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Reference manual - version orea_version
Class Index
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A
AbstractAnalyticBuilder (ore::analytics)
SaccrTradeData::AdjustedNotional (ore::analytics)
AggregationScenarioData (ore::analytics)
AMCValuationEngine (ore::analytics)
SimmCalibration::Amount (ore::analytics)
Analytic (ore::analytics)
AnalyticBuilder (ore::analytics)
AnalyticFactory (ore::analytics)
AnalyticsManager (ore::analytics)
AsianOptionSaccrImpl (ore::analytics)
B
MarketRiskBacktest::BacktestArgs (ore::analytics)
BacktestPNLCalculator (ore::analytics)
MarketRiskBacktest::BacktestReports (ore::analytics)
BaCvaAnalytic (ore::analytics)
BaCvaAnalyticImpl (ore::analytics)
BaCvaCalculator (ore::analytics)
SensitivityScenarioData::BaseCorrelationShiftData (ore::analytics)
BondRepoSaccrImpl (ore::analytics)
BondTRSSaccrImpl (ore::analytics)
BucketMapping (ore::analytics)
BucketTag (ore::analytics)
BufferedSensitivityStream (ore::analytics)
C
CalibrationAnalytic (ore::analytics)
CalibrationAnalyticImpl (ore::analytics)
MarketCalibrationReportBase::CalibrationFilters (ore::analytics)
CamSensitivityStorageManager (ore::analytics)
CapFloorSaccrImpl (ore::analytics)
SensitivityScenarioData::CapFloorVolShiftData (ore::analytics)
StressTestScenarioData::CapFloorVolShiftData (ore::analytics)
SensitivityScenarioData::CapFloorVolShiftParData (ore::analytics)
CashflowCalculator (ore::analytics)
CashflowReportCalculator (ore::analytics)
CashPositionSaccrImpl (ore::analytics)
SensitivityScenarioData::CdsVolShiftData (ore::analytics)
CleanUpLogSingleton (ore::analytics)
CleanUpThreadGlobalSingletons (ore::analytics)
CleanUpThreadLocalSingletons (ore::analytics)
ClonedLoader (ore::data)
ClonedScenarioGenerator (ore::analytics)
CloneScenarioFactory (ore::analytics)
CollateralAccount (ore::analytics)
saCcrDefaults::CollateralBalances (ore::analytics)
CollateralExposureHelper (ore::analytics)
CommodityDigitalOptionSaccrImpl (ore::analytics)
CommodityForwardSaccrImpl (ore::analytics)
CommodityPositionSaccrImpl (ore::analytics)
CommoditySpreadOptionSaccrImpl (ore::analytics)
CommoditySwaptionSaccrImpl (ore::analytics)
StressTestScenarioData::CommodityVolShiftData (ore::analytics)
CompositeScenarioFilter (ore::analytics)
MarketRiskGroupContainer::CompRisk (ore::analytics)
SimmCalibration::RiskClassData::ConcentrationThresholds (ore::analytics)
Analytic::Configurations (ore::analytics)
map::const_iterator
map::const_iterator (ore::analytics)
set::const_iterator (ore::analytics)
string::const_iterator (ore::analytics)
vector::const_iterator (ore::analytics)
string::const_iterator
vector::const_iterator
map::const_reverse_iterator
map::const_reverse_iterator (ore::analytics)
set::const_reverse_iterator (ore::analytics)
string::const_reverse_iterator (ore::analytics)
vector::const_reverse_iterator (ore::analytics)
string::const_reverse_iterator
vector::const_reverse_iterator
ConstantDepthCalculator (ore::analytics)
SaccrTradeData::Contribution (ore::analytics)
ParStressScenarioConverter::ConversionResults (ore::analytics)
CorrelationAnalytic (ore::analytics)
CorrelationAnalyticImpl (ore::analytics)
CorrelationReport (ore::analytics)
SimmCalibration::RiskClassData::Correlations (ore::analytics)
CounterpartyCalculator (ore::analytics)
