SimpleDynamicSimm Class Reference

Public Member Functions
	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)
QuantExt::RandomVariable	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)