CounterpartyCalculator Class Reference

CounterpartyCalculator interface. More...

#include <orea/engine/cptycalculator.hpp>

Inheritance diagram for CounterpartyCalculator:

Public Member Functions
virtual void	calculate (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false)=0
virtual void	calculateT0 (const std::string &name, Size nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube)=0

Detailed Description

CounterpartyCalculator interface.

Member Function Documentation

calculate()

virtual void calculate ( const std::string &  name, Size  nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube, const Date &  date, Size  dateIndex, Size  sample, bool  isCloseOut = false  )

pure virtual

Parameters

name	The counterparty name
nameIndex	Name index for writing to the cube
simMarket	The market
outputCube	The cube for data on name level
date	The date
dateIndex	Date index
sample	Sample
isCloseOut	isCloseOut

calculateT0()

virtual void calculateT0 ( const std::string &  name, Size  nameIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube  )

pure virtual

Parameters

name	The counterparty name
nameIndex	Name index for writing to the cube
simMarket	The market
outputCube	The cube