engine Directory Reference

Files
file	amcvaluationengine.hpp
	valuation engine for amc
file	bufferedsensitivitystream.hpp
	a wrapper to buffer sensi stream records
file	decomposedsensitivitystream.hpp
	Class that wraps a sensitivity stream and decomposes equity/commodity and default risk records.
file	filteredsensitivitystream.hpp
	Class that wraps a sensitivity stream and filters out negligible records.
file	historicalpnlgenerator.hpp
	Class for generating portfolio P&Ls based on historical scenarios.
file	historicalsensipnlcalculator.hpp
	Class for generating sensi pnl.
file	historicalsimulationvar.hpp
	Perform historical simulation var calculation for a given portfolio.
file	marketriskbacktest.hpp
	bace class for all market risk backtests
file	marketriskreport.hpp
	Base class for a market risk report.
file	mporcalculator.hpp
	The cube valuation calculator interface.
file	multistatenpvcalculator.hpp
	a calculator that computes npvs for a vector of credit states
file	multithreadedvaluationengine.hpp
	multi-threaded valuation engine
file	npvrecord.hpp
	Struct for holding an NPV record.
file	observationmode.hpp
	Singleton class to hold global Observation Mode.
file	parametricvar.hpp
	Perform parametric var calculation for a given portfolio.
file	parsensitivityanalysis.hpp
	Perfrom sensitivity analysis for a given portfolio.
file	parsensitivitycubestream.hpp
	Class for streaming SensitivityRecords from a par sensitivity cube.
file	parstressconverter.hpp
	Convert all par shifts in a stress test to a zero shifts.
file	parstressscenarioconverter.hpp
	Convert all par shifts in a single stress test scenario to a zero shifts.
file	riskfilter.hpp
	risk class and type filter
file	sensitivityaggregator.hpp
	Class for aggregating SensitivityRecords.
file	sensitivityanalysis.hpp
	Perform sensitivity analysis for a given portfolio.
file	sensitivitycubestream.hpp
	Class for streaming SensitivityRecords from a SensitivityCube.
file	sensitivityfilestream.hpp
	Class for streaming SensitivityRecords from file.
file	sensitivityinmemorystream.hpp
	Class for streaming SensitivityRecords from in-memory container.
file	sensitivityrecord.hpp
	Struct for holding a sensitivity record.
file	sensitivityreportstream.hpp
	Class for streaming SensitivityRecords from a report.
file	sensitivitystream.hpp
	Base class for sensitivity record streamer.
file	stresstest.hpp
	perform a stress testing analysis for a given portfolio.
file	valuationcalculator.hpp
	The counterparty cube calculator interface.
file	valuationengine.hpp
	The cube valuation core.
file	varbacktest.hpp
	implementation of var backtest
file	varcalculator.hpp
	Base class for a var calculation.
file	xvaenginecg.hpp
	xva engine using cg infrastructure
file	zerotoparcube.hpp
	Class for converting zero sensitivities to par sensitivities.
file	zerotoparshift.hpp
	applies a zero scenario and return the par instrument shifts