File List

Here is a list of all files with brief descriptions:

[detail level 1234]

▼ doc
► pages
groups.docs
index.docs
license.docs
namespaces.docs
▼ orea
► aggregation
collateralaccount.cpp
collateralaccount.hpp	Collateral Account Balance (stored in base currency)
collatexposurehelper.cpp
collatexposurehelper.hpp	Collateral Exposure Helper Functions (stored in base currency)
creditmigrationcalculator.cpp
creditmigrationcalculator.hpp	Exposure calculator
creditmigrationhelper.cpp
creditmigrationhelper.hpp	Credit migration helper class
creditsimulationparameters.cpp
creditsimulationparameters.hpp	Credit simulation parameter class
cvaspreadsensitivitycalculator.cpp
cvaspreadsensitivitycalculator.hpp
dimcalculator.cpp
dimcalculator.hpp	Dynamic Initial Margin calculator base class
dimflatcalculator.cpp
dimflatcalculator.hpp
dimregressioncalculator.cpp
dimregressioncalculator.hpp	Dynamic Initial Margin calculator by regression
dynamiccreditxvacalculator.cpp
dynamiccreditxvacalculator.hpp	XVA calculator with dynamic credit
exposureallocator.cpp
exposureallocator.hpp	Exposure allocator
exposurecalculator.cpp
exposurecalculator.hpp	Exposure calculator
nettedexposurecalculator.cpp
nettedexposurecalculator.hpp	Exposure calculator
postprocess.cpp
postprocess.hpp	Exposure aggregation and XVA calculation
staticcreditxvacalculator.cpp
staticcreditxvacalculator.hpp	XVA calculator with static credit
xvacalculator.cpp
xvacalculator.hpp	CVA calculator base class
► app
► analytics
analyticfactory.cpp
analyticfactory.hpp
imscheduleanalytic.cpp
imscheduleanalytic.hpp	ORE IM Schedule Analytic
parconversionanalytic.cpp
parconversionanalytic.hpp
parstressconversionanalytic.cpp
parstressconversionanalytic.hpp	ORE Par-Stresstest-Conversion Analytic
pnlanalytic.cpp
pnlanalytic.hpp	ORE NPV Lagged Analytic
pnlexplainanalytic.cpp
pnlexplainanalytic.hpp
pricinganalytic.cpp
pricinganalytic.hpp
scenarioanalytic.cpp
scenarioanalytic.hpp	ORE Scenario Analytic
scenariostatisticsanalytic.cpp
scenariostatisticsanalytic.hpp	ORE Scenario Statistics Analytics
simmanalytic.cpp
simmanalytic.hpp	ORE SIMM Analytic
stresstestanalytic.cpp
stresstestanalytic.hpp	ORE Stresstest Analytic
varanalytic.cpp
varanalytic.hpp
xvaanalytic.cpp
xvaanalytic.hpp
xvasensitivityanalytic.cpp
xvasensitivityanalytic.hpp	Xva sensitivity analytic
xvastressanalytic.cpp
xvastressanalytic.hpp	Xva stress analytic
zerotoparshiftanalytic.cpp
zerotoparshiftanalytic.hpp	ORE ZeroToPar Shift Analytic
analytic.cpp
analytic.hpp	ORE Analytics Manager
analyticsmanager.cpp
analyticsmanager.hpp	ORE Analytics Manager
cleanupsingletons.cpp
cleanupsingletons.hpp
initbuilders.cpp
initbuilders.hpp	Add builders to factories
inputparameters.cpp
inputparameters.hpp	Input Parameters
marketcalibrationreport.cpp
marketcalibrationreport.hpp	ORE Analytics Manager
marketdatacsvloader.cpp
marketdatacsvloader.hpp	Market Data Loader
marketdatainmemoryloader.cpp
marketdatainmemoryloader.hpp	Market Data Loader
marketdataloader.cpp
marketdataloader.hpp	Market Data Loader
oreapp.cpp
oreapp.hpp	Open Risk Engine App
parameters.cpp
parameters.hpp	Open Risk Engine setup and analytics choice
reportwriter.cpp
reportwriter.hpp	A Class to write ORE outputs to reports
sensitivityrunner.cpp
