XvaStressAnalytic Class Reference

#include <orea/app/analytics/xvastressanalytic.hpp>

Inheritance diagram for XvaStressAnalytic:

Collaboration diagram for XvaStressAnalytic:

Public Member Functions
	XvaStressAnalytic (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
Public Member Functions inherited from Analytic
	Analytic ()
	Constructors. More...
	Analytic (std::unique_ptr< Impl > impl, const std::set< std::string > &analyticTypes, const QuantLib::ext::shared_ptr< InputParameters > &inputs, bool simulationConfig=false, bool sensitivityConfig=false, bool scenarioGeneratorConfig=false, bool crossAssetModelConfig=false)
virtual	~Analytic ()
virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})
	Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty. More...
virtual void	buildConfigurations (const bool=false)
virtual void	setUpConfigurations ()
virtual void	buildMarket (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)
virtual void	buildPortfolio ()
virtual void	marketCalibration (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &mcr=nullptr)
virtual void	modifyPortfolio ()
virtual void	replaceTrades ()
const std::string	label () const
	Inspectors. More...
const std::set< std::string > &	analyticTypes () const
const QuantLib::ext::shared_ptr< InputParameters > &	inputs () const
const QuantLib::ext::shared_ptr< ore::data::Market > &	market () const
QuantLib::ext::shared_ptr< MarketImpl >	getMarket () const
const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	setMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market)
void	setPortfolio (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()
const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader () const
Configurations &	configurations ()
analytic_reports &	reports ()
	Result reports. More...
analytic_npvcubes &	npvCubes ()
analytic_mktcubes &	mktCubes ()
analytic_stresstests &	stressTests ()
const bool	getWriteIntermediateReports () const
void	setWriteIntermediateReports (const bool flag)
bool	match (const std::set< std::string > &runTypes)
	Check whether any of the requested run types is covered by this analytic. More...
const std::unique_ptr< Impl > &	impl ()
std::set< QuantLib::Date >	marketDates () const
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const

Additional Inherited Members
Public Types inherited from Analytic
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	analytic_reports
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< NPVCube > > >	analytic_npvcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< AggregationScenarioData > > >	analytic_mktcubes
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< StressTestScenarioData > > >	analytic_stresstests
Protected Attributes inherited from Analytic
std::unique_ptr< Impl >	impl_
std::set< std::string >	types_
	list of analytic types run by this analytic More...
QuantLib::ext::shared_ptr< InputParameters >	inputs_
	contains all the input parameters for the run More...
Configurations	configurations_
QuantLib::ext::shared_ptr< ore::data::Market >	market_
QuantLib::ext::shared_ptr< ore::data::Loader >	loader_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
analytic_reports	reports_
analytic_npvcubes	npvCubes_
analytic_mktcubes	mktCubes_
analytic_stresstests	stressTests_
bool	writeIntermediateReports_ = true

Detailed Description

Definition at line 47 of file xvastressanalytic.hpp.

Constructor & Destructor Documentation

XvaStressAnalytic()

XvaStressAnalytic ( const QuantLib::ext::shared_ptr< InputParameters > &  inputs )

explicit

Definition at line 198 of file xvastressanalytic.cpp.

    : Analytic(std::make_unique<XvaStressAnalyticImpl>(inputs), {"XVA_STRESS"}, inputs, true, false, false, false) {
    impl()->addDependentAnalytic("XVA", QuantLib::ext::make_shared<XvaAnalytic>(inputs));
}