sensitivity analysis function More...
#include <ql/types.hpp>#include <ql/utilities/null.hpp>#include <boost/shared_ptr.hpp>#include <vector>
Enumerations | |
| enum | SensitivityAnalysis { OneSide, Centered } |
| Finite differences calculation. | |
Functions | |
| Real | aggregateNPV (const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities) |
| utility fuction for weighted sum of NPVs | |
| std::pair< Real, Real > | parallelAnalysis (const std::vector< Handle< SimpleQuote > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
| parallel shift PV01 sensitivity analysis for a SimpleQuote vector | |
| std::pair< Real, Real > | parallelAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
| parallel shift PV01 sensitivity analysis for a SimpleQuote matrix | |
| std::pair< Real, Real > | bucketAnalysis (Handle< SimpleQuote > quote, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered, Real referenceNpv=Null< Real >()) |
| (bucket) PV01 sensitivity analysis for a (single) SimpleQuote | |
| void | bucketAnalysis (std::vector< Real > &deltaVector, std::vector< Real > &gammaVector, std::vector< Real > &referenceValues, Handle< SimpleQuote > quote, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
| (bucket) parameters' sensitivity analysis for a (single) SimpleQuote | |
| std::pair< std::vector< Real > , std::vector< Real > > | bucketAnalysis (const std::vector< Handle< SimpleQuote > > "es, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered) |
| bucket PV01 sensitivity analysis for a SimpleQuote vector | |
| void | bucketAnalysis (std::vector< std::vector< Real > > &deltaMatrix, std::vector< std::vector< Real > > &gammaMatrix, const std::vector< Handle< SimpleQuote > > "es, const std::vector< Handle< Quote > > ¶meters, Real shift=0.0001, SensitivityAnalysis type=Centered) |
| bucket parameters' sensitivity analysis for a SimpleQuote vector | |
| std::pair< std::vector < std::vector< Real > >, std::vector< std::vector < Real > > > | bucketAnalysis (const std::vector< std::vector< Handle< SimpleQuote > > > &, const std::vector< boost::shared_ptr< Instrument > > &, const std::vector< Real > &quantities, Real shift=0.0001, SensitivityAnalysis type=Centered) |
| bucket sensitivity analysis for a SimpleQuote matrix | |
sensitivity analysis function