sensitivityrunner.hpp	A class to run the sensitivity analysis
structuredanalyticserror.hpp	Structured analytics error
structuredanalyticswarning.hpp	Class for structured analytics warnings
xvarunner.cpp
xvarunner.hpp	A class to run the xva analysis
zerosensitivityloader.cpp
zerosensitivityloader.hpp	Class for structured analytics warnings
► cube
cube_io.cpp
cube_io.hpp	Load / save cubes and agg scen data from / to disk
cubecsvreader.cpp
cubecsvreader.hpp	A Class to read a cube file from csv input
cubeinterpretation.cpp
cubeinterpretation.hpp	Class describing the layout of an npv cube and aggregation scenario data
cubewriter.cpp
cubewriter.hpp	A Class to write a cube out to file
inmemorycube.hpp	A cube implementation that stores the cube in memory
jaggedcube.hpp	A cube implementation that stores the cube in memory
jointnpvcube.cpp
jointnpvcube.hpp	Join n cubes in terms of stored ids
jointnpvsensicube.cpp
jointnpvsensicube.hpp	Join n sensi cubes in terms of stored ids
npvcube.hpp	The base NPV cube class
npvsensicube.hpp	An NPV cube for storing NPVs resulting from risk factor shifts
sensicube.hpp	A cube implementation that stores the cube in memory
sensitivitycube.cpp
sensitivitycube.hpp	Holds a grid of NPVs for a list of trades under various scenarios
sparsenpvcube.cpp
sparsenpvcube.hpp	In memory cube, storing only non-zero entries for (id, date, depth)
► engine
amcvaluationengine.cpp
amcvaluationengine.hpp	Valuation engine for amc
bufferedsensitivitystream.cpp
bufferedsensitivitystream.hpp	Wrapper to buffer sensi stream records
cptycalculator.cpp
cptycalculator.hpp	The counterparty cube calculator interface
decomposedsensitivitystream.cpp
decomposedsensitivitystream.hpp	Class that wraps a sensitivity stream and decomposes equity/commodity and default risk records
filteredsensitivitystream.cpp
filteredsensitivitystream.hpp	Class that wraps a sensitivity stream and filters out negligible records
historicalpnlgenerator.cpp
historicalpnlgenerator.hpp	Class for generating portfolio P&Ls based on historical scenarios
historicalsensipnlcalculator.cpp
historicalsensipnlcalculator.hpp	Class for generating sensi pnl
historicalsimulationvar.cpp
historicalsimulationvar.hpp	Perform historical simulation var calculation for a given portfolio
marketriskbacktest.cpp
marketriskbacktest.hpp	Bace class for all market risk backtests
marketriskreport.cpp
marketriskreport.hpp	Base class for a market risk report
mporcalculator.cpp
mporcalculator.hpp	The cube valuation calculator interface
multistatenpvcalculator.cpp
multistatenpvcalculator.hpp	Calculator that computes npvs for a vector of credit states
multithreadedvaluationengine.cpp
multithreadedvaluationengine.hpp	Multi-threaded valuation engine
npvrecord.cpp
npvrecord.hpp	Struct for holding an NPV record
observationmode.hpp	Singleton class to hold global Observation Mode
parametricvar.cpp
parametricvar.hpp	Perform parametric var calculation for a given portfolio
parsensitivityanalysis.cpp
parsensitivityanalysis.hpp	Perfrom sensitivity analysis for a given portfolio
parsensitivitycubestream.cpp
parsensitivitycubestream.hpp	Class for streaming SensitivityRecords from a par sensitivity cube
parsensitivityinstrumentbuilder.cpp
parsensitivityinstrumentbuilder.hpp
