AMCValuationEngine Class Reference

AMC Valuation Engine. More...

#include <orea/engine/amcvaluationengine.hpp>

Inheritance diagram for AMCValuationEngine:

Public Member Functions
	AMCValuationEngine (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &model, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioGeneratorData > &scenarioGeneratorData, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::vector< string > &aggDataIndices, const std::vector< string > &aggDataCurrencies, const Size aggDataNumberCreditStates)
	Constructor for single-threaded runs.
	AMCValuationEngine (const QuantLib::Size nThreads, const QuantLib::Date &today, const QuantLib::Size nSamples, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ScenarioGeneratorData > &scenarioGeneratorData, const std::vector< string > &aggDataIndices, const std::vector< string > &aggDataCurrencies, const Size aggDataNumberCreditStates, const QuantLib::ext::shared_ptr< CrossAssetModelData > &crossAssetModelData, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const std::string &configurationLgmCalibration, const std::string &configurationFxCalibration, const std::string &configurationEqCalibration, const std::string &configurationInfCalibration, const std::string &configurationCrCalibration, const std::string &configurationFinalModel, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &referenceData=nullptr, const ore::data::IborFallbackConfig &iborFallbackConfig=ore::data::IborFallbackConfig::defaultConfig(), const bool handlePseudoCurrenciesTodaysMarket=true, const std::function< QuantLib::ext::shared_ptr< ore::analytics::NPVCube >(const QuantLib::Date &, const std::set< std::string > &, const std::vector< QuantLib::Date > &, const QuantLib::Size)> &cubeFactory={}, const QuantLib::ext::shared_ptr< Scenario > &offSetScenario=nullptr, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketParams=nullptr)
	Constructor for multi threaded runs.
void	buildCube (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &outputCube)
	build cube in single threaded run
void	buildCube (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)
	build cube in multi threaded run
std::vector< QuantLib::ext::shared_ptr< ore::analytics::NPVCube > >	outputCubes () const
QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &	aggregationScenarioData ()
	Set aggregation data.
const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &	aggregationScenarioData () const
	Get aggregation data.
Public Member Functions inherited from ProgressReporter
void	registerProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)
void	unregisterProgressIndicator (const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)
void	unregisterAllProgressIndicators ()
void	updateProgress (const unsigned long progress, const unsigned long total, const std::string &detail="")
void	resetProgress ()
const std::set< QuantLib::ext::shared_ptr< ProgressIndicator > > &	progressIndicators () const

Detailed Description

AMC Valuation Engine.