Class List

Here are the classes, structs, unions and interfaces with brief descriptions:

[detail level 12345]

▼Nore
►Nanalytics
►Ndetail
CIndexComparator
CAbstractAnalyticBuilder	TradeBuilder base class
CAggregationScenarioData	Container for storing simulated market data
CAMCValuationEngine	AMC Valuation Engine
►CAnalytic
CConfigurations
CImpl
CAnalyticBuilder	Template AnalyticBuilder class
CAnalyticFactory	AnalyticFactory
CAnalyticsManager
CBacktestPNLCalculator
CBucketMapping
CBufferedSensitivityStream
CCashflowCalculator	CashflowCalculator
CCleanUpLogSingleton
CCleanUpThreadGlobalSingletons
CCleanUpThreadLocalSingletons
CClonedScenarioGenerator
CCloneScenarioFactory	Factory class for cloning scenario objects
►CCollateralAccount	Collateral Account
CMarginCall	Margin Call
CCollateralExposureHelper	Collateral Exposure Helper
CCompositeScenarioFilter	Filter for combining the above
CConstantDepthCalculator
CCounterpartyCalculator	CounterpartyCalculator interface
CCovarianceCalculator
CCreditMigrationCalculator	Credit Migration Calculator
CCreditMigrationHelper
CCreditSimulationParameters	Credit simulation description
CCrif
CCrifConfiguration
CCrifLoader
CCrifRecord
CcrifRecordIsSimmParameter
CCrossAssetModelScenarioGenerator	Scenario Generator using cross asset model paths
CCsvBufferCrifLoader
CCsvFileCrifLoader
CCSVScenarioGenerator	Class for generating scenarios from a csv file assumed to be in a format compatible with ScenarioWriter
CCubeCsvReader	Read an NPV cube from a human readable text file
CCubeInterpretation	Allow for interpretation of how data is stored within cube and AggregationScenarioData
CCubeWriter	Write an NPV cube to a human readable text file
CCVASpreadSensitivityCalculator	CVA Spread Sensitivity Calculator
►CDecomposedSensitivityStream	Class that wraps a sensitivity stream and decompose default, equity and commodity risk records given weights
CIndexDecompositionResult
CDeltaScenario	Delta Scenario class
CDeltaScenarioFactory	Factory class for cloning scenario objects
CDepthCalculator
CDynamicCreditXvaCalculator	XVA Calculator base with dynamic credit
CDynamicInitialMarginCalculator	Dynamic Initial Margin Calculator base class
CExposureAllocator	Exposure allocator base class
CExposureCalculator	XVA Calculator base class
CFilteredSensitivityStream	Class that wraps a sensitivity stream and filters out negligible records
CFixingManager	Pseudo Fixings Manager
CFlatDynamicInitialMarginCalculator	Dynamic Initial Margin Calculator using flat extrapolation of t0 IM
CHistoricalPnlGenerator
CHistoricalScenarioFileReader	Class for reading historical scenarios from a csv file
►CHistoricalScenarioGenerator	Historical Scenario Generator
CHistoricalScenarioCalculationDetails
CHistoricalScenarioGeneratorRandom	Historical scenario generator generating random scenarios, for testing purposes
CHistoricalScenarioGeneratorTransform	Historical scenario generator transform
CHistoricalScenarioGeneratorWithFilteredDates
CHistoricalScenarioLoader	Class for loading historical scenarios
CHistoricalScenarioReader	Base Class for reading historical scenarios
CHistoricalSensiPnlCalculator
CHistoricalSimulationVarAnalytic
CHistoricalSimulationVarAnalyticImpl
CHistoricalSimulationVarCalculator
CHistoricalSimulationVarReport	HistoricalSimulation VaR Calculator
CIMScheduleAnalytic
CIMScheduleAnalyticImpl
►CIMScheduleCalculator
CIMScheduleTradeData
CIMScheduleResult
CIMScheduleResults
CInMemoryAggregationScenarioData	A concrete in memory implementation of AggregationScenarioData
CInMemoryCube1	InMemoryCube of fixed depth 1
CInMemoryCubeBase	InMemoryCube stores the cube in memory using nested STL vectors
CInMemoryCubeN	InMemoryCube of variable depth
CInputParameters	Base class for input data, also exposed via SWIG
CJaggedCube	JaggedCube stores the cube in memory using a vector of trade specific blocks
CJointNPVCube
CJointNPVSensiCube
CLgmScenarioGenerator	Scenario Generator using LGM model paths
CMarketCalibrationReport
►CMarketCalibrationReportBase
