BacktestPNLCalculator Class Reference

Inheritance diagram for BacktestPNLCalculator:

Public Member Functions
	BacktestPNLCalculator (ore::data::TimePeriod pnlPeriod, const bool &writePnl, MarketRiskBacktest *backtest, const QuantLib::ext::shared_ptr< MarketRiskBacktest::BacktestReports > &reports)
void	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
const TradePnLStore &	tradePnls ()
const TradePnLStore &	foTradePnls ()
Public Member Functions inherited from PNLCalculator
	PNLCalculator (ore::data::TimePeriod pnlPeriod)
virtual void	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="")
const bool	isInTimePeriod (QuantLib::Date startDate, QuantLib::Date endDate)
void	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)
void	populateTradePNLs (const TradePnLStore &allPnls, const TradePnLStore &foPnls)
const std::vector< QuantLib::Real > &	pnls ()
const std::vector< QuantLib::Real > &	foPnls ()
const TradePnLStore &	tradePnls ()
const TradePnLStore &	foTradePnls ()
void	clear ()

Additional Inherited Members
Public Types inherited from PNLCalculator
using	TradePnLStore = std::vector< std::vector< QuantLib::Real > >
Protected Attributes inherited from PNLCalculator
std::vector< QuantLib::Real >	pnls_
std::vector< QuantLib::Real >	foPnls_
ore::data::TimePeriod	pnlPeriod_
TradePnLStore	tradePnls_
TradePnLStore	foTradePnls_