Reference manual - version orea_version
This is the complete list of members for ParametricVarReport, including all inherited members.
| benchmarkPeriod_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| breakdown_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| calculate(ore::data::Report &report) (defined in ParametricVarReport) | ParametricVarReport | |
| cov_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| covariance_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| CrossPair typedef (defined in ParametricVarReport) | ParametricVarReport | |
| hisScenGen_ | ParametricVarReport | protected |
| p_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| parametricVarParams_ | ParametricVarReport | protected |
| ParametricVarReport(const std::map< std::string, std::set< std::pair< std::string, QuantLib::Size >>> &tradePortfolio, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< SensitivityStream > &sensitivities, const std::map< std::pair< RiskFactorKey, RiskFactorKey >, Real > covariance, const std::vector< Real > &p, const ParametricVarCalculator::ParametricVarParams ¶metricVarParams, const bool breakdown, const bool salvageCovarianceMatrix) (defined in ParametricVarReport) | ParametricVarReport | |
| ParametricVarReport(const std::map< std::string, std::set< std::pair< std::string, QuantLib::Size >>> &tradePortfolios, const std::string &portfolioFilter, const QuantLib::ext::shared_ptr< SensitivityStream > &sensitivities, const QuantLib::ext::shared_ptr< HistoricalScenarioGenerator > &hisScenGen, const ore::data::TimePeriod &benchmarkPeriod, const QuantLib::ext::shared_ptr< SensitivityScenarioData > &sensitivityConfig, const QuantLib::ext::shared_ptr< ScenarioSimMarketParameters > &simMarketConfig, const std::vector< QuantLib::Real > &p, const ParametricVarCalculator::ParametricVarParams ¶metricVarParams, const bool breakdown, const bool salvageCovarianceMatrix) (defined in ParametricVarReport) | ParametricVarReport | |
| portfolioFilter_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| salvageCovarianceMatrix_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| sensitivities_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| sensitivityConfig_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| simMarketConfig_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| tradePortfolios_ (defined in ParametricVarReport) | ParametricVarReport | protected |
| ~ParametricVarReport() (defined in ParametricVarReport) | ParametricVarReport | virtual |