nettedexposurecalculator.hpp File Reference

Exposure calculator. More...

#include <orea/aggregation/dimcalculator.hpp>
#include <orea/aggregation/exposurecalculator.hpp>
#include <orea/aggregation/collatexposurehelper.hpp>
#include <ored/portfolio/nettingsetmanager.hpp>

Classes
class	NettedExposureCalculator
	XVA Calculator base class. More...
struct	NettedExposureCalculator::TimeAveragedExposure
	nettingSetId -> { +- 1/T int_0^T max(+- V(t), 0) dt } before and after collateral More...

Namespaces
namespace	ore
namespace	ore::analytics

Detailed Description

Exposure calculator.