| ▼Nore | |
| ►Nanalytics | |
| ►Ndetail | |
| CIndexComparator | |
| ►CCollateralAccount | Collateral Account |
| CMarginCall | Margin Call |
| CCollateralExposureHelper | Collateral Exposure Helper |
| CCreditMigrationCalculator | Credit Migration Calculator |
| CCreditMigrationHelper | |
| CCreditSimulationParameters | Credit simulation description |
| CCVASpreadSensitivityCalculator | CVA Spread Sensitivity Calculator |
| CDynamicInitialMarginCalculator | Dynamic Initial Margin Calculator base class |
| CFlatDynamicInitialMarginCalculator | Dynamic Initial Margin Calculator using flat extrapolation of t0 IM |
| CRegressionDynamicInitialMarginCalculator | Dynamic Initial Margin Calculator using polynomial regression |
| CDynamicCreditXvaCalculator | XVA Calculator base with dynamic credit |
| CExposureAllocator | Exposure allocator base class |
| CRelativeFairValueNetExposureAllocator | |
| CRelativeFairValueGrossExposureAllocator | |
| CRelativeXvaExposureAllocator | |
| CNoneExposureAllocator | |
| CExposureCalculator | XVA Calculator base class |
| CNettedExposureCalculator | XVA Calculator base class |
| CPostProcess | Exposure Aggregation and XVA Calculation |
| CStaticCreditXvaCalculator | XVA Calculator base with static credit |
| CValueAdjustmentCalculator | XVA Calculator base class |
| ►CAnalytic | |
| CConfigurations | |
| CImpl | |
| CMarketDataAnalyticImpl | |
| CMarketDataAnalytic | |
| CAbstractAnalyticBuilder | TradeBuilder base class |
| CAnalyticBuilder | Template AnalyticBuilder class |
| CAnalyticFactory | AnalyticFactory |
| CIMScheduleAnalyticImpl | |
| CIMScheduleAnalytic | |
| CParConversionAnalyticImpl | |
| CParConversionAnalytic | |
| CParStressConversionAnalyticImpl | |
| CParStressConversionAnalytic | |
| CPnlAnalyticImpl | |
| CPnlAnalytic | |
| CPnlExplainAnalyticImpl | |
| CPnlExplainAnalytic | |
| CPricingAnalyticImpl | |
| CPricingAnalytic | |
| CScenarioAnalyticImpl | |
| CScenarioAnalytic | |
| CScenarioStatisticsAnalyticImpl | |
| CScenarioStatisticsAnalytic | |
| CSimmAnalyticImpl | |
| CSimmAnalytic | |
| CStressTestAnalyticImpl | |
| CStressTestAnalytic | |
| CVarAnalyticImpl | |
| CVarAnalytic | |
| CParametricVarAnalyticImpl | |
| CParametricVarAnalytic | |
| CHistoricalSimulationVarAnalyticImpl | |
| CHistoricalSimulationVarAnalytic | |
| CXvaAnalyticImpl | |
| CXvaAnalytic | |
| CXvaSensitivityAnalyticImpl | |
| CXvaSensitivityAnalytic | |
| CXvaStressAnalyticImpl | |
| CXvaStressAnalytic | |
| CZeroToParShiftAnalyticImpl | |
| CZeroToParShiftAnalytic | |
| CAnalyticsManager | |
| CCleanUpThreadLocalSingletons | |
| CCleanUpThreadGlobalSingletons | |
| CCleanUpLogSingleton | |
| CInputParameters | Base class for input data, also exposed via SWIG |
| COutputParameters | Traditional ORE input via ore.xml and various files, output into files |
| ►CMarketCalibrationReportBase | |
| CCalibrationFilters | |
| CMarketCalibrationReport | |
| CMarketDataCsvLoaderImpl | |
| CMarketDataCsvLoader | |
| CMarketDataInMemoryLoaderImpl | |
| CMarketDataInMemoryLoader | |
| CStructuredFixingWarningMessage | Utility class for Structured Fixing warnings |
| CMarketDataLoaderImpl | |
| CMarketDataLoader | |
| COREApp | Orchestrates the processes covered by ORE, data loading, analytics and reporting |
| COREAppInputParameters | |
| CParameters | Provides the input data and references to input files used in OREApp |
