Fully annotated reference manual - version 1.8.12
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This is the complete list of members for VarReport, including all inherited members.
| addPnlCalculators(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) | MarketRiskReport | protectedvirtual |
| breakdown_ | MarketRiskReport | protected |
| calculate(const QuantLib::ext::shared_ptr< Reports > &report) | MarketRiskReport | virtual |
| calculationCurrency_ | MarketRiskReport | protected |
| closeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) | MarketRiskReport | protectedvirtual |
| covarianceMatrix_ | MarketRiskReport | protected |
| covariancePeriod() const | MarketRiskReport | protectedvirtual |
| createReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &reports) override | VarReport | virtual |
| createScenarioFilter(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) | MarketRiskReport | protectedvirtual |
| createVarCalculator()=0 | VarReport | protectedpure virtual |
| cubeFilePath(const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup) const | MarketRiskReport | protectedvirtual |
| deltas_ | MarketRiskReport | protected |
| disablesAll(const QuantLib::ext::shared_ptr< ScenarioFilter > &filter) const | MarketRiskReport | protectedvirtual |
| enableCubeWrite(const std::string &cubeDir, const std::string &cubeFilename) | MarketRiskReport | |
| factory_ | MarketRiskReport | protected |
| fullReval_ | MarketRiskReport | protected |
| fullRevalArgs_ | MarketRiskReport | 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< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) | MarketRiskReport | protectedvirtual |
| 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() | MarketRiskReport | virtual |
| initialiseRiskGroups() | MarketRiskReport | protectedvirtual |
| initSimMarket() | MarketRiskReport | |
| 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 |
| p() const | VarReport | |
| p_ | VarReport | private |
| period_ | MarketRiskReport | protected |
| pnlCalculators_ | MarketRiskReport | protected |
| portfolio_ | MarketRiskReport | protected |
| portfolioFilter_ | MarketRiskReport | protected |
| portfolioId(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const | MarketRiskReport | protectedvirtual |
| 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< 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) | MarketRiskReport | 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 |
| sensiPnlCalculator_ | MarketRiskReport | protected |
| timePeriods() override | VarReport | protectedvirtual |
| tradeGroupKey(const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) const | MarketRiskReport | protectedvirtual |
| tradeGroups_ | MarketRiskReport | protected |
| tradeIdGroups_ | MarketRiskReport | protected |
| tradeIdIdxPairs_ | MarketRiskReport | protected |
| tradeIds_ | MarketRiskReport | 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 | |
| varCalculator_ | VarReport | protected |
| VarReport(const std::string &baseCurrency, const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const std::string &portfolioFilter, const vector< Real > &p, 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, const bool breakdown=false) | VarReport | |
| writePnl_ | MarketRiskReport | protected |
| writeReports(const QuantLib::ext::shared_ptr< MarketRiskReport::Reports > &report, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup) override | VarReport | protectedvirtual |
| ~MarketRiskReport() | MarketRiskReport | virtual |