NPVCalculator Class Reference

NPVCalculator. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for NPVCalculator:

Public Member Functions
	NPVCalculator (const std::string &baseCcyCode, Size index=0)
	base ccy and index to write to
virtual 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
virtual 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
virtual Real	npv (Size tradeIndex, const QuantLib::ext::shared_ptr< Trade > &trade, const QuantLib::ext::shared_ptr< SimMarket > &simMarket)
void	init (const QuantLib::ext::shared_ptr< Portfolio > &portfolio, const QuantLib::ext::shared_ptr< SimMarket > &simMarket) override
void	initScenario () override

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

Detailed Description

NPVCalculator.

Calculate the NPV of the given trade, convert to base currency and divide by the numeraire If the NPV() call throws, we log an exception and write 0 to the cube