Fully annotated reference manual - version 1.8.12
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This is the complete list of members for SimmCalculator, including all inherited members.
| add(const ore::data::NettingSetDetails &nettingSetDetails, const string ®ulation, const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::string &b, QuantLib::Real margin, SimmSide side, const bool overwrite=true) | SimmCalculator | private |
| add(const ore::data::NettingSetDetails &nettingSetDetails, const string ®ulation, const CrifRecord::ProductClass &pc, const SimmConfiguration::RiskClass &rc, const SimmConfiguration::MarginType &mt, const std::map< std::string, QuantLib::Real > &margins, SimmSide side, const bool overwrite=true) | SimmCalculator | private |
| calcAddMargin(const SimmSide &side, const ore::data::NettingSetDetails &nsd, const string ®ulation, const ore::analytics::Crif &netRecords) | SimmCalculator | private |
| calculateRegulationSimm(const ore::analytics::Crif &crif, const ore::data::NettingSetDetails &nsd, const string ®ulation, const SimmSide &side) | SimmCalculator | |
| calculationCcyCall_ | SimmCalculator | private |
| calculationCcyPost_ | SimmCalculator | private |
| calculationCurrency(const SimmSide &side) const | SimmCalculator | |
| collectRegsIsEmpty_ | SimmCalculator | private |
| crif_ | SimmCalculator | private |
| curvatureMargin(const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const CrifRecord::RiskType &rt, const SimmSide &side, const ore::analytics::Crif &netRecords, bool rfLabels=true) const | SimmCalculator | private |
| finalSimmResults(const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails) const | SimmCalculator | |
| finalSimmResults(const SimmSide &side) const | SimmCalculator | |
| finalSimmResults() const | SimmCalculator | |
| finalSimmResults_ | SimmCalculator | private |
| finalTradeIds() const | SimmCalculator | |
| finalTradeIds_ | SimmCalculator | private |
| getQualifiers(const Crif &crif, const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const std::vector< CrifRecord::RiskType > &riskTypes) const | SimmCalculator | private |
| hasCFTC_ | SimmCalculator | private |
| hasSEC_ | SimmCalculator | private |
| irCurvatureMargin(const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const SimmSide &side, const ore::analytics::Crif &crif) const | SimmCalculator | private |
| irDeltaMargin(const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const ore::analytics::Crif &netRecords, const SimmSide &side) const | SimmCalculator | private |
| irVegaMargin(const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const ore::analytics::Crif &netRecords, const SimmSide &side) const | SimmCalculator | private |
| lambda(QuantLib::Real theta) const | SimmCalculator | private |
| margin(const ore::data::NettingSetDetails &nettingSetDetails, const CrifRecord::ProductClass &pc, const CrifRecord::RiskType &rt, const ore::analytics::Crif &netRecords, const SimmSide &side) const | SimmCalculator | private |
| market_ | SimmCalculator | private |
| populateFinalResults(const std::map< SimmSide, std::map< ore::data::NettingSetDetails, std::string > > &winningRegulations) | SimmCalculator | |
| populateFinalResults() | SimmCalculator | private |
| populateResults(const SimmSide &side, const ore::data::NettingSetDetails &nsd, const string ®ulation) | SimmCalculator | private |
| postRegsIsEmpty_ | SimmCalculator | private |
| quiet_ | SimmCalculator | private |
| regSensitivities_ | SimmCalculator | private |
| resultCcy_ | SimmCalculator | private |
| resultCurrency() const | SimmCalculator | |
| SimmCalculator(const ore::analytics::Crif &crif, const QuantLib::ext::shared_ptr< SimmConfiguration > &simmConfiguration, const std::string &calculationCcyCall="USD", const std::string &calculationCcyPost="USD", const std::string &resultCcy="", const QuantLib::ext::shared_ptr< ore::data::Market > market=nullptr, const bool determineWinningRegulations=true, const bool enforceIMRegulations=false, const bool quiet=false, const std::map< SimmSide, std::set< NettingSetDetails > > &hasSEC=std::map< SimmSide, std::set< NettingSetDetails > >(), const std::map< SimmSide, std::set< NettingSetDetails > > &hasCFTC=std::map< SimmSide, std::set< NettingSetDetails > >()) | SimmCalculator | |
| simmConfiguration_ | SimmCalculator | private |
| simmParameters() const | SimmCalculator | |
| simmParameters_ | SimmCalculator | private |
| simmResults(const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails, const std::string ®ulation) const | SimmCalculator | |
| simmResults(const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails) const | SimmCalculator | |
| simmResults(const SimmSide &side) const | SimmCalculator | |
| simmResults() const | SimmCalculator | |
| simmResults_ | SimmCalculator | private |
| SimmSide typedef | SimmCalculator | |
| splitCrifByRegulationsAndPortfolios(const Crif &crif, const bool enforceIMRegulations) | SimmCalculator | private |
| tradeIds_ | SimmCalculator | private |
| winningRegulations(const SimmSide &side, const ore::data::NettingSetDetails &nettingSetDetails) const | SimmCalculator | |
| winningRegulations(const SimmSide &side) const | SimmCalculator | |
| winningRegulations() const | SimmCalculator | |
| winningRegulations_ | SimmCalculator | private |