sensitivityperformance.cpp File Reference

#include "testmarket.hpp"
#include "testportfolio.hpp"
#include <boost/test/unit_test.hpp>
#include <oret/toplevelfixture.hpp>
#include <test/oreatoplevelfixture.hpp>
#include <boost/timer/timer.hpp>
#include <orea/cube/inmemorycube.hpp>
#include <orea/cube/npvcube.hpp>
#include <orea/engine/filteredsensitivitystream.hpp>
#include <orea/engine/observationmode.hpp>
#include <orea/engine/parametricvar.hpp>
#include <orea/engine/riskfilter.hpp>
#include <orea/engine/sensitivityaggregator.hpp>
#include <orea/engine/sensitivityanalysis.hpp>
#include <orea/engine/sensitivitycubestream.hpp>
#include <orea/engine/sensitivityfilestream.hpp>
#include <orea/engine/sensitivityinmemorystream.hpp>
#include <orea/engine/sensitivityrecord.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <orea/engine/stresstest.hpp>
#include <orea/engine/valuationcalculator.hpp>
#include <orea/engine/valuationengine.hpp>
#include <orea/scenario/crossassetmodelscenariogenerator.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/simplescenariofactory.hpp>
#include <ored/model/crossassetmodelbuilder.hpp>
#include <ored/model/lgmdata.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/builders/swaption.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/osutils.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/date.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testSensiPerformanceNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceDisableObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceDeferObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceUnregisterObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigScenarioNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigPortfolioNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigPortfolioBigScenarioNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigPortfolioCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigScenarioCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceNoneObs

)

Definition at line 622 of file sensitivityperformance.cpp.

                                                  {
    test_performance(false, false, false, false, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [2/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceDisableObs

)

Definition at line 626 of file sensitivityperformance.cpp.

                                                     {
    test_performance(false, false, false, false, ObservationMode::Mode::Disable);
}

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BOOST_AUTO_TEST_CASE() [3/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceDeferObs

)

Definition at line 630 of file sensitivityperformance.cpp.

                                                   {
    test_performance(false, false, false, false, ObservationMode::Mode::Defer);
}

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BOOST_AUTO_TEST_CASE() [4/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceUnregisterObs

)

Definition at line 634 of file sensitivityperformance.cpp.

                                                        {
    test_performance(false, false, false, false, ObservationMode::Mode::Unregister);
}

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BOOST_AUTO_TEST_CASE() [5/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceCrossGammaNoneObs

)

Definition at line 638 of file sensitivityperformance.cpp.

                                                            {
    test_performance(false, false, false, true, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [6/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigScenarioNoneObs

)

Definition at line 642 of file sensitivityperformance.cpp.

                                                             {
    test_performance(false, true, false, false, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [7/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigPortfolioNoneObs

)

Definition at line 646 of file sensitivityperformance.cpp.

                                                              {
    test_performance(true, false, false, false, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [8/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigPortfolioBigScenarioNoneObs

)

Definition at line 650 of file sensitivityperformance.cpp.

                                                                         {
    test_performance(true, true, false, false, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [9/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigPortfolioCrossGammaNoneObs

)

Definition at line 654 of file sensitivityperformance.cpp.

                                                                        {
    test_performance(true, false, false, true, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [10/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigScenarioCrossGammaNoneObs

)

Definition at line 658 of file sensitivityperformance.cpp.

                                                                       {
    test_performance(false, true, false, true, ObservationMode::Mode::None);
}

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BOOST_AUTO_TEST_CASE() [11/11]

BOOST_AUTO_TEST_CASE

(

testSensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs

)

Definition at line 662 of file sensitivityperformance.cpp.

                                                                                   {
    test_performance(true, true, false, true, ObservationMode::Mode::None);
}

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