marketriskbacktest.hpp File Reference

bace class for all market risk backtests More...

#include <qle/math/covariancesalvage.hpp>
#include <ored/portfolio/portfolio.hpp>
#include <ored/utilities/progressbar.hpp>
#include <orea/engine/historicalpnlgenerator.hpp>
#include <orea/engine/historicalsensipnlcalculator.hpp>
#include <orea/engine/varcalculator.hpp>
#include <orea/scenario/scenariofilter.hpp>
#include <orea/scenario/scenarioshiftcalculator.hpp>
#include <orea/engine/marketriskreport.hpp>
#include <orea/engine/sensitivitystream.hpp>
#include <boost/make_shared.hpp>

Classes
class	MarketRiskBacktest
class	MarketRiskBacktest::BacktestReports
struct	MarketRiskBacktest::BacktestArgs
struct	MarketRiskBacktest::Data
	Used to pass information. More...
struct	MarketRiskBacktest::SummaryResults
	Used to store results for writing rows in the summary report. More...
struct	MarketRiskBacktest::VarBenchmark
class	BacktestPNLCalculator

Namespaces
	ore
	ore::analytics

Detailed Description

bace class for all market risk backtests