#include <orea/app/analytics/xvaanalytic.hpp>

Inheritance diagram for XvaAnalytic:

Collaboration diagram for XvaAnalytic:

Public Member Functions
	XvaAnalytic (const QuantLib::ext::shared_ptr< InputParameters > &inputs, const QuantLib::ext::shared_ptr< Scenario > &offSetScenario=nullptr, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &offsetSimMarketParams=nullptr)

Public Member Functions inherited from Analytic
	Analytic ()
	Constructors. More...

	Analytic (std::unique_ptr< Impl > impl, const std::set< std::string > &analyticTypes, const QuantLib::ext::shared_ptr< InputParameters > &inputs, bool simulationConfig=false, bool sensitivityConfig=false, bool scenarioGeneratorConfig=false, bool crossAssetModelConfig=false)

virtual	~Analytic ()

virtual void	runAnalytic (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={})
	Run only those analytic types that are inclcuded in the runTypes vector, run all if the runType vector is empty. More...

virtual void	buildConfigurations (const bool=false)

virtual void	setUpConfigurations ()

virtual void	buildMarket (const QuantLib::ext::shared_ptr< ore::data::InMemoryLoader > &loader, const bool marketRequired=true)

virtual void	buildPortfolio ()

virtual void	marketCalibration (const QuantLib::ext::shared_ptr< MarketCalibrationReportBase > &mcr=nullptr)

virtual void	modifyPortfolio ()

virtual void	replaceTrades ()

const std::string	label () const
	Inspectors. More...

const std::set< std::string > &	analyticTypes () const

const QuantLib::ext::shared_ptr< InputParameters > &	inputs () const

const QuantLib::ext::shared_ptr< ore::data::Market > &	market () const

QuantLib::ext::shared_ptr< MarketImpl >	getMarket () const

const QuantLib::ext::shared_ptr< ore::data::Portfolio > &	portfolio () const

void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)

void	setMarket (const QuantLib::ext::shared_ptr< ore::data::Market > &market)

void	setPortfolio (const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio)

std::vector< QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > >	todaysMarketParams ()

const QuantLib::ext::shared_ptr< ore::data::Loader > &	loader () const

Configurations &	configurations ()

analytic_reports &	reports ()
	Result reports. More...

analytic_npvcubes &	npvCubes ()

analytic_mktcubes &	mktCubes ()

analytic_stresstests &	stressTests ()

const bool	getWriteIntermediateReports () const

void	setWriteIntermediateReports (const bool flag)

bool	match (const std::set< std::string > &runTypes)
	Check whether any of the requested run types is covered by this analytic. More...

const std::unique_ptr< Impl > &	impl ()

std::set< QuantLib::Date >	marketDates () const

std::vector< QuantLib::ext::shared_ptr< Analytic > >	allDependentAnalytics () const

Additional Inherited Members
Public Types inherited from Analytic
typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< ore::data::InMemoryReport > > >	analytic_reports

typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< NPVCube > > >	analytic_npvcubes

typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< AggregationScenarioData > > >	analytic_mktcubes

typedef std::map< std::string, std::map< std::string, QuantLib::ext::shared_ptr< StressTestScenarioData > > >	analytic_stresstests

Protected Attributes inherited from Analytic
std::unique_ptr< Impl >	impl_

std::set< std::string >	types_
	list of analytic types run by this analytic More...

QuantLib::ext::shared_ptr< InputParameters >	inputs_
	contains all the input parameters for the run More...

Configurations	configurations_

QuantLib::ext::shared_ptr< ore::data::Market >	market_

QuantLib::ext::shared_ptr< ore::data::Loader >	loader_

QuantLib::ext::shared_ptr< ore::data::Portfolio >	portfolio_

analytic_reports	reports_

analytic_npvcubes	npvCubes_

analytic_mktcubes	mktCubes_

analytic_stresstests	stressTests_

bool	writeIntermediateReports_ = true

Detailed Description

Definition at line 95 of file xvaanalytic.hpp.

Constructor & Destructor Documentation

◆ XvaAnalytic()

XvaAnalytic	(	const QuantLib::ext::shared_ptr< InputParameters > &	inputs,
		const QuantLib::ext::shared_ptr< Scenario > &	offSetScenario = `nullptr`,
		const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &	offsetSimMarketParams = `nullptr`
	)

explicit

Definition at line 97 of file xvaanalytic.hpp.

100 : Analytic(std::make_unique<XvaAnalyticImpl>(inputs, offSetScenario, offsetSimMarketParams),

101 xvaAnalyticSubAnalytics, inputs, false, false, false, false) {}

ore::analytics::Analytic::inputs

const QuantLib::ext::shared_ptr< InputParameters > & inputs() const

Definition: analytic.hpp:116

ore::analytics::Analytic::Analytic

Analytic()

Constructors.

Definition: analytic.hpp:79

Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ XvaAnalytic()