Reference manual - version orea_version
Files | |
| crif.hpp | |
| Struct for holding CRIF records. | |
| crifconfiguration.hpp | |
| CRIF configuration interface. | |
| crifgenerator.hpp | |
| Class that generates a CRIF report. | |
| crifloader.hpp | |
| Class for loading CRIF records. | |
| crifrecord.hpp | |
| Struct for holding a CRIF record. | |
| crifrecordgenerator.hpp | |
| Class that generates a CRIF records from sensitivity records. | |
| imschedulecalculator.hpp | |
| Class for calculating SIMM. | |
| imscheduleresults.hpp | |
| Class for holding IMSchedule results. | |
| portfoliomodifier.hpp | |
| Modify a portfolio before a SIMM calculation. | |
| simmbasicnamemapper.hpp | |
| Basic SIMM class for mapping names to SIMM qualifiers. | |
| simmbucketmapper.hpp | |
| Abstract base class for classes that map SIMM qualifiers to buckets. | |
| simmbucketmapperbase.hpp | |
| Base SIMM class for mapping qualifiers to buckets. | |
| simmcalculator.hpp | |
| Class for calculating SIMM. | |
| simmcalibration.hpp | |
| SIMM class for defining SIMM risk weights, thresholds, buckets, and labels. Currently only supports the latest ISDA SIMM versions (apart from changes in the aforementioned four things). | |
| simmconcentration.hpp | |
| Abstract base class for retrieving SIMM concentration thresholds. | |
| simmconcentrationcalibration.hpp | |
| SIMM concentration thresholds built from SIMM calibration. | |
| simmconcentrationisdav1_3.hpp | |
| SIMM concentration thresholds for SIMM version R1.3 (3.29). | |
| simmconcentrationisdav1_3_38.hpp | |
| SIMM concentration thresholds for SIMM version 1.3.38. | |
| simmconcentrationisdav2_0.hpp | |
| SIMM concentration thresholds for SIMM version 2.0 (1.3.44). | |
| simmconcentrationisdav2_1.hpp | |
| SIMM concentration thresholds for SIMM version 2.0 (1.3.44). | |
| simmconcentrationisdav2_2.hpp | |
| SIMM concentration thresholds for SIMM version 2.2. | |
| simmconcentrationisdav2_3.hpp | |
| SIMM concentration thresholds for SIMM version 2.3. | |
| simmconcentrationisdav2_3_8.hpp | |
| SIMM concentration thresholds for SIMM version 2.3.8. | |
| simmconcentrationisdav2_5.hpp | |
| SIMM concentration thresholds for SIMM version 2.5. | |
| simmconcentrationisdav2_5a.hpp | |
| SIMM concentration thresholds for SIMM version 2.5A. | |
| simmconcentrationisdav2_6.hpp | |
| SIMM concentration thresholds for SIMM version 2.6. | |
| simmconcentrationisdav2_6_5.hpp | |
| SIMM concentration thresholds for SIMM version 2.6.5. | |
| simmconcentrationisdav2_7_2412.hpp | |
| SIMM concentration thresholds for SIMM version 2.7+2412. | |
| simmconcentrationisdav2_8_2506.hpp | |
| SIMM concentration thresholds for SIMM version 2.8+2506. | |
| simmconfiguration.hpp | |
| SIMM configuration interface. | |
| simmconfigurationbase.hpp | |
| Base SIMM configuration class. | |
| simmconfigurationcalibration.hpp | |
| SIMM configuration built for SIMM calibration. | |
| simmconfigurationisdav1_0.hpp | |
| SIMM configuration for SIMM version R1.0 (v3.15). | |
| simmconfigurationisdav1_3.hpp | |
| SIMM configuration for SIMM version R1.3 (3.29). | |
| simmconfigurationisdav1_3_38.hpp | |
| SIMM configuration for SIMM version 1.3.38. | |
| simmconfigurationisdav2_0.hpp | |
| SIMM configuration for SIMM version 2.0 (1.3.44). | |
| simmconfigurationisdav2_1.hpp | |
| SIMM configuration for SIMM version 2.1 (2.0.6). | |
| simmconfigurationisdav2_2.hpp | |
| SIMM configuration for SIMM version 2.2. | |
| simmconfigurationisdav2_3.hpp | |
| SIMM configuration for SIMM version 2.3. | |
| simmconfigurationisdav2_3_8.hpp | |
| SIMM configuration for SIMM version 2.3.8. | |
| simmconfigurationisdav2_5.hpp | |
| SIMM configuration for SIMM version 2.5. | |
| simmconfigurationisdav2_5a.hpp | |
| SIMM configuration for SIMM version 2.5A. | |
| simmconfigurationisdav2_6.hpp | |
| SIMM configuration for SIMM version 2.6. | |
| simmconfigurationisdav2_6_5.hpp | |
| SIMM configuration for SIMM version 2.6.5. | |
| simmconfigurationisdav2_7_2412.hpp | |
| SIMM configuration for SIMM version 2.7+2412. | |
| simmconfigurationisdav2_8_2506.hpp | |
| SIMM configuration for SIMM version 2.8+2506. | |
| simmnamemapper.hpp | |
| Abstract base class for classes that map names to SIMM qualifiers. | |
| simmresults.hpp | |
| Class for holding SIMM results. | |
| simmtradedata.hpp | |
| Class for holding a subset of trade data relevant for ISDA SIMM and CRIF generation. | |
| utilities.hpp | |
| supporting utilities | |