Fully annotated reference manual - version 1.8.13.0
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This is the complete list of members for MarketRiskBacktest, including all inherited members.
| addDetailRow(const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, const QuantLib::Date &start, const QuantLib::Date &end, bool isFull, QuantLib::Real pnl, const std::string &result, const std::string &tradeId="") const =0 | MarketRiskBacktest | protectedpure virtual |
| addPnlCalculators(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override | MarketRiskBacktest | protectedvirtual |
| addPnlRow(const QuantLib::ext::shared_ptr< BacktestReports > &reports, QuantLib::Size scenarioIdx, bool isCall, const ore::analytics::RiskFactorKey &key_1, QuantLib::Real shift_1, QuantLib::Real delta, QuantLib::Real gamma, QuantLib::Real deltaPnl, QuantLib::Real gammaPnl, const ore::analytics::RiskFactorKey &key_2=ore::analytics::RiskFactorKey(), QuantLib::Real shift_2=0.0, const std::string &tradeId="", const std::string ¤cy="", QuantLib::Real fxSpot=1.0) | MarketRiskBacktest | virtual |
| addSummaryRow(const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isCall, QuantLib::Real im, QuantLib::Size observations, bool isFull, QuantLib::Size exceptions, const std::vector< QuantLib::Size > &ragBounds, const VarBenchmarks &sensiBenchmarks, const VarBenchmarks &fullBenchmarks) const =0 | MarketRiskBacktest | protectedpure virtual |
| adjustFullRevalPnls(std::vector< QuantLib::Real > &pnls, std::vector< QuantLib::Real > &bmPnls, ore::analytics::TradePnLStore &tradePnls, const std::vector< QuantLib::Real > &foSensiPnls, const std::vector< QuantLib::Real > &bmFoSensiPnls, const ore::analytics::TradePnLStore &foTradePnls, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) | MarketRiskBacktest | protectedvirtual |
| bmFoSensiPnls_ | MarketRiskBacktest | protected |
| bmPnls_ | MarketRiskBacktest | protected |
| bmSensiPnls_ | MarketRiskBacktest | protected |
| breakdown_ | MarketRiskReport | protected |
| btArgs_ | MarketRiskBacktest | protected |
| calculate(const QuantLib::ext::shared_ptr< Reports > &report) | MarketRiskReport | virtual |
| calculateBenchmarks(VarBenchmarks &benchmarks, QuantLib::Real confidence, const bool isCall, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, std::set< std::pair< std::string, QuantLib::Size > > &tradeIdIdxPairs) | MarketRiskBacktest | protectedvirtual |
| calculateSummary(const QuantLib::ext::shared_ptr< BacktestReports > &reports, const Data &data, bool isFull, const std::vector< QuantLib::Real > &pnls, const std::vector< std::string > &tradeIds, const TradePnLStore &tradePnls) | MarketRiskBacktest | private |
| calculationCurrency_ | MarketRiskReport | protected |
| callTradeIds_ | MarketRiskBacktest | protected |
| callValue(const Data &data)=0 | MarketRiskBacktest | protectedpure virtual |
| closeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) | MarketRiskReport | protectedvirtual |
| counterparty(const std::string &tradeId) const =0 | MarketRiskBacktest | protectedpure virtual |
| covarianceMatrix_ | MarketRiskReport | protected |
| covariancePeriod() const override | MarketRiskBacktest | protectedvirtual |
| createReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override | MarketRiskBacktest | protectedvirtual |
| createScenarioFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) | MarketRiskReport | protectedvirtual |
| cubeFilePath(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| deltas_ | MarketRiskReport | protected |
| detailColumns()=0 | MarketRiskBacktest | protectedpure virtual |
| disablesAll(const QuantLib::ext::shared_ptr< ore::analytics::ScenarioFilter > &filter) const override | MarketRiskBacktest | |
| ore::analytics::MarketRiskReport::disablesAll(const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const | MarketRiskReport | protectedvirtual |
| enableCubeWrite(const std::string &cubeDir, const std::string &cubeFilename) | MarketRiskReport | |
| factory_ | MarketRiskReport | protected |
| foSensiPnls_ | MarketRiskBacktest | protected |
| foTradePnls_ | MarketRiskBacktest | protected |
| fullReval_ | MarketRiskReport | protected |
| fullRevalArgs_ | MarketRiskReport | protected |
| fullRevalCallBenchmarks_ | MarketRiskBacktest | protected |
| fullRevalPostBenchmarks_ | MarketRiskBacktest | protected |
| gammas_ | MarketRiskReport | protected |
| generateCube(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| handleFullRevalResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override | MarketRiskBacktest | protected |
| ore::analytics::MarketRiskReport::handleFullRevalResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) | MarketRiskReport | protectedvirtual |
| handleSensiResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override | MarketRiskBacktest | protected |
| ore::analytics::MarketRiskReport::handleSensiResults(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) | MarketRiskReport | protectedvirtual |
