portfolio.hpp File Reference

#include <cstddef>
#include <vector>

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Classes
struct	quant::portfolio::MarketShock
struct	quant::portfolio::PortfolioTotals
struct	quant::portfolio::PositionRisk
struct	quant::portfolio::RiskResult
struct	quant::portfolio::ScenarioResult
struct	quant::portfolio::VanillaPosition

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

Enumerations
enum class	quant::portfolio::OptionType : int { quant::portfolio::Put = -1 , quant::portfolio::Call = 1 }

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)