VarCalculator Class Reference

VaR Calculator. More...

#include <orea/engine/varcalculator.hpp>

Inheritance diagram for VarCalculator:

Collaboration diagram for VarCalculator:

Public Member Functions
	VarCalculator ()
virtual	~VarCalculator ()
virtual QuantLib::Real	var (QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size > > &tradeIds={})=0

Detailed Description

VaR Calculator.

Definition at line 33 of file varcalculator.hpp.

Constructor & Destructor Documentation

VarCalculator()

VarCalculator

(

)

Definition at line 35 of file varcalculator.hpp.

{}

~VarCalculator()

virtual ~VarCalculator ( )

virtual

Definition at line 36 of file varcalculator.hpp.

{}

Member Function Documentation

var()

virtual QuantLib::Real var ( QuantLib::Real  confidence, const bool  isCall = true, const std::set< std::pair< std::string, QuantLib::Size > > &  tradeIds = {}  )

pure virtual

Implemented in HistoricalSimulationVarCalculator, and ParametricVarCalculator.