Logo
Fully annotated reference manual - version 1.8.12
Loading...
Searching...
No Matches
orea.hpp
Go to the documentation of this file.
1// Autogenerated by cmake
2// Do not edit
3
4#ifdef BOOST_MSVC
5#include <orea/auto_link.hpp>
6#endif
7
8#include <orea/aggregation/collateralaccount.hpp>
9#include <orea/aggregation/collatexposurehelper.hpp>
10#include <orea/aggregation/creditmigrationcalculator.hpp>
11#include <orea/aggregation/creditmigrationhelper.hpp>
12#include <orea/aggregation/creditsimulationparameters.hpp>
13#include <orea/aggregation/cvaspreadsensitivitycalculator.hpp>
14#include <orea/aggregation/dimcalculator.hpp>
15#include <orea/aggregation/dimflatcalculator.hpp>
16#include <orea/aggregation/dimregressioncalculator.hpp>
17#include <orea/aggregation/dynamiccreditxvacalculator.hpp>
18#include <orea/aggregation/exposureallocator.hpp>
19#include <orea/aggregation/exposurecalculator.hpp>
20#include <orea/aggregation/nettedexposurecalculator.hpp>
21#include <orea/aggregation/postprocess.hpp>
22#include <orea/aggregation/staticcreditxvacalculator.hpp>
23#include <orea/aggregation/xvacalculator.hpp>
24#include <orea/app/analytic.hpp>
25#include <orea/app/analytics/analyticfactory.hpp>
26#include <orea/app/analytics/imscheduleanalytic.hpp>
27#include <orea/app/analytics/parconversionanalytic.hpp>
28#include <orea/app/analytics/parstressconversionanalytic.hpp>
29#include <orea/app/analytics/pnlanalytic.hpp>
30#include <orea/app/analytics/pnlexplainanalytic.hpp>
31#include <orea/app/analytics/pricinganalytic.hpp>
32#include <orea/app/analytics/scenarioanalytic.hpp>
33#include <orea/app/analytics/scenariostatisticsanalytic.hpp>
34#include <orea/app/analytics/simmanalytic.hpp>
35#include <orea/app/analytics/stresstestanalytic.hpp>
36#include <orea/app/analytics/varanalytic.hpp>
37#include <orea/app/analytics/xvaanalytic.hpp>
38#include <orea/app/analytics/xvasensitivityanalytic.hpp>
39#include <orea/app/analytics/xvastressanalytic.hpp>
40#include <orea/app/analytics/zerotoparshiftanalytic.hpp>
41#include <orea/app/analyticsmanager.hpp>
42#include <orea/app/cleanupsingletons.hpp>
43#include <orea/app/initbuilders.hpp>
44#include <orea/app/inputparameters.hpp>
45#include <orea/app/marketcalibrationreport.hpp>
46#include <orea/app/marketdatacsvloader.hpp>
47#include <orea/app/marketdatainmemoryloader.hpp>
48#include <orea/app/marketdataloader.hpp>
49#include <orea/app/oreapp.hpp>
50#include <orea/app/parameters.hpp>
51#include <orea/app/reportwriter.hpp>
52#include <orea/app/sensitivityrunner.hpp>
53#include <orea/app/structuredanalyticserror.hpp>
54#include <orea/app/structuredanalyticswarning.hpp>
55#include <orea/app/xvarunner.hpp>
56#include <orea/app/zerosensitivityloader.hpp>
57#include <orea/cube/cube_io.hpp>
58#include <orea/cube/cubecsvreader.hpp>
59#include <orea/cube/cubeinterpretation.hpp>
60#include <orea/cube/cubewriter.hpp>
61#include <orea/cube/inmemorycube.hpp>
62#include <orea/cube/jaggedcube.hpp>
63#include <orea/cube/jointnpvcube.hpp>
64#include <orea/cube/jointnpvsensicube.hpp>
