MPORCalculator Class Reference

MPORCalculator. More...

#include <orea/engine/mporcalculator.hpp>

Inheritance diagram for MPORCalculator:

Public Member Functions
	MPORCalculator (const QuantLib::ext::shared_ptr< NPVCalculator > &npvCalc, Size defaultIndex=0, Size closeOutIndex=1)
	base ccy and index to write to
void	calculate (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
void	calculateT0 (const QuantLib::ext::shared_ptr< Trade > &trade, Size tradeIndex, const QuantLib::ext::shared_ptr< SimMarket > &simMarket, QuantLib::ext::shared_ptr< NPVCube > &outputCube, QuantLib::ext::shared_ptr< NPVCube > &outputCubeNettingSet) override
void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket) override
void	initScenario () override

Detailed Description

MPORCalculator.

Calculate NPV for default and close-out time grids Implicit assumption that MPOR-style date grid is being used Utilises NPVCalculator for actual NPV calculation