Logo
Reference manual - version orea_version
BaCvaCalculator Member List

This is the complete list of members for BaCvaCalculator, including all inherited members.

BaCvaCalculator(const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &nettingSetManager, const QuantLib::ext::shared_ptr< ore::data::CounterpartyManager > &counterpartyManager, const QuantLib::ext::shared_ptr< ore::data::Market > &market, const std::string &calculationCcy, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &calculatedCollateralBalances, const QuantLib::ext::shared_ptr< SimmBasicNameMapper > &nameMapper, const QuantLib::ext::shared_ptr< SimmBucketMapper > &bucketMapper, const QuantLib::ext::shared_ptr< ReferenceDataManager > &refDataManager=nullptr, QuantLib::Real rho=0.5, QuantLib::Real alpha=1.4, QuantLib::Real discount=0.65) (defined in BaCvaCalculator)BaCvaCalculator
BaCvaCalculator(const QuantLib::ext::shared_ptr< SaccrCalculator > &saccrCalculator, const QuantLib::ext::shared_ptr< SaccrTradeData > &saccrTradeData, const std::string &calculationCcy, QuantLib::Real rho=0.5, QuantLib::Real alpha=1.4) (defined in BaCvaCalculator)BaCvaCalculator
calculate() (defined in BaCvaCalculator)BaCvaCalculator
calculateEffectiveMaturity() (defined in BaCvaCalculator)BaCvaCalculatorprotected
calculationCurrency() constBaCvaCalculator
counterpartyNettingSets() (defined in BaCvaCalculator)BaCvaCalculator
counterpartySCVA(std::string counterparty) (defined in BaCvaCalculator)BaCvaCalculator
cvaResult() constBaCvaCalculator
discountFactor(std::string nettingSet) (defined in BaCvaCalculator)BaCvaCalculator
EAD(std::string nettingSet) (defined in BaCvaCalculator)BaCvaCalculator
effectiveMaturity(std::string nettingSet) (defined in BaCvaCalculator)BaCvaCalculator
riskWeight(std::string counterparty) (defined in BaCvaCalculator)BaCvaCalculator
timer() const (defined in BaCvaCalculator)BaCvaCalculator