65#include <orea/cube/npvcube.hpp>
66#include <orea/cube/npvsensicube.hpp>
67#include <orea/cube/sensicube.hpp>
68#include <orea/cube/sensitivitycube.hpp>
69#include <orea/cube/sparsenpvcube.hpp>
70#include <orea/engine/amcvaluationengine.hpp>
71#include <orea/engine/bufferedsensitivitystream.hpp>
72#include <orea/engine/cptycalculator.hpp>
73#include <orea/engine/decomposedsensitivitystream.hpp>
74#include <orea/engine/filteredsensitivitystream.hpp>
75#include <orea/engine/historicalpnlgenerator.hpp>
76#include <orea/engine/historicalsensipnlcalculator.hpp>
77#include <orea/engine/historicalsimulationvar.hpp>
78#include <orea/engine/marketriskbacktest.hpp>
79#include <orea/engine/marketriskreport.hpp>
80#include <orea/engine/mporcalculator.hpp>
81#include <orea/engine/multistatenpvcalculator.hpp>
82#include <orea/engine/multithreadedvaluationengine.hpp>
83#include <orea/engine/npvrecord.hpp>
84#include <orea/engine/observationmode.hpp>
85#include <orea/engine/parametricvar.hpp>
86#include <orea/engine/parsensitivityanalysis.hpp>
87#include <orea/engine/parsensitivitycubestream.hpp>
88#include <orea/engine/parsensitivityinstrumentbuilder.hpp>
89#include <orea/engine/parsensitivityutilities.hpp>
90#include <orea/engine/parstressconverter.hpp>
91#include <orea/engine/parstressscenarioconverter.hpp>
92#include <orea/engine/pnlexplainreport.hpp>
93#include <orea/engine/riskfilter.hpp>
94#include <orea/engine/sensitivityaggregator.hpp>
95#include <orea/engine/sensitivityanalysis.hpp>
96#include <orea/engine/sensitivitycubestream.hpp>
97#include <orea/engine/sensitivityfilestream.hpp>
98#include <orea/engine/sensitivityinmemorystream.hpp>
99#include <orea/engine/sensitivityrecord.hpp>
100#include <orea/engine/sensitivityreportstream.hpp>
101#include <orea/engine/sensitivitystream.hpp>
102#include <orea/engine/stresstest.hpp>
103#include <orea/engine/valuationcalculator.hpp>
104#include <orea/engine/valuationengine.hpp>
105#include <orea/engine/varbacktest.hpp>
106#include <orea/engine/varcalculator.hpp>
107#include <orea/engine/xvaenginecg.hpp>
108#include <orea/engine/zerotoparcube.hpp>
109#include <orea/engine/zerotoparshift.hpp>
110#include <orea/scenario/aggregationscenariodata.hpp>
111#include <orea/scenario/clonedscenariogenerator.hpp>
112#include <orea/scenario/clonescenariofactory.hpp>
113#include <orea/scenario/crossassetmodelscenariogenerator.hpp>
114#include <orea/scenario/csvscenariogenerator.hpp>
115#include <orea/scenario/deltascenario.hpp>
116#include <orea/scenario/deltascenariofactory.hpp>
117#include <orea/scenario/historicalscenariofilereader.hpp>
118#include <orea/scenario/historicalscenariogenerator.hpp>
119#include <orea/scenario/historicalscenarioloader.hpp>
120#include <orea/scenario/historicalscenarioreader.hpp>
121#include <orea/scenario/lgmscenariogenerator.hpp>
122#include <orea/scenario/scenario.hpp>
123#include <orea/scenario/scenariofactory.hpp>
124#include <orea/scenario/scenariofilter.hpp>
125#include <orea/scenario/scenariogenerator.hpp>
126#include <orea/scenario/scenariogeneratorbuilder.hpp>