saCcrDefaults::CounterpartyInformation (ore::analytics)
CovarianceCalculator (ore::analytics)
CreditMigrationCalculator (ore::analytics)
CreditMigrationHelper (ore::analytics)
SimmCalibration::RiskClassData::CreditQCorrelations (ore::analytics)
SimmCalibration::RiskClassData::CreditQRiskWeights (ore::analytics)
CreditSimulationParameters (ore::analytics)
Crif (ore::analytics)
CrifAnalytic (ore::analytics)
CrifAnalyticImpl (ore::analytics)
CrifConfiguration (ore::analytics)
CrifGenerator (ore::analytics)
CrifLoader (ore::analytics)
CrifMarket (ore::analytics)
CrifRecord (ore::analytics)
CrifRecordData (ore::analytics)
CrifRecordGenerator (ore::analytics)
crifRecordIsSimmParameter (ore::analytics)
CrossAssetModelScenarioGenerator (ore::analytics)
CsvBufferCrifLoader (ore::analytics)
CsvFileCrifLoader (ore::analytics)
CSVScenarioGenerator (ore::analytics)
CubeCsvReader (ore::analytics)
CubeInterpretation (ore::analytics)
CubeWriter (ore::analytics)
ScenarioSimMarketParameters::CurveAlgebraData::Curve (ore::analytics)
ScenarioSimMarketParameters::CurveAlgebraData (ore::analytics)
SensitivityScenarioData::CurveShiftData (ore::analytics)
StressTestScenarioData::CurveShiftData (ore::analytics)
SensitivityScenarioData::CurveShiftParData (ore::analytics)
CvaNettingSetTag (ore::analytics)
CvaRiskFactorKey (ore::analytics)
CvaRiskFactorTag (ore::analytics)
CvaRiskTypeTag (ore::analytics)
CvaScenario (ore::analytics)
CvaScenarioLoader (ore::analytics)
CvaSensitivityCubeStream (ore::analytics)
CvaSensitivityRecord (ore::analytics)
CvaShiftedScenario (ore::analytics)
CVASpreadSensitivityCalculator (ore::analytics)
D
MarketRiskBacktest::Data (ore::analytics)
SaccrTradeData::Dates (ore::analytics)
DecomposedSensitivityStream (ore::analytics)
DeltaScenario (ore::analytics)
DeltaScenarioFactory (ore::analytics)
DependencyMarket (ore::analytics)
DepthCalculator (ore::analytics)
DimHelper (ore::analytics)
DirectDynamicInitialMarginCalculator (ore::analytics)
DummyMarketDataLoader (ore::analytics)
DynamicCreditXvaCalculator (ore::analytics)
DynamicDeltaVaRCalculator (ore::analytics)
DynamicInitialMarginCalculator (ore::analytics)
DynamicSimmCalculator (ore::analytics)
E
enable_shared_from_this (QuantLib::ext)
EquityBarrierOptionSaccrImpl (ore::analytics)
EquityDigitalOptionSaccrImpl (ore::analytics)
EquityDoubleBarrierOptionSaccrImpl (ore::analytics)
EquityDoubleTouchOptionSaccrImpl (ore::analytics)
EquityForwardSaccrImpl (ore::analytics)
EquityOptionPositionSaccrImpl (ore::analytics)
EquityPositionSaccrImpl (ore::analytics)
EquityTouchOptionSaccrImpl (ore::analytics)
ValuationEngine::Errors (ore::analytics)
ExerciseCalculator (ore::analytics)
ExposureAllocator (ore::analytics)
ExposureCalculator (ore::analytics)
F
SensitivityCube::FactorData (ore::analytics)
SimmBucketMapper::FailedMapping (ore::analytics)
FilteredSensitivityStream (ore::analytics)
FixingManager (ore::analytics)
FlatDynamicInitialMarginCalculator (ore::analytics)
FRASaccrImpl (ore::analytics)
MarketRiskReport::FullRevalArgs (ore::analytics)
SaccrTradeData::FxAmounts (ore::analytics)
SimmCalibration::RiskClassData::FXCorrelations (ore::analytics)
SimmCalibration::RiskClassData::FXRiskWeights (ore::analytics)
FxSaccrImpl (ore::analytics)
StressTestScenarioData::FXVolShiftData (ore::analytics)
