QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
VegaBumpCollection Class Reference

#include <ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp>

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Public Member Functions

 VegaBumpCollection (const ext::shared_ptr< MarketModel > &volStructure, bool allowFactorwiseBumping=true)
 
 VegaBumpCollection (std::vector< VegaBumpCluster > allBumps, ext::shared_ptr< MarketModel > volStructure)
 
Size numberBumps () const
 
const ext::shared_ptr< MarketModel > & associatedModel () const
 
const std::vector< VegaBumpCluster > & allBumps () const
 
bool isFull () const
 
bool isNonOverlapping () const
 
bool isSensible () const
 

Private Attributes

std::vector< VegaBumpClusterallBumps_
 
ext::shared_ptr< MarketModelassociatedVolStructure_
 
bool checked_
 
bool nonOverlapped_
 
bool full_
 

Detailed Description

There are too many pseudo-root elements to allow bumping them all independently so we cluster them together and then divide all elements into a collection of such clusters.

Examples
MarketModels.cpp.

Definition at line 99 of file vegabumpcluster.hpp.

Constructor & Destructor Documentation

◆ VegaBumpCollection() [1/2]

VegaBumpCollection ( const ext::shared_ptr< MarketModel > &  volStructure,
bool  allowFactorwiseBumping = true 
)

Definition at line 94 of file vegabumpcluster.cpp.

◆ VegaBumpCollection() [2/2]

VegaBumpCollection ( std::vector< VegaBumpCluster allBumps,
ext::shared_ptr< MarketModel volStructure 
)

Definition at line 130 of file vegabumpcluster.cpp.

Member Function Documentation

◆ numberBumps()

Size numberBumps ( ) const

Definition at line 227 of file vegabumpcluster.cpp.

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◆ associatedModel()

const ext::shared_ptr< MarketModel > & associatedModel ( ) const

Definition at line 111 of file vegabumpcluster.hpp.

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◆ allBumps()

const std::vector< VegaBumpCluster > & allBumps ( ) const

Definition at line 140 of file vegabumpcluster.cpp.

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◆ isFull()

bool isFull ( ) const

Definition at line 145 of file vegabumpcluster.cpp.

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◆ isNonOverlapping()

bool isNonOverlapping ( ) const

Definition at line 181 of file vegabumpcluster.cpp.

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◆ isSensible()

bool isSensible ( ) const

Definition at line 218 of file vegabumpcluster.cpp.

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Member Data Documentation

◆ allBumps_

std::vector<VegaBumpCluster> allBumps_
private

Definition at line 126 of file vegabumpcluster.hpp.

◆ associatedVolStructure_

ext::shared_ptr<MarketModel> associatedVolStructure_
private

Definition at line 127 of file vegabumpcluster.hpp.

◆ checked_

bool checked_
mutableprivate

Definition at line 128 of file vegabumpcluster.hpp.

◆ nonOverlapped_

bool nonOverlapped_
mutableprivate

Definition at line 129 of file vegabumpcluster.hpp.

◆ full_

bool full_
mutableprivate

Definition at line 130 of file vegabumpcluster.hpp.