XvaRunner Class Reference

Public Member Functions
	XvaRunner (const QuantLib::ext::shared_ptr< InputParameters > &inputs, QuantLib::Date asof, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &netting, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ScenarioGeneratorData > &scenarioGeneratorData, const QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData > &crossAssetModelData, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), QuantLib::Real dimQuantile=0.99, QuantLib::Size dimHorizonCalendarDays=14, map< string, bool > analytics={}, string calculationType="Symmetric", string dvaName="", string fvaBorrowingCurve="", string fvaLendingCurve="", bool fullInitialCollateralisation=true, bool storeFlows=false)
void	runXva (const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())
const QuantLib::ext::shared_ptr< PostProcess > &	postProcess ()
void	buildCamModel (const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true)
void	bufferSimulationPaths ()
virtual void	buildSimMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market, const boost::optional< std::set< std::string >> &currencyFilter=boost::none, const bool continueOnErr=true)
void	buildCube (const boost::optional< std::set< std::string >> &tradeIds, bool continueOnErr=true)
QuantLib::ext::shared_ptr< NPVCube >	npvCube () const
QuantLib::ext::shared_ptr< NPVCube >	nettingCube () const
QuantLib::Handle< AggregationScenarioData >	aggregationScenarioData ()
void	generatePostProcessor (const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())
std::set< std::string >	getNettingSetIds (const QuantLib::ext::shared_ptr< Portfolio > &portfolio=nullptr) const

Protected Member Functions
virtual QuantLib::ext::shared_ptr< NPVCube >	getNettingSetCube (std::vector< QuantLib::ext::shared_ptr< ValuationCalculator >> &calculators, const QuantLib::ext::shared_ptr< Portfolio > &portfolio)
virtual QuantLib::ext::shared_ptr< NPVCube >	getNpvCube (const Date &asof, const std::set< std::string > &ids, const std::vector< Date > &dates, const Size samples, const Size depth) const
virtual QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator >	getDimCalculator (const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpreter, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &model=nullptr, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube=nullptr, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())
virtual QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	projectSsmData (const std::set< std::string > &currencyFilter) const
virtual QuantLib::ext::shared_ptr< ore::analytics::ScenarioGenerator >	getProjectedScenarioGenerator (const boost::optional< std::set< std::string >> &currencyFilter, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &projectedSsmData, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const bool continueOnErr) const

Protected Attributes
QuantLib::ext::shared_ptr< InputParameters >	inputs_
QuantLib::Date	asof_
std::string	baseCurrency_
QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_
QuantLib::ext::shared_ptr< ore::data::NettingSetManager >	netting_
QuantLib::ext::shared_ptr< ore::data::CollateralBalances >	collateralBalances_
QuantLib::ext::shared_ptr< ore::data::EngineData >	engineData_
QuantLib::ext::shared_ptr< ore::data::CurveConfigurations >	curveConfigs_
QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_
QuantLib::ext::shared_ptr< ScenarioSimMarketParameters >	simMarketData_
QuantLib::ext::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_
QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData >	crossAssetModelData_
QuantLib::ext::shared_ptr< ReferenceDataManager >	referenceData_
IborFallbackConfig	iborFallbackConfig_
QuantLib::Real	dimQuantile_
QuantLib::Size	dimHorizonCalendarDays_
map< string, bool >	analytics_
string	inputCalculationType_
string	dvaName_
string	fvaBorrowingCurve_
string	fvaLendingCurve_
bool	fullInitialCollateralisation_
bool	storeFlows_
QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel >	model_
QuantLib::ext::shared_ptr< ScenarioSimMarket >	simMarket_
QuantLib::ext::shared_ptr< EngineFactory >	simFactory_
QuantLib::RelinkableHandle< AggregationScenarioData >	scenarioData_
QuantLib::ext::shared_ptr< NPVCube >	cube_
QuantLib::ext::shared_ptr< NPVCube >	nettingCube_
QuantLib::ext::shared_ptr< CubeInterpretation >	cubeInterpreter_
std::string	calculationType_
QuantLib::ext::shared_ptr< PostProcess >	postProcess_
QuantLib::ext::shared_ptr< std::vector< std::vector< QuantLib::Path > > >	bufferedPaths_