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Reference manual - version orea_version
HistoricalSensiPnlCalculator Member List

This is the complete list of members for HistoricalSensiPnlCalculator, including all inherited members.

calculateSensiPnl(const std::set< SensitivityRecord > &srs, const std::vector< RiskFactorKey > &rfKeys, QuantLib::ext::shared_ptr< NPVCube > &shiftCube, const std::vector< QuantLib::ext::shared_ptr< PNLCalculator >> &pnlCalculators, const QuantLib::ext::shared_ptr< CovarianceCalculator > &covarianceCalculator, const std::vector< std::string > &tradeIds={}, const bool includeGammaMargin=true, const bool includeDeltaMargin=true, const bool tradeLevel=false) (defined in HistoricalSensiPnlCalculator)HistoricalSensiPnlCalculator
HistoricalSensiPnlCalculator(const boost::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const boost::shared_ptr< SensitivityStream > &ss) (defined in HistoricalSensiPnlCalculator)HistoricalSensiPnlCalculator
populateSensiShifts(QuantLib::ext::shared_ptr< NPVCube > &cube, const vector< RiskFactorKey > &keys, QuantLib::ext::shared_ptr< ScenarioShiftCalculator > shiftCalculator) (defined in HistoricalSensiPnlCalculator)HistoricalSensiPnlCalculator