historicalpnlgenerator.hpp File Reference

Class for generating portfolio P&Ls based on historical scenarios. More...

#include <orea/engine/valuationengine.hpp>
#include <orea/scenario/scenariosimmarket.hpp>
#include <ored/portfolio/enginedata.hpp>
#include <ored/portfolio/enginefactory.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/utilities/timeperiod.hpp>
#include <orea/scenario/historicalscenariogenerator.hpp>
#include <ql/types.hpp>
#include <vector>

Classes
class	HistoricalPnlGenerator

Namespaces
	ore
	ore::analytics

Detailed Description

Class for generating portfolio P&Ls based on historical scenarios.