HistoricalSensiPnlCalculator Class Reference

Public Member Functions
	HistoricalSensiPnlCalculator (const boost::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const boost::shared_ptr< SensitivityStream > &ss)
void	populateSensiShifts (QuantLib::ext::shared_ptr< NPVCube > &cube, const vector< RiskFactorKey > &keys, QuantLib::ext::shared_ptr< ScenarioShiftCalculator > shiftCalculator)
void	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)