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Reference manual - version orea_version
XvaEngineCG Member List

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

dynamicImRegressionReport() const (defined in XvaEngineCG)XvaEngineCG
exposureReport() const (defined in XvaEngineCG)XvaEngineCG
Mode enum name (defined in XvaEngineCG)XvaEngineCG
run() (defined in XvaEngineCG)XvaEngineCG
sensiReport() const (defined in XvaEngineCG)XvaEngineCG
setAggregationScenarioData(const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &asd) (defined in XvaEngineCG)XvaEngineCG
setDynamicIMOutputCube(const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &dynamicIMOutputCube) (defined in XvaEngineCG)XvaEngineCG
setNpvOutputCube(const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &npvOutputCube) (defined in XvaEngineCG)XvaEngineCG
setOffsetScenario(const QuantLib::ext::shared_ptr< Scenario > &offsetScenario) (defined in XvaEngineCG)XvaEngineCG
XvaEngineCG(const Mode mode, const Size nThreads, const Date &asof, const QuantLib::ext::shared_ptr< ore::data::Loader > &loader, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::analytics::CrossAssetModelData > &crossAssetModelData, const QuantLib::ext::shared_ptr< ore::analytics::ScenarioGeneratorData > &scenarioGeneratorData, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const string &marketConfiguration=Market::defaultConfiguration, const string &marketConfigurationInCcy=Market::inCcyConfiguration, const QuantLib::ext::shared_ptr< ore::analytics::SensitivityScenarioData > &sensitivityData=nullptr, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const QuantLib::ext::shared_ptr< IborFallbackConfig > &iborFallbackConfig=QuantLib::ext::make_shared< IborFallbackConfig >(IborFallbackConfig::defaultConfig()), const bool bumpCvaSensis=false, const bool enableDynamicIM=false, const Size dynamicIMStepSize=1, const Size regressionOrder=4, const double regressionVarianceCutoff=Null< Real >(), const Size regressionOrderDynamicIm=4, const double regressionVarianceCutoffDynamicIm=Null< Real >(), const bool tradeLevelBreakDown=true, const std::vector< Size > &regressionReportTimeStepsDynamicIM={}, const bool useRedBlocks=true, const bool useExternalComputeDevice=false, const bool externalDeviceCompatibilityMode=false, const bool useDoublePrecisionForExternalCalculation=false, const std::string &externalComputeDevice=std::string(), const bool usePythonIntegration=false, const bool usePythonIntegrationDynamicIm=false, const bool continueOnCalibrationError=true, const bool allowModelFallbacks=true, const bool continueOnError=true, const std::string &context="xva engine cg") (defined in XvaEngineCG)XvaEngineCG
~XvaEngineCG() (defined in XvaEngineCG)XvaEngineCG