Reference manual - version orea_version
This is the complete list of members for PostProcess, including all inherited members.
| allocatedCvaCalculator_ (defined in PostProcess) | PostProcess | protected |
| allocatedTradeCVA(const string &tradeId) | PostProcess | |
| allocatedTradeDVA(const string &tradeId) | PostProcess | |
| allocatedTradeENE(const string &tradeId) | PostProcess | |
| allocatedTradeENE_ (defined in PostProcess) | PostProcess | protected |
| allocatedTradeEPE(const string &tradeId) | PostProcess | |
| allocatedTradeEPE_ (defined in PostProcess) | PostProcess | protected |
| analytics_ (defined in PostProcess) | PostProcess | protected |
| baseCurrency_ (defined in PostProcess) | PostProcess | protected |
| calcType_ (defined in PostProcess) | PostProcess | protected |
| collateralFloorIncrements(const string &nettingSetId) | PostProcess | |
| collateralPaths(const string &nettingSetId, const boost::shared_ptr< NettingSetManager > &nettingSetManager, const boost::shared_ptr< Market > &market, const std::string &configuration, const boost::shared_ptr< AggregationScenarioData > &scenarioData, Size dates, Size samples, const vector< vector< Real >> &nettingSetValue, Real nettingSetValueToday, const Date &nettingSetMaturity) | PostProcess | protected |
| colvaIncrements(const string &nettingSetId) | PostProcess | |
| configuration_ (defined in PostProcess) | PostProcess | protected |
| counterpartyId() | PostProcess | |
| cptyCube() | PostProcess | |
| cptyCube_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationCalculator_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationCdf() const (defined in PostProcess) | PostProcess | |
| creditMigrationCdf_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationDistributionGrid_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationPdf() const (defined in PostProcess) | PostProcess | |
| creditMigrationPdf_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationTimeSteps_ (defined in PostProcess) | PostProcess | protected |
| creditMigrationUpperBucketBounds() const | PostProcess | |
| creditMigrationUpperBucketBounds_ (defined in PostProcess) | PostProcess | protected |
| creditSimulationParameters_ (defined in PostProcess) | PostProcess | protected |
| creditStateCorrelationMatrix_ (defined in PostProcess) | PostProcess | protected |
| cube() | PostProcess | |
| cube_ (defined in PostProcess) | PostProcess | protected |
| cubeInterpretation_ (defined in PostProcess) | PostProcess | protected |
| cvaCalculator_ (defined in PostProcess) | PostProcess | protected |
| cvaSpreadSensiGrid_ (defined in PostProcess) | PostProcess | protected |
| cvaSpreadSensiShiftSize() | PostProcess | |
| cvaSpreadSensiShiftSize_ (defined in PostProcess) | PostProcess | protected |
| cvaSpreadSensiTimes_ (defined in PostProcess) | PostProcess | protected |
| dimCalculator_ (defined in PostProcess) | PostProcess | protected |
| dvaName_ (defined in PostProcess) | PostProcess | protected |
| expectedCollateral(const string &nettingSetId) | PostProcess | |
| exportDimEvolution(ore::data::Report &dimEvolutionReport) | PostProcess | |
| exportDimRegression(const std::string &nettingSet, const std::vector< Size > &timeSteps, const std::vector< boost::shared_ptr< ore::data::Report >> &dimRegReports) | PostProcess | |
| exposureCalculator_ (defined in PostProcess) | PostProcess | protected |
| fullInitialCollateralisation_ (defined in PostProcess) | PostProcess | protected |
| fvaBorrowingCurve_ (defined in PostProcess) | PostProcess | protected |
| fvaLendingCurve_ (defined in PostProcess) | PostProcess | protected |
| kvaAlpha_ (defined in PostProcess) | PostProcess | protected |
| kvaCapitalDiscountRate_ (defined in PostProcess) | PostProcess | protected |
| kvaCapitalHurdle_ (defined in PostProcess) | PostProcess | protected |
| kvaOurCvaRiskWeight_ (defined in PostProcess) | PostProcess | protected |
| kvaOurPdFloor_ (defined in PostProcess) | PostProcess | protected |
| kvaRegAdjustment_ (defined in PostProcess) | PostProcess | protected |
| kvaTheirCvaRiskWeight_ (defined in PostProcess) | PostProcess | protected |
| kvaTheirPdFloor_ (defined in PostProcess) | PostProcess | protected |
| market_ (defined in PostProcess) | PostProcess | protected |
| mporCashFlowMode_ (defined in PostProcess) | PostProcess | protected |
| netCube() | PostProcess | |
| netCvaHazardRateSensi_ (defined in PostProcess) | PostProcess | protected |
| netCvaHazardRateSensitivity(const string &nettingSetId) | PostProcess | |
| netCvaSpreadSensi_ (defined in PostProcess) | PostProcess | protected |
| netCvaSpreadSensitivity(const string &nettingSetId) | PostProcess | |
| netCvaSpreadSensitivity() const | PostProcess | |
| netEE_B(const string &nettingSetId) | PostProcess | |
| netEEE_B(const string &nettingSetId) | PostProcess | |
| netEEPE_B(const string &nettingSetId) | PostProcess | |
| netENE(const string &nettingSetId) | PostProcess | |
| netENE_ (defined in PostProcess) | PostProcess | protected |
| netEPE(const string &nettingSetId) | PostProcess | |
| netEPE_ (defined in PostProcess) | PostProcess | protected |