G
SensitivityScenarioData::GenericYieldVolShiftData (ore::analytics)
H
SaccrTradeData::HedgingData (ore::analytics)
HistoricalPnlGenerator (ore::analytics)
HistoricalScenarioGenerator::HistoricalScenarioCalculationDetails (ore::analytics)
HistoricalScenarioGenerator (ore::analytics)
HistoricalScenarioGeneratorRandom (ore::analytics)
HistoricalScenarioGeneratorTransform (ore::analytics)
HistoricalScenarioGeneratorWithFilteredDates (ore::analytics)
HistoricalScenarioLoader (ore::analytics)
HistoricalSensiPnlCalculator (ore::analytics)
HistoricalSimulationVarAnalytic (ore::analytics)
HistoricalSimulationVarAnalyticImpl (ore::analytics)
HistoricalSimulationVarCalculator (ore::analytics)
HistoricalSimulationVarReport (ore::analytics)
I
Analytic::Impl (ore::analytics)
SaccrTradeData::Impl (ore::analytics)
IMScheduleAnalytic (ore::analytics)
IMScheduleAnalyticImpl (ore::analytics)
IMScheduleCalculator (ore::analytics)
IMScheduleResult (ore::analytics)
IMScheduleResults (ore::analytics)
IMScheduleCalculator::IMScheduleTradeData (ore::analytics)
IndexComparator (ore::analytics::detail)
InMemoryAggregationScenarioData (ore::analytics)
InMemoryCubeOpt (ore::analytics)
InputParameters (ore::analytics)
ParSensitivityInstrumentBuilder::Instruments (ore::analytics)
SimmCalibration::RiskClassData::IRCorrelations (ore::analytics)
SimmCalibration::RiskClassData::IRFXConcentrationThresholds (ore::analytics)
SimmCalibration::RiskClassData::IRRiskWeights (ore::analytics)
map::iterator
map::iterator (ore::analytics)
set::iterator (ore::analytics)
string::iterator (ore::analytics)
vector::iterator (ore::analytics)
string::iterator
vector::iterator
J
JaggedCube (ore::analytics)
JointNPVCube (ore::analytics)
JointNPVSensiCube (ore::analytics)
K
VolatilityDataCrif::Key (ore::analytics)
L
LgmScenarioGenerator (ore::analytics)
M
map
map (ore::analytics)
CollateralAccount::MarginCall (ore::analytics)
Market (ore::analytics)
Market (ore::data)
MarketCalibrationReport (ore::analytics)
MarketCalibrationReportBase (ore::analytics)
MarketDataAnalytic (ore::analytics)
MarketDataAnalyticImpl (ore::analytics)
MarketDataBinaryLoader (ore::analytics)
MarketDataCsvLoader (ore::analytics)
MarketDataCsvLoaderImpl (ore::analytics)
MarketDataInMemoryLoader (ore::analytics)
MarketDataInMemoryLoaderImpl (ore::analytics)
MarketDataLoader (ore::analytics)
MarketDataLoaderImpl (ore::analytics)
MarketImpl (ore::data)
MarketRiskBacktest (ore::analytics)
MarketRiskConfiguration (ore::analytics)
MarketRiskGroup (ore::analytics)
MarketRiskGroupBase (ore::analytics)
MarketRiskGroupBaseContainer (ore::analytics)
MarketRiskGroupContainer (ore::analytics)
MarketRiskReport (ore::analytics)
MPORCalculator (ore::analytics)
MultiStateNPVCalculator (ore::analytics)
MarketRiskReport::MultiThreadArgs (ore::analytics)
MultiThreadedValuationEngine (ore::analytics)
N
NettedExposureCalculator (ore::analytics)
saCcrDefaults::NettingSetDefinitions (ore::analytics)
NoneExposureAllocator (ore::analytics)
NPVCalculator (ore::analytics)
NPVCalculatorFXT0 (ore::analytics)
NPVCube (ore::analytics)
NPVCubeWithMetaData (ore::analytics)
NpvRecord (ore::analytics)
NPVSensiCube (ore::analytics)
O
ObservationMode (ore::analytics)
ObservationMode (ore::test)
OREApp (ore::analytics)
OREAppInputParameters (ore::analytics)
