SensitivityCalculator Class Reference

SensitivityCalculator. More...

#include <orea/engine/sensitivitycalculator.hpp>

Inheritance diagram for SensitivityCalculator:

Public Member Functions
	SensitivityCalculator (const QuantLib::ext::shared_ptr< SensitivityStorageManager > &sensitivityStorageManager)
void	calculate (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade, QuantLib::Size tradeIndex, const QuantLib::ext::shared_ptr< ore::analytics::SimMarket > &simMarket, QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &outputCube, QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, QuantLib::Size sample, bool isCloseOut=false) override
void	calculateT0 (const QuantLib::ext::shared_ptr< ore::data::Trade > &trade, QuantLib::Size tradeIndex, const QuantLib::ext::shared_ptr< ore::analytics::SimMarket > &simMarket, QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &outputCube, QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &outputCubeNettingSet) override
void	init (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::analytics::SimMarket > &simMarket) override
void	initScenario () override
Public Member Functions inherited from ValuationCalculator
virtual 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)=0
virtual 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)=0
virtual void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket)=0

Detailed Description

SensitivityCalculator.

Calculates the sensitivities. The values are stored in the outputCubeNettingSet using the given storage manager

Constructor & Destructor Documentation

SensitivityCalculator()

SensitivityCalculator ( const QuantLib::ext::shared_ptr< SensitivityStorageManager > & sensitivityStorageManager )

explicit

Constructor

Member Function Documentation

initScenario()

void initScenario ( )

overridevirtual

Implements ValuationCalculator.