XvaEngineCG Class Reference

Inheritance diagram for XvaEngineCG:

Public Types
enum class	Mode { Disabled , CubeGeneration , Full }

Public Member Functions
	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")
void	setOffsetScenario (const QuantLib::ext::shared_ptr< Scenario > &offsetScenario)
void	setAggregationScenarioData (const QuantLib::ext::shared_ptr< ore::analytics::AggregationScenarioData > &asd)
void	setNpvOutputCube (const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &npvOutputCube)
void	setDynamicIMOutputCube (const QuantLib::ext::shared_ptr< ore::analytics::NPVCube > &dynamicIMOutputCube)
void	run ()
QuantLib::ext::shared_ptr< InMemoryReport >	exposureReport () const
QuantLib::ext::shared_ptr< InMemoryReport >	sensiReport () const
QuantLib::ext::shared_ptr< InMemoryReport >	dynamicImRegressionReport () const