CashflowReportCalculator Class Reference

CashflowReportCalculator. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for CashflowReportCalculator:

Public Member Functions
	CashflowReportCalculator (const std::string &baseCcyCode, const bool includePastCashflows, std::vector< std::vector< std::vector< TradeCashflowReportData > > > &cfCube)
void	calculate (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
void	calculateT0 (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet) override
void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket) override
void	initScenario () override

Detailed Description

CashflowReportCalculator.

Calculates cashflow report data under stress or sensitivity scenarios.

Member Function Documentation

calculate()

void calculate ( const QuantLib::ext::shared_ptr< Trade > & trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > & simMarket, QuantLib::ext::shared_ptr< NPVCube > & outputCube, QuantLib::ext::shared_ptr< NPVCube > & outputCubeNettingSet, const Date & date, Size dateIndex, Size sample, bool isCloseOut = false )

overridevirtual

Implements ValuationCalculator.

calculateT0()

void calculateT0 ( const QuantLib::ext::shared_ptr< Trade > & trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > & simMarket, QuantLib::ext::shared_ptr< NPVCube > & outputCube, QuantLib::ext::shared_ptr< NPVCube > & outputCubeNettingSet )

overridevirtual

Implements ValuationCalculator.

init()

void init ( const QuantLib::ext::shared_ptr< Portfolio > & portfolio, const QuantLib::ext::shared_ptr< SimMarket > & simMarket )

overridevirtual

Implements ValuationCalculator.

initScenario()

void initScenario ( )

overridevirtual

Implements ValuationCalculator.