Key Add Risk of function in refers to a boolean that determines whether certain risk results should be also reported as part of the output.
Set to true to also calculate the risk with respect to the market data supplied in Risk Ref by recalculating the price after these data have been shifted according to the specifications in Risk Models.
Note no risk is calculated if the Risk Ref is missing or does not specify at least one market reference.
The result will be stored within the Extra Data part of the output object of type
This method of calculating risk is straightforward but time consuming.
Alternatively, QuantLib calculates certain risk results in a much more efficient fashion at the same time as the main price is being computed.
These QuantLib risk results can be included in the output object by setting Output to Full
Note this entry is considered only if Output is set to one of: