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

#include <orea/scenario/scenario.hpp>

Collaboration diagram for RiskFactorKey:

Public Types
enum class	KeyType { None , DiscountCurve , YieldCurve , IndexCurve , SwaptionVolatility , YieldVolatility , OptionletVolatility , FXSpot , FXVolatility , EquitySpot , DividendYield , EquityVolatility , SurvivalProbability , SurvivalWeight , RecoveryRate , CreditState , CDSVolatility , BaseCorrelation , CPIIndex , ZeroInflationCurve , ZeroInflationCapFloorVolatility , YoYInflationCurve , YoYInflationCapFloorVolatility , CommodityCurve , CommodityVolatility , SecuritySpread , Correlation , CPR }
	Risk Factor types. More...

Public Member Functions
	RiskFactorKey ()
	Constructor. More...

	RiskFactorKey (const KeyType &iKeytype, const string &iName, const Size &iIndex=0)
	Constructor. More...

Public Attributes
KeyType	keytype
	Key type. More...

std::string	name
	Key name. More...

Size	index
	Index. More...

Private Member Functions
template<class Archive >
void	serialize (Archive &ar, const unsigned int)

Friends
class	boost::serialization::access

Detailed Description

Data types stored in the scenario class.

Definition at line 48 of file scenario.hpp.

Member Enumeration Documentation

◆ KeyType

enum class KeyType

strong

Risk Factor types.

Enumerator
None
DiscountCurve
YieldCurve
IndexCurve
SwaptionVolatility
YieldVolatility
OptionletVolatility
FXSpot
FXVolatility
EquitySpot
DividendYield
EquityVolatility
SurvivalProbability
SurvivalWeight
RecoveryRate
CreditState
CDSVolatility
BaseCorrelation
CPIIndex
ZeroInflationCurve
ZeroInflationCapFloorVolatility
YoYInflationCurve
YoYInflationCapFloorVolatility
CommodityCurve
CommodityVolatility
SecuritySpread
Correlation
CPR

Definition at line 51 of file scenario.hpp.

                       {
        None,
        DiscountCurve,
        YieldCurve,
        IndexCurve,
        SwaptionVolatility,
        YieldVolatility,
        OptionletVolatility,
        FXSpot,
        FXVolatility,
        EquitySpot,
        DividendYield,
        EquityVolatility,
        SurvivalProbability,
        SurvivalWeight,
        RecoveryRate,
        CreditState,
        CDSVolatility,
        BaseCorrelation,
        CPIIndex,
        ZeroInflationCurve,
        ZeroInflationCapFloorVolatility,
        YoYInflationCurve,
        YoYInflationCapFloorVolatility,
        CommodityCurve,
        CommodityVolatility,
        SecuritySpread,
        Correlation,
        CPR
    };

Constructor & Destructor Documentation

◆ RiskFactorKey() [1/2]

RiskFactorKey ( )

Constructor.

Definition at line 83 of file scenario.hpp.

83: keytype(KeyType::None), name(""), index(0) {}

ore::analytics::RiskFactorKey::keytype

KeyType keytype

Key type.

Definition: scenario.hpp:89

ore::analytics::RiskFactorKey::name

std::string name

Key name.

Definition: scenario.hpp:94

ore::analytics::RiskFactorKey::index

Size index

Index.

Definition: scenario.hpp:96

◆ RiskFactorKey() [2/2]

RiskFactorKey	(	const KeyType &	iKeytype,
		const string &	iName,
		const Size &	iIndex = `0`
	)

Constructor.

Definition at line 85 of file scenario.hpp.

86 : keytype(iKeytype), name(iName), index(iIndex) {}

Member Function Documentation

◆ serialize()

void serialize	(	Archive &	ar,
		const unsigned int
	)

private

Definition at line 100 of file scenario.hpp.

                                                                             {
        ar& keytype;
        ar& name;
        ar& index;
    }

Friends And Related Function Documentation

◆ boost::serialization::access

friend class boost::serialization::access

friend

Definition at line 99 of file scenario.hpp.

Member Data Documentation

◆ keytype

KeyType keytype

Key type.

Definition at line 89 of file scenario.hpp.

◆ name

std::string name

Key name.

For FX this is a pair ("EURUSD") for Discount or swaption it's just a currency ("EUR") and for an index it's the index name

Definition at line 94 of file scenario.hpp.

◆ index