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ore::data::TimePeriod | backtestPeriod_ |
| | Time period over which to perform the backtest.
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ore::data::TimePeriod | benchmarkPeriod_ |
| | Time period over which to calculate the benchmark VAR.
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QuantLib::Real | confidence_ |
| | Confidence level in the SIMM backtest.
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QuantLib::Real | exceptionThreshold_ |
| | Amount by which absolute P&L value must exceed 0 for exception counting.
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bool | tradeDetailIncludeAllColumns_ = false |
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std::set< std::string > | callTradeIds_ = {} |
| | Call side trade IDs to be considered in the backtest. Other trades' PnLs will be removed from the total PnL.
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std::set< std::string > | postTradeIds_ = {} |
| | Post side trade IDs to be considered in the backtest. Other trades' PnLs will be removed from the total PnL.
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std::vector< QuantLib::Real > | ragLevels_ = {0.95, 0.9999} |
| | Confidence levels that feed in to defining the stop light bounds.
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