#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.
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Real | impliedQuote (const QuantLib::ext::shared_ptr< Instrument > &i) |
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Volatility | impliedVolatility (const QuantLib::CapFloor &cap, Real targetValue, const Handle< YieldTermStructure > &d, Volatility guess, VolatilityType type, Real displacement) |
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Volatility | impliedVolatility (const QuantLib::YoYInflationCapFloor &cap, Real targetValue, const Handle< YieldTermStructure > &d, Volatility guess, VolatilityType type, Real displacement, const Handle< YoYInflationIndex > &index) |
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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...
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double | impliedVolatility (const RiskFactorKey &key, const ParSensitivityInstrumentBuilder::Instruments &instruments) |
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◆ targetValue_
◆ engine_
QuantLib::ext::shared_ptr<PricingEngine> engine_ |
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◆ vol_
QuantLib::ext::shared_ptr<QuantLib::SimpleQuote> vol_ |
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◆ results_
const Instrument::results* results_ |
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private |