historicalsimulationvar.hpp File Reference

Perform historical simulation var calculation for a given portfolio. More...

#include <orea/engine/sensitivityaggregator.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <orea/engine/varcalculator.hpp>
#include <orea/scenario/historicalscenariogenerator.hpp>
#include <orea/scenario/scenariosimmarketparameters.hpp>
#include <orea/scenario/sensitivityscenariodata.hpp>
#include <ored/report/report.hpp>
#include <ored/utilities/timeperiod.hpp>
#include <qle/math/covariancesalvage.hpp>
#include <ql/math/array.hpp>
#include <ql/math/matrix.hpp>
#include <map>
#include <set>

Classes
class	HistoricalSimulationVarCalculator

Namespaces
	ore
	ore::analytics

Typedefs
typedef std::pair< RiskFactorKey, RiskFactorKey >	CrossPair

Detailed Description

Perform historical simulation var calculation for a given portfolio.