127#include <orea/scenario/scenariogeneratordata.hpp>
128#include <orea/scenario/scenariogeneratortransform.hpp>
129#include <orea/scenario/scenarioshiftcalculator.hpp>
130#include <orea/scenario/scenariosimmarket.hpp>
131#include <orea/scenario/scenariosimmarketparameters.hpp>
132#include <orea/scenario/scenarioutilities.hpp>
133#include <orea/scenario/scenariowriter.hpp>
134#include <orea/scenario/sensitivityscenariodata.hpp>
135#include <orea/scenario/sensitivityscenariogenerator.hpp>
136#include <orea/scenario/shiftscenariogenerator.hpp>
137#include <orea/scenario/simplescenario.hpp>
138#include <orea/scenario/simplescenariofactory.hpp>
139#include <orea/scenario/stressscenariodata.hpp>
140#include <orea/scenario/stressscenariogenerator.hpp>
141#include <orea/simm/crif.hpp>
142#include <orea/simm/crifconfiguration.hpp>
143#include <orea/simm/crifloader.hpp>
144#include <orea/simm/crifrecord.hpp>
145#include <orea/simm/imschedulecalculator.hpp>
146#include <orea/simm/imscheduleresults.hpp>
147#include <orea/simm/simmbasicnamemapper.hpp>
148#include <orea/simm/simmbucketmapper.hpp>
149#include <orea/simm/simmbucketmapperbase.hpp>
150#include <orea/simm/simmcalculator.hpp>
151#include <orea/simm/simmcalibration.hpp>
152#include <orea/simm/simmconcentration.hpp>
153#include <orea/simm/simmconcentrationcalibration.hpp>
154#include <orea/simm/simmconcentrationisdav1_3.hpp>
155#include <orea/simm/simmconcentrationisdav1_3_38.hpp>
156#include <orea/simm/simmconcentrationisdav2_0.hpp>
157#include <orea/simm/simmconcentrationisdav2_1.hpp>
158#include <orea/simm/simmconcentrationisdav2_2.hpp>
159#include <orea/simm/simmconcentrationisdav2_3.hpp>
160#include <orea/simm/simmconcentrationisdav2_3_8.hpp>
161#include <orea/simm/simmconcentrationisdav2_5.hpp>
162#include <orea/simm/simmconcentrationisdav2_5a.hpp>
163#include <orea/simm/simmconcentrationisdav2_6.hpp>
164#include <orea/simm/simmconfiguration.hpp>
165#include <orea/simm/simmconfigurationbase.hpp>
166#include <orea/simm/simmconfigurationcalibration.hpp>
167#include <orea/simm/simmconfigurationisdav1_0.hpp>
168#include <orea/simm/simmconfigurationisdav1_3.hpp>
169#include <orea/simm/simmconfigurationisdav1_3_38.hpp>
170#include <orea/simm/simmconfigurationisdav2_0.hpp>
171#include <orea/simm/simmconfigurationisdav2_1.hpp>
172#include <orea/simm/simmconfigurationisdav2_2.hpp>
173#include <orea/simm/simmconfigurationisdav2_3.hpp>
174#include <orea/simm/simmconfigurationisdav2_3_8.hpp>
175#include <orea/simm/simmconfigurationisdav2_5.hpp>
176#include <orea/simm/simmconfigurationisdav2_5a.hpp>
177#include <orea/simm/simmconfigurationisdav2_6.hpp>
178#include <orea/simm/simmnamemapper.hpp>
179#include <orea/simm/simmresults.hpp>
180#include <orea/simm/utilities.hpp>
181#include <orea/simulation/fixingmanager.hpp>
182#include <orea/simulation/simmarket.hpp>
183#include <orea/version.hpp>
aggregationscenariodata.hpp
this class holds data associated to scenarios
amcvaluationengine.hpp
valuation engine for amc
analytic.hpp
ORE Analytics Manager.
analyticsmanager.hpp
ORE Analytics Manager.
