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Fully annotated reference manual - version 1.8.12
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DecomposedSensitivityStream Member List

This is the complete list of members for DecomposedSensitivityStream, including all inherited members.

assetSpotShiftSize(const std::string name, const ore::data::CurveSpec::CurveType curveType) constDecomposedSensitivityStreamprivate
baseCurrency_DecomposedSensitivityStreamprivate
commoditySpotShiftSize(const std::string name) constDecomposedSensitivityStreamprivate
constituentSpotRiskFromDecomposition(const double spotDelta, const std::map< std::string, double > &indexWeights) constDecomposedSensitivityStreamprivate
currencyHedgedIndexQuantities_DecomposedSensitivityStreamprivate
curveConfigs_DecomposedSensitivityStreamprivate
curveCurrency(const std::string &name, ore::data::CurveSpec::CurveType curveType) constDecomposedSensitivityStreamprivate
decompose(const SensitivityRecord &record) constDecomposedSensitivityStreamprivate
decompose_DecomposedSensitivityStreamprivate
decomposeCurrencyHedgedIndexRisk(const SensitivityRecord &record) constDecomposedSensitivityStreamprivate
decomposedRecords_DecomposedSensitivityStreamprivate
DecomposedSensitivityStream(const QuantLib::ext::shared_ptr< SensitivityStream > &ss, const std::string &baseCurrency, std::map< std::string, std::map< std::string, double > > defaultRiskDecompositionWeights={}, const std::set< std::string > &eqComDecompositionTradeIds={}, const std::map< std::string, std::map< std::string, double > > &currencyHedgedIndexQuantities={}, const QuantLib::ext::shared_ptr< ore::data::ReferenceDataManager > &refDataManager=nullptr, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs=nullptr, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &scenarioData=nullptr, const QuantLib::ext::shared_ptr< ore::data::Market > &todaysMarket=nullptr)DecomposedSensitivityStream
decomposeSurvivalProbability(const SensitivityRecord &record) constDecomposedSensitivityStreamprivate
defaultRiskDecompositionWeights_DecomposedSensitivityStreamprivate
eqComDecompositionTradeIds_DecomposedSensitivityStreamprivate
equitySpotShiftSize(const std::string name) constDecomposedSensitivityStreamprivate
fxRiskFromDecomposition(const std::map< std::string, double > &spotRisk, const std::map< std::string, std::vector< std::string > > &constituentCurrencies, const std::map< std::string, double > &fxSpotShiftSize, const double eqShiftSize) constDecomposedSensitivityStreamprivate
fxRiskShiftSize(const std::string ccy) constDecomposedSensitivityStreamprivate
fxRiskShiftSizes(const std::map< std::string, std::vector< std::string > > &constituentCurrencies) constDecomposedSensitivityStreamprivate
getConstituentCurrencies(const std::map< std::string, double > &constituents, const std::string &indexCurrency, const ore::data::CurveSpec::CurveType curveType) constDecomposedSensitivityStreamprivate
indexDecomposition(double delta, const std::string &indexName, const ore::data::CurveSpec::CurveType curveType) constDecomposedSensitivityStreamprivate
itCurrent_DecomposedSensitivityStreamprivate
next() overrideDecomposedSensitivityStreamvirtual
refDataManager_DecomposedSensitivityStreamprivate
reset() overrideDecomposedSensitivityStreamvirtual
sensitivityRecords(const std::map< std::string, double > &eqDeltas, const std::map< std::string, double > &fxDeltas, const std::string indexCurrency, const SensitivityRecord &orginialRecord) constDecomposedSensitivityStreamprivate
ss_DecomposedSensitivityStreamprivate
ssd_DecomposedSensitivityStreamprivate
todaysMarket_DecomposedSensitivityStreamprivate
~SensitivityStream()SensitivityStreamvirtual