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Reference manual - version orea_version
DynamicSimmCalculator Member List

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

build() overrideDynamicSimmCalculatorvirtual
cashFlow(const string &nettingSet) constDynamicInitialMarginCalculator
cube_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
cubeInterpretation_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
cubeIsRegular_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
currentIM() constDynamicInitialMarginCalculator
currentIM_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
datesLoopSize_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
dimCube() constDynamicInitialMarginCalculator
dimCube_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
dynamicIM(const string &nettingSet) constDynamicInitialMarginCalculator
DynamicInitialMarginCalculator(const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile=0.99, Size horizonCalendarDays=14, const std::map< std::string, Real > &currentIM=std::map< std::string, Real >(), Size dimCubeDepth=1)DynamicInitialMarginCalculator
DynamicSimmCalculator(const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &cube, const QuantLib::ext::shared_ptr< ore::analytics::CubeInterpretation > &cubeInterpretation, const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< SimmHelper > &simmHelper, QuantLib::Real quantile=0.99, QuantLib::Size horizonCalendarDays=14, const std::map< std::string, Real > &currentIM=std::map< std::string, Real >(), const Size &simmCubeDepth=4)DynamicSimmCalculator
expectedIM(const string &nettingSet) constDynamicInitialMarginCalculator
exportDimCube(ore::data::Report &dimCubeReport) constDynamicInitialMarginCalculatorvirtual
exportDimDistribution(ore::data::Report &dimDistributionReport, const Size gridSize=50, const Real coveredStdDevs=5.0) constDynamicInitialMarginCalculatorvirtual
exportDimEvolution(ore::data::Report &dimEvolutionReport) constDynamicInitialMarginCalculatorvirtual
getInitialMarginScaling() constDynamicInitialMarginCalculator
horizonCalendarDays_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
inputs_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetCloseOutNPV_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetDeltaNPV_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetDIM_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetExpectedDIM_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetFLOW_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetIds_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetNPV_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
nettingSetScaling_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
portfolio_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
quantile_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
scenarioData_ (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorprotected
unscaledCurrentDIM() const overrideDynamicSimmCalculatorvirtual
~DynamicInitialMarginCalculator() (defined in DynamicInitialMarginCalculator)DynamicInitialMarginCalculatorvirtual