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Merge branch 'feature/setstress' into 'master'
update swig files See merge request qs/oreplus!3090
2 parents 4046d32 + 7f8687a commit 9e7fa57

2 files changed

Lines changed: 20 additions & 19 deletions

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ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_app.i

Lines changed: 2 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -208,7 +208,8 @@ public:
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// Setters for stress testing
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void setStressThreshold(Real r);
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void setStressSimMarketParams(const std::string& xml);
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void setStressScenarioData(const std::string& xml);
211+
void setStressScenarioData(const std::string& xml);
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void setStressScenarioData(const ext::shared_ptr<StressTestScenarioData>& stressScenarioData);
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void setStressPricingEngine(const std::string& xml);
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void setStressPricingEngine(const ext::shared_ptr<EngineData>& engineData);
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// Setters for VaR

ORE-SWIG/OREAnalytics-SWIG/SWIG/orea_scenario.i

Lines changed: 18 additions & 18 deletions
Original file line numberDiff line numberDiff line change
@@ -82,8 +82,8 @@ class StressTestScenarioData : public XMLSerializable {
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public:
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struct CurveShiftData {
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ShiftType shiftType;
85-
vector<Real> shifts;
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vector<Period> shiftTenors;
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std::vector<Real> shifts;
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std::vector<Period> shiftTenors;
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};
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struct SpotShiftData {
@@ -93,8 +93,8 @@ class StressTestScenarioData : public XMLSerializable {
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struct VolShiftData {
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ShiftType shiftType;
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vector<Period> shiftExpiries;
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vector<Real> shifts;
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std::vector<Period> shiftExpiries;
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std::vector<Real> shifts;
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};
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struct FXVolShiftData {
@@ -104,35 +104,35 @@ class StressTestScenarioData : public XMLSerializable {
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Weighted
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};
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ShiftType shiftType;
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vector<Period> shiftExpiries;
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vector<Real> shifts;
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vector<Period> weightTenors;
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vector<Real> weights;
107+
std::vector<Period> shiftExpiries;
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std::vector<Real> shifts;
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std::vector<Period> weightTenors;
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std::vector<Real> weights;
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AtmShiftMode mode = AtmShiftMode::Explicit;
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};
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struct CapFloorVolShiftData {
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ShiftType shiftType;
116-
vector<Period> shiftExpiries;
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vector<double> shiftStrikes;
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std::map<Period, vector<Real>> shifts;
116+
std::vector<Period> shiftExpiries;
117+
std::vector<double> shiftStrikes;
118+
std::map<Period, std::vector<Real>> shifts;
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};
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struct SwaptionVolShiftData {
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ShiftType shiftType;
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Real parallelShiftSize;
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vector<Period> shiftExpiries;
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vector<Period> shiftTerms;
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map<pair<Period, Period>, Real> shifts;
123+
std::vector<Period> shiftExpiries;
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std::vector<Period> shiftTerms;
125+
std::map<std::pair<Period, Period>, Real> shifts;
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};
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struct CommodityVolShiftData {
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ShiftType shiftType;
129-
vector<Period> shiftExpiries;
130-
vector<Real> shiftMoneyness;
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vector<Real> shifts;
129+
std::vector<Period> shiftExpiries;
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std::vector<Real> shiftMoneyness;
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std::vector<Real> shifts;
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};
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struct StressTestData {
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~StressTestData() {}
135-
string label;
135+
std::string label;
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bool irCurveParShifts;
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bool irCapFloorParShifts;
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bool creditCurveParShifts;

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