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Reference manual - version orea_version
HistoricalPnlGenerator Member List

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

cube() constHistoricalPnlGenerator
generateCube(const QuantLib::ext::shared_ptr< ScenarioFilter > &filter)HistoricalPnlGenerator
HistoricalPnlGenerator(const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ScenarioSimMarket > &simMarket, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const QuantLib::ext::shared_ptr< NPVCube > &cube, const set< std::pair< string, QuantLib::ext::shared_ptr< QuantExt::ModelBuilder > > > &modelBuilders={}, bool dryRun=false)HistoricalPnlGenerator
HistoricalPnlGenerator(const string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const QuantLib::ext::shared_ptr< EngineData > &engineData, const Size nThreads, const Date &today, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const std::string &configuration, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), bool dryRun=false, const std::string &context="historical pnl generation")HistoricalPnlGenerator
pnl(const ore::data::TimePeriod &period, const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds) constHistoricalPnlGenerator
pnl(const ore::data::TimePeriod &period) constHistoricalPnlGenerator
pnl(const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds) constHistoricalPnlGenerator
pnl() constHistoricalPnlGenerator
timePeriod() constHistoricalPnlGenerator
tradeIdIndexPairs() constHistoricalPnlGenerator
tradeLevelPnl(const ore::data::TimePeriod &period, const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds) const (defined in HistoricalPnlGenerator)HistoricalPnlGenerator
tradeLevelPnl(const ore::data::TimePeriod &period) constHistoricalPnlGenerator
tradeLevelPnl(const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds) constHistoricalPnlGenerator
tradeLevelPnl() constHistoricalPnlGenerator
TradePnlStore typedefHistoricalPnlGenerator