sensitivityanalysis.hpp File Reference

Perform sensitivity analysis for a given portfolio. More...

#include <orea/cube/npvsensicube.hpp>
#include <orea/cube/sensitivitycube.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/sensitivityscenariogenerator.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/marketdata/market.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/referencedata.hpp>
#include <ored/report/report.hpp>
#include <ored/utilities/progressbar.hpp>
#include <map>
#include <set>
#include <tuple>

Go to the source code of this file.

Classes
class	SensitivityAnalysis
	Sensitivity Analysis. More...

Namespaces
namespace	ore
namespace	ore::analytics

Functions
Real	getShiftSize (const RiskFactorKey &key, const SensitivityScenarioData &sensiParams, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const string &marketConfiguration)

Detailed Description

Perform sensitivity analysis for a given portfolio.

Definition in file sensitivityanalysis.hpp.