xvaenginecg.hpp File Reference

xva engine using cg infrastructure More...

#include <orea/cube/sensicube.hpp>
#include <orea/scenario/scenariogeneratordata.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <orea/scenario/sensitivityscenariogenerator.hpp>
#include <ored/configuration/curveconfigurations.hpp>
#include <ored/marketdata/loader.hpp>
#include <ored/model/crossassetmodelbuilder.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/report/inmemoryreport.hpp>
#include <ored/scripting/engines/amccgpricingengine.hpp>
#include <ored/scripting/models/gaussiancamcg.hpp>
#include <ored/utilities/progressbar.hpp>
#include <ored/marketdata/todaysmarket.hpp>
#include <qle/ad/computationgraph.hpp>
#include <qle/ad/external_randomvariable_ops.hpp>
#include <qle/math/computeenvironment.hpp>
#include <qle/methods/cclgmfxoptionvegaparconverter.hpp>
#include <qle/methods/irdeltaparconverter.hpp>
#include <qle/methods/lgmswaptionvegaparconverter.hpp>
#include <ql/types.hpp>

Classes
class	XvaEngineCG

Namespaces
namespace	ore
namespace	ore::analytics

Functions
XvaEngineCG::Mode	parseXvaEngineCgMode (const std::string &s)
std::ostream &	operator<< (std::ostream &os, XvaEngineCG::Mode m)

Detailed Description

xva engine using cg infrastructure