VarCalculator Class Reference

VaR Calculator. More...

#include <orea/engine/varcalculator.hpp>

Inheritance diagram for VarCalculator:

Public Member Functions
virtual QuantLib::Real	var (QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds={}) const =0

Detailed Description

VaR Calculator.