marketriskreport.hpp File Reference

Base class for a market risk report. More...

#include <qle/math/covariancesalvage.hpp>
#include <ored/report/report.hpp>
#include <orea/engine/historicalsensipnlcalculator.hpp>
#include <orea/engine/historicalpnlgenerator.hpp>
#include <orea/engine/riskfilter.hpp>
#include <orea/scenario/scenariofilter.hpp>
#include <vector>

Go to the source code of this file.

Classes
class	MarketRiskGroupBase
class	MarketRiskGroupBaseContainer
class	TradeGroupBase
class	TradeGroupBaseContainer
class	MarketRiskGroup
class	MarketRiskGroupContainer
struct	MarketRiskGroupContainer::CompRisk
	Used to order pairs [Risk class, Risk Type]. More...
class	TradeGroup
class	TradeGroupContainer
class	MarketRiskReport
struct	MarketRiskReport::SensiRunArgs
struct	MarketRiskReport::FullRevalArgs
struct	MarketRiskReport::MultiThreadArgs
class	MarketRiskReport::Reports

Namespaces
namespace	ore
namespace	ore::analytics

Typedefs
using	TradePnLStore = std::vector< std::vector< QuantLib::Real > >

Functions
std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< MarketRiskGroupBase > &riskGroup)
std::ostream &	operator<< (std::ostream &out, const QuantLib::ext::shared_ptr< TradeGroupBase > &tradeGroup)

Detailed Description

Base class for a market risk report.

Definition in file marketriskreport.hpp.