OreaTopLevelFixture (ore::test)
ostringstream
OutputParameters (ore::analytics)
P
pair (ore::analytics)
pair
Parameters (ore::analytics)
ParametricVarAnalytic (ore::analytics)
ParametricVarAnalyticImpl (ore::analytics)
ParametricVarCalculator (ore::analytics)
ParametricVarCalculator::ParametricVarParams (ore::analytics)
ParametricVarReport (ore::analytics)
ParConversionAnalytic (ore::analytics)
ParConversionAnalyticImpl (ore::analytics)
ParStressScenarioConverter::ParRateScenarioData (ore::analytics)
ParScenarioAnalytic (ore::analytics)
ParScenarioAnalyticImpl (ore::analytics)
ParSensiResults (ore::analytics)
ParSensitivityAnalysis (ore::analytics)
ParSensitivityAnalysisManualTest (testsuite)
ParSensitivityAnalysisTest (testsuite)
ParSensitivityConverter (ore::analytics)
ParSensitivityCubeStream (ore::analytics)
ParSensitivityInstrumentBuilder (ore::analytics)
ParStressConversionAnalytic (ore::analytics)
ParStressConversionAnalyticImpl (ore::analytics)
ParStressScenarioConverter (ore::analytics)
ParStressTestConverter (ore::analytics)
PathData (ore::analytics)
PnlAnalytic (ore::analytics)
PnlAnalyticImpl (ore::analytics)
PNLCalculator (ore::analytics)
PnlExplainAnalytic (ore::analytics)
PnlExplainAnalyticImpl (ore::analytics)
PnlExplainReport (ore::analytics)
PnlExplainReport::PnlExplainResults (ore::analytics)
PortfolioAnalyser (ore::analytics)
PortfolioDetailsAnalytic (ore::analytics)
PortfolioDetailsAnalyticImpl (ore::analytics)
PostProcess (ore::analytics)
PricingAnalytic (ore::analytics)
PricingAnalyticImpl (ore::analytics)
ProgressReporter (ore::data)
Q
QualifierBucketTag (ore::analytics)
QualifierTag (ore::analytics)
R
RegressionDynamicInitialMarginCalculator (ore::analytics)
RelativeFairValueGrossExposureAllocator (ore::analytics)
RelativeFairValueNetExposureAllocator (ore::analytics)
RelativeXvaExposureAllocator (ore::analytics)
MarketRiskReport::Reports (ore::analytics)
ReportWriter (ore::analytics)
ReturnConfiguration::Return (ore::analytics)
ReturnConfiguration (ore::analytics)
map::reverse_iterator
map::reverse_iterator (ore::analytics)
set::reverse_iterator (ore::analytics)
string::reverse_iterator (ore::analytics)
vector::reverse_iterator (ore::analytics)
string::reverse_iterator
vector::reverse_iterator
SimmCalibration::RiskClassData (ore::analytics)
RiskFactorScenarioFilter (ore::analytics)
RiskFactorTypeScenarioFilter (ore::analytics)
RiskFilter (ore::analytics)
RiskTypeTag (ore::analytics)
SimmCalibration::RiskClassData::RiskWeights (ore::analytics)
S
SaCcrAmounts (ore::analytics)
SaCcrAnalytic (ore::analytics)
SaCcrAnalyticImpl (ore::analytics)
SaccrCalculator (ore::analytics)
SaccrCrifGenerator (ore::analytics)
saCcrDefaults (ore::analytics)
SaccrTest (testsuite)
SaccrTradeData (ore::analytics)
SaCvaAnalytic (ore::analytics)
SaCvaAnalyticImpl (ore::analytics)
SaCvaSensitivityLoader (ore::analytics)
SaCvaSensitivityRecord (ore::analytics)
SaCvaSummaryKey (ore::analytics)
SaCvaTest (testsuite)
Scenario
ScenarioAnalytic (ore::analytics)
ScenarioAnalyticImpl (ore::analytics)
ScenarioBufferReader (ore::analytics)
ScenarioCSVReader (ore::analytics)
ShiftScenarioGenerator::ScenarioDescription (ore::analytics)
ScenarioFactory (ore::analytics)
ScenarioFileReader (ore::analytics)
ScenarioFilter (ore::analytics)
ScenarioGenerationAnalytic (ore::analytics)