parsensitivityutilities.cpp
parsensitivityutilities.hpp
parstressconverter.cpp
parstressconverter.hpp	Convert all par shifts in a stress test to a zero shifts
parstressscenarioconverter.cpp
parstressscenarioconverter.hpp	Convert all par shifts in a single stress test scenario to a zero shifts
pnlexplainreport.cpp
pnlexplainreport.hpp
riskfilter.cpp
riskfilter.hpp	Risk class and type filter
sensitivityaggregator.cpp
sensitivityaggregator.hpp	Class for aggregating SensitivityRecords
sensitivityanalysis.cpp
sensitivityanalysis.hpp	Perform sensitivity analysis for a given portfolio
sensitivitycubestream.cpp
sensitivitycubestream.hpp	Class for streaming SensitivityRecords from a SensitivityCube
sensitivityfilestream.cpp
sensitivityfilestream.hpp	Class for streaming SensitivityRecords from file
sensitivityinmemorystream.cpp
sensitivityinmemorystream.hpp	Class for streaming SensitivityRecords from in-memory container
sensitivityrecord.cpp
sensitivityrecord.hpp	Struct for holding a sensitivity record
sensitivityreportstream.cpp
sensitivityreportstream.hpp	Class for streaming SensitivityRecords from a report
sensitivitystream.hpp	Base class for sensitivity record streamer
stresstest.cpp
stresstest.hpp	Perform a stress testing analysis for a given portfolio
valuationcalculator.cpp
valuationcalculator.hpp	The counterparty cube calculator interface
valuationengine.cpp
valuationengine.hpp	The cube valuation core
varbacktest.cpp
varbacktest.hpp	Implementation of var backtest
varcalculator.cpp
varcalculator.hpp	Base class for a var calculation
xvaenginecg.cpp
xvaenginecg.hpp	Xva engine using cg infrastructure
zerotoparcube.cpp
zerotoparcube.hpp	Class for converting zero sensitivities to par sensitivities
zerotoparshift.cpp	Applies a zero scenario and return the par instrument shifts
zerotoparshift.hpp	Applies a zero scenario and return the par instrument shifts
► scenario
aggregationscenariodata.hpp	This class holds data associated to scenarios
clonedscenariogenerator.cpp
clonedscenariogenerator.hpp
clonescenariofactory.cpp
clonescenariofactory.hpp	Factory class for cloning a cached scenario
crossassetmodelscenariogenerator.cpp
crossassetmodelscenariogenerator.hpp	Scenario generation using cross asset model paths
csvscenariogenerator.cpp
csvscenariogenerator.hpp
deltascenario.cpp
deltascenario.hpp	Delta scenario class
deltascenariofactory.cpp
deltascenariofactory.hpp	Factory class for cloning a cached scenario
historicalscenariofilereader.cpp
historicalscenariofilereader.hpp	Class for reading historical scenarios from file
historicalscenariogenerator.cpp
historicalscenariogenerator.hpp	Scenario generator that builds from historical shifts
historicalscenarioloader.cpp
historicalscenarioloader.hpp	Historical scenario loader
historicalscenarioreader.hpp	Historical scenario reader
lgmscenariogenerator.cpp
lgmscenariogenerator.hpp	Scenario generation using LGM paths
scenario.cpp
scenario.hpp	Scenario class
scenariofactory.hpp	Factory classes for scenarios
scenariofilter.hpp	Scenario Filter classes
scenariogenerator.hpp	Scenario generator base classes
scenariogeneratorbuilder.cpp
scenariogeneratorbuilder.hpp	Build a scenariogenerator
scenariogeneratordata.cpp
scenariogeneratordata.hpp	Scenario generator configuration