CCalibrationFilters
CMarketDataAnalytic
CMarketDataAnalyticImpl
CMarketDataCsvLoader
CMarketDataCsvLoaderImpl
CMarketDataInMemoryLoader
CMarketDataInMemoryLoaderImpl
CMarketDataLoader
CMarketDataLoaderImpl
►CMarketRiskBacktest
CBacktestArgs
CBacktestReports
CData	Used to pass information
CSummaryResults	Used to store results for writing rows in the summary report
CVarBenchmark
CMarketRiskConfiguration
CMarketRiskGroup
CMarketRiskGroupBase
CMarketRiskGroupBaseContainer
►CMarketRiskGroupContainer
CCompRisk	Used to order pairs [Risk class, Risk Type]
►CMarketRiskReport
CFullRevalArgs
CMultiThreadArgs
CReports
CSensiRunArgs
CMPORCalculator	MPORCalculator
CMultiStateNPVCalculator	MultiStateNPVCalculator
CMultiThreadedValuationEngine
CNettedExposureCalculator	XVA Calculator base class
CNoneExposureAllocator
CNPVCalculator	NPVCalculator
CNPVCalculatorFXT0	NPVCalculatorFXT0
CNPVCube	NPV Cube class stores both future and current NPV values
CNPVCubeWithMetaData
CNpvRecord
CNPVSensiCube	NPVSensiCube class stores NPVs resulting from risk factor shifts on an as of date
CObservationMode	The Global Observation setting
COREApp	Orchestrates the processes covered by ORE, data loading, analytics and reporting
COREAppInputParameters
COutputParameters	Traditional ORE input via ore.xml and various files, output into files
CParameters	Provides the input data and references to input files used in OREApp
CParametricVarAnalytic
CParametricVarAnalyticImpl
►CParametricVarCalculator
CParametricVarParams	A container for holding the parametric VAR parameters
CParametricVarReport	Parametric VaR Calculator
CParConversionAnalytic
CParConversionAnalyticImpl
CParSensitivityAnalysis	Par Sensitivity Analysis
CParSensitivityConverter	ParSensitivityConverter class
CParSensitivityCubeStream
►CParSensitivityInstrumentBuilder
CInstruments
CParStressConversionAnalytic
CParStressConversionAnalyticImpl
CParStressScenarioConverter	Convert all par shifts in a single stress test scenario to zero shifts
CParStressTestConverter
CPnlAnalytic
CPnlAnalyticImpl
CPNLCalculator
CPnlExplainAnalytic
CPnlExplainAnalyticImpl
►CPnlExplainReport
CPnlExplainResults
CPostProcess	Exposure Aggregation and XVA Calculation
CPricingAnalytic
CPricingAnalyticImpl
CRegressionDynamicInitialMarginCalculator	Dynamic Initial Margin Calculator using polynomial regression
CRelativeFairValueGrossExposureAllocator
CRelativeFairValueNetExposureAllocator
CRelativeXvaExposureAllocator
CReportWriter	Write ORE outputs to reports
CReturnConfiguration	Return type for historical scenario generation (absolute, relative, log)
CRiskFactorKey	Data types stored in the scenario class
CRiskFactorScenarioFilter	Filter that will only allow specified keys
CRiskFactorTypeScenarioFilter	Filter that will only allow specified RiskFactorKey::KeyTypes
CRiskFilter	Risk Filter
CScenario	Scenario Base Class
CScenarioAnalytic
CScenarioAnalyticImpl
CScenarioFactory	Scenario factory base class
CScenarioFilter	A scenario filter can exclude certain key from updating the scenario
CScenarioGenerator	Scenario generator base class
CScenarioGeneratorBuilder	Build a ScenarioGenerator
CScenarioGeneratorData	Scenario Generator description
CScenarioGeneratorTransform
CScenarioPathGenerator	Scenario generator that generates an entire path
CScenarioShiftCalculator
CScenarioSimMarket	Simulation Market updated with discrete scenarios
CScenarioSimMarketParameters	ScenarioSimMarket description
CScenarioStatisticsAnalytic
CScenarioStatisticsAnalyticImpl
CScenarioWriter	Class for writing scenarios to file
CSensiCube	SensiCube stores only npvs not equal to the base npvs
CSensitivityAggregator
CSensitivityAnalysis	Sensitivity Analysis
CSensitivityBufferStream
►CSensitivityCube	SensitivityCube is a wrapper for an npvCube that gives easier access to the underlying cube elements
CFactorData
CSensitivityCubeStream
CSensitivityFileStream
CSensitivityInMemoryStream	Class for streaming SensitivityRecords from csv file
