MarketRiskConfiguration Class Reference

#include <orea/engine/riskfilter.hpp>

Collaboration diagram for MarketRiskConfiguration:

Public Types
enum class	RiskClass {   All , InterestRate , Inflation , Credit ,   Equity , FX , Commodity }
enum class	RiskType { All , DeltaGamma , Vega , BaseCorrelation }

Public Member Functions
virtual	~MarketRiskConfiguration ()

Static Public Member Functions
static std::set< RiskClass >	riskClasses (bool includeAll=false)
	Give back a set containing the RiskClass values optionally excluding 'All'. More...
static std::set< RiskType >	riskTypes (bool includeAll=false)
	Give back a set containing the RiskType values optionally excluding 'All'. More...

Detailed Description

Definition at line 37 of file riskfilter.hpp.

Member Enumeration Documentation

RiskClass

enum class RiskClass

strong

Risk class types in VaR plus an All type for convenience

Warning:

The ordering here matters. It is used in indexing in to correlation matrices for the correlation between risk classes.

Warning:

Internal methods rely on the first element being 'All'

Enumerator
All
InterestRate
Inflation
Credit
Equity
FX
Commodity

Definition at line 48 of file riskfilter.hpp.

{ All, InterestRate, Inflation, Credit, Equity, FX, Commodity};

RiskType

enum class RiskType

strong

Risk Type types in VaR plus an All type for convenience

Warning:

Internal methods rely on the first element being 'All'

Enumerator
All
DeltaGamma
Vega
BaseCorrelation

Definition at line 53 of file riskfilter.hpp.

{ All, DeltaGamma, Vega, BaseCorrelation };

Constructor & Destructor Documentation

~MarketRiskConfiguration()

virtual ~MarketRiskConfiguration ( )

virtual

Definition at line 39 of file riskfilter.hpp.

{}

Member Function Documentation

riskClasses()

std::set< MarketRiskConfiguration::RiskClass > riskClasses ( bool  includeAll = false )

static

Give back a set containing the RiskClass values optionally excluding 'All'.

Definition at line 83 of file riskfilter.cpp.

                                                                                             {
    Size numberOfRiskClasses = riskClassMap.size();
 
    // Return the set of values
    set<RiskClass> result;
    for (Size i = includeAll ? 0 : 1; i < numberOfRiskClasses; ++i)
        result.insert(RiskClass(i));
    
    return result;
}

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riskTypes()

std::set< MarketRiskConfiguration::RiskType > riskTypes ( bool  includeAll = false )

static

Give back a set containing the RiskType values optionally excluding 'All'.

Definition at line 95 of file riskfilter.cpp.

                                                                                          {
    Size numberOfRiskTypes = riskTypeMap.size();
 
    // Return the set of values
    set<RiskType> result;
    for (Size i = includeAll ? 0 : 1; i < numberOfRiskTypes; ++i)
        result.insert(RiskType(i));
    
    return result;
}

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