| CReportWriter | Write ORE outputs to reports |
| CSensitivityRunner | |
| CStructuredAnalyticsErrorMessage | |
| CStructuredAnalyticsWarningMessage | |
| CXvaRunner | |
| ►CZeroSensitivityLoader | |
| CZeroSensitivity | |
| CNPVCubeWithMetaData | |
| CCubeCsvReader | Read an NPV cube from a human readable text file |
| CCubeInterpretation | Allow for interpretation of how data is stored within cube and AggregationScenarioData |
| CCubeWriter | Write an NPV cube to a human readable text file |
| CInMemoryCubeBase | InMemoryCube stores the cube in memory using nested STL vectors |
| CInMemoryCube1 | InMemoryCube of fixed depth 1 |
| CInMemoryCubeN | InMemoryCube of variable depth |
| CTradeBlock | |
| CDepthCalculator | |
| CConstantDepthCalculator | |
| CJaggedCube | JaggedCube stores the cube in memory using a vector of trade specific blocks |
| CJointNPVCube | |
| CJointNPVSensiCube | |
| CNPVCube | NPV Cube class stores both future and current NPV values |
| CNPVSensiCube | NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date |
| CSensiCube | SensiCube stores only npvs not equal to the base npvs |
| ►CSensitivityCube | SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements |
| CFactorData | |
| CSparseNpvCube | |
| CAMCValuationEngine | AMC Valuation Engine |
| CBufferedSensitivityStream | |
| CCounterpartyCalculator | CounterpartyCalculator interface |
| CSurvivalProbabilityCalculator | SurvivalProbabilityCalculator |
| CDecomposedSensitivityStream | Class that wraps a sensitivity stream and decompose default, equity and commodity risk records given weights |
| CFilteredSensitivityStream | Class that wraps a sensitivity stream and filters out negligible records |
| CHistoricalPnlGenerator | |
| CPNLCalculator | |
| CCovarianceCalculator | |
| CHistoricalSensiPnlCalculator | |
| CHistoricalSimulationVarCalculator | |
| CHistoricalSimulationVarReport | HistoricalSimulation VaR Calculator |
| ►CMarketRiskBacktest | |
| CBacktestArgs | |
| CBacktestReports | |
| CData | Used to pass information |
| CSummaryResults | Used to store results for writing rows in the summary report |
| CVarBenchmark | |
| CBacktestPNLCalculator | |
| CMarketRiskGroupBase | |
| CMarketRiskGroupBaseContainer | |
| CTradeGroupBase | |
| CTradeGroupBaseContainer | |
| CMarketRiskGroup | |
| ►CMarketRiskGroupContainer | |
| CCompRisk | Used to order pairs [Risk class, Risk Type] |
| CTradeGroup | |
| CTradeGroupContainer | |
| ►CMarketRiskReport | |
| CFullRevalArgs | |
| CMultiThreadArgs | |
| CReports | |
| CSensiRunArgs | |
| CMPORCalculator | MPORCalculator |
| CMultiStateNPVCalculator | MultiStateNPVCalculator |
| CMultiThreadedValuationEngine | |
| CNpvRecord | |
| CObservationMode | The Global Observation setting |
| ►CParametricVarCalculator | |
| CParametricVarParams | A container for holding the parametric VAR parameters |
| CParametricVarReport | Parametric VaR Calculator |
| CParSensitivityAnalysis | Par Sensitivity Analysis |
| CParSensitivityConverter | ParSensitivityConverter class |
| CParSensitivityCubeStream | |
| ►CParSensitivityInstrumentBuilder | |
| CInstruments | |
| CParStressTestConverter | |
| CParStressScenarioConverter | Convert all par shifts in a single stress test scenario to zero shifts |
| ►CPnlExplainReport | |
| CPnlExplainResults | |
| CMarketRiskConfiguration | |
| CRiskFilter | Risk Filter |
| CSensitivityAggregator | |
| CSensitivityAnalysis | Sensitivity Analysis |
