sensitivityperformanceplus.cpp File Reference

#include "sensitivityperformanceplus.hpp"
#include <test/oreatoplevelfixture.hpp>
#include "testmarket.hpp"
#include "testportfolio.hpp"
#include <boost/timer/timer.hpp>
#include <orea/app/reportwriter.hpp>
#include <orea/cube/inmemorycube.hpp>
#include <orea/cube/npvcube.hpp>
#include <orea/engine/filteredsensitivitystream.hpp>
#include <orea/engine/observationmode.hpp>
#include <orea/engine/parametricvar.hpp>
#include <orea/engine/riskfilter.hpp>
#include <orea/engine/sensitivityaggregator.hpp>
#include <orea/engine/sensitivityanalysis.hpp>
#include <orea/engine/sensitivitycubestream.hpp>
#include <orea/engine/sensitivityfilestream.hpp>
#include <orea/engine/sensitivityinmemorystream.hpp>
#include <orea/engine/sensitivityrecord.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <orea/engine/stresstest.hpp>
#include <orea/engine/valuationcalculator.hpp>
#include <orea/engine/valuationengine.hpp>
#include <orea/scenario/crossassetmodelscenariogenerator.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/simplescenariofactory.hpp>
#include <ored/model/crossassetmodelbuilder.hpp>
#include <ored/model/lgmdata.hpp>
#include <ored/portfolio/builders/swap.hpp>
#include <ored/portfolio/builders/swaption.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/portfolio/swap.hpp>
#include <ored/report/csvreport.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/osutils.hpp>
#include <ql/math/randomnumbers/mt19937uniformrng.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/date.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>

Go to the source code of this file.

Namespaces
namespace	testsuite

Functions
	BOOST_AUTO_TEST_CASE (SensiPerformanceNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceDisableObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceDeferObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceUnregisterObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigScenarioNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigPortfolioObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigPortfolioBigScenarioNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigPortfolioCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigScenarioCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBigPortfolioBigScenarioCrossGammaNoneObs)
	BOOST_AUTO_TEST_CASE (SensiPerformanceBTSetupNoneObs)