auto_link.hpp
bufferedsensitivitystream.hpp
a wrapper to buffer sensi stream records
clonescenariofactory.hpp
factory class for cloning a cached scenario
collateralaccount.hpp
Collateral Account Balance (stored in base currency)
collatexposurehelper.hpp
Collateral Exposure Helper Functions (stored in base currency)
cptycalculator.hpp
The counterparty cube calculator interface.
creditmigrationcalculator.hpp
Exposure calculator.
creditmigrationhelper.hpp
Credit migration helper class.
creditsimulationparameters.hpp
Credit simulation parameter class.
crif.hpp
Struct for holding CRIF records.
crifconfiguration.hpp
CRIF configuration interface.
crifloader.hpp
Class for loading CRIF records.
crifrecord.hpp
Struct for holding a CRIF record.
crossassetmodelscenariogenerator.hpp
Scenario generation using cross asset model paths.
cube_io.hpp
load / save cubes and agg scen data from / to disk
cubecsvreader.hpp
A Class to read a cube file from csv input.
cubeinterpretation.hpp
class describing the layout of an npv cube and aggregation scenario data
cubewriter.hpp
A Class to write a cube out to file.
decomposedsensitivitystream.hpp
Class that wraps a sensitivity stream and decomposes equity/commodity and default risk records.
deltascenario.hpp
Delta scenario class.
deltascenariofactory.hpp
factory class for cloning a cached scenario
dimcalculator.hpp
Dynamic Initial Margin calculator base class.
dimregressioncalculator.hpp
Dynamic Initial Margin calculator by regression.
dynamiccreditxvacalculator.hpp
XVA calculator with dynamic credit.
exposureallocator.hpp
Exposure allocator.
exposurecalculator.hpp
Exposure calculator.
filteredsensitivitystream.hpp
Class that wraps a sensitivity stream and filters out negligible records.
fixingmanager.hpp
Controls the updating/reset of the QuantLib::IndexManager.
historicalpnlgenerator.hpp
Class for generating portfolio P&Ls based on historical scenarios.
historicalscenariofilereader.hpp
Class for reading historical scenarios from file.
historicalscenariogenerator.hpp
scenario generator that builds from historical shifts
historicalscenarioloader.hpp
historical scenario loader
historicalscenarioreader.hpp
historical scenario reader
historicalsensipnlcalculator.hpp
Class for generating sensi pnl.
historicalsimulationvar.hpp
Perform historical simulation var calculation for a given portfolio.
imscheduleanalytic.hpp
ORE IM Schedule Analytic.
imschedulecalculator.hpp
Class for calculating SIMM.
imscheduleresults.hpp
Class for holding IMSchedule results.
initbuilders.hpp
add builders to factories
inmemorycube.hpp
A cube implementation that stores the cube in memory.
inputparameters.hpp
Input Parameters.
jaggedcube.hpp
A cube implementation that stores the cube in memory.
jointnpvcube.hpp
join n cubes in terms of stored ids
jointnpvsensicube.hpp
join n sensi cubes in terms of stored ids
lgmscenariogenerator.hpp
Scenario generation using LGM paths.
marketcalibrationreport.hpp
ORE Analytics Manager.
marketdatacsvloader.hpp
Market Data Loader.
marketdatainmemoryloader.hpp
Market Data Loader.
marketdataloader.hpp
Market Data Loader.
marketriskbacktest.hpp
bace class for all market risk backtests
marketriskreport.hpp
Base class for a market risk report.
mporcalculator.hpp
The cube valuation calculator interface.
multistatenpvcalculator.hpp
a calculator that computes npvs for a vector of credit states
multithreadedvaluationengine.hpp
multi-threaded valuation engine
nettedexposurecalculator.hpp
Exposure calculator.
npvcube.hpp
The base NPV cube class.
npvrecord.hpp
Struct for holding an NPV record.
npvsensicube.hpp
An NPV cube for storing NPVs resulting from risk factor shifts.
observationmode.hpp
Singleton class to hold global Observation Mode.