| CSensitivityCubeStream | |
| CSensitivityInputStream | Class for streaming SensitivityRecords from csv file |
| CSensitivityFileStream | |
| CSensitivityBufferStream | |
| CSensitivityInMemoryStream | Class for streaming SensitivityRecords from csv file |
| CSensitivityRecord | |
| CSensitivityReportStream | Class for streaming SensitivityRecords from csv file |
| CSensitivityStream | Base Class for streaming SensitivityRecords |
| CStressTest | Stress Test Analysis |
| CValuationCalculator | ValuationCalculator interface |
| CNPVCalculator | NPVCalculator |
| CCashflowCalculator | CashflowCalculator |
| CNPVCalculatorFXT0 | NPVCalculatorFXT0 |
| CValuationEngine | Valuation Engine |
| CVarCalculator | VaR Calculator |
| CVarReport | |
| CXvaEngineCG | |
| CZeroToParCube | ZeroToParCube class |
| CZeroToParShiftConverter | |
| CAggregationScenarioData | Container for storing simulated market data |
| CInMemoryAggregationScenarioData | A concrete in memory implementation of AggregationScenarioData |
| CClonedScenarioGenerator | |
| CCloneScenarioFactory | Factory class for cloning scenario objects |
| CCrossAssetModelScenarioGenerator | Scenario Generator using cross asset model paths |
| CCSVScenarioGenerator | Class for generating scenarios from a csv file assumed to be in a format compatible with ScenarioWriter |
| CDeltaScenario | Delta Scenario class |
| CDeltaScenarioFactory | Factory class for cloning scenario objects |
| CHistoricalScenarioFileReader | Class for reading historical scenarios from a csv file |
| CReturnConfiguration | Return type for historical scenario generation (absolute, relative, log) |
| ►CHistoricalScenarioGenerator | Historical Scenario Generator |
| CHistoricalScenarioCalculationDetails | |
| CHistoricalScenarioGeneratorRandom | Historical scenario generator generating random scenarios, for testing purposes |
| CHistoricalScenarioGeneratorTransform | Historical scenario generator transform |
| CHistoricalScenarioGeneratorWithFilteredDates | |
| CHistoricalScenarioLoader | Class for loading historical scenarios |
| CHistoricalScenarioReader | Base Class for reading historical scenarios |
| CLgmScenarioGenerator | Scenario Generator using LGM model paths |
| CRiskFactorKey | Data types stored in the scenario class |
| CScenario | Scenario Base Class |
| CScenarioFactory | Scenario factory base class |
| CRiskFactorTypeScenarioFilter | Filter that will only allow specified RiskFactorKey::KeyTypes |
| CRiskFactorScenarioFilter | Filter that will only allow specified keys |
| CCompositeScenarioFilter | Filter for combining the above |
| CScenarioGenerator | Scenario generator base class |
| CScenarioPathGenerator | Scenario generator that generates an entire path |
| CStaticScenarioGenerator | |
| CScenarioGeneratorBuilder | Build a ScenarioGenerator |
| CScenarioGeneratorData | Scenario Generator description |
| CScenarioGeneratorTransform | |
| CScenarioShiftCalculator | |
| CScenarioFilter | A scenario filter can exclude certain key from updating the scenario |
| CScenarioSimMarket | Simulation Market updated with discrete scenarios |
| CScenarioSimMarketParameters | ScenarioSimMarket description |
| CScenarioWriter | Class for writing scenarios to file |
| ►CSensitivityScenarioData | Description of sensitivity shift scenarios |
| CBaseCorrelationShiftData | |
| CCapFloorVolShiftData | |
| CCapFloorVolShiftParData | |
