varcalculator.hpp File Reference

Base class for a var calculation. More...

#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	VarCalculator
	VaR Calculator. More...

Namespaces
	ore
	ore::analytics

Detailed Description

Base class for a var calculation.