ValuationCalculator Class Reference

ValuationCalculator interface. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for ValuationCalculator:

Collaboration diagram for ValuationCalculator:

Public Member Functions
virtual	~ValuationCalculator ()
virtual void	calculate (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false)=0
virtual void	calculateT0 (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet)=0
virtual void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket)=0
virtual void	initScenario ()=0

Detailed Description

ValuationCalculator interface.

Definition at line 39 of file valuationcalculator.hpp.

Constructor & Destructor Documentation

~ValuationCalculator()

virtual ~ValuationCalculator ( )

virtual

Definition at line 41 of file valuationcalculator.hpp.

{}

Member Function Documentation

calculate()

virtual void calculate ( const QuantLib::ext::shared_ptr< Trade > &  trade, Size  tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube, QuantLib::ext::shared_ptr< NPVCube > &  outputCubeNettingSet, const Date &  date, Size  dateIndex, Size  sample, bool  isCloseOut = false  )

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube for data on trade level
outputCubeNettingSet	The cube for data on netting set level
date	The date
dateIndex	Date index
sample	Sample
isCloseOut	isCloseOut

Implemented in MPORCalculator, MultiStateNPVCalculator, NPVCalculator, CashflowCalculator, and NPVCalculatorFXT0.

calculateT0()

virtual void calculateT0 ( const QuantLib::ext::shared_ptr< Trade > &  trade, Size  tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket, QuantLib::ext::shared_ptr< NPVCube > &  outputCube, QuantLib::ext::shared_ptr< NPVCube > &  outputCubeNettingSet  )

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube
outputCubeNettingSet	The cube

Implemented in MPORCalculator, MultiStateNPVCalculator, NPVCalculator, CashflowCalculator, and NPVCalculatorFXT0.

init()

virtual void init ( const QuantLib::ext::shared_ptr< Portfolio > &  portfolio, const QuantLib::ext::shared_ptr< SimMarket > &  simMarket  )

pure virtual

Implemented in MPORCalculator, NPVCalculator, CashflowCalculator, and NPVCalculatorFXT0.

initScenario()

virtual void initScenario ( )

pure virtual

Implemented in MPORCalculator, NPVCalculator, CashflowCalculator, and NPVCalculatorFXT0.