parsensitivityanalysis.hpp
Perfrom sensitivity analysis for a given portfolio.
oreapp.hpp
Open Risk Engine App.
parameters.hpp
Open Risk Engine setup and analytics choice.
parametricvar.hpp
Perform parametric var calculation for a given portfolio.
parsensitivitycubestream.hpp
Class for streaming SensitivityRecords from a par sensitivity cube.
parstressconversionanalytic.hpp
ORE Par-Stresstest-Conversion Analytic.
parstressconverter.hpp
Convert all par shifts in a stress test to a zero shifts.
parstressscenarioconverter.hpp
Convert all par shifts in a single stress test scenario to a zero shifts.
pnlanalytic.hpp
ORE NPV Lagged Analytic.
postprocess.hpp
Exposure aggregation and XVA calculation.
reportwriter.hpp
A Class to write ORE outputs to reports.
riskfilter.hpp
risk class and type filter
scenario.hpp
Scenario class.
scenarioanalytic.hpp
ORE Scenario Analytic.
scenariofactory.hpp
factory classes for scenarios
scenariofilter.hpp
Scenario Filter classes.
scenariogenerator.hpp
Scenario generator base classes.
scenariogeneratorbuilder.hpp
Build a scenariogenerator.
scenariogeneratordata.hpp
Scenario generator configuration.
scenariogeneratortransform.hpp
Transformer class used for transform discount factors in the scenario into zero rates.
scenarioshiftcalculator.hpp
Class for calculating the shift multiple between two scenarios for a given key.
scenariosimmarket.hpp
A Market class that can be updated by Scenarios.
scenariosimmarketparameters.hpp
A class to hold Scenario parameters for scenarioSimMarket.
scenariostatisticsanalytic.hpp
ORE Scenario Statistics Analytics.
scenarioutilities.hpp
Scenario utility functions.
scenariowriter.hpp
ScenarioWriter class.
sensicube.hpp
A cube implementation that stores the cube in memory.
sensitivityaggregator.hpp
Class for aggregating SensitivityRecords.
sensitivityanalysis.hpp
Perform sensitivity analysis for a given portfolio.
sensitivitycube.hpp
holds a grid of NPVs for a list of trades under various scenarios
sensitivitycubestream.hpp
Class for streaming SensitivityRecords from a SensitivityCube.
sensitivityfilestream.hpp
Class for streaming SensitivityRecords from file.
sensitivityinmemorystream.hpp
Class for streaming SensitivityRecords from in-memory container.
sensitivityrecord.hpp
Struct for holding a sensitivity record.
sensitivityreportstream.hpp
Class for streaming SensitivityRecords from a report.
sensitivityrunner.hpp
A class to run the sensitivity analysis.
sensitivityscenariodata.hpp
A class to hold the parametrisation for building sensitivity scenarios.
sensitivityscenariogenerator.hpp
Sensitivity scenario generation.
sensitivitystream.hpp
Base class for sensitivity record streamer.
shiftscenariogenerator.hpp
Shift scenario generation.
simmanalytic.hpp
ORE SIMM Analytic.
simmarket.hpp
A Market class that can be Simulated.
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.hpp
Base SIMM class for mapping qualifiers to buckets.
simmcalculator.hpp
Class for calculating SIMM.
simmcalibration.hpp
SIMM class for defining SIMM risk weights, thresholds, buckets, and labels. Currently only supports t...
simmconcentration.hpp
Abstract base class for retrieving SIMM concentration thresholds.
simmconcentrationcalibration.hpp
SIMM concentration thresholds built from SIMM calibration.
simmconcentrationisdav1_3.hpp
SIMM concentration thresholds for SIMM version R1.3 (3.29)
simmconcentrationisdav1_3_38.hpp
SIMM concentration thresholds for SIMM version 1.3.38.