scenariogeneratortransform.cpp
scenariogeneratortransform.hpp	Transformer class used for transform discount factors in the scenario into zero rates
scenarioshiftcalculator.cpp
scenarioshiftcalculator.hpp	Class for calculating the shift multiple between two scenarios for a given key
scenariosimmarket.cpp	A Market class that can be updated by Scenarios
scenariosimmarket.hpp	A Market class that can be updated by Scenarios
scenariosimmarketparameters.cpp
scenariosimmarketparameters.hpp	A class to hold Scenario parameters for scenarioSimMarket
scenarioutilities.cpp
scenarioutilities.hpp	Scenario utility functions
scenariowriter.cpp
scenariowriter.hpp	ScenarioWriter class
sensitivityscenariodata.cpp
sensitivityscenariodata.hpp	A class to hold the parametrisation for building sensitivity scenarios
sensitivityscenariogenerator.cpp
sensitivityscenariogenerator.hpp	Sensitivity scenario generation
shiftscenariogenerator.cpp
shiftscenariogenerator.hpp	Shift scenario generation
simplescenario.cpp
simplescenario.hpp	Simple scenario class
simplescenariofactory.hpp	Factory classes for simple scenarios
stressscenariodata.cpp
stressscenariodata.hpp	A class to hold the parametrisation for building sensitivity scenarios
stressscenariogenerator.cpp
stressscenariogenerator.hpp	Stress scenario generation
► simm
crif.cpp	Struct for holding CRIF records
crif.hpp	Struct for holding CRIF records
crifconfiguration.cpp
crifconfiguration.hpp	CRIF configuration interface
crifloader.cpp
crifloader.hpp	Class for loading CRIF records
crifrecord.cpp
crifrecord.hpp	Struct for holding a CRIF record
imschedulecalculator.cpp
imschedulecalculator.hpp	Class for calculating SIMM
imscheduleresults.cpp
imscheduleresults.hpp	Class for holding IMSchedule results
simmbasicnamemapper.cpp
simmbasicnamemapper.hpp	Basic SIMM class for mapping names to SIMM qualifiers
simmbucketmapper.hpp	Abstract base class for classes that map SIMM qualifiers to buckets
simmbucketmapperbase.cpp
simmbucketmapperbase.hpp	Base SIMM class for mapping qualifiers to buckets
simmcalculator.cpp
simmcalculator.hpp	Class for calculating SIMM
simmcalibration.cpp
simmcalibration.hpp	SIMM class for defining SIMM risk weights, thresholds, buckets, and labels. Currently only supports the latest ISDA SIMM versions (apart from changes in the aforementioned four things)
simmconcentration.cpp
simmconcentration.hpp	Abstract base class for retrieving SIMM concentration thresholds
simmconcentrationcalibration.cpp
simmconcentrationcalibration.hpp	SIMM concentration thresholds built from SIMM calibration
simmconcentrationisdav1_3.cpp
simmconcentrationisdav1_3.hpp	SIMM concentration thresholds for SIMM version R1.3 (3.29)
simmconcentrationisdav1_3_38.cpp
simmconcentrationisdav1_3_38.hpp	SIMM concentration thresholds for SIMM version 1.3.38
simmconcentrationisdav2_0.cpp
simmconcentrationisdav2_0.hpp	SIMM concentration thresholds for SIMM version 2.0 (1.3.44)
simmconcentrationisdav2_1.cpp
simmconcentrationisdav2_1.hpp	SIMM concentration thresholds for SIMM version 2.0 (1.3.44)
simmconcentrationisdav2_2.cpp
simmconcentrationisdav2_2.hpp	SIMM concentration thresholds for SIMM version 2.2
simmconcentrationisdav2_3.cpp
simmconcentrationisdav2_3.hpp	SIMM concentration thresholds for SIMM version 2.3
