Fully annotated reference manual - version 1.8.12
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This is the complete list of members for XvaRunner, including all inherited members.
| aggregationScenarioData() | XvaRunner | |
| analytics_ | XvaRunner | protected |
| asof_ | XvaRunner | protected |
| baseCurrency_ | XvaRunner | protected |
| bufferedPaths_ | XvaRunner | protected |
| bufferSimulationPaths() | XvaRunner | |
| buildCamModel(const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true) | XvaRunner | |
| buildCube(const boost::optional< std::set< std::string > > &tradeIds, bool continueOnErr=true) | XvaRunner | |
| buildSimMarket(const QuantLib::ext::shared_ptr< ore::data::Market > &market, const boost::optional< std::set< std::string > > ¤cyFilter=boost::none, const bool continueOnErr=true) | XvaRunner | virtual |
| calculationType_ | XvaRunner | protected |
| collateralBalances_ | XvaRunner | protected |
| crossAssetModelData_ | XvaRunner | protected |
| cube_ | XvaRunner | protected |
| cubeInterpreter_ | XvaRunner | protected |
| curveConfigs_ | XvaRunner | protected |
| dimHorizonCalendarDays_ | XvaRunner | protected |
| dimQuantile_ | XvaRunner | protected |
| dvaName_ | XvaRunner | protected |
| engineData_ | XvaRunner | protected |
| fullInitialCollateralisation_ | XvaRunner | protected |
| fvaBorrowingCurve_ | XvaRunner | protected |
| fvaLendingCurve_ | XvaRunner | protected |
| generatePostProcessor(const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< NPVCube > &npvCube, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const bool continueOnErr=true, const std::map< std::string, QuantLib::Real > ¤tIM=std::map< std::string, QuantLib::Real >()) | XvaRunner | |
| getDimCalculator(const QuantLib::ext::shared_ptr< NPVCube > &cube, const QuantLib::ext::shared_ptr< CubeInterpretation > &cubeInterpreter, const QuantLib::ext::shared_ptr< AggregationScenarioData > &scenarioData, const QuantLib::ext::shared_ptr< QuantExt::CrossAssetModel > &model=nullptr, const QuantLib::ext::shared_ptr< NPVCube > &nettingCube=nullptr, const std::map< std::string, QuantLib::Real > ¤tIM=std::map< std::string, QuantLib::Real >()) | XvaRunner | protectedvirtual |
| getNettingSetCube(std::vector< QuantLib::ext::shared_ptr< ValuationCalculator > > &calculators, const QuantLib::ext::shared_ptr< Portfolio > &portfolio) | XvaRunner | protectedvirtual |
| getNettingSetIds(const QuantLib::ext::shared_ptr< Portfolio > &portfolio=nullptr) const | XvaRunner | |
| getNpvCube(const Date &asof, const std::set< std::string > &ids, const std::vector< Date > &dates, const Size samples, const Size depth) const | XvaRunner | protectedvirtual |
| getProjectedScenarioGenerator(const boost::optional< std::set< std::string > > ¤cyFilter, const QuantLib::ext::shared_ptr< Market > &market, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &projectedSsmData, const QuantLib::ext::shared_ptr< ScenarioFactory > &scenarioFactory, const bool continueOnErr) const | XvaRunner | protectedvirtual |
| iborFallbackConfig_ | XvaRunner | protected |
| inputCalculationType_ | XvaRunner | protected |
| inputs_ | XvaRunner | protected |
| model_ | XvaRunner | protected |
| netting_ | XvaRunner | protected |
| nettingCube() const | XvaRunner | |
| nettingCube_ | XvaRunner | protected |
| npvCube() const | XvaRunner | |
| portfolio_ | XvaRunner | protected |
| postProcess() | XvaRunner | |
| postProcess_ | XvaRunner | protected |
| projectSsmData(const std::set< std::string > ¤cyFilter) const | XvaRunner | protectedvirtual |
| referenceData_ | XvaRunner | protected |
| runXva(const QuantLib::ext::shared_ptr< ore::data::Market > &market, bool continueOnErr=true, const std::map< std::string, QuantLib::Real > ¤tIM=std::map< std::string, QuantLib::Real >()) | XvaRunner | |
| scenarioData_ | XvaRunner | protected |
| scenarioGeneratorData_ | XvaRunner | protected |
| simFactory_ | XvaRunner | protected |
| simMarket_ | XvaRunner | protected |
| simMarketData_ | XvaRunner | protected |
| storeFlows_ | XvaRunner | protected |
| todaysMarketParams_ | XvaRunner | protected |
| XvaRunner(const QuantLib::ext::shared_ptr< InputParameters > &inputs, QuantLib::Date asof, const std::string &baseCurrency, const QuantLib::ext::shared_ptr< ore::data::Portfolio > &portfolio, const QuantLib::ext::shared_ptr< ore::data::NettingSetManager > &netting, const QuantLib::ext::shared_ptr< ore::data::CollateralBalances > &collateralBalances, const QuantLib::ext::shared_ptr< ore::data::EngineData > &engineData, const QuantLib::ext::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const QuantLib::ext::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const QuantLib::ext::shared_ptr< ScenarioGeneratorData > &scenarioGeneratorData, const QuantLib::ext::shared_ptr< ore::data::CrossAssetModelData > &crossAssetModelData, const QuantLib::ext::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), QuantLib::Real dimQuantile=0.99, QuantLib::Size dimHorizonCalendarDays=14, map< string, bool > analytics={}, string calculationType="Symmetric", string dvaName="", string fvaBorrowingCurve="", string fvaLendingCurve="", bool fullInitialCollateralisation=true, bool storeFlows=false) | XvaRunner | |
| ~XvaRunner() | XvaRunner | virtual |