NPVCalculatorFXT0 Class Reference

NPVCalculatorFXT0. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for NPVCalculatorFXT0:

Public Member Functions
	NPVCalculatorFXT0 (const std::string &baseCcyCode, const boost::shared_ptr< Market > &t0Market, Size index=0)
	base ccy and index to write to
virtual 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
virtual 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
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

Detailed Description

NPVCalculatorFXT0.

Calculate the NPV of the given trade, convert to base currency USING T0 RATES and divide by the numeraire This can sometimes be useful for finite difference ("bump-revalue") sensitivities (for FX spot sensis, if we wish to bump the spot in the pricing model, but still convert to base using static FX) If the NPV() call throws, we log an exception and write 0 to the cube