Reference manual - version orea_version
Inheritance diagram for XvaAnalyticImpl:Public Member Functions | |
| XvaAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Scenario > &offsetScenario=nullptr, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &offsetSimMarketParams=nullptr) | |
| virtual void | runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override |
| void | setUpConfigurations () override |
| void | checkConfigurations (const QuantLib::ext::shared_ptr< Portfolio > &portfolio) |
| Public Member Functions inherited from Analytic::Impl | |
| Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs) | |
| void | setLabel (const string &label) |
| const std::string & | label () const |
| void | setAnalytic (Analytic *analytic) |
| Analytic * | analytic () const |
| void | setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs) |
| bool | generateAdditionalResults () const |
| void | setGenerateAdditionalResults (const bool generateAdditionalResults) |
| bool | hasDependentAnalytic (const std::string &key) |
| template<class T > | |
| QuantLib::ext::shared_ptr< T > | dependentAnalytic (const std::string &key) const |
| QuantLib::ext::shared_ptr< Analytic > | dependentAnalytic (const std::string &key) const |
| const std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > & | dependentAnalytics () const |
| void | addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic) |
| std::vector< QuantLib::ext::shared_ptr< Analytic > > | allDependentAnalytics () const |
| virtual std::vector< QuantLib::Date > | additionalMarketDates () const |
Static Public Attributes | |
| static constexpr const char * | LABEL = "XVA" |
Protected Member Functions | |
| QuantLib::ext::shared_ptr< ore::data::EngineFactory > | engineFactory () override |
| build an engine factory | |
| void | buildScenarioSimMarket () |
| void | buildCrossAssetModel (bool continueOnError) |
| void | buildScenarioGenerator (bool continueOnError) |
| void | initCubeDepth () |
| void | initCube (QuantLib::ext::shared_ptr< NPVCube > &cube, const std::set< std::string > &ids, Size cubeDepth) |
| void | initClassicRun (const QuantLib::ext::shared_ptr< Portfolio > &portfolio) |
| void | buildClassicCube (const QuantLib::ext::shared_ptr< Portfolio > &portfolio) |
| QuantLib::ext::shared_ptr< Portfolio > | classicRun (const QuantLib::ext::shared_ptr< Portfolio > &portfolio) |
| QuantLib::ext::shared_ptr< EngineFactory > | amcEngineFactory (const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &cam, const std::vector< Date > &grid) |
| void | buildAmcPortfolio () |
| void | amcRun (bool doClassicRun) |
| void | runPostProcessor () |
| Matrix | creditStateCorrelationMatrix () const |
Protected Attributes | |
| QuantLib::ext::shared_ptr< ScenarioSimMarket > | simMarket_ |
| QuantLib::ext::shared_ptr< ScenarioSimMarket > | simMarketCalibration_ |
| QuantLib::ext::shared_ptr< ScenarioSimMarket > | offsetSimMarket_ |
| QuantLib::ext::shared_ptr< EngineFactory > | engineFactory_ |
| QuantLib::ext::shared_ptr< CrossAssetModel > | model_ |
| QuantLib::ext::shared_ptr< ScenarioGenerator > | scenarioGenerator_ |
| QuantLib::ext::shared_ptr< Portfolio > | amcPortfolio_ |
| QuantLib::ext::shared_ptr< Portfolio > | classicPortfolio_ |
| QuantLib::ext::shared_ptr< NPVCube > | cube_ |
| QuantLib::ext::shared_ptr< NPVCube > | nettingSetCube_ |
| QuantLib::ext::shared_ptr< NPVCube > | cptyCube_ |
| QuantLib::ext::shared_ptr< NPVCube > | amcCube_ |
| QuantLib::RelinkableHandle< AggregationScenarioData > | scenarioData_ |
| QuantLib::ext::shared_ptr< CubeInterpretation > | cubeInterpreter_ |
| QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > | dimCalculator_ |
| QuantLib::ext::shared_ptr< PostProcess > | postProcess_ |
| QuantLib::ext::shared_ptr< Scenario > | offsetScenario_ |
| QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > | offsetSimMarketParams_ |
| Size | cubeDepth_ = 0 |
| QuantLib::ext::shared_ptr< DateGrid > | grid_ |
| Size | samples_ = 0 |
| bool | runSimulation_ = false |
| bool | runXva_ = false |
| Protected Attributes inherited from Analytic::Impl | |
| QuantLib::ext::shared_ptr< InputParameters > | inputs_ |
| std::string | label_ |
| label for logging purposes primarily | |
| std::map< std::string, QuantLib::ext::shared_ptr< Analytic > > | dependentAnalytics_ |
