Reference manual - version orea_version
Public Member Functions | |
| SensiRunArgs (const QuantLib::ext::shared_ptr< SensitivityStream > &ss, const QuantLib::ext::shared_ptr< ScenarioShiftCalculator > &sc, QuantLib::Real pnlThres=0.01, std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > ci={}) | |
Public Attributes | |
| QuantLib::ext::shared_ptr< SensitivityStream > | sensitivityStream_ |
| Stream of sensitivity records used for the sensitivity based backtest. | |
| QuantLib::ext::shared_ptr< ScenarioShiftCalculator > | shiftCalculator_ |
| Calculates the shift multiple in moving from one scenario to another. | |
| QuantLib::Real | pnlWriteThreshold_ |
| Amount by which absolute P&L value must exceed 0 to be written to P&L contribution report. | |
| std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > | covarianceInput_ |
| Optional input of covariance matrix. | |