Reference manual - version orea_version
This is the complete list of members for StaticCreditXvaCalculator, including all inherited members.
| applyDynamicInitialMargin_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| asof() (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | virtual |
| baseCurrency_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| build() | ValueAdjustmentCalculator | virtual |
| calculateCvaIncrement(const string &tid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateDvaIncrement(const string &tid, const Date &d0, const Date &d1, const Real &rr) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateFbaIncrement(const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateFcaIncrement(const string &tid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateNettingSetCvaIncrement(const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &rr) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateNettingSetDvaIncrement(const string &nid, const Date &d0, const Date &d1, const Real &rr) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateNettingSetFbaIncrement(const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateNettingSetFcaIncrement(const string &nid, const string &cid, const string &dvaName, const Date &d0, const Date &d1, const Real &dcf) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| calculateNettingSetMvaIncrement(const string &nid, const string &cid, const Date &d0, const Date &d1, const Real &dcf) override (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | virtual |
| configuration_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| dateIndexMap_ (defined in StaticCreditXvaCalculator) | StaticCreditXvaCalculator | protected |
| dates() (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | virtual |
| dimCalculator_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| dvaName_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| flipViewBorrowingCurvePostfix_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| flipViewLendingCurvePostfix_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| flipViewXVA_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| fvaBorrowingCurve_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| fvaLendingCurve_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| market_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetCpty_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetCva() | ValueAdjustmentCalculator | |
| nettingSetCva(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetCva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetDva() | ValueAdjustmentCalculator | |
| nettingSetDva(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetDva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetEneIndex_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetEpeIndex_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetExposureCube_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFba(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFba_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFba_exAllSp(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFba_exAllSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFba_exOwnSp(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFba_exOwnSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFca(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFca_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFca_exAllSp(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFca_exAllSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetFca_exOwnSp(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetFca_exOwnSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetMva(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetMva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetSumCva() | ValueAdjustmentCalculator | |
| nettingSetSumCva(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetSumCva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| nettingSetSumDva() | ValueAdjustmentCalculator | |
| nettingSetSumDva(const string &nettingSet) | ValueAdjustmentCalculator | |
| nettingSetSumDva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| portfolio_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| StaticCreditXvaCalculator(const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND") | StaticCreditXvaCalculator | |
| tradeCva() | ValueAdjustmentCalculator | |
| tradeCva(const string &trade) | ValueAdjustmentCalculator | |
| tradeCva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeDva() | ValueAdjustmentCalculator | |
| tradeDva(const string &trade) | ValueAdjustmentCalculator | |
| tradeDva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeEneIndex_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeEpeIndex_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeExposureCube_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFba(const string &trade) | ValueAdjustmentCalculator | |
| tradeFba_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFba_exAllSp(const string &trade) | ValueAdjustmentCalculator | |
| tradeFba_exAllSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFba_exOwnSp(const string &trade) | ValueAdjustmentCalculator | |
| tradeFba_exOwnSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFca(const string &trade) | ValueAdjustmentCalculator | |
| tradeFca_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFca_exAllSp(const string &trade) | ValueAdjustmentCalculator | |
| tradeFca_exAllSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeFca_exOwnSp(const string &trade) | ValueAdjustmentCalculator | |
| tradeFca_exOwnSp_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| tradeMva(const string &trade) | ValueAdjustmentCalculator | |
| tradeMva_ (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | protected |
| ValueAdjustmentCalculator(const QuantLib::ext::shared_ptr< Portfolio > portfolio, const QuantLib::ext::shared_ptr< Market > market, const string &configuration, const string &baseCurrency, const string &dvaName, const string &fvaBorrowingCurve, const string &fvaLendingCurve, const bool applyDynamicInitialMargin, const QuantLib::ext::shared_ptr< DynamicInitialMarginCalculator > dimCalculator, const QuantLib::ext::shared_ptr< NPVCube > tradeExposureCube, const QuantLib::ext::shared_ptr< NPVCube > nettingSetExposureCube, const Size tradeEpeIndex=0, const Size tradeEneIndex=1, const Size nettingSetEpeIndex=1, const Size nettingSetEneIndex=2, const bool flipViewXVA=false, const string &flipViewBorrowingCurvePostfix="_BORROW", const string &flipViewLendingCurvePostfix="_LEND") | ValueAdjustmentCalculator | |
| ~ValueAdjustmentCalculator() (defined in ValueAdjustmentCalculator) | ValueAdjustmentCalculator | virtual |