parsensitivityutilities.hpp File Reference

#include <orea/engine/parsensitivityinstrumentbuilder.hpp>
#include <orea/scenario/scenario.hpp>
#include <ql/instrument.hpp>
#include <ql/instruments/capfloor.hpp>
#include <ql/instruments/inflationcapfloor.hpp>

Go to the source code of this file.

Namespaces
namespace	ore
namespace	ore::analytics

Functions
Real	impliedQuote (const QuantLib::ext::shared_ptr< QuantLib::Instrument > &i)
	Computes the implied quote. More...
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 QuantLib::CapFloor &cap, double targetValue, const QuantLib::Handle< QuantLib::YieldTermStructure > &d, double guess, QuantLib::VolatilityType type, double displacement)
double	impliedVolatility (const QuantLib::YoYInflationCapFloor &cap, double targetValue, const QuantLib::Handle< QuantLib::YieldTermStructure > &d, double guess, QuantLib::VolatilityType type, double displacement, const QuantLib::Handle< QuantLib::YoYInflationIndex > &index={})
double	impliedVolatility (const RiskFactorKey &key, const ParSensitivityInstrumentBuilder::Instruments &instruments)