| netEPE_B(const string &nettingSetId) | PostProcess | |
| netPFE(const string &nettingSetId) | PostProcess | |
| nettedExposureCalculator_ (defined in PostProcess) | PostProcess | protected |
| nettingSetCollateralFloor(const string &nettingSetId) | PostProcess | |
| nettingSetCOLVA(const string &nettingSetId) | PostProcess | |
| nettingSetCVA(const string &nettingSetId) | PostProcess | |
| nettingSetDVA(const string &nettingSetId) | PostProcess | |
| nettingSetFBA(const string &nettingSetId) | PostProcess | |
| nettingSetFBA_exAllSP(const string &nettingSetId) | PostProcess | |
| nettingSetFBA_exOwnSP(const string &nettingSetId) | PostProcess | |
| nettingSetFCA(const string &nettingSetId) | PostProcess | |
| nettingSetFCA_exAllSP(const string &nettingSetId) | PostProcess | |
| nettingSetFCA_exOwnSP(const string &nettingSetId) | PostProcess | |
| nettingSetIds() | PostProcess | |
| nettingSetManager_ (defined in PostProcess) | PostProcess | protected |
| nettingSetMVA(const string &nettingSetId) | PostProcess | |
| nettingSetOurKVACCR(const string &nettingSetId) | PostProcess | |
| nettingSetOurKVACVA(const string &nettingSetId) | PostProcess | |
| nettingSetTheirKVACCR(const string &nettingSetId) | PostProcess | |
| nettingSetTheirKVACVA(const string &nettingSetId) | PostProcess | |
| ourNettingSetKVACCR_ (defined in PostProcess) | PostProcess | protected |
| ourNettingSetKVACVA_ (defined in PostProcess) | PostProcess | protected |
| portfolio_ (defined in PostProcess) | PostProcess | protected |
| PostProcess(const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NettingSetManager > &nettingSetManager, const boost::shared_ptr< Market > &market, const std::string &configuration, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< AggregationScenarioData > &scenarioData, const map< string, bool > &analytics, const string &baseCurrency, const string &allocationMethod, Real cvaMarginalAllocationLimit, Real quantile=0.95, const string &calculationType="Symmetric", const string &dvaName="", const string &fvaBorrowingCurve="", const string &fvaLendingCurve="", const boost::shared_ptr< DynamicInitialMarginCalculator > &dimCalculator=boost::shared_ptr< DynamicInitialMarginCalculator >(), const boost::shared_ptr< CubeInterpretation > &cubeInterpretation=boost::shared_ptr< CubeInterpretation >(), bool fullInitialCollateralisation=false, vector< Period > cvaSpreadSensiGrid={6 *Months, 1 *Years, 3 *Years, 5 *Years, 10 *Years}, Real cvaSpreadSensiShiftSize=0.0001, Real kvaCapitalDiscountRate=0.10, Real kvaAlpha=1.4, Real kvaRegAdjustment=12.5, Real kvaCapitalHurdle=0.012, Real kvaOurPdFloor=0.03, Real kvaTheirPdFloor=0.03, Real kvaOurCvaRiskWeight=0.05, Real kvaTheirCvaRiskWeight=0.05, const boost::shared_ptr< NPVCube > &cptyCube_=nullptr, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND", const boost::shared_ptr< CreditSimulationParameters > &creditSimulationParameters=nullptr, const std::vector< Real > &creditMigrationDistributionGrid={}, const std::vector< Size > &creditMigrationTimeSteps={}, const Matrix &creditStateCorrelationMatrix=Matrix(), bool withMporStickyDate=false, ScenarioGeneratorData::MporCashFlowMode mporCashFlowMode=ScenarioGeneratorData::MporCashFlowMode::NonePay) | PostProcess | |
| quantile_ (defined in PostProcess) | PostProcess | protected |
| scenarioData_ (defined in PostProcess) | PostProcess | protected |
| setDimCalculator(boost::shared_ptr< DynamicInitialMarginCalculator > dimCalculator) (defined in PostProcess) | PostProcess | |
| spreadSensitivityGrid() (defined in PostProcess) | PostProcess | |
| spreadSensitivityTimes() (defined in PostProcess) | PostProcess | |
| theirNettingSetKVACCR_ (defined in PostProcess) | PostProcess | protected |
| theirNettingSetKVACVA_ (defined in PostProcess) | PostProcess | protected |
| tradeCVA(const string &tradeId) | PostProcess | |
| tradeDVA(const string &tradeId) | PostProcess | |
| tradeEE_B(const string &tradeId) | PostProcess | |
| tradeEEE_B(const string &tradeId) | PostProcess | |
| tradeEEPE_B(const string &tradeId) | PostProcess | |
| tradeENE(const string &tradeId) | PostProcess | |
| tradeENE_ (defined in PostProcess) | PostProcess | protected |
| tradeEPE(const string &tradeId) | PostProcess | |
| tradeEPE_ (defined in PostProcess) | PostProcess | protected |
| tradeEPE_B(const string &tradeId) | PostProcess | |
| tradeFBA(const string &tradeId) | PostProcess | |
| tradeFBA_exAllSP(const string &tradeId) | PostProcess | |
| tradeFBA_exOwnSP(const string &tradeId) | PostProcess | |
| tradeFCA(const string &tradeId) | PostProcess | |
| tradeFCA_exAllSP(const string &tradeId) | PostProcess | |
| tradeFCA_exOwnSP(const string &tradeId) | PostProcess | |
| tradeIds() | PostProcess | |
| tradeMVA(const string &tradeId) | PostProcess | |
| tradePFE(const string &tradeId) | PostProcess | |
| updateNettingSetCvaSensitivity() (defined in PostProcess) | PostProcess | protected |
| updateNettingSetKVA() (defined in PostProcess) | PostProcess | protected |
| withMporStickyDate_ (defined in PostProcess) | PostProcess | protected |