ScenarioGenerationAnalyticImpl (ore::analytics)
ScenarioGenerator (ore::analytics)
ScenarioGeneratorBuilder (ore::analytics)
ScenarioGeneratorData (ore::analytics)
ScenarioGeneratorTransform (ore::analytics)
ScenarioLoader (ore::analytics)
ScenarioLoaderPathGenerator (ore::analytics)
ScenarioPathGenerator (ore::analytics)
ScenarioReader (ore::analytics)
ScenarioShiftCalculator (ore::analytics)
ScenarioSimMarket (ore::analytics)
ScenarioSimMarketParameters (ore::analytics)
ScenarioWriter (ore::analytics)
ScriptedTradeSaccrImpl (ore::analytics)
SensiCube (ore::analytics)
MarketRiskReport::SensiRunArgs (ore::analytics)
SensitivityAggregator (ore::analytics)
SensitivityAnalysis (ore::analytics)
SensitivityBufferStream (ore::analytics)
SensitivityCalculator (ore::analytics)
SensitivityCube (ore::analytics)
SensitivityCubeStream (ore::analytics)
SensitivityFileStream (ore::analytics)
SensitivityInMemoryStream (ore::analytics)
SensitivityInputStream (ore::analytics)
SensitivityPerformancePlusTest (testsuite)
SensitivityRecord (ore::analytics)
SensitivityReportStream (ore::analytics)
SensitivityScenarioData (ore::analytics)
SensitivityScenarioGenerator (ore::analytics)
SensitivityStorageManager (ore::analytics)
SensitivityStream (ore::analytics)
SensitivityStressAnalytic (ore::analytics)
SensitivityStressAnalyticImpl (ore::analytics)
set (ore::analytics)
SimpleScenario::SharedData (ore::analytics)
SensitivityScenarioData::ShiftData (ore::analytics)
ShiftScenarioGenerator (ore::analytics)
ShiftScenarioLoaderGenerator (ore::analytics)
SimmAnalytic (ore::analytics)
SimmAnalyticImpl (ore::analytics)
SimMarket (ore::analytics)
SimmBasicNameMapper (ore::analytics)
SimmBucketMapper (ore::analytics)
SimmBucketMapperBase (ore::analytics)
SimmCalculator (ore::analytics)
SimmCalibration (ore::analytics)
SimmCalibrationData (ore::analytics)
SimmConcentration (ore::analytics)
SimmConcentration_ISDA_V1_3 (ore::analytics)
SimmConcentration_ISDA_V1_3_38 (ore::analytics)
SimmConcentration_ISDA_V2_0 (ore::analytics)
SimmConcentration_ISDA_V2_1 (ore::analytics)
SimmConcentration_ISDA_V2_2 (ore::analytics)
SimmConcentration_ISDA_V2_3 (ore::analytics)
SimmConcentration_ISDA_V2_3_8 (ore::analytics)
SimmConcentration_ISDA_V2_5 (ore::analytics)
SimmConcentration_ISDA_V2_5A (ore::analytics)
SimmConcentration_ISDA_V2_6 (ore::analytics)
SimmConcentration_ISDA_V2_6_5 (ore::analytics)
SimmConcentration_ISDA_V2_7_2412 (ore::analytics)
SimmConcentration_ISDA_V2_8_2506 (ore::analytics)
SimmConcentrationBase (ore::analytics)
SimmConcentrationCalibration (ore::analytics)
SimmConfiguration (ore::analytics)
SimmConfiguration_ISDA_V1_0 (ore::analytics)
SimmConfiguration_ISDA_V1_3 (ore::analytics)
SimmConfiguration_ISDA_V1_3_38 (ore::analytics)
SimmConfiguration_ISDA_V2_0 (ore::analytics)
SimmConfiguration_ISDA_V2_1 (ore::analytics)
SimmConfiguration_ISDA_V2_2 (ore::analytics)
SimmConfiguration_ISDA_V2_3 (ore::analytics)
SimmConfiguration_ISDA_V2_3_8 (ore::analytics)
SimmConfiguration_ISDA_V2_5 (ore::analytics)
SimmConfiguration_ISDA_V2_5A (ore::analytics)
SimmConfiguration_ISDA_V2_6 (ore::analytics)
SimmConfiguration_ISDA_V2_6_5 (ore::analytics)
SimmConfiguration_ISDA_V2_7_2412 (ore::analytics)
SimmConfiguration_ISDA_V2_8_2506 (ore::analytics)
SimmConfigurationBase (ore::analytics)
