Logo
Reference manual - version orea_version
aggregation Directory Reference

Files

 
collateralaccount.hpp
 Collateral Account Balance (stored in base currency).
 
collatexposurehelper.hpp
 Collateral Exposure Helper Functions (stored in base currency).
 
creditmigrationcalculator.hpp
 Exposure calculator.
 
creditmigrationhelper.hpp
 Credit migration helper class.
 
creditsimulationparameters.hpp
 Credit simulation parameter class.
 
dimcalculator.hpp
 Dynamic Initial Margin calculator base class.
 
dimdirectcalculator.hpp
 Dynamic Initial Margin calculator reading dim directly from cube.
 
dimregressioncalculator.hpp
 Dynamic Initial Margin calculator by regression.
 
dynamiccreditxvacalculator.hpp
 XVA calculator with dynamic credit.
 
dynamicdeltavarcalculator.hpp
 Dynamic delta/gamma VaR for dynamic IM.
 
exposureallocator.hpp
 Exposure allocator.
 
exposurecalculator.hpp
 Exposure calculator.
 
nettedexposurecalculator.hpp
 Exposure calculator.
 
postprocess.hpp
 Exposure aggregation and XVA calculation.
 
simmhelper.hpp
 Dynamic initial margin helper returning Simple SIMM.
 
staticcreditxvacalculator.hpp
 XVA calculator with static credit.
 
xvacalculator.hpp
 CVA calculator base class.