A container for holding the parametric VAR parameters. More...
#include <orea/engine/parametricvar.hpp>
Public Types | |
enum class | Method { Delta , DeltaGammaNormal , MonteCarlo , CornishFisher , Saddlepoint } |
Public Member Functions | |
ParametricVarParams (const std::string &m, QuantLib::Size samples, QuantLib::Size seed) | |
Public Attributes | |
Method | method = Method::Delta |
QuantLib::Size | samples = QuantLib::Null<QuantLib::Size>() |
QuantLib::Size | seed = QuantLib::Null<QuantLib::Size>() |
A container for holding the parametric VAR parameters.