engine Directory Reference

Files
file	amcvaluationengine.cpp [code]
file	amcvaluationengine.hpp [code]
	valuation engine for amc
file	bufferedsensitivitystream.cpp [code]
file	bufferedsensitivitystream.hpp [code]
	a wrapper to buffer sensi stream records
file	cptycalculator.cpp [code]
file	cptycalculator.hpp [code]
	The counterparty cube calculator interface.
file	decomposedsensitivitystream.cpp [code]
file	decomposedsensitivitystream.hpp [code]
	Class that wraps a sensitivity stream and decomposes equity/commodity and default risk records.
file	filteredsensitivitystream.cpp [code]
file	filteredsensitivitystream.hpp [code]
	Class that wraps a sensitivity stream and filters out negligible records.
file	historicalpnlgenerator.cpp [code]
file	historicalpnlgenerator.hpp [code]
	Class for generating portfolio P&Ls based on historical scenarios.
file	historicalsensipnlcalculator.cpp [code]
file	historicalsensipnlcalculator.hpp [code]
	Class for generating sensi pnl.
file	historicalsimulationvar.cpp [code]
file	historicalsimulationvar.hpp [code]
	Perform historical simulation var calculation for a given portfolio.
file	marketriskbacktest.cpp [code]
file	marketriskbacktest.hpp [code]
	bace class for all market risk backtests
file	marketriskreport.cpp [code]
file	marketriskreport.hpp [code]
	Base class for a market risk report.
file	mporcalculator.cpp [code]
file	mporcalculator.hpp [code]
	The cube valuation calculator interface.
file	multistatenpvcalculator.cpp [code]
file	multistatenpvcalculator.hpp [code]
	a calculator that computes npvs for a vector of credit states
file	multithreadedvaluationengine.cpp [code]
file	multithreadedvaluationengine.hpp [code]
	multi-threaded valuation engine
file	npvrecord.cpp [code]
file	npvrecord.hpp [code]
	Struct for holding an NPV record.
file	observationmode.hpp [code]
	Singleton class to hold global Observation Mode.
file	parametricvar.cpp [code]
file	parametricvar.hpp [code]
	Perform parametric var calculation for a given portfolio.
file	parsensitivityanalysis.cpp [code]
file	parsensitivityanalysis.hpp [code]
	Perfrom sensitivity analysis for a given portfolio.
file	parsensitivitycubestream.cpp [code]
file	parsensitivitycubestream.hpp [code]
	Class for streaming SensitivityRecords from a par sensitivity cube.
file	parsensitivityinstrumentbuilder.cpp [code]
file	parsensitivityinstrumentbuilder.hpp [code]
file	parsensitivityutilities.cpp [code]
file	parsensitivityutilities.hpp [code]
file	parstressconverter.cpp [code]
file	parstressconverter.hpp [code]
	Convert all par shifts in a stress test to a zero shifts.
file	parstressscenarioconverter.cpp [code]
file	parstressscenarioconverter.hpp [code]
	Convert all par shifts in a single stress test scenario to a zero shifts.
file	pnlexplainreport.cpp [code]
file	pnlexplainreport.hpp [code]
file	riskfilter.cpp [code]
file	riskfilter.hpp [code]
	risk class and type filter
file	sensitivityaggregator.cpp [code]
file	sensitivityaggregator.hpp [code]
	Class for aggregating SensitivityRecords.
file	sensitivityanalysis.cpp [code]
file	sensitivityanalysis.hpp [code]
	Perform sensitivity analysis for a given portfolio.
file	sensitivitycubestream.cpp [code]
file	sensitivitycubestream.hpp [code]
	Class for streaming SensitivityRecords from a SensitivityCube.
file	sensitivityfilestream.cpp [code]
file	sensitivityfilestream.hpp [code]
	Class for streaming SensitivityRecords from file.
file	sensitivityinmemorystream.cpp [code]
file	sensitivityinmemorystream.hpp [code]
	Class for streaming SensitivityRecords from in-memory container.
file	sensitivityrecord.cpp [code]
file	sensitivityrecord.hpp [code]
	Struct for holding a sensitivity record.
file	sensitivityreportstream.cpp [code]
file	sensitivityreportstream.hpp [code]
	Class for streaming SensitivityRecords from a report.
file	sensitivitystream.hpp [code]
	Base class for sensitivity record streamer.
file	stresstest.cpp [code]
file	stresstest.hpp [code]
	perform a stress testing analysis for a given portfolio.
file	valuationcalculator.cpp [code]
file	valuationcalculator.hpp [code]
	The counterparty cube calculator interface.
file	valuationengine.cpp [code]
file	valuationengine.hpp [code]
	The cube valuation core.
file	varbacktest.cpp [code]
file	varbacktest.hpp [code]
	implementation of var backtest
file	varcalculator.cpp [code]
file	varcalculator.hpp [code]
	Base class for a var calculation.
file	xvaenginecg.cpp [code]
file	xvaenginecg.hpp [code]
	xva engine using cg infrastructure
file	zerotoparcube.cpp [code]
file	zerotoparcube.hpp [code]
	Class for converting zero sensitivities to par sensitivities.
file	zerotoparshift.cpp [code]
	applies a zero scenario and return the par instrument shifts
file	zerotoparshift.hpp [code]
	applies a zero scenario and return the par instrument shifts