parstressscenarioconverter.cpp File Reference

#include <orea/engine/parsensitivityutilities.hpp>
#include <orea/engine/parstressscenarioconverter.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <ored/utilities/to_string.hpp>
#include <ql/instrument.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ored/portfolio/structuredconfigurationwarning.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
namespace	ore::analytics

Functions
std::set< RiskFactorKey::KeyType >	disabledParRates (bool irCurveParRates, bool irCapFloorParRates, bool creditParRates)
bool	checkCurveShiftData (const std::string &name, const StressTestScenarioData::CurveShiftData &stressShiftData, const std::map< std::string, QuantLib::ext::shared_ptr< SensitivityScenarioData::CurveShiftData > > &sensiData)
	Checks the the tenors for curves in a stresstest scenario are alligned with par sensitivity config. More...
bool	checkCapFloorShiftData (const std::string &name, const StressTestScenarioData::CapFloorVolShiftData &stressShiftData, const std::map< std::string, QuantLib::ext::shared_ptr< SensitivityScenarioData::CapFloorVolShiftData > > &sensiData)
	Checks the the strikes and expiries of cap floors in stresstest scenario are alligned with par sensitivity config. More...