scenariosimmarket.cpp File Reference

A Market class that can be updated by Scenarios. More...

#include <orea/engine/observationmode.hpp>
#include <orea/scenario/deltascenario.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenarioutilities.hpp>
#include <orea/scenario/simplescenario.hpp>
#include <ored/marketdata/curvespecparser.hpp>
#include <ored/marketdata/structuredcurveerror.hpp>
#include <ored/utilities/indexnametranslator.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/to_string.hpp>
#include <qle/indexes/fallbackiborindex.hpp>
#include <qle/indexes/fallbackovernightindex.hpp>
#include <qle/indexes/inflationindexobserver.hpp>
#include <qle/indexes/inflationindexwrapper.hpp>
#include <qle/instruments/makeoiscapfloor.hpp>
#include <qle/termstructures/blackinvertedvoltermstructure.hpp>
#include <qle/termstructures/blackvariancecurve3.hpp>
#include <qle/termstructures/blackvariancesurfacestddevs.hpp>
#include <qle/termstructures/blackvolconstantspread.hpp>
#include <qle/termstructures/commoditybasispricecurvewrapper.hpp>
#include <qle/termstructures/credit/basecorrelationstructure.hpp>
#include <qle/termstructures/credit/spreadedbasecorrelationcurve.hpp>
#include <qle/termstructures/dynamicblackvoltermstructure.hpp>
#include <qle/termstructures/dynamiccpivolatilitystructure.hpp>
#include <qle/termstructures/dynamicoptionletvolatilitystructure.hpp>
#include <qle/termstructures/dynamicswaptionvolmatrix.hpp>
#include <qle/termstructures/dynamicyoyoptionletvolatilitystructure.hpp>
#include <qle/termstructures/flatcorrelation.hpp>
#include <qle/termstructures/interpolatedcorrelationcurve.hpp>
#include <qle/termstructures/interpolatedcpivolatilitysurface.hpp>
#include <qle/termstructures/interpolateddiscountcurve.hpp>
#include <qle/termstructures/interpolateddiscountcurve2.hpp>
#include <qle/termstructures/pricecurve.hpp>
#include <qle/termstructures/pricetermstructureadapter.hpp>
#include <qle/termstructures/proxyoptionletvolatility.hpp>
#include <qle/termstructures/proxyswaptionvolatility.hpp>
#include <qle/termstructures/spreadedblackvolatilitycurve.hpp>
#include <qle/termstructures/spreadedblackvolatilitysurfacemoneyness.hpp>
#include <qle/termstructures/spreadedcorrelationcurve.hpp>
#include <qle/termstructures/spreadedcpivolatilitysurface.hpp>
#include <qle/termstructures/spreadeddiscountcurve.hpp>
#include <qle/termstructures/spreadedinflationcurve.hpp>
#include <qle/termstructures/spreadedoptionletvolatility2.hpp>
#include <qle/termstructures/spreadedpricetermstructure.hpp>
#include <qle/termstructures/spreadedsurvivalprobabilitytermstructure.hpp>
#include <qle/termstructures/spreadedswaptionvolatility.hpp>
#include <qle/termstructures/spreadedyoyvolsurface.hpp>
#include <qle/termstructures/strippedoptionletadapter.hpp>
#include <qle/termstructures/strippedyoyinflationoptionletvol.hpp>
#include <qle/termstructures/survivalprobabilitycurve.hpp>
#include <qle/termstructures/swaptionvolatilityconverter.hpp>
#include <qle/termstructures/swaptionvolconstantspread.hpp>
#include <qle/termstructures/swaptionvolcube2.hpp>
#include <qle/termstructures/swaptionvolcubewithatm.hpp>
#include <qle/termstructures/yoyinflationcurveobservermoving.hpp>
#include <qle/termstructures/zeroinflationcurveobservermoving.hpp>
#include <ql/instruments/makecapfloor.hpp>
#include <ql/math/interpolations/loginterpolation.hpp>
#include <ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp>
#include <ql/termstructures/defaulttermstructure.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp>
#include <ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp>
#include <ql/termstructures/volatility/swaption/swaptionconstantvol.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
#include <ql/termstructures/yield/discountcurve.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/calendars/weekendsonly.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/quotes/compositequote.hpp>
#include <ql/quotes/derivedquote.hpp>
#include <boost/algorithm/string.hpp>
#include <boost/timer/timer.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
namespace	ore::analytics

Functions
RiskFactorKey::KeyType	yieldCurveRiskFactor (const ore::data::YieldCurveType y)
	Map a yield curve type to a risk factor key type. More...
ore::data::YieldCurveType	riskFactorYieldCurve (const RiskFactorKey::KeyType rf)

Detailed Description

A Market class that can be updated by Scenarios.

Definition in file scenariosimmarket.cpp.