historicalsensipnlcalculator.hpp File Reference

Class for generating sensi pnl. More...

#include <orea/cube/npvcube.hpp>
#include <orea/scenario/historicalscenariogenerator.hpp>
#include <orea/scenario/scenarioshiftcalculator.hpp>
#include <orea/engine/sensitivityrecord.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <orea/scenario/scenario.hpp>
#include <ql/math/matrix.hpp>
#include <ql/shared_ptr.hpp>
#include <boost/accumulators/accumulators.hpp>
#include <boost/accumulators/statistics/stats.hpp>
#include <boost/accumulators/statistics/variance.hpp>
#include <boost/accumulators/statistics/covariance.hpp>
#include <boost/accumulators/statistics/variates/covariate.hpp>

Classes
class	PNLCalculator
class	CovarianceCalculator
class	HistoricalSensiPnlCalculator

Namespaces
	ore
	ore::analytics

Detailed Description

Class for generating sensi pnl.