| applyShift(Size j, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftTimes, const vector< Real > &values, const vector< Time > ×, vector< Real > &shiftedValues, bool initialise) | ShiftScenarioGenerator | |
| applyShift(Size j, Size k, Real shiftSize, bool up, ShiftType type, const vector< Time > &shiftX, const vector< Time > &shiftY, const vector< Time > &dataX, const vector< Time > &dataY, const vector< vector< Real > > &data, vector< vector< Real > > &shiftedData, bool initialise) | ShiftScenarioGenerator | |
| baseCorrelationScenarioDescription(string indexName, Size lossLevelBucket, Size termBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| baseScenario() | ShiftScenarioGenerator | |
| baseScenario() const | ShiftScenarioGenerator | |
| baseScenario_ | ShiftScenarioGenerator | protected |
| baseScenarioAbsolute() const | SensitivityScenarioGenerator | |
| baseScenarioAbsolute_ | SensitivityScenarioGenerator | private |
| baseValues() const | SensitivityScenarioGenerator | |
| baseValues_ | SensitivityScenarioGenerator | private |
| capFloorVolScenarioDescription(string ccy, Size expiryBucket, Size strikeBucket, bool up, bool isAtm, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| CdsVolScenarioDescription(string name, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| commodityCurveScenarioDescription(const std::string &commodityName, QuantLib::Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| commodityVolScenarioDescription(const std::string &commodityName, QuantLib::Size expiryBucket, QuantLib::Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| continueOnError_ | SensitivityScenarioGenerator | private |
| correlationScenarioDescription(string pair, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| counter_ | ShiftScenarioGenerator | protected |
| discountScenarioDescription(string ccy, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| dividendYieldScenarioDescription(string equity, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| equityScenarioDescription(string equity, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| equityVolScenarioDescription(string equity, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| factorToKey() | ShiftScenarioGenerator | |
| factorToKey_ | ShiftScenarioGenerator | protected |
| fxScenarioDescription(string ccypair, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| fxVolScenarioDescription(string ccypair, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| generateBaseCorrelationScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateCapFloorVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateCdsVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateCommodityCurveScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateCommodityVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateCorrelationScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateDiscountCurveScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateDividendYieldScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateEquityScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateEquityVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateFxScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateFxVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateGenericYieldVolScenarios(bool up, RiskFactorKey::KeyType rfType) | SensitivityScenarioGenerator | private |
| generateIndexCurveScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateScenarios() | SensitivityScenarioGenerator | private |
| generateSecuritySpreadScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateSurvivalProbabilityScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateSwaptionVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateYieldCurveScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateYieldVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateYoYInflationCapFloorVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateYoYInflationScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateZeroInflationCapFloorVolScenarios(bool up) | SensitivityScenarioGenerator | private |
| generateZeroInflationScenarios(bool up) | SensitivityScenarioGenerator | private |
| getShiftScheme(SensitivityScenarioData::ShiftData &data) const | SensitivityScenarioGenerator | private |
| getShiftSize(SensitivityScenarioData::ShiftData &data) const | SensitivityScenarioGenerator | private |
| getShiftType(SensitivityScenarioData::ShiftData &data) const | SensitivityScenarioGenerator | private |
| indexScenarioDescription(string index, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| isScenarioRelevant(bool up, SensitivityScenarioData::ShiftData &data) const | SensitivityScenarioGenerator | private |
| keyToFactor() | ShiftScenarioGenerator | |
| keyToFactor_ | ShiftScenarioGenerator | protected |
| next(const Date &d) override | ShiftScenarioGenerator | virtual |
| numScenarios() const | SensitivityScenarioGenerator | |
| overrideTenors_ | SensitivityScenarioGenerator | private |
| reset() override | ShiftScenarioGenerator | virtual |
| samples() | ShiftScenarioGenerator | |
| scenarioDescriptions() | ShiftScenarioGenerator | |
| scenarioDescriptions_ | ShiftScenarioGenerator | protected |
| scenarios() | ShiftScenarioGenerator | |
| scenarios_ | ShiftScenarioGenerator | protected |
| securitySpreadScenarioDescription(string bond, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| sensiScenarioFactory_ | SensitivityScenarioGenerator | private |
| sensitivityData_ | SensitivityScenarioGenerator | private |
| SensitivityScenarioGenerator(const QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensitivityData, const QuantLib::ext::shared_ptr< Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const QuantLib::ext::shared_ptr< ScenarioFactory > &sensiScenarioFactory, const bool overrideTenors, const std::string &sensitivityTemplate=std::string(), const bool continueOnError=false, const QuantLib::ext::shared_ptr< Scenario > &baseScenarioAbsolute=nullptr) | SensitivityScenarioGenerator | |
| sensitivityTemplate_ | SensitivityScenarioGenerator | private |
| ShiftScenarioGenerator(const QuantLib::ext::shared_ptr< Scenario > &baseScenario, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::weak_ptr< ScenarioSimMarket > &simMarket) | ShiftScenarioGenerator | |
| shiftSchemes() const | SensitivityScenarioGenerator | |
| shiftSchemes_ | SensitivityScenarioGenerator | private |
| shiftSizes() const | SensitivityScenarioGenerator | |
| shiftSizes_ | SensitivityScenarioGenerator | private |
| simMarket_ | ShiftScenarioGenerator | protected |
| simMarketData_ | ShiftScenarioGenerator | protected |
| storeShiftData(const RiskFactorKey &key, const Real rate, const Real newRate) | SensitivityScenarioGenerator | private |
| survivalProbabilityScenarioDescription(string name, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| swaptionVolScenarioDescription(string ccy, Size expiryBucket, Size termBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| yieldScenarioDescription(string name, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| yieldVolScenarioDescription(string securityId, Size expiryBucket, Size termBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| yoyInflationCapFloorVolScenarioDescription(string name, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| yoyInflationScenarioDescription(string index, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| zeroInflationCapFloorVolScenarioDescription(string name, Size expiryBucket, Size strikeBucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| zeroInflationScenarioDescription(string index, Size bucket, bool up, ShiftScheme shiftScheme) | SensitivityScenarioGenerator | private |
| ~ScenarioGenerator() | ScenarioGenerator | virtual |
| ~SensitivityScenarioGenerator() | SensitivityScenarioGenerator | |
| ~ShiftScenarioGenerator() | ShiftScenarioGenerator | |
