ParametricVarCalculator Class Reference

Inheritance diagram for ParametricVarCalculator:

Classes
struct	ParametricVarParams
	A container for holding the parametric VAR parameters. More...

Public Member Functions
	ParametricVarCalculator (const ParametricVarParams &parametricVarParams, const QuantLib::Matrix &omega, const std::map< RiskFactorKey, QuantLib::Real > &deltas, const std::map< CrossPair, Real > &gammas, const QuantLib::ext::shared_ptr< QuantExt::CovarianceSalvage > &covarianceSalvage, const bool &includeGammaMargin, const bool &includeDeltaMargin)
QuantLib::Real	var (QuantLib::Real confidence, const bool isCall=true, const std::set< std::pair< std::string, QuantLib::Size >> &tradeIds={}) override