XvaAnalyticImpl Class Reference

Inheritance diagram for XvaAnalyticImpl:

Public Member Functions
	XvaAnalyticImpl (const boost::shared_ptr< InputParameters > &inputs)
virtual void	runAnalytic (const boost::shared_ptr< ore::data::InMemoryLoader > &loader, const std::set< std::string > &runTypes={}) override
void	setUpConfigurations () override
void	checkConfigurations (const boost::shared_ptr< Portfolio > &portfolio)
Public Member Functions inherited from Analytic::Impl
	Impl (const boost::shared_ptr< InputParameters > &inputs)
void	setLabel (const string &label)
const std::string &	label () const
void	setAnalytic (Analytic *analytic)
Analytic *	analytic () const
void	setInputs (const QuantLib::ext::shared_ptr< InputParameters > &inputs)
bool	generateAdditionalResults () const
void	setGenerateAdditionalResults (const bool generateAdditionalResults)

Static Public Attributes
static constexpr const char *	LABEL = "XVA"

Protected Member Functions
boost::shared_ptr< ore::data::EngineFactory >	engineFactory () override
	build an engine factory
void	buildScenarioSimMarket ()
void	buildCrossAssetModel (bool continueOnError)
void	buildScenarioGenerator (bool continueOnError)
void	initCubeDepth ()
void	initCube (boost::shared_ptr< NPVCube > &cube, const std::set< std::string > &ids, Size cubeDepth)
void	initClassicRun (const boost::shared_ptr< Portfolio > &portfolio)
void	buildClassicCube (const boost::shared_ptr< Portfolio > &portfolio)
boost::shared_ptr< Portfolio >	classicRun (const boost::shared_ptr< Portfolio > &portfolio)
boost::shared_ptr< EngineFactory >	amcEngineFactory (const boost::shared_ptr< QuantExt::CrossAssetModel > &cam, const std::vector< Date > &grid)
void	buildAmcPortfolio ()
void	amcRun (bool doClassicRun)
void	runPostProcessor ()
Matrix	creditStateCorrelationMatrix () const

Protected Attributes
boost::shared_ptr< ScenarioSimMarket >	simMarket_
boost::shared_ptr< EngineFactory >	engineFactory_
boost::shared_ptr< CrossAssetModel >	model_
boost::shared_ptr< ScenarioGenerator >	scenarioGenerator_
boost::shared_ptr< Portfolio >	amcPortfolio_
boost::shared_ptr< Portfolio >	classicPortfolio_
boost::shared_ptr< NPVCube >	cube_
boost::shared_ptr< NPVCube >	nettingSetCube_
boost::shared_ptr< NPVCube >	cptyCube_
boost::shared_ptr< NPVCube >	amcCube_
QuantLib::RelinkableHandle< AggregationScenarioData >	scenarioData_
boost::shared_ptr< CubeInterpretation >	cubeInterpreter_
boost::shared_ptr< DynamicInitialMarginCalculator >	dimCalculator_
boost::shared_ptr< PostProcess >	postProcess_
Size	cubeDepth_ = 0
boost::shared_ptr< DateGrid >	grid_
Size	samples_ = 0
bool	runSimulation_ = false
bool	runXva_ = false
Protected Attributes inherited from Analytic::Impl
QuantLib::ext::shared_ptr< InputParameters >	inputs_