simmconcentrationisdav2_0.hpp
SIMM concentration thresholds for SIMM version 2.0 (1.3.44)
simmconcentrationisdav2_1.hpp
SIMM concentration thresholds for SIMM version 2.0 (1.3.44)
simmconcentrationisdav2_2.hpp
SIMM concentration thresholds for SIMM version 2.2.
simmconcentrationisdav2_3.hpp
SIMM concentration thresholds for SIMM version 2.3.
simmconcentrationisdav2_3_8.hpp
SIMM concentration thresholds for SIMM version 2.3.8.
simmconcentrationisdav2_5.hpp
SIMM concentration thresholds for SIMM version 2.5.
simmconcentrationisdav2_5a.hpp
SIMM concentration thresholds for SIMM version 2.5A.
simmconcentrationisdav2_6.hpp
SIMM concentration thresholds for SIMM version 2.6.
simmconfiguration.hpp
SIMM configuration interface.
simmconfigurationbase.hpp
Base SIMM configuration class.
simmconfigurationcalibration.hpp
SIMM configuration built for SIMM calibration.
simmconfigurationisdav1_0.hpp
SIMM configuration for SIMM version R1.0 (v3.15)
simmconfigurationisdav1_3.hpp
SIMM configuration for SIMM version R1.3 (3.29)
simmconfigurationisdav1_3_38.hpp
SIMM configuration for SIMM version 1.3.38.
simmconfigurationisdav2_0.hpp
SIMM configuration for SIMM version 2.0 (1.3.44)
simmconfigurationisdav2_1.hpp
SIMM configuration for SIMM version 2.1 (2.0.6)
simmconfigurationisdav2_2.hpp
SIMM configuration for SIMM version 2.2.
simmconfigurationisdav2_3.hpp
SIMM configuration for SIMM version 2.3.
simmconfigurationisdav2_3_8.hpp
SIMM configuration for SIMM version 2.3.8.
simmconfigurationisdav2_5.hpp
SIMM configuration for SIMM version 2.5.
simmconfigurationisdav2_5a.hpp
SIMM configuration for SIMM version 2.5A.
simmconfigurationisdav2_6.hpp
SIMM configuration for SIMM version 2.6.
simmnamemapper.hpp
Abstract base class for classes that map names to SIMM qualifiers.
simmresults.hpp
Class for holding SIMM results.
simplescenario.hpp
Simple scenario class.
simplescenariofactory.hpp
factory classes for simple scenarios
sparsenpvcube.hpp
in memory cube, storing only non-zero entries for (id, date, depth)
staticcreditxvacalculator.hpp
XVA calculator with static credit.
stressscenariodata.hpp
A class to hold the parametrisation for building sensitivity scenarios.
stressscenariogenerator.hpp
Stress scenario generation.
stresstest.hpp
perform a stress testing analysis for a given portfolio.
stresstestanalytic.hpp
ORE Stresstest Analytic.
structuredanalyticserror.hpp
Structured analytics error.
structuredanalyticswarning.hpp
Class for structured analytics warnings.
utilities.hpp
supporting utilities
valuationcalculator.hpp
The counterparty cube calculator interface.
valuationengine.hpp
The cube valuation core.
varbacktest.hpp
implementation of var backtest
varcalculator.hpp
Base class for a var calculation.
version.hpp
ORE version as defined in QuantExt.
xvacalculator.hpp
CVA calculator base class.
xvaenginecg.hpp
xva engine using cg infrastructure
xvarunner.hpp
A class to run the xva analysis.
xvasensitivityanalytic.hpp
xva sensitivity analytic
xvastressanalytic.hpp
xva stress analytic
zerosensitivityloader.hpp
Class for structured analytics warnings.
zerotoparcube.hpp
Class for converting zero sensitivities to par sensitivities.
zerotoparshift.hpp
applies a zero scenario and return the par instrument shifts
zerotoparshiftanalytic.hpp
ORE ZeroToPar Shift Analytic.
Generated by Doxygen 1.9.5