PNLCalculator Class Reference

Inheritance diagram for PNLCalculator:

Public Types
using	TradePnLStore = std::vector<std::vector<QuantLib::Real>>
using	RiskFactorTradePnLStore = std::vector<std::map<std::string, std::vector<QuantLib::Real>>>

Public Member Functions
	PNLCalculator (ore::data::TimePeriod pnlPeriod, bool runRiskFactorLevel=false)
virtual void	writePNL (QuantLib::Size scenarioIdx, bool isCall, const RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, Real gammaPnl, const RiskFactorKey &key_2=RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="")
const bool	isInTimePeriod (QuantLib::Date startDate, QuantLib::Date endDate)
void	populatePNLs (const std::vector< QuantLib::Real > &allPnls, const std::vector< QuantLib::Real > &foPnls, const std::vector< QuantLib::Date > &startDates, const std::vector< QuantLib::Date > &endDates)
void	populateTradePNLs (const TradePnLStore &allPnls, const TradePnLStore &foPnls)
const std::vector< QuantLib::Real > &	pnls ()
const std::vector< QuantLib::Real > &	foPnls ()
const TradePnLStore &	tradePnls ()
const TradePnLStore &	foTradePnls ()
void	populateRiskFactorTradePNLs (const RiskFactorTradePnLStore &allPnls, const RiskFactorTradePnLStore &foPnls)
const RiskFactorTradePnLStore &	riskFactorTradePnls ()
const RiskFactorTradePnLStore &	riskFactorFoTradePnls ()
void	clear ()

Protected Attributes
std::vector< QuantLib::Real >	pnls_
std::vector< QuantLib::Real >	foPnls_
ore::data::TimePeriod	pnlPeriod_
TradePnLStore	tradePnls_
TradePnLStore	foTradePnls_
RiskFactorTradePnLStore	riskFactorTradePnls_
RiskFactorTradePnLStore	riskFactorFoTradePnls_