Reference manual - version orea_version
Namespace List
Here is a list of all documented namespaces with brief descriptions:
[detail level
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N
ore
►
N
analytics
►
N
detail
C
IndexComparator
►
C
CollateralAccount
Collateral Account
C
MarginCall
Margin Call
C
CollateralExposureHelper
Collateral Exposure Helper
C
CreditMigrationCalculator
Credit Migration Calculator
C
CreditMigrationHelper
C
CreditSimulationParameters
Credit simulation description
C
CVASpreadSensitivityCalculator
CVA Spread Sensitivity Calculator
C
DynamicInitialMarginCalculator
Dynamic Initial Margin Calculator base class
C
RegressionDynamicInitialMarginCalculator
Dynamic Initial Margin Calculator using polynomial regression
C
DynamicCreditXvaCalculator
XVA Calculator base with dynamic credit
C
ExposureAllocator
Exposure allocator base class
C
RelativeFairValueNetExposureAllocator
C
RelativeFairValueGrossExposureAllocator
C
RelativeXvaExposureAllocator
C
NoneExposureAllocator
C
ExposureCalculator
XVA Calculator base class
C
NettedExposureCalculator
XVA Calculator base class
C
PostProcess
Exposure Aggregation and XVA Calculation
C
StaticCreditXvaCalculator
XVA Calculator base with static credit
C
ValueAdjustmentCalculator
XVA Calculator base class
►
C
Analytic
C
Configurations
C
Impl
C
MarketDataAnalyticImpl
C
MarketDataAnalytic
C
ParConversionAnalyticImpl
C
ParConversionAnalytic
C
PricingAnalyticImpl
C
PricingAnalytic
C
ScenarioStatisticsAnalyticImpl
C
ScenarioStatisticsAnalytic
C
SimmAnalyticImpl
C
SimmAnalytic
C
VarAnalyticImpl
C
VarAnalytic
C
XvaAnalyticImpl
C
XvaAnalytic
C
AnalyticsManager
C
InputParameters
Base class for input data, also exposed via SWIG
C
OutputParameters
Traditional ORE input via ore.xml and various files, output into files
►
C
MarketCalibrationReportBase
C
CalibrationFilters
C
MarketCalibrationReport
C
MarketDataCsvLoaderImpl
C
MarketDataCsvLoader
C
MarketDataInMemoryLoaderImpl
C
MarketDataInMemoryLoader
C
StructuredFixingWarningMessage
Utility class for Structured Fixing warnings
C
MarketDataLoaderImpl
C
MarketDataLoader
C
OREApp
Orchestrates the processes covered by ORE, data loading, analytics and reporting
C
Parameters
Provides the input data and references to input files used in
OREApp
C
ReportWriter
Write ORE outputs to reports
C
SensitivityRunner
C
StructuredAnalyticsErrorMessage
C
StructuredAnalyticsWarningMessage
C
XvaRunner
►
C
ZeroSensitivityLoader
C
ZeroSensitivity
C
CubeCsvReader
Read an NPV cube from a human readable text file
C
CubeInterpretation
Allow for interpretation of how data is stored within cube and
AggregationScenarioData
C
CubeWriter
Write an NPV cube to a human readable text file
C
InMemoryCubeBase
InMemoryCube stores the cube in memory using nested STL vectors
C
InMemoryCube1
InMemoryCube of fixed depth 1
C
InMemoryCubeN
InMemoryCube of variable depth
C
TradeBlock
C
DepthCalculator
C
ConstantDepthCalculator
C
JaggedCube
JaggedCube
stores the cube in memory using a vector of trade specific blocks
C
JointNPVCube
C
JointNPVSensiCube
C
NPVCube
NPV Cube class stores both future and current NPV values
C
NPVSensiCube
NPVSensiCube
class stores NPVs resulting from risk factor shifts on an as of date
C
SensiCube
SensiCube
stores only npvs not equal to the base npvs
►
C
SensitivityCube
SensitivityCube
