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Fully annotated reference manual - version 1.8.12
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Namespaces | Functions
parsensitivityutilities.cpp File Reference
#include <orea/engine/parsensitivityinstrumentbuilder.hpp>
#include <orea/engine/parsensitivityutilities.hpp>
#include <ored/utilities/log.hpp>
#include <ql/instruments/creditdefaultswap.hpp>
#include <ql/instruments/forwardrateagreement.hpp>
#include <ql/instruments/makecapfloor.hpp>
#include <ql/instruments/makeois.hpp>
#include <ql/instruments/makevanillaswap.hpp>
#include <ql/instruments/yearonyearinflationswap.hpp>
#include <ql/instruments/zerocouponinflationswap.hpp>
#include <ql/math/solvers1d/newtonsafe.hpp>
#include <ql/pricingengine.hpp>
#include <ql/pricingengines/capfloor/bacheliercapfloorengine.hpp>
#include <ql/pricingengines/capfloor/blackcapfloorengine.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <qle/instruments/brlcdiswap.hpp>
#include <qle/instruments/crossccybasismtmresetswap.hpp>
#include <qle/instruments/crossccybasisswap.hpp>
#include <qle/instruments/deposit.hpp>
#include <qle/instruments/fixedbmaswap.hpp>
#include <qle/instruments/fxforward.hpp>
#include <qle/instruments/makecds.hpp>
#include <qle/instruments/subperiodsswap.hpp>
#include <qle/instruments/tenorbasisswap.hpp>
#include <qle/pricingengines/inflationcapfloorengines.hpp>

Go to the source code of this file.

Namespaces

namespace  ore
 
namespace  ore::analytics
 

Functions

Real impliedQuote (const QuantLib::ext::shared_ptr< Instrument > &i)
 
Volatility impliedVolatility (const QuantLib::CapFloor &cap, Real targetValue, const Handle< YieldTermStructure > &d, Volatility guess, VolatilityType type, Real displacement)
 
Volatility impliedVolatility (const QuantLib::YoYInflationCapFloor &cap, Real targetValue, const Handle< YieldTermStructure > &d, Volatility guess, VolatilityType type, Real displacement, const Handle< YoYInflationIndex > &index)
 
bool riskFactorKeysAreSimilar (const ore::analytics::RiskFactorKey &x, const ore::analytics::RiskFactorKey &y)
 true if key type and name are equal, do not care about the index though More...
 
double impliedVolatility (const RiskFactorKey &key, const ParSensitivityInstrumentBuilder::Instruments &instruments)
 

Variable Documentation

◆ targetValue_

Real targetValue_
private

Definition at line 68 of file parsensitivityutilities.cpp.

◆ engine_

QuantLib::ext::shared_ptr<PricingEngine> engine_
private

Definition at line 69 of file parsensitivityutilities.cpp.

◆ vol_

QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> vol_
private

Definition at line 70 of file parsensitivityutilities.cpp.

◆ results_

const Instrument::results* results_
private

Definition at line 71 of file parsensitivityutilities.cpp.