SimmConfigurationCalibration (ore::analytics)
SimmHelper (ore::analytics)
SimmNameMapper (ore::analytics)
SimmRecordGenerator (ore::analytics)
SimmResults (ore::analytics)
SimmSensitivityStorageManager (ore::analytics)
SimmTradeData (ore::analytics)
SimpleDynamicSimm (ore::analytics)
SimpleScenario (ore::analytics)
SimpleScenarioFactory (ore::analytics)
SimpleScenarioLoader (ore::analytics)
SlimCrifRecord (ore::analytics)
SMRC (ore::analytics)
SmrcAnalytic (ore::analytics)
SmrcAnalyticImpl (ore::analytics)
SparseNpvCube (ore::analytics)
StressTestScenarioData::SpotShiftData (ore::analytics)
StandardApproachCvaCalculator (ore::analytics)
StaticCreditXvaCalculator (ore::analytics)
StaticScenarioGenerator (ore::analytics)
StressScenarioGenerator (ore::analytics)
StressTestAnalytic (ore::analytics)
StressTestAnalyticImpl (ore::analytics)
StressTestScenarioData::StressTestData (ore::analytics)
StressTestScenarioData (ore::analytics)
string (ore::analytics)
string
StringStreamCrifLoader (ore::analytics)
StructuredAnalyticsErrorMessage (ore::analytics)
StructuredAnalyticsWarningMessage (ore::analytics)
StructuredFixingWarningMessage (ore::analytics)
StructuredMessage (ore::data)
MarketRiskBacktest::SummaryResults (ore::analytics)
SurvivalProbabilityCalculator (ore::analytics)
SwapSaccrImpl (ore::analytics)
SwaptionSaccrImpl (ore::analytics)
StressTestScenarioData::SwaptionVolShiftData (ore::analytics)
T
TestConfigurationObjects (testsuite)
TestMarket (testsuite)
TestMarketParCurves (testsuite)
NettedExposureCalculator::TimeAveragedExposure (ore::analytics)
TopLevelFixture
TotalReturnSwapSaccrImpl (ore::analytics)
SimmTradeData::TradeAttributes (ore::analytics)
TradeBlock (ore::analytics)
SMRC::TradeData (ore::analytics)
TradeGroup (ore::analytics)
TradeGroupBase (ore::analytics)
TradeGroupBaseContainer (ore::analytics)
TradeGroupContainer (ore::analytics)
U
SaccrTradeData::UnderlyingData (ore::analytics)
V
ValuationCalculator (ore::analytics)
ValuationEngine (ore::analytics)
ValueAdjustmentCalculator (ore::analytics)
VanillaOptionSaccrImpl (ore::analytics)
VarAnalytic (ore::analytics)
VarAnalyticImpl (ore::analytics)
MarketRiskBacktest::VarBenchmark (ore::analytics)
VarCalculator (ore::analytics)
VarianceSwapSaccrImpl (ore::analytics)
VarReport (ore::analytics)
vector (ore::analytics)
vector
VolatilityDataCrif (ore::analytics)
SensitivityScenarioData::VolShiftData (ore::analytics)
StressTestScenarioData::VolShiftData (ore::analytics)
X
XMLSerializable (ore::analytics)
XMLSerializable (ore::data)
XMLSerializable
XvaAnalytic (ore::analytics)
XvaAnalyticImpl (ore::analytics)
XvaEngineCG (ore::analytics)
XvaExplainAnalytic (ore::analytics)
XvaExplainAnalyticImpl (ore::analytics)
XvaExplainResults (ore::analytics)
XvaExplainResults::XvaReportKey (ore::analytics)
XvaResults (ore::analytics)
XvaSensitivityAnalytic (ore::analytics)
XvaSensitivityAnalyticImpl (ore::analytics)
XvaStressAnalytic (ore::analytics)
XvaStressAnalyticImpl (ore::analytics)
Z
ZeroSensiResults (ore::analytics)
ZeroSensitivityLoader::ZeroSensitivity (ore::analytics)
ZeroSensitivityLoader (ore::analytics)
ZeroToParCube (ore::analytics)
ZeroToParScenarioGenerator (ore::analytics)
ZeroToParShiftAnalytic (ore::analytics)
ZeroToParShiftAnalyticImpl (ore::analytics)
ZeroToParShiftConverter (ore::analytics)