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Reference manual - version orea_version
VarReport Member List

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

addPnlCalculators(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
breakdown_ (defined in MarketRiskReport)MarketRiskReportprotected
calculate(const QuantLib::ext::shared_ptr< Reports > &report) (defined in MarketRiskReport)MarketRiskReportvirtual
calculationCurrency_ (defined in MarketRiskReport)MarketRiskReportprotected
closeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
covarianceMatrix_ (defined in MarketRiskReport)MarketRiskReportprotected
covariancePeriod() const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
createReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override (defined in VarReport)VarReportvirtual
createScenarioFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
createVarCalculator()=0 (defined in VarReport)VarReportprotectedpure virtual
cubeFilePath(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
deltas_ (defined in MarketRiskReport)MarketRiskReportprotected
disablesAll(const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) constMarketRiskReportprotectedvirtual
enableCubeWrite(const std::string &cubeDir, const std::string &cubeFilename)MarketRiskReport
factory_ (defined in MarketRiskReport)MarketRiskReportprotected
fullReval_ (defined in MarketRiskReport)MarketRiskReportprotected
fullRevalArgs_ (defined in MarketRiskReport)MarketRiskReportprotected
gammas_ (defined in MarketRiskReport)MarketRiskReportprotected
generateCube(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
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)MarketRiskReportprotectedvirtual
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)MarketRiskReportprotectedvirtual
hisScenGen_ (defined in MarketRiskReport)MarketRiskReportprotected
histPnlGen_ (defined in MarketRiskReport)MarketRiskReportprotected
includeDeltaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
includeDeltaMargin_ (defined in MarketRiskReport)MarketRiskReportprotected
includeGammaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
includeGammaMargin_ (defined in MarketRiskReport)MarketRiskReportprotected
initialise() (defined in MarketRiskReport)MarketRiskReportvirtual
initialiseRiskGroups()MarketRiskReportprotectedvirtual
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)MarketRiskReportprotected
p() const (defined in VarReport)VarReport
period_ (defined in MarketRiskReport)MarketRiskReportprotected
pnlCalculators_ (defined in MarketRiskReport)MarketRiskReportprotected
portfolio_ (defined in MarketRiskReport)MarketRiskReportprotected
portfolioFilter_ (defined in MarketRiskReport)MarketRiskReportprotected
portfolioId(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
progressIndicators() constProgressReporter
registerProgressIndicator(const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator)ProgressReporter
registerProgressIndicators() (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
requireTradePnl_ (defined in MarketRiskReport)MarketRiskReportprotected
reset(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
resetProgress()ProgressReporter
riskGroups_ (defined in MarketRiskReport)MarketRiskReportprotected
runFullReval(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
runTradeDetail(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
runTradeRiskGroup(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
salvage_ (defined in MarketRiskReport)MarketRiskReportprotected
sensiArgs_ (defined in MarketRiskReport)MarketRiskReportprotected
sensiBased_ (defined in MarketRiskReport)MarketRiskReportprotected
sensiPnlCalculator_ (defined in MarketRiskReport)MarketRiskReportprotected
timePeriods() override (defined in VarReport)VarReportprotectedvirtual
tradeGroupKey(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const (defined in MarketRiskReport)MarketRiskReportprotectedvirtual
tradeGroups_ (defined in MarketRiskReport)MarketRiskReportprotected
tradeIdGroups_MarketRiskReportprotected
tradeIdIdxPairs_ (defined in MarketRiskReport)MarketRiskReportprotected
tradeIds_ (defined in MarketRiskReport)MarketRiskReportprotected
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)MarketRiskReportprotectedvirtual
updateProgress(const unsigned long progress, const unsigned long total, const std::string &detail="")ProgressReporter
varCalculator_ (defined in VarReport)VarReportprotected
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)MarketRiskReportprotected
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)VarReportprotectedvirtual
~MarketRiskReport() (defined in MarketRiskReport)MarketRiskReportvirtual