#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for ValuationCalculator:

Public Member Functions
virtual void	calculate (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false)=0

virtual void	calculateT0 (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet)=0

virtual void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket)=0

virtual void	initScenario ()=0

Detailed Description

Member Function Documentation

virtual void calculate	(	const QuantLib::ext::shared_ptr< Trade > &	trade,
		Size	tradeIndex,
		const QuantLib::ext::shared_ptr< SimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< NPVCube > &	outputCube,
		QuantLib::ext::shared_ptr< NPVCube > &	outputCubeNettingSet,
		const Date &	date,
		Size	dateIndex,
		Size	sample,
		bool	isCloseOut = `false`
	)

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube for data on trade level
outputCubeNettingSet	The cube for data on netting set level
date	The date
dateIndex	Date index
sample	Sample
isCloseOut	isCloseOut

virtual void calculateT0	(	const QuantLib::ext::shared_ptr< Trade > &	trade,
		Size	tradeIndex,
		const QuantLib::ext::shared_ptr< SimMarket > &	simMarket,
		QuantLib::ext::shared_ptr< NPVCube > &	outputCube,
		QuantLib::ext::shared_ptr< NPVCube > &	outputCubeNettingSet
	)

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube
outputCubeNettingSet	The cube