MultiStateNPVCalculator Class Reference

MultiStateNPVCalculator. More...

#include <orea/engine/multistatenpvcalculator.hpp>

Inheritance diagram for MultiStateNPVCalculator:

Public Member Functions
	MultiStateNPVCalculator (const std::string &baseCcyCode, Size index, Size states)
	base ccy and index to write to
void	calculate (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false) override
void	calculateT0 (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet) override
std::vector< Real >	multiStateNpv (Size tradeIndex, const boost::shared_ptr< Trade > &trade, const boost::shared_ptr< SimMarket > &simMarket)
Public Member Functions inherited from NPVCalculator
	NPVCalculator (const std::string &baseCcyCode, Size index=0)
	base ccy and index to write to
virtual Real	npv (Size tradeIndex, const boost::shared_ptr< Trade > &trade, const boost::shared_ptr< SimMarket > &simMarket)
void	init (const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< SimMarket > &simMarket) override
void	initScenario () override

Protected Attributes
Size	states_
Protected Attributes inherited from NPVCalculator
std::string	baseCcyCode_
Size	index_
std::vector< Handle< Quote > >	ccyQuotes_
std::vector< double >	fxRates_
std::vector< Size >	tradeCcyIndex_

Detailed Description

MultiStateNPVCalculator.

Calculate multiple state NPVs (use addtional result field stateNpv) See NPVCalculator for more conventions of the stored NPVs.