engine Directory Reference

Files
	amcvaluationengine.hpp
	valuation engine for amc
	bufferedsensitivitystream.hpp
	a wrapper to buffer sensi stream records
	cvasensitivityrecord.hpp
	Struct for holding a sensitivity record.
	decomposedsensitivitystream.hpp
	Class that wraps a sensitivity stream and decomposes equity/commodity and default risk records.
	dependencymarket.hpp
	Class for recording information about requested curves.
	filteredsensitivitystream.hpp
	Class that wraps a sensitivity stream and filters out negligible records.
	historicalpnlgenerator.hpp
	Class for generating portfolio P&Ls based on historical scenarios.
	historicalsensipnlcalculator.hpp
	Class for generating sensi pnl.
	historicalsimulationvar.hpp
	Perform historical simulation var calculation for a given portfolio.
	marketriskbacktest.hpp
	bace class for all market risk backtests
	marketriskreport.hpp
	Base class for a market risk report.
	mporcalculator.hpp
	The cube valuation calculator interface.
	multistatenpvcalculator.hpp
	a calculator that computes npvs for a vector of credit states
	multithreadedvaluationengine.hpp
	multi-threaded valuation engine
	npvrecord.hpp
	Struct for holding an NPV record.
	observationmode.hpp
	Singleton class to hold global Observation Mode.
	parametricvar.hpp
	Perform parametric var calculation for a given portfolio.
	parsensitivityanalysis.hpp
	Perfrom sensitivity analysis for a given portfolio.
	parsensitivitycubestream.hpp
	Class for streaming SensitivityRecords from a par sensitivity cube.
	parstressconverter.hpp
	Convert all par shifts in a stress test to a zero shifts.
	parstressscenarioconverter.hpp
	Convert all par shifts in a single stress test scenario to a zero shifts.
	pathdata.hpp
	path data
	riskfilter.hpp
	risk class and type filter
	sacvasensitivityloader.hpp
	Class for loading CvaSensitivity records.
	sensitivityaggregator.hpp
	Class for aggregating SensitivityRecords.
	sensitivityanalysis.hpp
	Perform sensitivity analysis for a given portfolio.
	sensitivitycalculator.hpp
	sensitivity calculator
	sensitivitycubestream.hpp
	Class for streaming CvaSensitivityRecords.
	sensitivityfilestream.hpp
	Class for streaming SensitivityRecords from file.
	sensitivityinmemorystream.hpp
	Class for streaming SensitivityRecords from in-memory container.
	sensitivityrecord.hpp
	Struct for holding a sensitivity record.
	sensitivityreportstream.hpp
	Class for streaming SensitivityRecords from a report.
	sensitivitystoragemanager.hpp
	class helping to manage the storage of sensitivties in a cube
	sensitivitystream.hpp
	Base class for sensitivity record streamer.
	simmsensitivitystoragemanager.hpp
	class helping to manage the storage of sensitivties for SIMM in a cube
	smrc.hpp
	class for SMRC trade data
	standardapproachcvacalculator.hpp
	Class for the Standardized Approach CVA calculation.
	stresstest.hpp
	perform a stress testing analysis for a given portfolio.
	valuationcalculator.hpp
	The counterparty cube calculator interface.
	valuationengine.hpp
	The cube valuation core.
	varbacktest.hpp
	implementation of var backtest
	varcalculator.hpp
	Base class for a var calculation.
	xvaenginecg.hpp
	xva engine using cg infrastructure
	zerotoparcube.hpp
	Class for converting zero sensitivities to par sensitivities.
	zerotoparshift.hpp
	applies a zero scenario and return the par instrument shifts