromFile()

◆ setSensiPricingEngine() [1/2]

◆ setSensiPricingEngineFromFile()

◆ setSensiPricingEngine() [2/2]

◆ setScenarioSimMarketParams()

◆ setScenarioSimMarketParamsFromFile()

◆ setScenarioOutputFile()

◆ setStressThreshold()

◆ setStressOptimiseRiskFactors()

◆ setStressSimMarketParams()

◆ setStressSimMarketParamsFromFile()

◆ setStressScenarioData()

◆ setStressScenarioDataFromFile()