| CCdsVolShiftData | |
| CCurveShiftData | |
| CCurveShiftParData | |
| CGenericYieldVolShiftData | |
| CShiftData | |
| CVolShiftData | |
| CSensitivityScenarioGenerator | Sensitivity Scenario Generator |
| ►CShiftScenarioGenerator | Shift Scenario Generator |
| CScenarioDescription | |
| ►CSimpleScenario | |
| CSharedData | |
| CSimpleScenarioFactory | Factory class for building simple scenario objects |
| ►CStressTestScenarioData | Description of sensitivity shift scenarios |
| CCapFloorVolShiftData | |
| CCurveShiftData | |
| CSpotShiftData | |
| CStressTestData | |
| CSwaptionVolShiftData | |
| CVolShiftData | |
| CStressScenarioGenerator | Stress Scenario Generator |
| CcrifRecordIsSimmParameter | |
| CCrif | |
| CCrifConfiguration | |
| CCrifLoader | |
| CStringStreamCrifLoader | |
| CCsvFileCrifLoader | |
| CCsvBufferCrifLoader | |
| CCrifRecord | |
| ►CIMScheduleCalculator | |
| CIMScheduleTradeData | |
| CIMScheduleResult | |
| CIMScheduleResults | |
| CSimmBasicNameMapper | |
| ►CSimmBucketMapper | |
| CFailedMapping | |
| CBucketMapping | |
| CSimmBucketMapperBase | |
| CSimmCalculator | A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios |
| ►CSimmCalibration | |
| CAmount | |
| ►CRiskClassData | |
| CConcentrationThresholds | |
| CCorrelations | |
| CCreditQCorrelations | |
| CCreditQRiskWeights | |
| CFXCorrelations | |
| CFXRiskWeights | |
| CIRCorrelations | |
| CIRFXConcentrationThresholds | |
| CIRRiskWeights | |
| CRiskWeights | |
| CSimmCalibrationData | |
| CSimmConcentration | |
| CSimmConcentrationBase | |
| CSimmConcentrationCalibration | Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration |
| CSimmConcentration_ISDA_V1_3 | |
| CSimmConcentration_ISDA_V1_3_38 | Class giving the SIMM concentration thresholds for v1.3.38 |
| CSimmConcentration_ISDA_V2_0 | |
| CSimmConcentration_ISDA_V2_1 | |
| CSimmConcentration_ISDA_V2_2 | |
| CSimmConcentration_ISDA_V2_3 | |
| CSimmConcentration_ISDA_V2_3_8 | |
| CSimmConcentration_ISDA_V2_5 | |
| CSimmConcentration_ISDA_V2_5A | |
| CSimmConcentration_ISDA_V2_6 | |
| CSimmConfiguration | Abstract base class defining the interface for a SIMM configuration |
| CSimmConfigurationBase | |
| CSimmConfigurationCalibration | |
| CSimmConfiguration_ISDA_V1_0 | |
| CSimmConfiguration_ISDA_V1_3 | |
| CSimmConfiguration_ISDA_V1_3_38 | Class giving the SIMM configuration for v1.3.38 |
| CSimmConfiguration_ISDA_V2_0 | |
| CSimmConfiguration_ISDA_V2_1 | |
| CSimmConfiguration_ISDA_V2_2 | |
| CSimmConfiguration_ISDA_V2_3 | |
| CSimmConfiguration_ISDA_V2_3_8 | |
| CSimmConfiguration_ISDA_V2_5 | |
| CSimmConfiguration_ISDA_V2_5A | |
| CSimmConfiguration_ISDA_V2_6 | |
| CSimmNameMapper | |
| CSimmResults | |
| CFixingManager | Pseudo Fixings Manager |
| CSimMarket | Simulation Market |
| Ndata | |
| ►Ntest | |
| COreaTopLevelFixture | OREAnalytics Top level fixture |
| ▼Nstd | STL namespace |
| Chash< ore::analytics::RiskFactorKey > | |
| ▼Ntestsuite | |
| CParSensitivityAnalysisTest | Sensitivity analysis tests |
| CParSensitivityAnalysisManualTest | Par sensitivity analysis comparison against manual bump |
| CSensitivityPerformancePlusTest | Sensitivity Performance tests |
| CTestMarket | Simple flat market setup to be used in the test suite |
| CTestMarketParCurves | |
| CTestConfigurationObjects | Static class to allow for easy construction of configuration objects for use within tests |
