Reference manual - version orea_version
This is the complete list of members for ParametricVarReport, including all inherited members.
| addPnlCalculators(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| breakdown_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| calculate(const QuantLib::ext::shared_ptr< Reports > &report) (defined in MarketRiskReport) | MarketRiskReport | virtual |
| calculationCurrency_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| closeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| covarianceMatrix_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| covariancePeriod() const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| createReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override (defined in VarReport) | VarReport | virtual |
| createScenarioFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| createVarCalculator() override (defined in ParametricVarReport) | ParametricVarReport | virtual |
| CrossPair typedef (defined in ParametricVarReport) | ParametricVarReport | |
| cubeFilePath(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| deltas_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| disablesAll(const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const | MarketRiskReport | protectedvirtual |
| enableCubeWrite(const std::string &cubeDir, const std::string &cubeFilename) | MarketRiskReport | |
| factory_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| fullReval_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| fullRevalArgs_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| gammas_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| generateCube(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| handleFullRevalResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| handleSensiResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| hisScenGen_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| histPnlGen_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| includeDeltaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| includeDeltaMargin_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| includeGammaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| includeGammaMargin_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| initialise() (defined in MarketRiskReport) | MarketRiskReport | virtual |
| initialiseRiskGroups() | MarketRiskReport | protectedvirtual |
| initSimMarket() | MarketRiskReport | |
| MarketRiskReport(const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false) (defined in MarketRiskReport) | MarketRiskReport | |
| multiThreadArgs_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| p() const (defined in VarReport) | VarReport | |
| parametricVarParams_ | ParametricVarReport | protected |
| ParametricVarReport(const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams ¶metricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false) (defined in ParametricVarReport) | ParametricVarReport | |
| ParametricVarReport(const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams ¶metricVarParams, const bool salvageCovarianceMatrix, boost::optional< ore::data::TimePeriod > period, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, const bool breakdown=false) (defined in ParametricVarReport) | ParametricVarReport | |
| period_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| pnlCalculators_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| portfolio_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| portfolioFilter_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| portfolioId(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| progressIndicators() const | ProgressReporter | |
| registerProgressIndicator(const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) | ProgressReporter | |
| registerProgressIndicators() (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| requireTradePnl_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| reset(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| resetProgress() | ProgressReporter | |
| riskGroups_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| runFullReval(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| runTradeDetail(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| runTradeRiskGroup(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| salvage_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| salvageCovarianceMatrix_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| sensiArgs_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| sensiBased_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| sensiPnlCalculator_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| sensitivityConfig_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| simMarketConfig_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| timePeriods() override (defined in VarReport) | VarReport | protectedvirtual |
| tradeGroupKey(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const (defined in MarketRiskReport) | MarketRiskReport | protectedvirtual |
| tradeGroups_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| tradeIdGroups_ | MarketRiskReport | protected |
| tradeIdIdxPairs_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| tradeIds_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| unregisterAllProgressIndicators() | ProgressReporter | |
| unregisterProgressIndicator(const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) | ProgressReporter | |
| updateFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) | MarketRiskReport | protectedvirtual |
| updateProgress(const unsigned long progress, const unsigned long total, const std::string &detail="") | ProgressReporter | |
| varCalculator_ (defined in VarReport) | VarReport | protected |
| VarReport(const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const vector< Real > &p, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, const bool breakdown=false) (defined in VarReport) | VarReport | |
| writePnl_ (defined in MarketRiskReport) | MarketRiskReport | protected |
| writeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override (defined in VarReport) | VarReport | protectedvirtual |
| ~MarketRiskReport() (defined in MarketRiskReport) | MarketRiskReport | virtual |
| ~ParametricVarReport() (defined in ParametricVarReport) | ParametricVarReport | virtual |