dynamicdeltavarcalculator.hpp File Reference

Dynamic delta/gamma VaR for dynamic IM. More...

#include <orea/aggregation/dimcalculator.hpp>
#include <orea/aggregation/dimhelper.hpp>

Classes
class	DynamicDeltaVaRCalculator
	Dynamic Delta/Gamma VaR for Initial Margin. More...

Namespaces
namespace	ore
namespace	ore::analytics

Detailed Description

Dynamic delta/gamma VaR for dynamic IM.