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Reference manual - version orea_version
ParametricVarCalculator Member List

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

ParametricVarCalculator(const ParametricVarParams &parametricVarParams, const QuantLib::Matrix &omega, const std::map< RiskFactorKey, QuantLib::Real > &deltas, const std::map< CrossPair, Real > &gammas, const QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage > &covarianceSalvage, const bool &includeGammaMargin, const bool &includeDeltaMargin) (defined in ParametricVarCalculator)ParametricVarCalculator
var(QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size >> &tradeIds={}) override (defined in ParametricVarCalculator)ParametricVarCalculatorvirtual
VarCalculator() (defined in VarCalculator)VarCalculator
~VarCalculator() (defined in VarCalculator)VarCalculatorvirtual