Reference manual - version orea_version
| orea | |
| aggregation | |
| 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 |
| app | |
| analytics | |
| calibrationanalytic.hpp | Calibrate the cross asset model and export resulting model parameters |
| correlationanalytic.hpp | Generate correlations from a set of historical scenarios |
| crifanalytic.hpp | ORE CRIF Analytic |
| imscheduleanalytic.hpp | ORE IM Schedule Analytic |
| parstressconversionanalytic.hpp | ORE Par-Stresstest-Conversion Analytic |
| pnlanalytic.hpp | ORE NPV Lagged Analytic |
| saccranalytic.hpp | ORE SACCR Analytic |
| sacvaanalytic.hpp | Analytic for "Standard Approach CVA Capital" (SA-CCA) calculation SA-CVA |
| scenarioanalytic.hpp | ORE ParScenario Analytic |
| sensitivitystressanalytic.hpp | Sensitivity stress analytic |
| simmanalytic.hpp | ORE SIMM Analytic |
| smrcanalytic.hpp | ORE SMRC Analytic |
| stresstestanalytic.hpp | ORE Stresstest Analytic |
| xvaanalytic.hpp | Xva explain analytic |
| xvasensitivityanalytic.hpp | Xva sensitivity analytic |
| xvastressanalytic.hpp | Xva stress analytic |
| zerotoparshiftanalytic.hpp | ORE ZeroToPar Shift Analytic |
| analytic.hpp | ORE Analytics Manager |
| analyticsmanager.hpp | ORE Analytics Manager |
| dummymarketdataloader.hpp | Dummy Market Data Loader |
| initbuilders.hpp | Add builders to factories |
| inputparameters.hpp | Input Parameters |
| marketcalibrationreport.hpp | ORE Analytics Manager |
| marketdatabinaryloader.hpp | Market Data Loader |
| marketdatacsvloader.hpp | Market Data Loader |
| marketdatainmemoryloader.hpp | Market Data Loader |
| marketdataloader.hpp | Market Data Loader |
| oreapp.hpp | Open Risk Engine App |
| parameters.hpp | Open Risk Engine setup and analytics choice |
| portfolioanalyser.hpp | Class for examining a portfolio and returning information about its risk factors |
| reportwriter.hpp | A Class to write ORE outputs to reports |
| structuredanalyticserror.hpp | Structured analytics error |
| structuredanalyticswarning.hpp | Class for structured analytics warnings |
| zerosensitivityloader.hpp | Class for structured analytics warnings |
| cube | |
| cube_io.hpp | Load / save cubes and agg scen data from / to disk |
| cubecsvreader.hpp | A Class to read a cube file from csv input |
| cubeinterpretation.hpp | Class describing the layout of an npv cube and aggregation scenario data |
| cubewriter.hpp | A Class to write a cube out to file |
| inmemorycube.hpp | A cube implementation that stores the cube in memory |
| inmemorycubeopt.hpp | Cube storing data in memory with some space optimization |
| jaggedcube.hpp | A cube implementation that stores the cube in memory |
| jointnpvcube.hpp | Join n cubes in terms of stored ids |
| jointnpvsensicube.hpp | Join n sensi cubes in terms of stored ids |
| npvcube.hpp | The base NPV cube class |
| npvsensicube.hpp | An NPV cube for storing NPVs resulting from risk factor shifts |
| sensicube.hpp | A cube implementation that stores the cube in memory |
| sensitivitycube.hpp | Holds a grid of NPVs for a list of trades under various scenarios |
| sparsenpvcube.hpp | In memory cube, storing only non-zero entries for (id, date, depth) |
| engine | |
| amcvaluationengine.hpp | Valuation engine for amc |
| bufferedsensitivitystream.hpp | 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 | 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 |
| scenario | |
| aggregationscenariodata.hpp | This class holds data associated to scenarios |
| clonescenariofactory.hpp | Factory class for cloning a cached scenario |
| crossassetmodelscenariogenerator.hpp | Scenario generation using cross asset model paths |
| deltascenario.hpp | Delta scenario class |
| deltascenariofactory.hpp | Factory class for cloning a cached scenario |
| historicalscenariogenerator.hpp | Scenario generator that builds from historical shifts |
| historicalscenarioreturn.hpp | Scenario returns from historical shifts |
| lgmscenariogenerator.hpp | Scenario generation using LGM paths |
| scenario.hpp | Scenario class |
| scenariofactory.hpp | Factory classes for scenarios |
| scenariofilereader.hpp | Class for reading historical scenarios from file |
| scenariofilter.hpp | Scenario Filter classes |
| scenariogenerator.hpp | Scenario generator base classes |
| scenariogeneratorbuilder.hpp | Build a scenariogenerator |
| scenariogeneratordata.hpp | Scenario generator configuration |
| scenariogeneratortransform.hpp | Transformer class used for transform discount factors in the scenario into zero rates |
| scenarioreader.hpp | Scenario reader |
| scenarioshiftcalculator.hpp | Class for calculating the shift multiple between two scenarios for a given key |
| scenariosimmarket.hpp | A Market class that can be updated by Scenarios |
| scenariosimmarketparameters.hpp | A class to hold Scenario parameters for scenarioSimMarket |
| scenarioutilities.hpp | Scenario utility functions |
| scenariowriter.hpp | ScenarioWriter class |
| sensitivityscenariodata.hpp | A class to hold the parametrisation for building sensitivity scenarios |
| sensitivityscenariogenerator.hpp | Sensitivity scenario generation |
| shiftscenariogenerator.hpp | Shift scenario generation |
| simplescenario.hpp | Simple scenario class |
| simplescenariofactory.hpp | Factory classes for simple scenarios |
| stressscenariodata.hpp | A class to hold the parametrisation for building sensitivity scenarios |
| stressscenariogenerator.hpp | Stress scenario generation |
| zerotoparscenariogenerator.hpp | Scenario generator that builds from historical shifts |
| simm | |
| 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 |
| simulation | |
| fixingmanager.hpp | Controls the updating/reset of the QuantLib::IndexManager |
| simmarket.hpp | A Market class that can be Simulated |
| version.hpp | ORE version as defined in QuantExt |
| test | |
| oreatoplevelfixture.hpp | Fixture that can be used at top level of OREAnalytics test suites |
| parsensitivityanalysis.hpp | Par Sensitivity analysis tests |
| parsensitivityanalysismanual.hpp | More par Sensitivity analysis tests |
| saccr.hpp | SA-CCR tests |
| sacva.hpp | SA-CVA tests |
| sensitivityperformanceplus.hpp | Extended sensitivity preformance test |