portfolio.cpp File Reference

#include "quant/portfolio.hpp"
#include "quant/black_scholes.hpp"
#include <algorithm>
#include <cmath>
#include <limits>
#include <stdexcept>

Include dependency graph for portfolio.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::portfolio
	Vectorized vanilla-option portfolio valuation and deterministic stress P&L.

Functions
RiskResult	quant::portfolio::price_risk (const std::vector< VanillaPosition > &positions)
ScenarioResult	quant::portfolio::scenario_pnl (const std::vector< VanillaPosition > &positions, const std::vector< MarketShock > &shocks, bool include_position_pnl=false)