XvaExplainAnalyticImpl Class Reference

#include <orea/app/analytics/xvaexplainanalytic.hpp>

Inheritance diagram for XvaExplainAnalyticImpl:

Public Member Functions
	XvaExplainAnalyticImpl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
std::vector< QuantLib::Date >	additionalMarketDates () const override
Public Member Functions inherited from Analytic::Impl
	Impl (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
void	initialise ()
const bool	initialised ()
virtual void	buildDependencies ()
virtual void	buildConfigurations ()
virtual QuantLib::ext::shared_ptr< ore::data::EngineFactory >	engineFactory ()
	build an engine factory
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)
bool	hasDependentAnalytic (const std::string &key)
template<class T>
QuantLib::ext::shared_ptr< T >	dependentAnalytic (const std::string &key) const
QuantLib::ext::shared_ptr< Analytic >	dependentAnalytic (const std::string &key) const
const std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > > &	dependentAnalytics () const
void	addDependentAnalytic (const std::string &key, const QuantLib::ext::shared_ptr< Analytic > &analytic, const bool incDependentReports=false)
std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const

Static Public Attributes
static constexpr const char *	LABEL = "XVA_EXPLAIN"

Additional Inherited Members
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_
std::string	label_
	label for logging purposes primarily
std::map< std::string, std::pair< QuantLib::ext::shared_ptr< Analytic >, bool > >	dependentAnalytics_
	map to dependent analytics, holds a bool if we want to report intermeditate reports

Detailed Description

Explain market implied XVA changes by full revalulation in par rate domain Time and portfolio effects are excluded by this explain

Member Function Documentation

runAnalytic()

void runAnalytic ( const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > & loader, const std::set< std::string > & runTypes = {} )

overridevirtual

Implements Analytic::Impl.

setUpConfigurations()

void setUpConfigurations ( )

overridevirtual

Reimplemented from Analytic::Impl.

additionalMarketDates()

std::vector< QuantLib::Date > additionalMarketDates ( ) const

overridevirtual

Reimplemented from Analytic::Impl.