Reference manual - version orea_version
Files | |
| file | amcvaluationengine.hpp |
| valuation engine for amc | |
| file | bufferedsensitivitystream.hpp |
| a wrapper to buffer sensi stream records | |
| file | filteredsensitivitystream.hpp |
| Class that wraps a sensitivity stream and filters out negligible records. | |
| file | historicalpnlgenerator.hpp |
| Class for generating portfolio P&Ls based on historical scenarios. | |
| file | historicalsensipnlcalculator.hpp |
| Class for generating sensi pnl. | |
| file | historicalsimulationvar.hpp |
| Perform historical simulation var calculation for a given portfolio. | |
| file | mporcalculator.hpp |
| The cube valuation calculator interface. | |
| file | multistatenpvcalculator.hpp |
| a calculator that computes npvs for a vector of credit states | |
| file | multithreadedvaluationengine.hpp |
| multi-threaded valuation engine | |
| file | npvrecord.hpp |
| Struct for holding an NPV record. | |
| file | observationmode.hpp |
| Singleton class to hold global Observation Mode. | |
| file | parametricvar.hpp |
| Perform parametric var calculation for a given portfolio. | |
| file | parsensitivityanalysis.hpp |
| Perfrom sensitivity analysis for a given portfolio. | |
| file | parsensitivitycubestream.hpp |
| Class for streaming SensitivityRecords from a par sensitivity cube. | |
| file | riskfilter.hpp |
| risk class and type filter | |
| file | sensitivityaggregator.hpp |
| Class for aggregating SensitivityRecords. | |
| file | sensitivityanalysis.hpp |
| Perform sensitivity analysis for a given portfolio. | |
| file | sensitivitycubestream.hpp |
| Class for streaming SensitivityRecords from a SensitivityCube. | |
| file | sensitivityfilestream.hpp |
| Class for streaming SensitivityRecords from file. | |
| file | sensitivityinmemorystream.hpp |
| Class for streaming SensitivityRecords from in-memory container. | |
| file | sensitivityrecord.hpp |
| Struct for holding a sensitivity record. | |
| file | sensitivitystream.hpp |
| Base class for sensitivity record streamer. | |
| file | stresstest.hpp |
| perform a stress testing analysis for a given portfolio. | |
| file | valuationcalculator.hpp |
| The counterparty cube calculator interface. | |
| file | valuationengine.hpp |
| The cube valuation core. | |
| file | varcalculator.hpp |
| Base class for a var calculation. | |
| file | zerotoparcube.hpp |
| Class for converting zero sensitivities to par sensitivities. | |