Reference manual - version orea_version
This is the complete list of members for RegressionDynamicInitialMarginCalculator, including all inherited members.
| build() override | RegressionDynamicInitialMarginCalculator | virtual |
| cashFlow(const string &nettingSet) | DynamicInitialMarginCalculator | |
| cube_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| cubeInterpretation_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| cubeIsRegular_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| currentIM() | DynamicInitialMarginCalculator | |
| currentIM_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| datesLoopSize_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| dimCube() | DynamicInitialMarginCalculator | |
| dimCube_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| dynamicIM(const string &nettingSet) | DynamicInitialMarginCalculator | |
| DynamicInitialMarginCalculator(const boost::shared_ptr< InputParameters > &inputs, const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > &cubeInterpretation, const boost::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile=0.99, Size horizonCalendarDays=14, const std::map< std::string, Real > ¤tIM=std::map< std::string, Real >()) | DynamicInitialMarginCalculator | |
| expectedIM(const string &nettingSet) | DynamicInitialMarginCalculator | |
| exportDimEvolution(ore::data::Report &dimEvolutionReport) override | RegressionDynamicInitialMarginCalculator | virtual |
| exportDimRegression(const std::string &nettingSet, const std::vector< Size > &timeSteps, const std::vector< boost::shared_ptr< ore::data::Report >> &dimRegReports) (defined in RegressionDynamicInitialMarginCalculator) | RegressionDynamicInitialMarginCalculator | |
| getInitialMarginScaling() | DynamicInitialMarginCalculator | |
| horizonCalendarDays_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| inputs_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| localRegressionResults(const string &nettingSet) (defined in RegressionDynamicInitialMarginCalculator) | RegressionDynamicInitialMarginCalculator | |
| nettingSetCloseOutNPV_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetDeltaNPV_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetDIM_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetExpectedDIM_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetFLOW_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetIds_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetNPV_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| nettingSetScaling_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| portfolio_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| quantile_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| RegressionDynamicInitialMarginCalculator(const boost::shared_ptr< InputParameters > &inputs, const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > &cubeInterpretation, const boost::shared_ptr< AggregationScenarioData > &scenarioData, Real quantile, Size horizonCalendarDays, Size regressionOrder, vector< string > regressors, Size localRegressionEvaluations=0, Real localRegressionBandWidth=0, const std::map< std::string, Real > ¤tIM=std::map< std::string, Real >()) | RegressionDynamicInitialMarginCalculator | |
| scenarioData_ (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | protected |
| simpleResultsLower(const string &nettingSet) (defined in RegressionDynamicInitialMarginCalculator) | RegressionDynamicInitialMarginCalculator | |
| simpleResultsUpper(const string &nettingSet) (defined in RegressionDynamicInitialMarginCalculator) | RegressionDynamicInitialMarginCalculator | |
| unscaledCurrentDIM() override | RegressionDynamicInitialMarginCalculator | virtual |
| zeroOrderResults(const string &nettingSet) (defined in RegressionDynamicInitialMarginCalculator) | RegressionDynamicInitialMarginCalculator | |
| ~DynamicInitialMarginCalculator() (defined in DynamicInitialMarginCalculator) | DynamicInitialMarginCalculator | virtual |