simmconcentrationisdav2_3_8.cpp
simmconcentrationisdav2_3_8.hpp	SIMM concentration thresholds for SIMM version 2.3.8
simmconcentrationisdav2_5.cpp
simmconcentrationisdav2_5.hpp	SIMM concentration thresholds for SIMM version 2.5
simmconcentrationisdav2_5a.cpp
simmconcentrationisdav2_5a.hpp	SIMM concentration thresholds for SIMM version 2.5A
simmconcentrationisdav2_6.cpp
simmconcentrationisdav2_6.hpp	SIMM concentration thresholds for SIMM version 2.6
simmconfiguration.cpp
simmconfiguration.hpp	SIMM configuration interface
simmconfigurationbase.cpp
simmconfigurationbase.hpp	Base SIMM configuration class
simmconfigurationcalibration.cpp
simmconfigurationcalibration.hpp	SIMM configuration built for SIMM calibration
simmconfigurationisdav1_0.cpp
simmconfigurationisdav1_0.hpp	SIMM configuration for SIMM version R1.0 (v3.15)
simmconfigurationisdav1_3.cpp
simmconfigurationisdav1_3.hpp	SIMM configuration for SIMM version R1.3 (3.29)
simmconfigurationisdav1_3_38.cpp
simmconfigurationisdav1_3_38.hpp	SIMM configuration for SIMM version 1.3.38
simmconfigurationisdav2_0.cpp
simmconfigurationisdav2_0.hpp	SIMM configuration for SIMM version 2.0 (1.3.44)
simmconfigurationisdav2_1.cpp
simmconfigurationisdav2_1.hpp	SIMM configuration for SIMM version 2.1 (2.0.6)
simmconfigurationisdav2_2.cpp
simmconfigurationisdav2_2.hpp	SIMM configuration for SIMM version 2.2
simmconfigurationisdav2_3.cpp
simmconfigurationisdav2_3.hpp	SIMM configuration for SIMM version 2.3
simmconfigurationisdav2_3_8.cpp
simmconfigurationisdav2_3_8.hpp	SIMM configuration for SIMM version 2.3.8
simmconfigurationisdav2_5.cpp
simmconfigurationisdav2_5.hpp	SIMM configuration for SIMM version 2.5
simmconfigurationisdav2_5a.cpp
simmconfigurationisdav2_5a.hpp	SIMM configuration for SIMM version 2.5A
simmconfigurationisdav2_6.cpp
simmconfigurationisdav2_6.hpp	SIMM configuration for SIMM version 2.6
simmnamemapper.hpp	Abstract base class for classes that map names to SIMM qualifiers
simmresults.cpp
simmresults.hpp	Class for holding SIMM results
utilities.cpp
utilities.hpp	Supporting utilities
► simulation
fixingmanager.cpp
fixingmanager.hpp	Controls the updating/reset of the QuantLib::IndexManager
simmarket.cpp
simmarket.hpp	A Market class that can be Simulated
auto_link.hpp
orea.hpp
version.hpp	ORE version as defined in QuantExt
▼ test
aggregationscenariodata.cpp
amcbermudanswaption.cpp
cube.cpp
historicalscenariogenerator.cpp
nettedexpsoure.cpp
observationmode.cpp
oreatoplevelfixture.hpp	Fixture that can be used at top level of OREAnalytics test suites
parsensitivityanalysis.cpp
parsensitivityanalysis.hpp	Par Sensitivity analysis tests
parsensitivityanalysismanual.cpp
parsensitivityanalysismanual.hpp	More par Sensitivity analysis tests
scenario.cpp
scenariogenerator.cpp
scenarioshiftcalculator.cpp
scenariosimmarket.cpp
sensitivityaggregator.cpp
sensitivityanalysis.cpp
sensitivityanalysisanalytic.cpp
sensitivityperformance.cpp
sensitivityperformanceplus.cpp
sensitivityperformanceplus.hpp	Extended sensitivity preformance test
sensitivityvsanalytic.cpp
shiftscenariogenerator.cpp
simulationmeasures.cpp
stresstest.cpp
swapperformance.cpp
testmarket.cpp
testmarket.hpp
testportfolio.cpp
testportfolio.hpp
testsuite.cpp