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. | |