is a wrapper for an npvCube that gives easier access to the underlying cube elements
C
FactorData
C
SparseNpvCube
C
AMCValuationEngine
AMC Valuation Engine
C
BufferedSensitivityStream
C
CounterpartyCalculator
CounterpartyCalculator
interface
C
SurvivalProbabilityCalculator
SurvivalProbabilityCalculator
C
FilteredSensitivityStream
Class that wraps a sensitivity stream and filters out negligible records
C
HistoricalPnlGenerator
C
PNLCalculator
C
CovarianceCalculator
C
HistoricalSensiPnlCalculator
C
HistoricalSimulationVarCalculator
C
MPORCalculator
MPORCalculator
C
MultiStateNPVCalculator
MultiStateNPVCalculator
C
MultiThreadedValuationEngine
C
NpvRecord
C
ObservationMode
The Global Observation setting
►
C
ParametricVarCalculator
C
ParametricVarParams
A container for holding the parametric VAR parameters
C
ParametricVarReport
Parametric VaR Calculator
C
ParSensitivityAnalysis
Par Sensitivity Analysis
C
ParSensitivityConverter
ParSensitivityConverter
class
C
ParSensitivityCubeStream
C
RiskFilter
Risk Filter
C
SensitivityAggregator
C
SensitivityAnalysis
Sensitivity Analysis
C
SensitivityCubeStream
C
SensitivityInputStream
Class for streaming SensitivityRecords from csv file
C
SensitivityFileStream
C
SensitivityBufferStream
C
SensitivityInMemoryStream
Class for streaming SensitivityRecords from csv file
C
SensitivityRecord
C
SensitivityStream
Base Class for streaming SensitivityRecords
C
StressTest
Stress Test Analysis
C
ValuationCalculator
ValuationCalculator
interface
C
NPVCalculator
NPVCalculator
C
CashflowCalculator
CashflowCalculator
C
NPVCalculatorFXT0
NPVCalculatorFXT0
C
ValuationEngine
Valuation Engine
C
VarCalculator
VaR Calculator
C
ZeroToParCube
ZeroToParCube
class
C
AggregationScenarioData
Container for storing simulated market data
C
InMemoryAggregationScenarioData
A concrete in memory implementation of
AggregationScenarioData
C
ClonedScenarioGenerator
C
CloneScenarioFactory
Factory class for cloning scenario objects
C
CrossAssetModelScenarioGenerator
Scenario
Generator using cross asset model paths
C
CSVScenarioGenerator
Class for generating scenarios from a csv file assumed to be in a format compatible with
ScenarioWriter
C
DeltaScenario
Delta
Scenario
class
C
DeltaScenarioFactory
Factory class for cloning scenario objects
C
HistoricalScenarioFileReader
Class for reading historical scenarios from a csv file
C
ReturnConfiguration
Return type for historical scenario generation (absolute, relative, log)
►
C
HistoricalScenarioGenerator
Historical
Scenario
Generator
C
HistoricalScenarioCalculationDetails
C
HistoricalScenarioGeneratorRandom
Historical scenario generator generating random scenarios, for testing purposes
C
HistoricalScenarioGeneratorTransform
Historical scenario generator transform
C
HistoricalScenarioGeneratorWithFilteredDates
C
HistoricalScenarioLoader
Class for loading historical scenarios
C
HistoricalScenarioReader
Base Class for reading historical scenarios
C
LgmScenarioGenerator
Scenario
Generator using LGM model paths
C
RiskFactorKey
Data types stored in the scenario class
C
Scenario
Scenario
Base Class
C
ScenarioFactory
Scenario
factory base class
C
RiskFactorTypeScenarioFilter
Filter that will only allow specified RiskFactorKey::KeyTypes
C
RiskFactorScenarioFilter
Filter that will only allow specified keys
C
CompositeScenarioFilter
