Public Member Functions
	XvaRunner (const boost::shared_ptr< InputParameters > &inputs, QuantLib::Date asof, const std::string &baseCurrency, const boost::shared_ptr< ore::data::Portfolio > &portfolio, const boost::shared_ptr< ore::data::NettingSetManager > &netting, const boost::shared_ptr< ore::data::EngineData > &engineData, const boost::shared_ptr< ore::data::CurveConfigurations > &curveConfigs, const boost::shared_ptr< ore::data::TodaysMarketParameters > &todaysMarketParams, const boost::shared_ptr< ScenarioSimMarketParameters > &simMarketData, const boost::shared_ptr< ScenarioGeneratorData > &scenarioGeneratorData, const boost::shared_ptr< ore::data::CrossAssetModelData > &crossAssetModelData, const boost::shared_ptr< ReferenceDataManager > &referenceData=nullptr, const IborFallbackConfig &iborFallbackConfig=IborFallbackConfig::defaultConfig(), QuantLib::Real dimQuantile=0.99, QuantLib::Size dimHorizonCalendarDays=14, map< string, bool > analytics={}, string calculationType="Symmetric", string dvaName="", string fvaBorrowingCurve="", string fvaLendingCurve="", bool fullInitialCollateralisation=true, bool storeFlows=false)

void	runXva (const boost::shared_ptr< ore::data::Market > &market, bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

const boost::shared_ptr< PostProcess > &	postProcess ()

void	buildCamModel (const boost::shared_ptr< ore::data::Market > &market, bool continueOnErr=true)

void	bufferSimulationPaths ()

virtual void	buildSimMarket (const boost::shared_ptr< ore::data::Market > &market, const boost::optional< std::set< std::string >> &currencyFilter=boost::none, const bool continueOnErr=true)

void	buildCube (const boost::optional< std::set< std::string >> &tradeIds, bool continueOnErr=true)

boost::shared_ptr< NPVCube >	npvCube () const

boost::shared_ptr< NPVCube >	nettingCube () const

QuantLib::Handle< AggregationScenarioData >	aggregationScenarioData ()

void	generatePostProcessor (const boost::shared_ptr< Market > &market, const boost::shared_ptr< NPVCube > &npvCube, const boost::shared_ptr< NPVCube > &nettingCube, const boost::shared_ptr< AggregationScenarioData > &scenarioData, const bool continueOnErr=true, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

std::set< std::string >	getNettingSetIds (const boost::shared_ptr< Portfolio > &portfolio=nullptr) const

Protected Member Functions
virtual boost::shared_ptr< NPVCube >	getNettingSetCube (std::vector< boost::shared_ptr< ValuationCalculator >> &calculators, const boost::shared_ptr< Portfolio > &portfolio)

virtual boost::shared_ptr< NPVCube >	getNpvCube (const Date &asof, const std::set< std::string > &ids, const std::vector< Date > &dates, const Size samples, const Size depth) const

virtual boost::shared_ptr< DynamicInitialMarginCalculator >	getDimCalculator (const boost::shared_ptr< NPVCube > &cube, const boost::shared_ptr< CubeInterpretation > &cubeInterpreter, const boost::shared_ptr< AggregationScenarioData > &scenarioData, const boost::shared_ptr< QuantExt::CrossAssetModel > &model=nullptr, const boost::shared_ptr< NPVCube > &nettingCube=nullptr, const std::map< std::string, QuantLib::Real > &currentIM=std::map< std::string, QuantLib::Real >())

virtual boost::shared_ptr< ore::analytics::ScenarioSimMarketParameters >	projectSsmData (const std::set< std::string > &currencyFilter) const

virtual boost::shared_ptr< ore::analytics::ScenarioGenerator >	getProjectedScenarioGenerator (const boost::optional< std::set< std::string >> &currencyFilter, const boost::shared_ptr< Market > &market, const boost::shared_ptr< ScenarioSimMarketParameters > &projectedSsmData, const boost::shared_ptr< ScenarioFactory > &scenarioFactory, const bool continueOnErr) const

Protected Attributes
boost::shared_ptr< InputParameters >	inputs_

QuantLib::Date	asof_

std::string	baseCurrency_

boost::shared_ptr< ore::data::Portfolio >	portfolio_

boost::shared_ptr< ore::data::NettingSetManager >	netting_

boost::shared_ptr< ore::data::EngineData >	engineData_

boost::shared_ptr< ore::data::CurveConfigurations >	curveConfigs_

boost::shared_ptr< ore::data::TodaysMarketParameters >	todaysMarketParams_

boost::shared_ptr< ScenarioSimMarketParameters >	simMarketData_

boost::shared_ptr< ScenarioGeneratorData >	scenarioGeneratorData_

boost::shared_ptr< ore::data::CrossAssetModelData >	crossAssetModelData_

boost::shared_ptr< ReferenceDataManager >	referenceData_

IborFallbackConfig	iborFallbackConfig_

QuantLib::Real	dimQuantile_

QuantLib::Size	dimHorizonCalendarDays_

map< string, bool >	analytics_

string	inputCalculationType_

string	dvaName_

string	fvaBorrowingCurve_

string	fvaLendingCurve_

bool	fullInitialCollateralisation_

bool	storeFlows_

boost::shared_ptr< QuantExt::CrossAssetModel >	model_

boost::shared_ptr< ScenarioSimMarket >	simMarket_

boost::shared_ptr< EngineFactory >	simFactory_

QuantLib::RelinkableHandle< AggregationScenarioData >	scenarioData_

boost::shared_ptr< NPVCube >	cube_

boost::shared_ptr< NPVCube >	nettingCube_

boost::shared_ptr< CubeInterpretation >	cubeInterpreter_

std::string	calculationType_

boost::shared_ptr< PostProcess >	postProcess_

boost::shared_ptr< std::vector< std::vector< QuantLib::Path > > >	bufferedPaths_

Public Member Functions

Protected Member Functions

Protected Attributes