Reference manual - version orea_version
This is the complete list of members for BacktestPNLCalculator, including all inherited members.
| BacktestPNLCalculator(ore::data::TimePeriod pnlPeriod, const bool &writePnl, MarketRiskBacktest *backtest, const QuantLib::ext::shared_ptr< MarketRiskBacktest::BacktestReports > &reports) (defined in BacktestPNLCalculator) | BacktestPNLCalculator | |
| clear() (defined in PNLCalculator) | PNLCalculator | |
| foPnls() (defined in PNLCalculator) | PNLCalculator | |
| foPnls_ (defined in PNLCalculator) | PNLCalculator | protected |
| foTradePnls() (defined in BacktestPNLCalculator) | BacktestPNLCalculator | |
| foTradePnls_ (defined in PNLCalculator) | PNLCalculator | protected |
| isInTimePeriod(QuantLib::Date startDate, QuantLib::Date endDate) (defined in PNLCalculator) | PNLCalculator | |
| PNLCalculator(ore::data::TimePeriod pnlPeriod) (defined in PNLCalculator) | PNLCalculator | |
| pnlPeriod_ (defined in PNLCalculator) | PNLCalculator | protected |
| pnls() (defined in PNLCalculator) | PNLCalculator | |
| pnls_ (defined in PNLCalculator) | PNLCalculator | protected |
| populatePNLs(const std::vector< QuantLib::Real > &allPnls, const std::vector< QuantLib::Real > &foPnls, const std::vector< QuantLib::Date > &startDates, const std::vector< QuantLib::Date > &endDates) (defined in PNLCalculator) | PNLCalculator | |
| populateTradePNLs(const TradePnLStore &allPnls, const TradePnLStore &foPnls) (defined in PNLCalculator) | PNLCalculator | |
| tradePnls() (defined in BacktestPNLCalculator) | BacktestPNLCalculator | |
| tradePnls_ (defined in PNLCalculator) | PNLCalculator | protected |
| TradePnLStore typedef (defined in PNLCalculator) | PNLCalculator | |
| writePNL(QuantLib::Size scenarioIdx, bool isCall, const RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, QuantLib::Real gammaPnl, const RiskFactorKey &key_2=RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="") override (defined in BacktestPNLCalculator) | BacktestPNLCalculator | |
| writePNL(QuantLib::Size scenarioIdx, bool isCall, const RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, Real gammaPnl, const RiskFactorKey &key_2=RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="") (defined in PNLCalculator) | PNLCalculator | virtual |
| ~PNLCalculator() (defined in PNLCalculator) | PNLCalculator | virtual |