simmhelper.hpp File Reference

Dynamic initial margin helper returning Simple SIMM. More...

#include <orea/cube/npvcube.hpp>
#include <orea/engine/simmsensitivitystoragemanager.hpp>
#include <orea/engine/simpledynamicsimm.hpp>
#include <orea/scenario/aggregationscenariodata.hpp>
#include <ored/portfolio/trade.hpp>
#include <ored/utilities/log.hpp>
#include <ored/marketdata/market.hpp>
#include <qle/methods/irdeltaparconverter.hpp>
#include <ql/math/matrix.hpp>

Classes
class	SimmHelper
	Helper for cam model implied SImple SIMM calculation. More...

Namespaces
namespace	ore
namespace	ore::analytics

Detailed Description

Dynamic initial margin helper returning Simple SIMM.