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Reference manual - version orea_version
CollateralExposureHelper Member List

This is the complete list of members for CollateralExposureHelper, including all inherited members.

AsymmetricCVA enum value (defined in CollateralExposureHelper)CollateralExposureHelper
AsymmetricDVA enum value (defined in CollateralExposureHelper)CollateralExposureHelper
CalculationType enum nameCollateralExposureHelper
collateralBalancePaths(const QuantLib::ext::shared_ptr< NettingSetDefinition > &csaDef, const Real &nettingSetPv, const Date &date_t0, const vector< vector< Real >> &nettingSetValues, const Date &nettingSet_maturity, const vector< Date > &dateGrid, const Real &csaFxTodayRate, const vector< vector< Real >> &csaFxScenarioRates, const Real &csaTodayCollatCurve, const vector< vector< Real >> &csaScenCollatCurves, const CalculationType &calcType=Symmetric, const QuantLib::ext::shared_ptr< CollateralBalance > &balance=QuantLib::ext::shared_ptr< CollateralBalance >())CollateralExposureHelperstatic
creditSupportAmount(const QuantLib::ext::shared_ptr< ore::data::NettingSetDefinition > &nettingSet, const Real &uncollatValueCsaCur)CollateralExposureHelperstatic
estimateUncollatValue(const Date &simulationDate, const Real &npv_t0, const Date &date_t0, const vector< vector< T >> &scenPvProfiles, const unsigned &scenIndex, const vector< Date > &dateGrid)CollateralExposureHelperstatic
marginRequirementCalc(const QuantLib::ext::shared_ptr< CollateralAccount > &collat, const Real &uncollatValue, const Date &simulationDate)CollateralExposureHelperstatic
NoLag enum value (defined in CollateralExposureHelper)CollateralExposureHelper
Symmetric enum value (defined in CollateralExposureHelper)CollateralExposureHelper
updateMarginCall(const QuantLib::ext::shared_ptr< CollateralAccount > &collat, const Real &uncollatValue, const Date &simulationDate, const Real &accrualFactor, const CalculationType &calcType=Symmetric, const bool &eligMarginReqDateUs=true, const bool &eligMarginReqDateCtp=true)CollateralExposureHelperstatic