CSensitivityInputStream	Class for streaming SensitivityRecords from csv file
CSensitivityRecord
CSensitivityReportStream	Class for streaming SensitivityRecords from csv file
CSensitivityRunner
►CSensitivityScenarioData	Description of sensitivity shift scenarios
CBaseCorrelationShiftData
CCapFloorVolShiftData
CCapFloorVolShiftParData
CCdsVolShiftData
CCurveShiftData
CCurveShiftParData
CGenericYieldVolShiftData
CShiftData
CVolShiftData
CSensitivityScenarioGenerator	Sensitivity Scenario Generator
CSensitivityStream	Base Class for streaming SensitivityRecords
►CShiftScenarioGenerator	Shift Scenario Generator
CScenarioDescription
CSimmAnalytic
CSimmAnalyticImpl
CSimMarket	Simulation Market
CSimmBasicNameMapper
►CSimmBucketMapper
CFailedMapping
CSimmBucketMapperBase
CSimmCalculator	A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios
►CSimmCalibration
CAmount
►CRiskClassData
CConcentrationThresholds
CCorrelations
CCreditQCorrelations
CCreditQRiskWeights
CFXCorrelations
CFXRiskWeights
CIRCorrelations
CIRFXConcentrationThresholds
CIRRiskWeights
CRiskWeights
CSimmCalibrationData
CSimmConcentration
CSimmConcentration_ISDA_V1_3
CSimmConcentration_ISDA_V1_3_38	Class giving the SIMM concentration thresholds for v1.3.38
CSimmConcentration_ISDA_V2_0
CSimmConcentration_ISDA_V2_1
CSimmConcentration_ISDA_V2_2
CSimmConcentration_ISDA_V2_3
CSimmConcentration_ISDA_V2_3_8
CSimmConcentration_ISDA_V2_5
CSimmConcentration_ISDA_V2_5A
CSimmConcentration_ISDA_V2_6
CSimmConcentrationBase
CSimmConcentrationCalibration	Class giving the ISDA SIMM concentration thresholds as defined by a SIMM calibration
CSimmConfiguration	Abstract base class defining the interface for a SIMM configuration
CSimmConfiguration_ISDA_V1_0
CSimmConfiguration_ISDA_V1_3
CSimmConfiguration_ISDA_V1_3_38	Class giving the SIMM configuration for v1.3.38
CSimmConfiguration_ISDA_V2_0
CSimmConfiguration_ISDA_V2_1
CSimmConfiguration_ISDA_V2_2
CSimmConfiguration_ISDA_V2_3
CSimmConfiguration_ISDA_V2_3_8
CSimmConfiguration_ISDA_V2_5
CSimmConfiguration_ISDA_V2_5A
CSimmConfiguration_ISDA_V2_6
CSimmConfigurationBase
CSimmConfigurationCalibration
CSimmNameMapper
CSimmResults
►CSimpleScenario
CSharedData
CSimpleScenarioFactory	Factory class for building simple scenario objects
CSparseNpvCube
CStaticCreditXvaCalculator	XVA Calculator base with static credit
CStaticScenarioGenerator
CStressScenarioGenerator	Stress Scenario Generator
CStressTest	Stress Test Analysis
CStressTestAnalytic
CStressTestAnalyticImpl
►CStressTestScenarioData	Description of sensitivity shift scenarios
CCapFloorVolShiftData
CCurveShiftData
CSpotShiftData
CStressTestData
CSwaptionVolShiftData
CVolShiftData
CStringStreamCrifLoader
CStructuredAnalyticsErrorMessage
CStructuredAnalyticsWarningMessage
CStructuredFixingWarningMessage	Utility class for Structured Fixing warnings
CSurvivalProbabilityCalculator	SurvivalProbabilityCalculator
CTradeBlock
CTradeGroup
CTradeGroupBase
CTradeGroupBaseContainer
CTradeGroupContainer
CValuationCalculator	ValuationCalculator interface
CValuationEngine	Valuation Engine
CValueAdjustmentCalculator	XVA Calculator base class
CVarAnalytic
CVarAnalyticImpl
CVarCalculator	VaR Calculator
CVarReport
CXvaAnalytic
CXvaAnalyticImpl
CXvaEngineCG
CXvaRunner
CXvaSensitivityAnalytic
CXvaSensitivityAnalyticImpl
CXvaStressAnalytic
CXvaStressAnalyticImpl
►CZeroSensitivityLoader
CZeroSensitivity
CZeroToParCube	ZeroToParCube class
CZeroToParShiftAnalytic
CZeroToParShiftAnalyticImpl
CZeroToParShiftConverter
►Ntest
COreaTopLevelFixture	OREAnalytics Top level fixture
▼Nstd	STL namespace
Chash< ore::analytics::RiskFactorKey >
▼Ntestsuite
CParSensitivityAnalysisManualTest	Par sensitivity analysis comparison against manual bump
CParSensitivityAnalysisTest	Sensitivity analysis tests
CSensitivityPerformancePlusTest	Sensitivity Performance tests
CTestConfigurationObjects	Static class to allow for easy construction of configuration objects for use within tests
CTestMarket	Simple flat market setup to be used in the test suite
CTestMarketParCurves
CTopLevelFixture