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Reference manual - version orea_version
SimpleDynamicSimm Member List

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

SimpleDynamicSimm(const std::size_t n, const std::vector< std::string > &currencies, const std::vector< QuantLib::Period > &irDeltaTerms, const std::vector< QuantLib::Period > &irVegaTerms, const std::vector< QuantLib::Period > &fxVegaTerms, const QuantLib::ext::shared_ptr< SimmConfiguration > &simmConfiguration) (defined in SimpleDynamicSimm)SimpleDynamicSimm
value(const std::vector< std::vector< QuantExt::RandomVariable > > &irDelta, const std::vector< std::vector< QuantExt::RandomVariable > > &irVega, const std::vector< QuantExt::RandomVariable > &fxDelta, const std::vector< std::vector< QuantExt::RandomVariable > > &fxVega, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > deltaMarginIR=nullptr, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > vegaMarginIR=nullptr, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > curvatureMarginIR=nullptr, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > deltaMarginFX=nullptr, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > vegaMarginFX=nullptr, QuantLib::ext::shared_ptr< QuantExt::RandomVariable > curvatureMarginFX=nullptr) (defined in SimpleDynamicSimm)SimpleDynamicSimm