| hisScenGen_ | MarketRiskReport | protected |
| histPnlGen_ | MarketRiskReport | protected |
| includeDeltaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| includeDeltaMargin_ | MarketRiskReport | protected |
| includeGammaMargin(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| includeGammaMargin_ | MarketRiskReport | protected |
| indicators_ | ProgressReporter | private |
| initialise() override | MarketRiskBacktest | protectedvirtual |
| initialiseRiskGroups() | MarketRiskReport | protectedvirtual |
| initSimMarket() | MarketRiskReport | |
| MarketRiskBacktest(const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const std::string &portfolioFilter, std::unique_ptr< BacktestArgs > btArgs, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > revalArgs=nullptr, std::unique_ptr< MultiThreadArgs > mtArgs=nullptr, const QuantLib::ext::shared_ptr< ore::analytics::HistoricalScenarioGenerator > &hisScenGen=nullptr, const bool breakdown=false, const bool requireTradePnl=false) | MarketRiskBacktest | |
| MarketRiskReport(const std::string &calculationCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, boost::optional< ore::data::TimePeriod > period, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen=nullptr, std::unique_ptr< SensiRunArgs > sensiArgs=nullptr, std::unique_ptr< FullRevalArgs > fullRevalArgs=nullptr, std::unique_ptr< MultiThreadArgs > multiThreadArgs=nullptr, const bool breakdown=false, const bool requireTradePnl=false) | MarketRiskReport | |
| multiThreadArgs_ | MarketRiskReport | protected |
| period_ | MarketRiskReport | protected |
| pnlCalculators_ | MarketRiskReport | protected |
| pnlColumns()=0 | MarketRiskBacktest | protectedpure virtual |
| pnls_ | MarketRiskBacktest | protected |
| portfolio_ | MarketRiskReport | protected |
| portfolioFilter_ | MarketRiskReport | protected |
| portfolioId(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const | MarketRiskReport | protectedvirtual |
| postTradeIds_ | MarketRiskBacktest | protected |
| postValue(const Data &data)=0 | MarketRiskBacktest | protectedpure virtual |
| progressIndicators() const | ProgressReporter | |
| ProgressReporter() | ProgressReporter | |
| registerProgressIndicator(const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) | ProgressReporter | |
| registerProgressIndicators() | MarketRiskReport | protectedvirtual |
| requireTradePnl_ | MarketRiskReport | protected |
| reset(const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup) override | MarketRiskBacktest | protectedvirtual |
| ore::analytics::MarketRiskReport::reset(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) | MarketRiskReport | protectedvirtual |
| resetProgress() | ProgressReporter | |
| riskGroups_ | MarketRiskReport | protected |
| runFullReval(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| runTradeDetail(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override | MarketRiskBacktest | protectedvirtual |
| runTradeRiskGroup(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| salvage_ | MarketRiskReport | protected |
| sensiArgs_ | MarketRiskReport | protected |
| sensiBased_ | MarketRiskReport | protected |
| sensiCallBenchmarks_ | MarketRiskBacktest | protected |
| sensiPnlCalculator_ | MarketRiskReport | protected |
| sensiPnls_ | MarketRiskBacktest | protected |
| sensiPostBenchmarks_ | MarketRiskBacktest | protected |
| sensiTradePnls_ | MarketRiskBacktest | protected |
| setUpBenchmarks()=0 | MarketRiskBacktest | protectedpure virtual |
| summaryColumns()=0 | MarketRiskBacktest | protectedpure virtual |
| timePeriods() override | MarketRiskBacktest | protectedvirtual |
| tradeGroupKey(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const | MarketRiskReport | protectedvirtual |
| tradeGroups_ | MarketRiskReport | protected |
| tradeIdGroups_ | MarketRiskReport | protected |
| tradeIdIdxPairs_ | MarketRiskReport | protected |
| tradeIds_ | MarketRiskReport | protected |
| tradePnls_ | MarketRiskBacktest | protected |
| unregisterAllProgressIndicators() | ProgressReporter | |
| unregisterProgressIndicator(const QuantLib::ext::shared_ptr< ProgressIndicator > &indicator) | ProgressReporter | |
| updateFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) | MarketRiskReport | protectedvirtual |
| updateProgress(const unsigned long progress, const unsigned long total, const std::string &detail="") | ProgressReporter | |
| VarBenchmarks typedef | MarketRiskBacktest | protected |
| VarType enum name | MarketRiskBacktest | |
| writePnl_ | MarketRiskReport | protected |
| writeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< ore::analytics::MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< ore::analytics::TradeGroupBase > &tradeGroup) override | MarketRiskBacktest | protected |
| ore::analytics::MarketRiskReport::writeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) | MarketRiskReport | protectedvirtual |
| ~MarketRiskBacktest() | MarketRiskBacktest | virtual |
| ~MarketRiskReport() | MarketRiskReport | virtual |