ValuationCalculator Class Reference

ValuationCalculator interface. More...

#include <orea/engine/valuationcalculator.hpp>

Inheritance diagram for ValuationCalculator:

Public Member Functions
virtual void	calculate (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet, const Date &date, Size dateIndex, Size sample, bool isCloseOut=false)=0
virtual void	calculateT0 (const boost::shared_ptr< Trade > &trade, Size tradeIndex, const boost::shared_ptr< SimMarket > &simMarket, boost::shared_ptr< NPVCube > &outputCube, boost::shared_ptr< NPVCube > &outputCubeNettingSet)=0
virtual void	init (const boost::shared_ptr< Portfolio > &portfolio, const boost::shared_ptr< SimMarket > &simMarket)=0
virtual void	initScenario ()=0

Detailed Description

ValuationCalculator interface.

Member Function Documentation

calculate()

virtual void calculate ( const boost::shared_ptr< Trade > &  trade, Size  tradeIndex, const boost::shared_ptr< SimMarket > &  simMarket, boost::shared_ptr< NPVCube > &  outputCube, boost::shared_ptr< NPVCube > &  outputCubeNettingSet, const Date &  date, Size  dateIndex, Size  sample, bool  isCloseOut = false  )

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube for data on trade level
outputCubeNettingSet	The cube for data on netting set level
date	The date
dateIndex	Date index
sample	Sample
isCloseOut	isCloseOut

calculateT0()

virtual void calculateT0 ( const boost::shared_ptr< Trade > &  trade, Size  tradeIndex, const boost::shared_ptr< SimMarket > &  simMarket, boost::shared_ptr< NPVCube > &  outputCube, boost::shared_ptr< NPVCube > &  outputCubeNettingSet  )

pure virtual

Parameters

trade	The trade
tradeIndex	Trade index for writing to the cube
simMarket	The market
outputCube	The cube
outputCubeNettingSet	The cube