Filter for combining the above
C
ScenarioGenerator
Scenario
generator base class
C
ScenarioPathGenerator
Scenario
generator that generates an entire path
C
StaticScenarioGenerator
C
ScenarioGeneratorBuilder
Build a
ScenarioGenerator
C
ScenarioGeneratorData
Scenario
Generator description
C
ScenarioGeneratorTransform
C
ScenarioShiftCalculator
C
ScenarioFilter
A scenario filter can exclude certain key from updating the scenario
C
ScenarioSimMarket
Simulation Market updated with discrete scenarios
C
ScenarioSimMarketParameters
ScenarioSimMarket
description
C
ScenarioWriter
Class for writing scenarios to file
►
C
SensitivityScenarioData
Description of sensitivity shift scenarios
C
BaseCorrelationShiftData
C
CapFloorVolShiftData
C
CapFloorVolShiftParData
C
CdsVolShiftData
C
CurveShiftData
C
CurveShiftParData
C
GenericYieldVolShiftData
C
ShiftData
C
SpotShiftData
C
VolShiftData
C
SensitivityScenarioGenerator
Sensitivity
Scenario
Generator
►
C
ShiftScenarioGenerator
Shift
Scenario
Generator
C
ScenarioDescription
C
SimpleScenario
Simple
Scenario
class
C
SimpleScenarioFactory
Factory class for building simple scenario objects
►
C
StressTestScenarioData
Description of sensitivity shift scenarios
C
CapFloorVolShiftData
C
CurveShiftData
C
SpotShiftData
C
StressTestData
C
SwaptionVolShiftData
C
VolShiftData
C
StressScenarioGenerator
Stress
Scenario
Generator
C
CrifLoader
C
CrifRecord
C
TradeIdTag
C
PortfolioTag
C
ProductClassTag
C
RiskTypeTag
C
BucketTag
C
BucketQualifierTag
C
QualifierTag
C
NoProductClassQualifierTag
C
OnlyRiskTypeTag
C
SimmBasicNameMapper
►
C
SimmBucketMapper
C
FailedMapping
C
BucketMapping
C
SimmBucketMapperBase
C
SimmCalculator
A class to calculate SIMM given a set of aggregated CRIF results for one or more portfolios
C
SimmConcentration
C
SimmConcentrationBase
C
SimmConcentration_ISDA_V1_3
C
SimmConcentration_ISDA_V1_3_38
Class giving the SIMM concentration thresholds for v1.3.38
C
SimmConcentration_ISDA_V2_0
C
SimmConcentration_ISDA_V2_1
C
SimmConcentration_ISDA_V2_2
C
SimmConcentration_ISDA_V2_3
C
SimmConcentration_ISDA_V2_3_8
C
SimmConcentration_ISDA_V2_5
C
SimmConcentration_ISDA_V2_5A
C
SimmConcentration_ISDA_V2_6
C
SimmConfiguration
Abstract base class defining the interface for a SIMM configuration
C
SimmConfigurationBase
C
SimmConfiguration_ISDA_V1_0
C
SimmConfiguration_ISDA_V1_3
C
SimmConfiguration_ISDA_V1_3_38
Class giving the SIMM configuration for v1.3.38
C
SimmConfiguration_ISDA_V2_0
C
SimmConfiguration_ISDA_V2_1
C
SimmConfiguration_ISDA_V2_2
C
SimmConfiguration_ISDA_V2_3
C
SimmConfiguration_ISDA_V2_3_8
C
SimmConfiguration_ISDA_V2_5
C
SimmConfiguration_ISDA_V2_5A
C
SimmConfiguration_ISDA_V2_6
C
SimmNameMapper
C
SimmResults
C
FixingManager
Pseudo Fixings Manager
C
SimMarket
Simulation Market
N
data
►
N
test
C
OreaTopLevelFixture
OREAnalytics Top level fixture
▼
N
testsuite
C
ParSensitivityAnalysisTest
Sensitivity analysis tests
C
ParSensitivityAnalysisManualTest
Par sensitivity analysis comparison against manual bump
C
SensitivityPerformancePlusTest
Sensitivity Performance tests
C
TestMarket
Simple flat market setup to be used in the test suite
C
TestMarketParCurves
C
TestConfigurationObjects
Static class to allow for easy construction of configuration objects for use within tests
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